var_decomp

This function receives a covariance matrix S and creates a matrix Q, so that t(Q)

internal

Provide routines for filtering and smoothing, forecasting, sampling and Bayesian analysis of Dynamic Generalized Linear Models using the methodology described in Alves et al. (2024)<doi:10.48550/arXiv.2201.05387> and dos Santos Jr. et al. (2024)<doi:10.48550/arXiv.2403.13069>.

Silvaneo Vieira dos Santos Junior

kDGLM

Bayesian Analysis of Dynamic Generalized Linear Models

Mariane Branco Alves

Hélio dos Santos Migon

var_decomp function

<dl><dt>S</dt>
<dd>A covariance matrix</dd></dl>

Arguments

var_decomp — var_decomp

<dl>

<dt>S</dt>
<dd>A covariance matrix</dd>

</dl>

var_decomp: var_decomp

Description

Usage

Arguments