[R] Tracking time-varying objects with the DLM package (dynamic linear models in R)
samantha.azzarello at cmegroup.com
Thu Feb 21 00:02:54 CET 2013
I am working with the dlm package, specifcially doing a dlm multivariate Y
linear regression using
dlmModReg and dlmFilter and dlmSmooth...
I have altereted the inputs into dlmModReg to make them time-varying using
JFF, JW etc.
How do I track the results of the time varying system matrices?
For example what I am really interested in is JW - my system variance matrix
for each time period - I cannot get R to give
me the array of this matrix
Any help would be really appreciated!
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