Displaying 1 result from an estimated 1 matches for "mydlmmodel".
2009 May 10
1
Help with kalman-filterd betas using the dlm package
...) and one with a stationary model, 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 opti...