[R] Dynamic Linear Models for Times Series - Implemented?

Amsalu Walelign amsaya2000 at gmail.com
Mon Dec 5 13:53:38 CET 2011


Dear sir,
As far as my understanding goes, the book “dynamic linear models with
R” does everything based up on the non innovations form.
The problem is that I couldn’t find auxiliary residuals, which can be
used to check for the presence of outliers and structural breaks. R
packages “dlm” and “dlmodeler” use this form of model construction.
Hence I am stuck in the middle of my work.
Is there some R package which performs disturbance smoothing, or use
the innovations form?
Thanks beforehand!
Amsaya



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