The function creates a DLM representation of seasonal component.
Usage
dlmModSeas(frequency, dV = 1, dW = c(1, rep(0, frequency - 2)),
m0 = rep(0, frequency - 1),
C0 = 1e+07 * diag(nrow = frequency - 1))
Arguments
frequency
how many seasons?
dV
variance of the observation noise.
dW
diagonal elements of the variance matrix of the system noise.
m0
$m_0$, the expected value of the pre-sample state vector.
C0
$C_0$, the variance matrix of the pre-sample state vector.
Value
An object of class dlm representing a seasonal factor for a process
with frequency seasons.
References
Giovanni Petris (2010), An R Package for Dynamic Linear
Models. Journal of Statistical Software, 36(12), 1-16.
http://www.jstatsoft.org/v36/i12/.
Petris, Petrone, and Campagnoli, Dynamic Linear Models with
R, Springer (2009).
Harvey, Forecasting, structural time series models and the
Kalman filter, Cambridge University Press, 1989.