ssm {sspir}R Documentation

Define state-space model in a glm-style call.

Description

Use a glm-style formula and family arguments to setup a state space model.

Usage

ssm(formula, family = gaussian, data = list(), subset =
    NULL, time = NULL)

Arguments

formula a formula with univariate response on the lefthand side. The righthand side is a sum of terms and the special functions sumseason, polytime, polytrig, and season can be used. Terms can be marked by the tvar-function to create a term with time-varying coefficients. A special case is tvar(1) meaning a random walk.
family a description of the error distribution and link function to be used in the model. This can be a character string naming a family function, a family function or the result of a call to a family function. (See family and getFamily for details of family functions.)
data an optional data frame containing the variables in the model. If not found in data, the variables are taken from environment(formula), typically the environment from which ssm is called.
subset an optional vector specifying a subset of observations to be used in the fitting process.
time a vector giving the observation times, eg. 1:n.

Value

An object of class ssm with the following components

ss an object of class SS describing the state space model. In addition, the ss object contains the components family and ntotal (for binomial case).

Author(s)

Claus Dethlefsen and Søren Lundbye-Christensen.

See Also

SS, extended

Examples

data(vandrivers)
vd <- ssm( y ~ tvar(1) + seatbelt + sumseason(time,12),
          time=time, family=poisson(link="log"),
          data=vandrivers)
vd$ss$phi["(Intercept)"] <- exp(- 2*3.703307 )
vd$ss$C0 <- diag(13)*1000
vd.res <- kfs(vd)

plot( ts( t(vd.res$m[1:3,]) ))

attach(vandrivers)
plot(y,ylim=c(0,20))
lines(exp(vd.res$m[1,]+vd.res$m[2,]*seatbelt),lwd=2 )

[Package sspir version 0.1.0 Index]