dlmModSeas {dlm} | R Documentation |
The function creates a DLM representation of seasonal component.
dlmModSeas(frequency, m0 = rep(0, frequency - 1), C0 = 1e+07 * diag(nrow = frequency - 1), dV = 1, dW = c(1, rep(0, frequency - 2)))
frequency |
How many seasons? |
m0 |
m0. |
C0 |
C0. |
dV |
Variance of the observational noise. |
dW |
Diagonal elements of the variance matrix of the system noise. |
An object of class dlm representing a seasonal factor for a process
with frequency
seasons.
Giovanni Petris, GPetris@uark.edu
Harvey, Forecasting, structural time series models and the Kalman filter, Cambridge University Press, 1989.
dlmModARMA
, dlmModPoly
,
dlmModReg
, and dlmModTrig
for the Fourier
representation of a seasonal component.
## seasonal component for quarterly data dlmModSeas(4, dV = 3.2)