[R] Perfect prediction of AR1 series using package dlm, posted on stack exchange

peter dalgaard pdalgd at gmail.com
Thu May 4 13:24:31 CEST 2017

I am not an expert on dlm, but it seems to me that you are getting perfect _filtering_ not _prediction_. If you cast an AR model as a state space model, there is no measurement error on the state values, hence the conditional distribution of theta_t given y_t is just the point value of y_t...


> On 4 May 2017, at 12:05 , Ashim Kapoor <ashimkapoor at gmail.com> wrote:
> Dear all,
> I have made a dlm model,where I am getting a perfect prediction.
> Here is a link to the output:
> http://pasteboard.co/9IxVQwjm6.png
> The query and code is on:
> https://stats.stackexchange.com/questions/276449/perfect-prediction-in-case-of-a-univariate-ar1-model-using-dlm
> Can someone here be kind enough to answer my query?
> Best Regards,
> Ashim
> 	[[alternative HTML version deleted]]
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Peter Dalgaard, Professor,
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