# Tagged Questions

The tag has no wiki summary.

1answer
269 views

### Help understanding regression models with dlm in R

In the "Dynamic Linear Models with R" book, the Regression models section reads: "The static regression linear model corresponds to the case where $W_t = 0$ for any $t$, so that $\theta_t = \theta$ is ...
0answers
80 views

### How to initiate value for dlmModPoly?

I'm trying to build a model to predict a product's sale price. I'm researching the dlm package. Looks like I should use dlmModPoly, dlmMLE, dlmFilter, dlmSmooth, and finally dlmForecast. I'm looking ...
2answers
183 views

### Exogenous variables in dlm package

I have been trying to estimate state space models using dlm package in R. The problem is that the model I am estimating requires inclusion of a few exogenous variables. I still can't figure out how to ...
0answers
128 views

### AR1 Modelling using dlmModReg

I'm trying to model AR1 using dlmModReg(). The main purpose is to keep phi a variable so that if phi >1, I know that mean reversion is not occurring. Below is my ...
1answer
177 views

2answers
144 views

### DLM out of sample errors

I'm using the DLM package to estimate a multivariate time series, I wanna check the out of sample forecasting, by estimating the residuals for 1, 6, 12 months ahead forecast? How can I calculate the 6 ...
1answer
153 views

### DLM with autocorrelated residuals

I've created a DLM (using the dlm package in R) with a linear trend (dlmModPoly(2)) and a seasonal component (dlmModSeas(seasons)). After filtering, the residuals look Gaussian according to a qqplot. ...
3answers
858 views

### Maximum likelihood estimation of dlmModReg

I'm studying R package dlm. So far it seems very powerful and flexible package, with nice programming interfaces and good documentation. I've been able to successfully use dlmMLE and dlmModARMA to ...
3answers
532 views

### How to do model selection in dynamic linear model?

I am trying to use DLM to model a time series. Candiate model includes local level, local trend and local trend with seasonal part. I do not know how to do model selection. Can AIC be calculated? I ...
2answers
698 views

### DLM results looking wonky

I am teaching myself DLM's using R's dlm package and have two strange results. I am modeling a time series using three combined elements: a trend (...
1answer
333 views

### Gaussian state space forecasting with regression effects

The R package dlm implements filtering and smoothing (dlmFilter and dlmSmooth) for models with regression effects, but ...
2answers
808 views

### Estimating parameters of a dynamic linear model

I want to implement (in R) the following very simple Dynamic Linear Model for which I have 2 unknown time varying parameters (the variance of the observation error $\epsilon^1_t$ and the variance of ...