Create a DLM representation of a regression model
Description
The function creates a dlm representation of a linear regression model.
Usage
1 2 3 |
Arguments
X |
the design matrix |
addInt |
logical: should an intercept be added? |
dV |
variance of the observation noise. |
dW |
diagonal elements of the variance matrix of the system noise. |
m0 |
m0, the expected value of the pre-sample state vector. |
C0 |
C0, the variance matrix of the pre-sample state vector. |
Details
By setting dW
equal to a nonzero vector one obtains a DLM
representation of a dynamic regression model. The default value zero
of dW
corresponds to standard linear regression. Only
univariate regression is currently covered.
Value
An object of class dlm representing the specified regression model.
Author(s)
Giovanni Petris GPetris@uark.edu
References
Giovanni Petris (2010), An R Package for Dynamic Linear
Models. Journal of Statistical Software, 36(12), 1-16.
http://www.jstatsoft.org/v36/i12/.
Petris, Petrone, and Campagnoli, Dynamic Linear Models with
R, Springer (2009).
West and Harrison, Bayesian forecasting and dynamic models
(2nd ed.), Springer, 1997.
See Also
dlmModARMA
, dlmModPoly
,
dlmModSeas
Examples
1 2 3 |