search for: tsdatafilt

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2014 Jan 08
0
Strange behaviour of `dlm` package
...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) tsdataSmooth <- dlmSmooth(tsdata, mod=dlmTsdata) plot(tsdata, lwd=2) for (i in 1:10) lines(lty=6, col="blue", dropFirst(dlmBSample(tsdataFilter))[,1]) # looks ok! tsdataForecast <- dlmForecast(tsdataFilter, nAhead=20) sqrtR <- sapply(...