[R] Forecasting with dlm

[Giovanni Petris]

Hi Michael,

There was a bug in dlmForecast that I have fixed. While the new
version of the package makes its way to CRAN, you can source the
attached file, which contains the amended version of dlmForecast. 

Best,
Giovanni Petris

> Date: Wed, 11 Mar 2009 13:39:36 +0000
> From: Michael Pearmain <mpearmain at google.com>
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> 
> Hi All,
> I have a problem trying to forecast using the dlm package, can anyone offer
> any advise?
> 
> I setup my problem as follows, (following the manual as much as possible)
> 
> data for example to run code
> 
> CostUSD <- c(27.24031,32.97051, 38.72474, 22.78394, 28.58938, 49.85973,
> 42.93949, 35.92468)
> library(dlm)
> 
> buildFun <- function(x) {
> dlmModPoly(1, dV = exp(x[1]), dW = exp(x[2]))
> }
> fit <- dlmMLE(CostUSD, parm = c(0,0), build = buildFun)
> fit$conv
> dlmCostUSD <- buildFun(fit$par)
> V(dlmCostUSD)
> W(dlmCostUSD)
> #For comparison
> StructTS(CostUSD, "level")
> 
> CostUSDFilt <- dlmFilter(CostUSD, dlmCostUSD)
> CostUSDFore <- dlmForecast(CostUSDFilt, nAhead = 1)
> 
> after which i return the error message:
> 
> Error in mod$m[lastObsIndex, ] : incorrect number of dimensions
> 
> Can anyone offer any insight to this problem?
> 
> Thanks in advance
> 
> Mike
> 
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> 

-- 

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