Create a DLM for seasonal factors
The function creates a DLM representation of seasonal component.
dlmModSeas(frequency, dV = 1, dW = c(1, rep(0, frequency - 2)),
m0 = rep(0, frequency - 1),
C0 = 1e+07 * diag(nrow = frequency - 1))frequency |
how many seasons? |
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 a seasonal factor for a process
with frequency seasons.
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).
Harvey, Forecasting, structural time series models and the
Kalman filter, Cambridge University Press, 1989.
dlmModARMA, dlmModPoly,
dlmModReg, and dlmModTrig for the Fourier
representation of a seasonal component.
## seasonal component for quarterly data dlmModSeas(4, dV = 3.2)
Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.