dlm.retro: Calculate the location and scale parameters for the...

In DGM: Dynamic Graphical Models

Description

Calculate the location and scale parameters for the time-varying coefficients given all the observations. West, M. & Harrison, J., 1997. Bayesian Forecasting and Dynamic Models. Springer New York.

Usage

dlm.retro(mt, CSt, RSt, nt, dt)

Arguments

mt	the vector or matrix of the posterior mean (location parameter), dim = p x T, where p is the number of thetas (at any time t) and T is the number of time points
CSt	the posterior scale matrix with dim = p x p x T (unscaled by the observation variance)
RSt	the prior scale matrix with dim = p x p x T (unscaled by the observation variance)
nt	vector of the updated hyperparameters for the precision phi with length T
dt	vector of the updated hyperparameters for the precision phi with length T

Value

smt = the location parameter of the retrospective distribution with dimension p x T sCt = the scale matrix of the retrospective distribution with dimension p x p x T

DGM documentation built on Dec. 11, 2021, 9:54 a.m.