require(dlmodeler)
# a stochastic level+trend DLM
mod <- dlmodeler.build(
a0 = c(0,0), # initial state: (level, trend)
P0 = diag(c(0,0)), # initial state variance set to...
P0inf = diag(2), # ...use exact diffuse initialization
matrix(c(1,0,1,1),2,2), # state transition matrix
diag(c(1,1)), # state disturbance selection matrix
diag(c(.5,.05)), # state disturbance variance matrix
matrix(c(1,0),1,2), # observation design matrix
matrix(1,1,1) # observation disturbance variance matrix
)
# print the model
mod
# check if it is valid
dlmodeler.check(mod)$status
# an empty DLM with 4 state variables (3 of which are stocastic)
# and bi-variate observations
mod <- dlmodeler.build(dimensions=c(4,3,2))
# print the model
mod
# check if it is valid
dlmodeler.check(mod)$status
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