| dlmModSeas {dlm} | R Documentation |
The function creates a DLM representation of seasonal component.
dlmModSeas(frequency, dV = 1, dW = c(1, rep(0, frequency - 2)),
m0 = rep(0, frequency - 1),
C0 = 1e+07 * diag(nrow = frequency - 1))
frequency |
how many seasons? |
dV |
variance of the observation noise. |
dW |
diagonal elements of the variance matrix of the system noise. |
m0 |
m0, the expected value of the pre-sample state vector. |
C0 |
C0, the variance matrix of the pre-sample state vector. |
An object of class dlm representing a seasonal factor for a process
with frequency seasons.
Giovanni Petris, GPetris@uark.edu
Harvey, Forecasting, structural time series models and the Kalman filter, Cambridge University Press, 1989.
dlmModARMA, dlmModPoly,
dlmModReg, and dlmModTrig for the Fourier
representation of a seasonal component.
## seasonal component for quarterly data dlmModSeas(4, dV = 3.2)