Tracking time-varying objects with the DLM package (dynamic linear models in R)

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Tracking time-varying objects with the DLM package (dynamic linear models in R)

Samantha Azzarello
Hello all,

I am working with the dlm package, specifcially doing a dlm multivariate Y linear regression using
dlmModReg and dlmFilter and dlmSmooth...

I have altereted the inputs into dlmModReg to make them time-varying using JFF, JW etc.

How do I track the results of the time varying system matrices?
For example what I am really interested in is JW - my system variance matrix for each time period - I cannot get R to give
me the array of this matrix

Any help would be really appreciated!
Thanks
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Re: Tracking time-varying objects with the DLM package (dynamic linear models in R)

Giovanni Petris

Hi Samantha,

I had not anticipated such kind of requests, so getting what (I believe) you want is not totally trivial. However, what 'dlmFilter' does, when dealing with a time-varying DLM, is to build, at each time, the appropriate matrix W from 'JW' and 'X'. So, I suggest that you look at how dlmFilter works and start from there.

Best,
Giovanni
 
________________________________________
From: [hidden email] [[hidden email]] on behalf of Samantha Azzarello [[hidden email]]
Sent: Wednesday, February 20, 2013 5:02 PM
To: [hidden email]
Subject: [R] Tracking time-varying objects with the DLM package (dynamic linear models in R)

Hello all,

I am working with the dlm package, specifcially doing a dlm multivariate Y
linear regression using
dlmModReg and dlmFilter and dlmSmooth...

I have altereted the inputs into dlmModReg to make them time-varying using
JFF, JW etc.

How do I track the results of the time varying system matrices?
For example what I am really interested in is JW - my system variance matrix
for each time period - I cannot get R to give
me the array of this matrix

Any help would be really appreciated!
Thanks



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and provide commented, minimal, self-contained, reproducible code.