dlm: Bayesian and Likelihood Analysis of Dynamic Linear Models

Maximum likelihood, Kalman filtering and smoothing, and Bayesian analysis of Normal linear State Space models, also known as Dynamic Linear Models

Author
Giovanni Petris <GPetris@uark.edu>
Date of publication
None
Maintainer
Giovanni Petris <GPetris@uark.edu>
License
GPL (>= 2)
Version
1.1-2

View on R-Forge

Man pages

arms
Function to perform Adaptive Rejection Metropolis Sampling
ARtransPars
Function to parametrize a stationary AR process
bdiag
Build a block diagonal matrix
convex.bounds
Find the boundaries of a convex set
dlm
dlm objects
dlmBSample
Draw from the posterior distribution of the state vectors
dlmFilter
DLM filtering
dlmForecast
Prediction and simulation of future observations
dlmGibbsDIG
Gibbs sampling for d-inverse-gamma model
dlmLL
Log likelihood evaluation for a state space model
dlmMLE
Parameter estimation by maximum likelihood
dlmModARMA
Create a DLM representation of an ARMA process
dlmModPoly
Create an n-th order polynomial DLM
dlmModReg
Create a DLM representation of a regression model
dlmModSeas
Create a DLM for seasonal factors
dlmModTrig
Create Fourier representation of a periodic DLM component
dlmRandom
Random DLM
dlmSmooth
DLM smoothing
dlmSum
Outer sum of Dynamic Linear Models
dlmSvd2var
Compute a nonnegative definite matrix from its Singular Value...
dropFirst
Drop the first element of a vector or matrix
FF
Components of a dlm object
mcmc
Utility functions for MCMC output analysis
NelPlo
Nelson-Plosser macroeconomic time series
residuals.dlmFiltered
One-step forecast errors
rwishart
Random Wishart matrix
USecon
US macroeconomic time series

Files in this package

dlm
dlm/data
dlm/data/NelPlo.rda
dlm/data/USecon.rda
dlm/R
dlm/R/zzz.R
dlm/R/DLM.R
dlm/R/arms.R
dlm/NAMESPACE
dlm/inst
dlm/inst/CITATION
dlm/inst/doc
dlm/inst/doc/dlm.Rnw
dlm/inst/doc/dlm.pdf
dlm/DESCRIPTION
dlm/README
dlm/man
dlm/man/dlmModSeas.Rd
dlm/man/USecon.Rd
dlm/man/arms.Rd
dlm/man/dlmModPoly.Rd
dlm/man/rwishart.Rd
dlm/man/dlmForecast.Rd
dlm/man/dlmModTrig.Rd
dlm/man/dlmFilter.Rd
dlm/man/dlmRandom.Rd
dlm/man/convex.bounds.Rd
dlm/man/bdiag.Rd
dlm/man/dlmModReg.Rd
dlm/man/ARtransPars.Rd
dlm/man/dlmSvd2var.Rd
dlm/man/dlmModARMA.Rd
dlm/man/FF.Rd
dlm/man/dlmLL.Rd
dlm/man/dlmSum.Rd
dlm/man/dlmSmooth.Rd
dlm/man/dlmMLE.Rd
dlm/man/dlmGibbsDIG.Rd
dlm/man/residuals.dlmFiltered.Rd
dlm/man/mcmc.Rd
dlm/man/dropFirst.Rd
dlm/man/dlmBSample.Rd
dlm/man/NelPlo.Rd
dlm/man/dlm.Rd
dlm/src
dlm/src/dlm.c
dlm/src/Makevars
dlm/src/arms-R.c
dlm/NEWS