> Date: Wed, 07 May 2008 13:03:14 -0400
> From: "Stoyanov, Tsvetan (MSCIBARRA)" <[EMAIL PROTECTED]>
> Importance: normal
> Priority: normal
> Thread-topic: dlm with constant terms
> Thread-index: AciwZDz3Kl800OdmR4CQkEC8PUECZg==
>
> Hi,
> I am trying to figure how to use dlm with constant terms
> (possibly time-dependent) added to both equations
> y_t = c_t + F_t\theta_t + v_t
> \theta_t = d_t + G_t\theta_{t-1} + w_t,
> in the way that S-PLUS Finmetrics does?
>
> Is there any straightforward way to transform the above to
> the default setup?
I think you can do it by extending the state vector and defining a new
dlm with
\theta^*_t = (1 1 \theta_t')'
F^*_t = [c_t 0 F_t],
G^*_t = [1 0 0 ]
[0 1 0 ]
[0 d_t G_t]
W^*_t = [0 0 0 ]
[0 0 0 ]
[0 0 W_t]
m^*_0 = (1 1 m_0)
C^*_0 = [e 0 0 ]
[0 e 0 ]
[0 0 C_0]
The 'e' on the diagonal of C^*_0 should be zero, but since the matrix
must be nonsingular youcan put a very small number, such as e = 1e-8.
Best,
Giovanni Petris
> Thanks,
> Tsvetan
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--
Giovanni Petris <[EMAIL PROTECTED]>
Associate Professor
Department of Mathematical Sciences
University of Arkansas - Fayetteville, AR 72701
Ph: (479) 575-6324, 575-8630 (fax)
http://definetti.uark.edu/~gpetris/
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