similar to: DLM - Covariates in the system equation

Hi, I am trying to figure how to use dlm with constant terms (possibly time-dependent) added to both equations y_t = c_t + F_t\theta_t + v_t \theta_t = d_t + G_t\theta_{t-1} + w_t, in the way that S-PLUS Finmetrics does? Is there any straightforward way to transform the above to the default setup? Thanks, Tsvetan -------------------------------------------------------- NOTICE: If received in

Hi All, I have a problem trying to forecast 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 <-

This question pertains to setting up a model in the package "dlm" (dynamic linear models, http://cran.r-project.org/web/packages/dlm/index.html I have read both the vignette and?"An R Package for Dynamic Linear Models" (http://www.jstatsoft.org/v36/i12/paper), both of which are very helpful. There is also some discussion at

Dear R-users I need to calibrate kappa, rho, eta, theta, v0 in the following code, see below. However when I run it, I get: y <- function(kappahat, rhohat, etahat, thetahat, v0hat) {sum(difference(k, t, S0, X, r, implvol, q, kappahat, rhohat, etahat, thetahat, v0hat)^2)} > nlminb(start=list(kappa, rho, eta, theta, v0), objective = y, lower =lb, > upper =ub) Error in dots[[1L]][[1L]] :

Hello, I am writing a package called 'DLM' containing a vignette. The vignette contains a chunck with the function call 'library(DLM)'. This worked fine with 'R CMD check DLM', but when it comes to building the package with 'R CMD build DLM' I get the following error message: * creating vignettes ... ERROR Error: chunk 1 Error in library(DLM) : There is no

We should check dlm->dlm_state under dlm->spinlock though maybe in this case it doesn't hurt. Signed-off-by: Wengang Wang <wen.gang.wang at oracle.com> --- fs/ocfs2/dlm/dlmdomain.c | 13 ++++++------- 1 files changed, 6 insertions(+), 7 deletions(-) diff --git a/fs/ocfs2/dlm/dlmdomain.c b/fs/ocfs2/dlm/dlmdomain.c index 6b5a492..ab82add 100644 --- a/fs/ocfs2/dlm/dlmdomain.c +++

Hello everybody, I am writing a review paper about State Space models in R, and I would like to cover as many packages as I reasonably can. So far I am familiar with the following tools to deal with SS models: * StructTS, Kalman* (in stats) * packages dse[1-2] * package sspir * package dlm I would like to have some input from users who work with SS models: are there any other packages for SS

Wether the dlm_lock needs to access lvb or not depends on dlm_lock_resource it belongs to. So a new parameter "struct dlm_lock_resource *res" is added to dlm_new_lock() so that we can know if we need to allocate lvb for the dlm_lock. And we have to make the lockres availale for calling dlm_new_lock(). Signed-off-by: Wengang Wang <wen.gang.wang at oracle.com> ---

Hello everybody-- I have been playing with my data in spatstat, and what I'd like to present is a basic exploratory spatial analysis. I have used the following code, using a ppp.object called tsdspoints. The code develops the simulations and the envelopes I want, but I don't understand my first plot here, the [tsds.ghat.short$r, tsds.ghat.short$raw]...I cobbled together this code

Mainline commit d4f7e650e55af6b235871126f747da88600e8040 attempts to delay the dlm_thread from sending the drop ref message if the lockres is being migrated. The problem is that we make the dlm_thread wait for the migration to complete. This causes a deadlock as dlm_thread also participates in the lockres migration process. A better fix for the original oss bugzilla#1012 is in testing.

Hi all R gurus out there, Im a kind of newbie to kalman-filters after some research I have found that the dlm package is the easiest to start with. So be patient if some of my questions are too basic. I would like to set up a beta estimation between an asset and a market index using a kalman-filter. Much littarture says it gives superior estimates compared to OLS estimates. So I would like to

This patch makes the following needlessly global functions static: - stringify_lockname() - dlm_debug_put() Signed-off-by: Adrian Bunk <bunk at kernel.org> --- fs/ocfs2/dlm/dlmdebug.c | 8 +++++--- 1 file changed, 5 insertions(+), 3 deletions(-) fec83555cf8467e5c932fa52177b8f567eb84d94 diff --git a/fs/ocfs2/dlm/dlmdebug.c b/fs/ocfs2/dlm/dlmdebug.c index 5f6d858..1b81dcb 100644 ---

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.

Hello all, I am working with the dlm package, specifcially doing a dlm multivariate Y linear regression using dlmModReg and dlmFilter and dlmSmooth... I have altereted the inputs into dlmModReg to make them time-varying using JFF, JW etc. How do I track the results of the time varying system matrices? For example what I am really interested in is JW - my system variance matrix for each time

There are two problems in dlm_run_purgelist 1. If a lockres is found to be in use, dlm_run_purgelist keeps trying to purge the same lockres instead of trying the next lockres. 2. When a lockres is found unused, dlm_run_purgelist releases lockres spinlock before setting DLM_LOCK_RES_DROPPING_REF and calls dlm_purge_lockres. spinlock is reacquired but in this window lockres can get reused. This

Hi all, A short while ago I asked a question about multiple imputation and I got several helpful replies, thanks! I have untill now tried to use the packages mice and norm but both give me errors however. mice does not even run to start with and gives me the following error right away: iter imp variable 1 1 Liquidity.ratioError in chol((v + t(v))/2) : the leading minor of order 1 is not

Hello, I have an active, balanced webcluster with 2 SLES10SP2 nodes, both running ocfs2 with an iscsi target. The ocfs2 volume is mounted on both nodes. Everything works fine, except sometime the load on both systems go as high as 200, then both systems freeze, only reboot helps to regain control. I noticed that this behaviour does not occur when the cluster is NOT balanced. When the load on both

Hello My name is greigiano am student of Applied Economics, Department of Rural Economy. I am working on an article forecasting, which use the dynamic linear model, a model state space. I am wondering all the commands in R, to represent the linear dynamic model and Kalman filter. I am available for any questions. -- DEUS Seja Louvado Que ELE Ilumine sua vida Assim como ELE tem Iluminado a Minha

Hi list, I have some problems testing ocfs2. My test consist in: #server1: dd if=/dev/random of=/ocfs2_1/test & #server1: dd if=/dev/random of=/ocfs2_2/test & #server1: dd if=/dev/random of=/ocfs2_3/test & ... #server1: dd if=/dev/random of=/ocfs2_12/test & #server1:<Ctrl><Alt><SysRQ>B After that, another node begin recovery. After some time (+- 3min),

Dear r-users! I have another question regarding the dlm package and I would be very happy if someone could give me a hint! I am using the dlm package to get estimates for an endogenous rate of capacity utilization over time. The general form of a state space model is (1) b_t = G * b_t-1 + w_t w_t ~ N(0,W) (2) y_t= A' * x_t + H' * b_t + v_t v_t ~ N(0,V) (Hamilton 1984: 372) The