[R] did my searching but still couldn't find anything for bayesian dlm

[Mark.Leeds at MorganStanley.com]

thanks gavin : i'll check those out.
On Wed, 1 Nov 2006, Gavin Simpson
wrote:

> On Tue, 2006-10-31 at 19:12 -0500, Leeds, Mark (IED) wrote:
> > I familarized myelf with kalmanlike and structts which are approaches
> > for building and estimating ( and forecasting ) state space models ( or
> > the equivalent arima models ).
> > back in 2003, gavin simpson wrote an email describing the west and
> > harrison apprach to estimate state space models and asked if anything
> > was out there for
> > using that approach.  the goals of this approach are the same  as kalman
> > like and structts but priors
> > are put on the variances and a bayesian approach is used to estimate the
> > next "state". in this manner, , all numerical optimization is avoided (
> > but obviously the results are different also so it's not necessarily a
> > "better" approach. just different ).
> >
> > i'm dealing with minute by minute data so , for me, it's essential to
> > avoid computing likelihoods over and over. is it possible, that , since
> > gavin's email, the west and harrison approach has been built in one of
> > the many packages out there. i looked really hard but i couldn't find
> > it.
> > my guess is that the answer is no. thanks for any input.
>
> Not sure how far the Bayesian bit has advanced, but DLMs are now
> becoming part of R in add-on packages sspir and dlm, thanks to a number
> of people, Claus Dethlefsen and Søren Lundbye-Christensen (sspir), and
> Giovanni Petris (dlm).
>
> IIRC, I saw some of Giovanni's materials from his website that contains
> information about doing Bayesian analysis with his dlm package, but I
> don't have the link on my home PC to confirm this.
>
> Whether these will be suitable for your use, I don't know.
>
> All the best,
>
> G
>
> >
> >
> > mark
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