Description Usage Arguments Value Author(s) References See Also
Add a local level model to a state specification. The local level model assumes the trend is a random walk:
alpha[t+1] = alpha[t] + rnorm(1, 0, sigma).
The prior is on the sigma parameter.
1 2 3 4 5 6 7 | AddLocalLevel(
state.specification,
y,
sigma.prior,
initial.state.prior,
sdy,
initial.y)
|
state.specification |
A list of state components that you wish to add to. If omitted, an empty list will be assumed. |
y |
The time series to be modeled, as a numeric vector. |
sigma.prior |
An object created by |
initial.state.prior |
An object created using
|
sdy |
The standard deviation of the series to be modeled. This
will be ignored if |
initial.y |
The initial value of the series being modeled. This will be
ignored if |
Returns a list with the elements necessary to specify a local linear trend state model.
Steven L. Scott steve.the.bayesian@gmail.com
Harvey (1990), "Forecasting, structural time series, and the Kalman filter", Cambridge University Press.
Durbin and Koopman (2001), "Time series analysis by state space methods", Oxford University Press.
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.