Hi Samantha, I had not anticipated such kind of requests, so getting what (I believe) you want is not totally trivial. However, what 'dlmFilter' does, when dealing with a time-varying DLM, is to build, at each time, the appropriate matrix W from 'JW' and 'X'. So, I suggest that you look at how dlmFilter works and start from there.
Best, Giovanni ________________________________________ From: r-help-boun...@r-project.org [r-help-boun...@r-project.org] on behalf of Samantha Azzarello [samantha.azzare...@cmegroup.com] Sent: Wednesday, February 20, 2013 5:02 PM To: r-help@r-project.org Subject: [R] Tracking time-varying objects with the DLM package (dynamic linear models in R) Hello all, I am working with the dlm package, specifcially doing a dlm multivariate Y linear regression using dlmModReg and dlmFilter and dlmSmooth... I have altereted the inputs into dlmModReg to make them time-varying using JFF, JW etc. How do I track the results of the time varying system matrices? For example what I am really interested in is JW - my system variance matrix for each time period - I cannot get R to give me the array of this matrix Any help would be really appreciated! Thanks -- View this message in context: http://r.789695.n4.nabble.com/Tracking-time-varying-objects-with-the-DLM-package-dynamic-linear-models-in-R-tp4659211.html Sent from the R help mailing list archive at Nabble.com. ______________________________________________ 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. ______________________________________________ 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.
