dlmModPoly {dlm} | R Documentation |
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
West and Harrison, Bayesian forecasting and dynamic models (2nd ed.), Springer, 1997.
dlmModARMA
, dlmModReg
,
dlmModSeas
## the default dlmModPoly() ## random walk plus noise dlmModPoly(1, dV = .3, dW = .01)