|Title:||An R Package for Dynamic Linear Models|
|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.|
Page views:: 28703. Submitted: 2009-04-20. Published: 2010-10-13.
An R Package for Dynamic Linear Models
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Code: GNU General Public License (at least one of version 2 or version 3) or a GPL-compatible license.