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Authors: Giovanni Petris
Title: [download]
(17702)
An R Package for Dynamic Linear Models
Reference: Vol. 36, Issue 12, Oct 2010
Submitted 2009-04-20, Accepted 2010-03-05
Type: Article
Abstract:

We describe an R package focused on Bayesian analysis of dynamic linear models. The main features of the package are its flexibility to deal with a variety of constant or time-varying, univariate or multivariate models, and the numerically stable singular value decomposition-based algorithms used for filtering and smoothing. In addition to the examples of "out-of-the-box" use, we illustrate how the package can be used in advanced applications to implement a Gibbs sampler for a user-specified model.

Paper: [download]
(17702)
An R Package for Dynamic Linear Models
(application/pdf, 719.4 KB)
Supplements: [download]
(909)
dlm_1.1-2.tar.gz: R source package
(application/x-gzip, 374.2 KB)
[download]
(1228)
v36i12.R: R example code from the paper
(application/octet-stream, 6.7 KB)
[download]
(971)
dlmGibbsDIGt.R: Supplementary R function
(application/octet-stream, 10.3 KB)
[download]
(801)
Folland.dat: Example data in plain text format
(application/octet-stream, 752 Bytes)
[download]
(827)
HL.dat: Example data in plain text format
(application/octet-stream, 750 Bytes)
[download]
(1009)
IPCONGD.txt: Example data in plain text format
(text/plain, 18 KB)
Resources: BibTeX | OAI
Creative Commons License
This work is licensed under the licenses
Paper: Creative Commons Attribution 3.0 Unported License
Code: GNU General Public License (at least one of version 2 or version 3) or a GPL-compatible license.
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