[R] Dynamic Linear Models for Times Series - Implemented?

Gavin Simpson gavin.simpson at ucl.ac.uk
Wed Feb 12 14:16:03 CET 2003


Following an off-list reply to my original post, I realised that I hadn't
really provided very much information for you to work with.  So here's a
second attempt:

Following West & Harrison (1989) and Pole et al. (1994) a DLM is defined as:

Y[t] = F'[t]theta[t] + v[t],	v[t] ~ N[0,V] #Observation equation
theta[t] = G[t]theta[t-1] + w[t],  w[t] ~ N[0,W] #system equation

The system equation is a first order Markov process, where G[t] is a matrix
of known coefficients that defines the systematic evolution of the state
vector (theta[t]) across time, and w[t] is an unobservable stochastic error
term having a normal distribution with zero mean and covariance matrix.

Y[t] denotes the observation series at time t
F[t] is a vector of known constants (the regression vector)
theta[t] denotes the vector of model state parameters
v[t] is a stochastic error term having zero mean and variance V[t]

If I have understood Brockwell and Davis (1991) correctly, the DLM can be
considered from the point of view of State-space models (although I am
venturing some way out of my statistical depth here, all the papers I have
collected are applied examples and they all refer to dynamic Linear Models,
not State-space models).

It seems that some of this has been done in S (for S-Plus), as I found the
bts package by Harrison and Reed on StatLib

"SPLUS for Windows functions and datasets for Bayesian forecasting based on
the algorithms in Bayesian Forecasting and Dynamic Linear Models by West and

So I was wondering whether anyone knew of existing R code that could fit
such models?

Many thanks

Gavin Simpson

Brockwell and Davis (1991).  Time Series: Theory and Methods.  Springer
Pole, West and Harrison (1994).  Applied Bayesian Forecasting and Time
Series Analysis.  Chapman & Hall/CRC
West and Harrison (1989).  Bayesian Forecasting and Dynamic Models.

-----Original Message-----
From: r-help-admin at stat.math.ethz.ch [mailto:r-help-admin at stat.math.ethz.ch]
On Behalf Of Gavin Simpson
Sent: 11 February 2003 17:49
To: r-help
Subject: [R] Dynamic Linear Models for Times Series - Implemented?


I was wondering whether a package that can perform dynamic linear models on
times series data was available for R?

Many Thanks,

Gavin Simpson

Gavin Simpson                     [T] +44 (0)20 7679 5522
ENSIS Research Fellow             [F] +44 (0)20 7679 7565
ENSIS Ltd. & ECRC                 [E] gavin.simpson at ucl.ac.uk
UCL Department of Geography       
26 Bedford Way                    
London.  WC1H 0AP.

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