dlm.retro {DGM} | R Documentation |
Calculate the location and scale parameters for the time-varying coefficients given all the observations. West, M. & Harrison, J., 1997. Bayesian Forecasting and Dynamic Models. Springer New York.
dlm.retro(mt, CSt, RSt, nt, dt)
mt |
the vector or matrix of the posterior mean (location parameter), dim = |
CSt |
the posterior scale matrix with dim = |
RSt |
the prior scale matrix with dim = |
nt |
vector of the updated hyperparameters for the precision |
dt |
vector of the updated hyperparameters for the precision |
smt = the location parameter of the retrospective distribution with dimension p x T
sCt = the scale matrix of the retrospective distribution with dimension p x p x T