Description Usage Arguments Details Value Author(s) References See Also Examples
The function simulates one draw from the posterior distribution of the state vectors.
1 | dlmBSample(modFilt)
|
modFilt |
a list, typically the ouptut from |
The calculations are based on singular value decomposition.
The function returns a draw from the posterior distribution
of the state vectors. If m
is a time series then the returned
value is a time series with the same tsp
, otherwise it is
a matrix or vector.
Giovanni Petris GPetris@uark.edu
Giovanni Petris (2010), An R Package for Dynamic Linear
Models. Journal of Statistical Software, 36(12), 1-16.
http://www.jstatsoft.org/v36/i12/.
Petris, Petrone, and Campagnoli, Dynamic Linear Models with
R, Springer (2009).
West and Harrison, Bayesian forecasting and
dynamic models (2nd ed.), Springer (1997).
See also dlmFilter
1 2 3 4 5 6 7 8 | nileMod <- dlmModPoly(1, dV = 15099.8, dW = 1468.4)
nileFilt <- dlmFilter(Nile, nileMod)
nileSmooth <- dlmSmooth(nileFilt) # estimated "true" level
plot(cbind(Nile, nileSmooth$s[-1]), plot.type = "s",
col = c("black", "red"), ylab = "Level",
main = "Nile river", lwd = c(2, 2))
for (i in 1:10) # 10 simulated "true" levels
lines(dlmBSample(nileFilt[-1]), lty=2)
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