Displaying 8 results from an estimated 8 matches for "dlmmodpoly".
2013 Mar 08
0
using dlmModPoly in library dlm
Hi Group,
I'm trying to build a model to predict a product's sale price. I'm
researching the dlm package. Looks like I should use dlmModPoly, dlmMLE,
dlmFilter, dlmSmooth, and finally dlmForecast. I'm looking at the Nile
River example and I have a few questions:
1.
If I only want to predict future sale price based on observed sale
price, I should use a univariate model, correct?
2.
how do I initiate value for dV an...
2011 Jun 30
0
Specifying State Space model to decompose structural shocks
...e dlm package, which
suggests that multivariate series can be represented by combining two
univariate expressions. First, I need to write a function and then use
dlmMLE to estimate it. For example, I can start by writing a function
x, which combines two univariate expressions:
ab<-function(x)
{
dlmModPoly()%+%dlmModPoly()
}
fit<-dlmMLE(data, parm=c(....), build=ab)
However, I am not sure how to write my model within this function. For
instance, when I just run the expression inside above function, I get:
> dlmModPoly()%+%dlmModPoly()
$FF
[,1] [,2] [,3] [,4]
[1,] 1 0 0 0
[2,...
2009 May 10
1
Help with kalman-filterd betas using the dlm package
...odel, in other worlds the
transition equition either follow a RW or AR(1) model.
This is how I think it would be set up;
I will have my time-series Y,X, where Y is the response variable
this setup should give me a RW process if I have understood the example
correctly
mydlmModel = dlmModReg(X) + dlmModPoly(order=1)
and then run on the dlm model
dlmFilter(Y,mydlmModel )
but setting up a AR(1) process is unclear, should I use dlmModPoly or the
dlmModARMA to set up the model.
And at last but not the least, how do I set up a proper build function to
use with dlmMLE to optimize the starting values.
Re...
2014 Jan 08
0
Strange behaviour of `dlm` package
...25021560, 25724331, 25990336, 26602038,
27292250, 28891954, 29659700,
31533579, 32513666, 33628559, 34494451))
plot(hotann, ylab="Annual hotel bookings")
# Analysis with log data
tsdata <- log(hotann)
buildfun <- function (x) {
dlmModPoly(order = 2, dV = exp(x[1]), dW = c(0,exp(x[2])))
}
fit <- dlmMLE(y=tsdata, parm=c(0,0), build=buildfun)
# Warning: a numerically singular 'V' has been slightly perturbed to make it
nonsingular
fit$conv
dlmTsdata <- buildfun(fit$par)
tsdataFilter <- dlmFilter(tsdata, mod=dlmTsdata)...
2011 Nov 18
0
Kalman Filter with dlm
...lman Filter model for flu forecasting as shown below.
Y - Target Variable X1 - Predictor1 X2 - Predictor2
While forecasting into the future, I will NOT have data for all three
variables. So, I am predicting X1 and X2 using two Kalman filters. The code
is below
x1.model <- dlmModSeas(52) + dlmModPoly(1, dV=5, dW=10)
x2.model <- dlmModSeas(52) + dlmModPoly(1, dV=10, dW=10)
x1.filter <- dlmFilter(c(train$x1, rep(NA, noofsteps)), x1.model)
x2.filter <- dlmFilter(c(train$x2, rep(NA, noofsteps)), x2.model)
Now, I am forecasting Y using the predicted X1 and X2 as below
pred <- c...
2009 Mar 11
1
Forecasting with dlm
...ast using the dlm package, can anyone offer
any advise?
I setup my problem as follows, (following the manual as much as possible)
data for example to run code
CostUSD <- c(27.24031,32.97051, 38.72474, 22.78394, 28.58938, 49.85973,
42.93949, 35.92468)
library(dlm)
buildFun <- function(x) {
dlmModPoly(1, dV = exp(x[1]), dW = exp(x[2]))
}
fit <- dlmMLE(CostUSD, parm = c(0,0), build = buildFun)
fit$conv
dlmCostUSD <- buildFun(fit$par)
V(dlmCostUSD)
W(dlmCostUSD)
#For comparison
StructTS(CostUSD, "level")
CostUSDFilt <- dlmFilter(CostUSD, dlmCostUSD)
CostUSDFore <- dlmForecas...
2011 Jul 29
0
dlmSum(...) and non-constant state space models
...c[,5] <- lagr(pc[,4])> names(pc) <- c("b","d","p","w","w1")> pc <- ts(pc, start=1650, frequency=1)> dr <- lm(pc[,4]~pc[,3])> pos <- lm(pc[,2]~pc[,4])> > # set up SS models> ssm1 <- function(parm){+ rwdw <- dlmModPoly(order=2, + dV = exp(parm[1]), + dW = exp(parm[2:3]),+ m0 = c(coef(dr)[1],0), + C0 = diag(2)*10)+ slpw <- dlmModReg(X=pc[,3], + addInt = FALSE, + dV = exp(parm[4]), +...
2012 Jan 23
0
problems with dlmBSample of the dlm package
...hile dlmFilter works perfectly.
I think that my_mod is correct, because the output of my_dlmFilter$mod is fine. Where is 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)...