dlmodeler.operators: Add, multiply or bind models
In dlmodeler: Generalized Dynamic Linear Modeler

Description Usage Arguments Details Value Author(s) References See Also Examples

Add two DLMs together, performing an outer sum.

Multiply a model by a numeric constant.

Bind two DLMs together, creating a multi-variate model.

dlmodeler.add(e1, e2, name = NULL)

## S3 method for class 'dlmodeler'
e1 + e2

dlmodeler.multiply(e1, e2)

## S3 method for class 'dlmodeler'
e1 * e2

dlmodeler.bind(e1, e2, name = NULL)

## S3 method for class 'dlmodeler'
e1 %% e2

`e1, e2`	an object of class `dlmodeler` or a numeric value.
`name`	an optional name to be given to the resulting DLM.

Addition: The state vector of the resulting DLM is equal to the concatenation of the state vectors of mod1 and mod2. The observation vector of the resulting DLM is equal to the sum of the observation vectors of mod1 and mod2.

Multiplication: the observation vector of the resulting DLM is multiplied by the supplied numeric constant.

Binding: The state vector of the resulting DLM is equal to the concatenation of the state vectors of mod1 and mod2. The observation vector of the resulting DLM is equal to the concatenation of the observation vectors of mod1 and mod2.

An object of class dlmodeler.

Cyrille Szymanski <cnszym@gmail.com>

Giovanni Petris, An R Package for Dynamic Linear Models. Journal of Statistical Software, 36(12), 1-16. http://www.jstatsoft.org/v36/i12/.

dlmodeler

require(dlmodeler)

# create the following model:
# deterministic level + quarterly seasonal + disturbance
mod1 <- dlmodeler.build.polynomial(0,sigmaH=.1) +
        4* dlmodeler.build.dseasonal(4,sigmaH=0)

# create a multivariate model by binding the previous model
# with a stochastic trend model
mod2 <- mod1 %% dlmodeler.build.polynomial(1,sigmaH=0)