[R] did my searching but still couldn't find anything for bayesian dlm

[Gavin Simpson]

On Tue, 2006-10-31 at 19:12 -0500, Leeds, Mark (IED) wrote:
> I familarized myelf with kalmanlike and structts which are approaches
> for building and estimating ( and forecasting ) state space models ( or
> the equivalent arima models ).
> back in 2003, gavin simpson wrote an email describing the west and
> harrison apprach to estimate state space models and asked if anything
> was out there for
> using that approach.  the goals of this approach are the same  as kalman
> like and structts but priors
> are put on the variances and a bayesian approach is used to estimate the
> next "state". in this manner, , all numerical optimization is avoided (
> but obviously the results are different also so it's not necessarily a
> "better" approach. just different ).
>  
> i'm dealing with minute by minute data so , for me, it's essential to
> avoid computing likelihoods over and over. is it possible, that , since
> gavin's email, the west and harrison approach has been built in one of
> the many packages out there. i looked really hard but i couldn't find
> it.
> my guess is that the answer is no. thanks for any input.

Not sure how far the Bayesian bit has advanced, but DLMs are now
becoming part of R in add-on packages sspir and dlm, thanks to a number
of people, Claus Dethlefsen and Søren Lundbye-Christensen (sspir), and
Giovanni Petris (dlm).

IIRC, I saw some of Giovanni's materials from his website that contains
information about doing Bayesian analysis with his dlm package, but I
don't have the link on my home PC to confirm this.

Whether these will be suitable for your use, I don't know.

All the best,

G

>  
> 
> mark
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