Hi: Like I said earlier, you really should read west and harrison first, especially if you're a beginner in bayesian methods. giovanni's book and package are both very nice ( thanks giovanni ) but the book is more of a summary of west and harrison and sort of assumes some familarity with the material.
I checked the dlm book and section 3.2.5 gives an example of conversion of arma(1,1) to a DLM. there is also a function in the dlm package dlmModArma that does the general conversion to state space. But, when converting from arima to state space, one has to consider constraints on the arima parameters to in order maintain stationarity in the original arima space. I'm not sure if dlmModArma handles that. But it's a start. Maybe Giovanni will see your question and say more. On Sun, Feb 17, 2013 at 10:49 AM, Juan Manuel Becerra <jmblue...@gmail.com>wrote: > Hi, i'm beginner in Bayesian methods, I'm reading the documentation about > dlm package and kalman filters, I'm looking for a example of transformation > of ARIMA in a state space equivalent to use the dlm package and calcualte > the hyperparameters. Someone can help me about it?. If it's possible with a > arima(1,0,1) example, or more complex model. While I have more examples > best for me. > Thanks all > > [[alternative HTML version deleted]] > > ______________________________________________ > 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. > [[alternative HTML version deleted]] ______________________________________________ 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.
