dlm : an R package for Bayesian analysis of Dynamic Linear Models

@inproceedings{Petris2009dlmA,
  title={dlm : an R package for Bayesian analysis of Dynamic Linear Models},
  author={Giovanni Petris},
  year={2009}
}
Package dlm focuses on Bayesian analysis of Dynamic Linear Models (DLMs), also known as linear state space models (see [H, WH]). The package also includes functions for maximum likelihood estimation of the parameters of a DLM and for Kalman filtering. The algorithms used for Kalman filtering, likelihood evaluation, and sampling from the state vectors are based on the singular value decomposition (SVD) of the relevant variance matrices (see [ZL]), which improves numerical stability over other… CONTINUE READING