dlm: Bayesian and Likelihood Analysis of Dynamic Linear Models

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Maximum likelihood, Kalman filtering and smoothing, and Bayesian analysis of Normal linear State Space models, also known as Dynamic Linear Models

Author
Giovanni Petris <GPetris@uark.edu>. Original C code for ARMS by Wally Gilks.
Date of publication
2014-09-16 23:53:05
Maintainer
Giovanni Petris <GPetris@uark.edu>
License
GPL (>= 2)
Version
1.1-4

View on CRAN

Man pages

arms
Function to perform Adaptive Rejection Metropolis Sampling
ARtransPars
Function to parametrize a stationary AR process
bdiag
Build a block diagonal matrix
convex.bounds
Find the boundaries of a convex set
dlm
dlm objects
dlmBSample
Draw from the posterior distribution of the state vectors
dlmFilter
DLM filtering
dlmForecast
Prediction and simulation of future observations
dlmGibbsDIG
Gibbs sampling for d-inverse-gamma model
dlmLL
Log likelihood evaluation for a state space model
dlmMLE
Parameter estimation by maximum likelihood
dlmModARMA
Create a DLM representation of an ARMA process
dlmModPoly
Create an n-th order polynomial DLM
dlmModReg
Create a DLM representation of a regression model
dlmModSeas
Create a DLM for seasonal factors
dlmModTrig
Create Fourier representation of a periodic DLM component
dlmRandom
Random DLM
dlmSmooth
DLM smoothing
dlmSum
Outer sum of Dynamic Linear Models
dlmSvd2var
Compute a nonnegative definite matrix from its Singular Value...
dropFirst
Drop the first element of a vector or matrix
FF
Components of a dlm object
mcmc
Utility functions for MCMC output analysis
NelPlo
Nelson-Plosser macroeconomic time series
residuals.dlmFiltered
One-step forecast errors
rwishart
Random Wishart matrix
USecon
US macroeconomic time series

Files in this package

dlm
dlm/inst
dlm/inst/CITATION
dlm/inst/doc
dlm/inst/doc/dlm.R
dlm/inst/doc/dlm.pdf
dlm/inst/doc/dlm.Rnw
dlm/src
dlm/src/Makevars
dlm/src/arms-R.c
dlm/src/dlm.c
dlm/NAMESPACE
dlm/NEWS
dlm/data
dlm/data/NelPlo.rda
dlm/data/USecon.rda
dlm/R
dlm/R/arms.R
dlm/R/DLM.R
dlm/R/zzz.R
dlm/vignettes
dlm/vignettes/dlm.Rnw
dlm/MD5
dlm/README
dlm/build
dlm/build/vignette.rds
dlm/DESCRIPTION
dlm/man
dlm/man/dlmForecast.Rd
dlm/man/dlmModTrig.Rd
dlm/man/ARtransPars.Rd
dlm/man/USecon.Rd
dlm/man/dlmModARMA.Rd
dlm/man/arms.Rd
dlm/man/dlmRandom.Rd
dlm/man/dlmSum.Rd
dlm/man/dlmBSample.Rd
dlm/man/dlmModReg.Rd
dlm/man/FF.Rd
dlm/man/dlm.Rd
dlm/man/NelPlo.Rd
dlm/man/dlmSvd2var.Rd
dlm/man/dropFirst.Rd
dlm/man/dlmMLE.Rd
dlm/man/dlmGibbsDIG.Rd
dlm/man/dlmModPoly.Rd
dlm/man/dlmFilter.Rd
dlm/man/residuals.dlmFiltered.Rd
dlm/man/dlmLL.Rd
dlm/man/bdiag.Rd
dlm/man/dlmSmooth.Rd
dlm/man/convex.bounds.Rd
dlm/man/rwishart.Rd
dlm/man/mcmc.Rd
dlm/man/dlmModSeas.Rd