data(NelPlo)
### multivariate local level -- seemingly unrelated time series
buildSu <- function(x) {
Vsd <- exp(x[1:2])
Vcorr <- tanh(x[3])
V <- Vsd %o% Vsd
V[1,2] <- V[2,1] <- V[1,2] * Vcorr
Wsd <- exp(x[4:5])
Wcorr <- tanh(x[6])
W <- Wsd %o% Wsd
W[1,2] <- W[2,1] <- W[1,2] * Wcorr
return(list(
m0 = rep(0,2),
C0 = 1e7 * diag(2),
FF = diag(2),
GG = diag(2),
V = V,
W = W))
}
suMLE <- dlmMLE(NelPlo, rep(0,6), buildSu); suMLE
buildSu(suMLE$par)[c("V","W")]
StructTS(NelPlo[,1], type="level") ## compare with W[1,1] and V[1,1]
StructTS(NelPlo[,2], type="level") ## compare with W[2,2] and V[2,2]
## multivariate local level model with homogeneity restriction
buildHo <- function(x) {
Vsd <- exp(x[1:2])
Vcorr <- tanh(x[3])
V <- Vsd %o% Vsd
V[1,2] <- V[2,1] <- V[1,2] * Vcorr
return(list(
m0 = rep(0,2),
C0 = 1e7 * diag(2),
FF = diag(2),
GG = diag(2),
V = V,
W = x[4]^2 * V))
}
hoMLE <- dlmMLE(NelPlo, rep(0,4), buildHo); hoMLE
buildHo(hoMLE$par)[c("V","W")]
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