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.

### Description

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.

### Usage

```
dlm.retro(mt, CSt, RSt, nt, dt)
```

### Arguments

`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 |

### Value

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`

*DGM*version 1.7.4 Index]