how to fit time varying coefficient regression model?

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how to fit time varying coefficient regression model?

Robert A'gata
Hi - I read through dse package manual a bit. I'm not quite certain
how I can use it to estimate a time varying coefficient regression
model? I might pick up an inappropriate package. Any suggestion would
be greatly appreciated. Thank you.

rh

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Re: how to fit time varying coefficient regression model?

Giovanni Petris

Dear "rh",

You may take a look at package dlm. A vignette is included in the
documentation.

Giovanni


> Date: Mon, 05 Oct 2009 22:30:05 -0400
> From: R_help Help <[hidden email]>
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> Hi - I read through dse package manual a bit. I'm not quite certain
> how I can use it to estimate a time varying coefficient regression
> model? I might pick up an inappropriate package. Any suggestion would
> be greatly appreciated. Thank you.
>
> rh
>
> ______________________________________________
> [hidden email] mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
>
>


--

Giovanni Petris  <[hidden email]>
Associate Professor
Department of Mathematical Sciences
University of Arkansas - Fayetteville, AR 72701
Ph: (479) 575-6324, 575-8630 (fax)
http://definetti.uark.edu/~gpetris/

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Re: how to fit time varying coefficient regression model?

Alain Zuur
In reply to this post by Robert A'gata

R_help Help wrote
Hi - I read through dse package manual a bit. I'm not quite certain
how I can use it to estimate a time varying coefficient regression
model? I might pick up an inappropriate package. Any suggestion would
be greatly appreciated. Thank you.


Just rewrite the linear regression model into state-space equations, and apply Kalman filtering. See Chapter 16 or 17 in our Analysing Ecological Data book. There will be packages in R that can do kalman filtering and smoothing

Alain





rh

______________________________________________
R-help@r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
Dr. Alain F. Zuur
First author of:

1. Analysing Ecological Data (2007).
Zuur, AF, Ieno, EN and Smith, GM. Springer. 680 p.
URL: www.springer.com/0-387-45967-7


2. Mixed effects models and extensions in ecology with R. (2009).
Zuur, AF, Ieno, EN, Walker, N, Saveliev, AA, and Smith, GM. Springer.
http://www.springer.com/life+sci/ecology/book/978-0-387-87457-9


3. A Beginner's Guide to R (2009).
Zuur, AF, Ieno, EN, Meesters, EHWG. Springer
http://www.springer.com/statistics/computational/book/978-0-387-93836-3


Other books: http://www.highstat.com/books.htm


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