search for: dlmmodarma

Hi, I am studying Kalman Filter and it seems to be difficult for me to apply the filter on a simple ARMA. It is easy to construct the state-space model, for instance: dlmModARMA(ar=c(0.4,-0.2),ma=c(0.2,-0.1, sigma2=1) but applying the dlmFilter on it, it doesn't work... I don't know if my problem is clear but if anyone has already worked on Kalman filter, it could be great to advise me! Thank you in advance! Sandrine

Hi, i'm beginner in Bayesian methods, I'm reading the documentation about dlm package and kalman filters, I'm looking for a example of transformation of ARIMA in a state space equivalent to use the dlm package and calcualte the hyperparameters. Someone can help me about it?. If it's possible with a arima(1,0,1) example, or more complex model. While I have more examples best for me.

...,X, where Y is the response variable this setup should give me a RW process if I have understood the example correctly mydlmModel = dlmModReg(X) + dlmModPoly(order=1) and then run on the dlm model dlmFilter(Y,mydlmModel ) but setting up a AR(1) process is unclear, should I use dlmModPoly or the dlmModARMA to set up the model. And at last but not the least, how do I set up a proper build function to use with dlmMLE to optimize the starting values. Regards Tom -- View this message in context: http://www.nabble.com/Help-with-kalman-filterd-betas-using-the-dlm-package-tp23473796p23473796.html Sent fr...