dlmBSample {dlm} R Documentation

## Draw from the posterior distribution of the state vectors

### Description

The function simulates one draw from the posterior distribution of the state vectors.

### Usage

```dlmBSample(modFilt)
```

### Arguments

 `modFilt` a list, typically the ouptut from `dlmFilter`, with elements `m`, `U.C`, `D.C`, `a`, `U.R`, `D.R` (see the value returned by `dlmFilter`), and `mod` The latter is an object of class `"dlm"` or a list with elements `GG`, `W` and, optionally, `JGG`, `JW`, and `X`

### Details

The calculations are based on singular value decomposition.

### Value

The function returns a draw from the posterior distribution of the state vectors. If `m` is a time series then the returned value is a time series with the same `tsp`, otherwise it is a matrix or vector.

### Author(s)

Giovanni Petris GPetris@uark.edu

### References

Giovanni Petris (2010), An R Package for Dynamic Linear Models. Journal of Statistical Software, 36(12), 1-16. http://www.jstatsoft.org/v36/i12/.
Petris, Petrone, and Campagnoli, Dynamic Linear Models with R, Springer (2009).
West and Harrison, Bayesian forecasting and dynamic models (2nd ed.), Springer (1997).

See also `dlmFilter`

### Examples

```nileMod <- dlmModPoly(1, dV = 15099.8, dW = 1468.4)
nileFilt <- dlmFilter(Nile, nileMod)
nileSmooth <- dlmSmooth(nileFilt) # estimated "true" level
plot(cbind(Nile, nileSmooth\$s[-1]), plot.type = "s",
col = c("black", "red"), ylab = "Level",
main = "Nile river", lwd = c(2, 2))
for (i in 1:10) # 10 simulated "true" levels
lines(dlmBSample(nileFilt[-1]), lty=2)
```

[Package dlm version 1.1-5 Index]