dlmModSeas {dlm} | R Documentation |
The function creates a DLM representation of seasonal component.
dlmModSeas(frequency, dV = 1, dW = c(1, rep(0, frequency - 2)), m0 = rep(0, frequency - 1), C0 = 1e+07 * diag(nrow = frequency - 1))
frequency |
how many seasons? |
dV |
variance of the observation noise. |
dW |
diagonal elements of the variance matrix of the system noise. |
m0 |
m0, the expected value of the pre-sample state vector. |
C0 |
C0, the variance matrix of the pre-sample state vector. |
An object of class dlm representing a seasonal factor for a process
with frequency
seasons.
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).
Harvey, Forecasting, structural time series models and the
Kalman filter, Cambridge University Press, 1989.
dlmModARMA
, dlmModPoly
,
dlmModReg
, and dlmModTrig
for the Fourier
representation of a seasonal component.
## seasonal component for quarterly data dlmModSeas(4, dV = 3.2)