dlmModSeas function

Create a DLM for seasonal factors

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))

Arguments

• 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.

Returns

An object of class dlm representing a seasonal factor for a process with frequency seasons.

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).

Harvey, Forecasting, structural time series models and the Kalman filter, Cambridge University Press, 1989.

Author(s)

Giovanni Petris GPetris@uark.edu

See Also

dlmModARMA, dlmModPoly, dlmModReg, and dlmModTrig for the Fourier representation of a seasonal component.

Examples

## seasonal component for quarterly data
dlmModSeas(4, dV = 3.2)