dlmModSeas {dlm}R Documentation

Create a DLM for seasonal factors

Description

The function creates a DLM representation of seasonal component.

Usage

dlmModSeas(frequency, dV = 1, dW = c(1, rep(0, frequency - 2)),
           m0 = rep(0, frequency - 1),
           C0 = 1e+07 * diag(nrow = frequency - 1)) 

Arguments

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.

Value

An object of class dlm representing a seasonal factor for a process with frequency seasons.

Author(s)

Giovanni Petris, GPetris@uark.edu

References

Harvey, Forecasting, structural time series models and the Kalman filter, Cambridge University Press, 1989.

See Also

dlmModARMA, dlmModPoly, dlmModReg, and dlmModTrig for the Fourier representation of a seasonal component.

Examples

## seasonal component for quarterly data
dlmModSeas(4, dV = 3.2)

[Package dlm version 0.99-0 Index]