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 |

**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

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

Questions? Problems? Suggestions? Tweet to @rdrrHQ or email at ian@mutexlabs.com.

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