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2012 Jan 23
0
problems with dlmBSample of the dlm package
...my mistake or my misunderstanding? This is the code: function (orig_ts){ library(dlm) dV_T <- 20000 dW_T <- c(100,10) m0_T <- rep(0,2) C0_T <- 10000*diag(nrow=2) my_dlmModPoly <- dlmModPoly(order=2, dV_T, dW_T, m0_T, C0_T) dV_S <- 20000 dW_S <- c(500,0,0) m0_S <- rep(0,3) C0_S <- 10000*diag(nrow=3) my_dlmModSeas <- dlmModSeas(frequency=4, dV_S, dW_S, m0_S, C0_S) my_mod <- my_dlmModPoly + my_dlmModSeas my_dlmFilter <- dlmFilter(orig_ts, my_mod) my_dlmBSample <- dlmBSample(my_dlmFilter[-1]) plot(orig_ts, type = 'o', ylim=c(-200, 550)) lines(my_dlm...