Create an n-th order polynomial DLM
The function creates an n-th order polynomial DLM.
dlmModPoly(order = 2, dV = 1, dW = c(rep(0, order - 1), 1),
m0 = rep(0, order), C0 = 1e+07 * diag(nrow = order))order |
order of the polynomial model. The default corresponds to a stochastic linear trend. |
dV |
variance of the observation noise. |
dW |
diagonal elements of the variance matrix of the system noise. |
m0 |
m0, the expected value of the pre-sample state vector. |
C0 |
C0, the variance matrix of the pre-sample state vector. |
An object of class dlm representing the required n-th order polynomial model.
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.
## the default dlmModPoly() ## random walk plus noise dlmModPoly(1, dV = .3, dW = .01)
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