[R] dynamic linear models in R

[Gavin Simpson]

On Wed, 2007-03-21 at 23:58 -0400, Johann Hibschman wrote:
> Hi all,
> 
> I've just started working my way through Mike West and Jeff Harrison's
> _Bayesian Forecasting and Dynamic Models_, and I was wondering if
> there were any publically-available packages to handle dynamic linear
> models, as they describe.

Johann,

The one I'm most familiar with is package dlm by Giovanni Petris. There
is also package sspir by Claus Dethlefsen and Søren Lundbye-Christensen.
Both packages are on CRAN.

I have been using dlm for some recent DLM analysis I was doing and have
found it reasonably easy to use and the maintainer, Giovanni Petris, has
been extremely patient and helpful with the odd question I have had
about how to specify the models I wanted in dlm.

sspir has a formula interface so it may be easier to specify models in
it than dlm, but I have no experience of sspir in use.

HTH

G

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