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Setting up a model in package dlm()
2013 Mar 27
0
Setting up a model in package dlm()
...d(rnorm(123),rnorm(123)) #p x p state transition matrix GMat<-matrix(c(1,0,0,1),ncol=2) #p x p system noise distribution WMat<-matrix(c(0.02,0,0,0.02),ncol=2) # nxn measurement noise Vmat<-matrix(0,ncol=123,nrow=123) diag(Vmat)<-0.02 #initial state mean and variance m0Vec<-c(1,1) c0Vec<-c(0.05,0.05) ssMod<-dlm(FF=FMat,V=Vmat,GG=GMat,W=WMat,m0=m0Vec,C0=c0Vec) Resulting error: Error in dlm(FF = FMat, V = Vmat, GG = GMat, W = WMat, m0 = m0Vec, C0 = c0Vec) : Incompatible dimensions of matrices [[alternative HTML version deleted]]