dlmModReg function

Create a DLM representation of a regression model

The function creates a dlm representation of a linear regression model.

dlmModReg(X, addInt = TRUE, dV = 1, dW = rep(0, NCOL(X) + addInt),
          m0 = rep(0, length(dW)),
          C0 = 1e+07 * diag(nrow = length(dW)))

Arguments

• X: the design matrix
• addInt: logical: should an intercept be added?
• 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.

Details

By setting dW equal to a nonzero vector one obtains a DLM representation of a dynamic regression model. The default value zero of dW corresponds to standard linear regression. Only univariate regression is currently covered.

Returns

An object of class dlm representing the specified regression model.

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).

West and Harrison, Bayesian forecasting and dynamic models (2nd ed.), Springer, 1997.

Author(s)

Giovanni Petris GPetris@uark.edu

See Also

dlmModARMA, dlmModPoly, dlmModSeas

Examples

x <- matrix(runif(6,4,10), nc = 2); x
dlmModReg(x)
dlmModReg(x, addInt = FALSE)