Re: Splus code for Dynamic Linear models

[yiwu ye <yiwu21111958@yahoo.com>]

By Dynamic Linear Modeling, I mean a Bayesian Learning approach in linear forecasting, i.e. the DLM has a sequential nature in which the analysis proceeds. Starting with prior beliefs about the response series at time t-1, make a forecast for teh response at time t, and based on both the prior beliefs and the new observation, modify our beliefs regarding the response into posterior beliefs. The beliefs here can be expressed as a linear model. Hope this explains what I want a bit more. Thanks, Yiwu

Eric Zivot <ezivot@u.washington.edu> wrote:

What do you mean by dynamic linear modeling? The phrase is ambiguous without an example or reference.

 

-----Original Message-----
From: s-news-owner@lists.biostat.wustl.edu [mailto:s-news-owner@lists.biostat.wustl.edu] On Behalf Of yiwu ye
Sent: Thursday, March 16, 2006 4:18 PM
To: s-news@lists.biostat.wustl.edu
Subject: [S] Splus code for Dynamic Linear models

 

 Dear list,

Does anyone know of any S+ functions that conduct dynamic linear modelling?

Thanks,

Yiwu

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