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  • 标题:An R Package for Dynamic Linear Models
  • 本地全文:下载
  • 作者:Giovanni Petris
  • 期刊名称:Journal of Statistical Software
  • 印刷版ISSN:1548-7660
  • 电子版ISSN:1548-7660
  • 出版年度:2010
  • 卷号:36
  • 期号:1
  • 页码:1-16
  • 语种:English
  • 出版社:University of California, Los Angeles
  • 摘要:We describe an R package focused on Bayesian analysis of dynamic linear models. The main features of the package are its flexibility to deal with a variety of constant or time-varying, univariate or multivariate models, and the numerically stable singular value decomposition-based algorithms used for filtering and smoothing. In addition to the examples of "out-of-the-box" use, we illustrate how the package can be used in advanced applications to implement a Gibbs sampler for a user-specified model.
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