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.


News

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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install.packages("dlm")

1.1-5 by Giovanni Petris, 9 months ago


Browse source code at https://github.com/cran/dlm


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