| Package | Description |
|---|---|
| dev.nm.stat.dlm.multivariate |
| Class and Description |
|---|
| MultivariateDLM
This is the multivariate controlled DLM (controlled Dynamic Linear Model) specification.
|
| MultivariateDLMSeries.Entry
This is the
TimeSeries.Entry for a multivariate DLM time series. |
| MultivariateDLMSim.Innovation
a simulated innovation
|
| MultivariateObservationEquation
This is the observation equation in a controlled dynamic linear model.
\[
y_{t} = F_{t} \cdot x_{t} + v_{t}
\]
|
| MultivariateStateEquation
This is the state equation in a controlled dynamic linear model.
\[
x_{t} = G_{t} \cdot x_{t-1} + H_{t} \cdot u_{t} + w_{t},
\]
|
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