I uploaded a new version of package dlm to CRAN. dlm provides functions for maximum likelihood, Kalman filtering and smoothing, and Bayesian analysis of Gaussian linear state space models, also known as Dynamic Linear Models.
The most important visible changes from the previous version are the following. 1) Missing values are now allowed in the observations. 2) Extractor and replacement functions for the matrices defining a dlm are now available. 3) The function for Kalman smoothing, "dlmSmooth", can take as arguments a data vector and a dlm object. Previously the argument had to be the output from "dlmFilter". 4) In addition to the "+" method function for objects of class "dlm", used to build complex models from simple components, all having the same dimensionality of the observation vector, there is now an outer sum, "%+%", which creates a joint model from independent dlm's. This is useful to specify models for multivariate observations. 5) Minimal support for Markov chain Monte Carlo output analysis has been added, with functions "mcmcSD", "mcmcMean", "ergMean". Thanks to Michael Lavine for suggesting the outer sum in (4). Please let me know of any problems. Comments and suggestions are very welcome. Giovanni Petris -- Giovanni Petris <[EMAIL PROTECTED]> Department of Mathematical Sciences University of Arkansas - Fayetteville http://definetti.uark.edu/~gpetris/ _______________________________________________ R-packages mailing list [EMAIL PROTECTED] https://stat.ethz.ch/mailman/listinfo/r-packages ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
