Create Fourier representation of a periodic DLM component
The function creates a dlm representing a specified periodic component.
the period, if integer.
number of harmonics in the DLM.
the period, if not an integer.
variance of the observation noise.
a single number expressing the variance of the system noise.
m0, the expected value of the pre-sample state vector.
C0, the variance matrix of the pre-sample state vector.
The periodic component is specified by one and only one of
s is given, the function
assumes that the period is an integer, while a period specified by
tau is assumed to be noninteger. Instead of
om can be specified. The argument
specifies the number of harmonics to include in the model. When
omega is given, then
q is required as
well, since in this case the implied Fourier representation has
infinitely many harmonics. On the other hand, if
s is given,
q defaults to all the harmonics in the Fourier representation,
The system variance of the resulting dlm is
dW times the identity
matrix of the appropriate dimension.
An object of class dlm, representing a periodic component.
Giovanni Petris GPetris@uark.edu
Giovanni Petris (2010), An R Package for Dynamic Linear
Models. Journal of Statistical Software, 36(12), 1-16.
Petris, Petrone, and Campagnoli, Dynamic Linear Models with R, Springer (2009).
West and Harrison, Bayesian forecasting and dynamic models (2nd ed.), Springer (1997).
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