dlm (version 0.7-1)

dlmModSeas: Create a DLM for seasonal factors

Description

The function creates a DLM representation of seasonal component.

Usage

dlmModSeas(frequency, m0 = rep(0, frequency - 1), C0 = 1e+07 * diag(nrow
= frequency - 1), dV = 1, dW = c(1, rep(0, frequency - 2)))

Arguments

frequency

How many seasons?

m0

$m0$.

C0

$C0$.

dV

Variance of the observational noise.

dW

Diagonal elements of the variance matrix of the system noise.

Value

• An object of class dlm representing a seasonal factor for a process with frequency seasons.

References

Harvey, Forecasting, structural time series models and the Kalman filter, Cambridge University Press, 1989.

See Also

dlmModARMA, dlmModPoly, dlmModReg, and dlmModTrig for the Fourier representation of a seasonal component.

Examples

## seasonal component for quarterly data
dlmModSeas(4, dV = 3.2)