dlmBSample {dlm} | R Documentation |
The function simulates one draw from the posterior distribution of the state vectors.
dlmBSample(modFilt)
modFilt |
a list, typically the ouptut from |
The calculations are based on singular value decomposition.
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.
Giovanni Petris GPetris@uark.edu
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
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)