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dlm (version 0.7-1)

Functions for DLM Analysis

Description

Maximum likelihood and Bayesian analysis of Dynamic Linear Models

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Version

Install

install.packages('dlm')

Monthly Downloads

4,297

Version

0.7-1

License

GPL (version 2 or later)

Maintainer

pcp by Giovanni Petris

Last Published

September 21st, 2024

Functions in dlm (0.7-1)

NelPlo

Nelson-Plosser macroeconomic time series

ARtransPars

Function to parametrize a stationary AR process

dlmBSample

Draw from the posterior distribution of the state vectors

dlmMLE

Parameter estimation by maximum likelihood

dlmModSeas

Create a DLM for seasonal factors

arms

Function to perform Adaptive Rejection Metropolis Sampling

dlmModPoly

Create an n-th order polynomial DLM

residuals.dlmFiltered

One-step forecast errors

dlmFilter

DLM filtering

dlmForecast

Prediction and simulation of future observations

bdiag

Build a block diagonal matrix

Create a DLM representation of an ARMA process

convex.bounds

Find the boundaries of a convex set

dlmLL

Log likelihood evaluation for a state space model

USecon

US macroeconomic time series

dlmSmooth

DLM smoothing

dlmModTrig

Create Fourier representation of a periodic DLM component

dlmModReg

Create a DLM representation of a regression model

rwishart

Random Whishart matrix

dlmSvd2var

Compute a nonnegative definite matrix from its Singular Value Decomposition