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dlmodeler (version 1.4-2)

Generalized Dynamic Linear Modeler

Description

dlmodeler is a set of user-friendly functions to simplify the state-space modelling, fitting, analysis and forecasting of Generalized Dynamic Linear Models (DLMs). It includes functions to name and extract individual components of a DLM, build classical seasonal time-series models (monthly, quarterly, yearly, etc. with calendar adjustments) and provides a unified interface compatible with other state-space packages including: dlm, FKF and KFAS.

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Install

install.packages('dlmodeler')

Monthly Downloads

74

Version

1.4-2

License

GPL (>= 2) | BSD_2_clause + file LICENSE

Maintainer

Cyrille Szymanski

Last Published

February 10th, 2014

Functions in dlmodeler (1.4-2)

AIC.dlmodeler.fit

Log-likelihood and AIC of a model
dlmodeler-internal

For internal use only
dlmodeler.build.arima

Build an ARIMA model
dlmodeler.extract

Extract the mean, covariance and prediction intervals for states and observations
dlmodeler.check

Check dimensions and validity
dlmodeler.fit

Fitting function for a model (MLE, MSE, MAD, sigma)
dlmodeler.build.structural

Build a structural time series model
dlmodeler.build.polynomial

Build a polynomial model
dlmodeler.build.tseasonal

Build a trigonometric seasonal model
dlmodeler.yeardays

Return the number of days and weekdays in a given year
dlmodeler.build

Build a DLM
print.dlmodeler

Print a model
dlmodeler.filter.smooth

Filtering and smoothing for a DLM
dlmodeler.build.regression

Build a regression model
dlmodeler.forecast

Forecast function
dlmodeler.operators

Add, multiply or bind models
dlmodeler-package

Generalized Dynamic Linear Modeler
dlmodeler.build.dseasonal

Build a "dummy seasonal" model