View source: R/component_samplers.R
sampleBTF | R Documentation |
Compute one draw of the T x 1
state variable mu
in a DLM using back-band substitution methods.
This model is equivalent to the Bayesian trend filtering (BTF) model, assuming appropriate
(shrinkage/sparsity) priors for the evolution errors.
sampleBTF(y, obs_sigma_t2, evol_sigma_t2, D = 1, chol0 = NULL)
y |
the |
obs_sigma_t2 |
the |
evol_sigma_t2 |
the |
D |
the degree of differencing (one or two) |
chol0 |
(optional) the |
T x 1
vector of simulated states
Missing entries (NAs) are not permitted in y
. Imputation schemes are available.
# Simulate some data:
T = 1000
y = seq(0, 10, length.out = T) + rnorm(T)
plot(y) # plot the data
obs_sigma_t2 = rep(1, T) # These could be static or dynamic
evol_sigma_t2 = rep(0.001, T)
# Simulate one draw of the states:
mu = sampleBTF(y = y, obs_sigma_t2, evol_sigma_t2, D = 1)
lines(mu, lwd=8, col='blue') # add the states to the plot
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