Bayesian and Likelihood Analysis of Dynamic Linear Models

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


Changes to package dlm

Version 1.1-0, 2010-02-15

  • In functions dlmLL and dlmFilter, whenever the observation variance V is found to be numerically singular, an 'epsilon' is added to it (with a warning) in order to make the SVD-based algorithms work.

Reference manual

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1.1-5 by Giovanni Petris, 9 months ago

Browse source code at

Authors: Giovanni Petris [aut, cre] , Wally Gilks [ctb] (Author of original C code for ARMS)

Documentation:   PDF Manual  

Task views: Bayesian Inference, Empirical Finance, Time Series Analysis

GPL (>= 2) license

Imports stats, utils, methods, grDevices, graphics

Suggests MASS

Imported by BaM, ElastH, NTS.

Suggested by KFKSDS, ggfortify.

See at CRAN