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d_t
2007 Mar 22
2
dynamic linear models in R
...expect a fit of a dynamic linear model to
produce a time series of parameter estimates, not just single
coefficients as that function seems to generate.
Could anyone help me understand what's going on here?
Thanks,
Johann
P.S. What I really want to do is fit a linear regression of the form
dz_t ~ 0 + dx_t + dy_t, but where the coefficients of dx and dy are
allowed to slowly evolve over time. DLMs seem appropriate to this,
but I'm open to any other suggestions, as I've not found much support
for DLMs in R.