Hi Group,
I'm trying to build a model to predict a product's sale price. I'm
researching the dlm package. Looks like I should use dlmModPoly, dlmMLE,
dlmFilter, dlmSmooth, and finally dlmForecast. I'm looking at the Nile
River example and I have a few questions:
1.
If I only want to predict future sale price based on observed sale
price, I should use a univariate model, correct?
2.
how do I initiate value for dV and dW? In the example code:
dlmModPoly(1, dV = exp(par[1]), dW = exp(par[2])) Why dV and dW was
initiated that way?
3.
I'm not sure how to read output of dlmForecast. f is matrix of expected
values of future observations. new Obs is list of matrices containing the
simulated future values of the observations. Should I take f as the
forecast result? Or new Obs?
4.
In my experiment, f (output from dlmForecast) has all 0s. And I have
huge variance like 10016568. Does that mean my result is not valid?
Thanks a lot for any insights!
Hua
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