dlmModSeas {dlm}

Create a DLM for seasonal factors

Description

The function creates a DLM representation of seasonal component.

Usage

dlmModSeas(frequency, dV = 1, dW = c(1, rep(0, frequency - 2)),
           m0 = rep(0, frequency - 1),
           C0 = 1e+07 * diag(nrow = frequency - 1)) 

Arguments

frequency

how many seasons?

dV

variance of the observation noise.

dW

diagonal elements of the variance matrix of the system noise.

m0

m_0, the expected value of the pre-sample state vector.

C0

C_0, the variance matrix of the pre-sample state vector.

Value

An object of class dlm representing a seasonal factor for a process with frequency seasons.

Author(s)

Giovanni Petris [e-mail]

References

Giovanni Petris (2010), An R Package for Dynamic Linear Models. Journal of Statistical Software, 36(12), 1-16. https://www.jstatsoft.org/v36/i12/.
Petris, Petrone, and Campagnoli, Dynamic Linear Models with R, Springer (2009).
Harvey, Forecasting, structural time series models and the Kalman filter, Cambridge University Press, 1989.

See Also

dlmModARMA, dlmModPoly, dlmModReg, and dlmModTrig for the Fourier representation of a seasonal component.

Examples

## seasonal component for quarterly data
dlmModSeas(4, dV = 3.2)