Package dev.nm.stat.dlm.univariate
Class DLM
- java.lang.Object
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- dev.nm.stat.dlm.univariate.DLM
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- Direct Known Subclasses:
Elliott2005DLM
public class DLM extends Object
This is the multivariate controlled DLM (controlled Dynamic Linear Model) specification. A controlled DLM, for (t ≥ 1), is described by two equations: the observation and state equations. Observation Equation:yt = Ft * xt + vt,
State Equation:xt = Gt * xt-1 + Ht * ut + wt,
{yt} are the observation vectors; {xt} are the state vectors. Ft and Gt are known matrices of dimension (number of observations * number of states) and (number of states * number of states) respectively. {vt} and {wt} are two independent sequences of independent normal random vectors with mean zero and known variance matrices {Vt} and {Wt}, respectively; Furthermore, it is assumed that x0 is independent of {vt} and {wt} and is normally distributed with mean m0 and covariance matrix C0, where m0 is a vector of length the same as the number of states and C0 is a matrix of dimension (number of states * number of states); ut is an m-dimensional vector of control variables, i.e., the variables whose values can be regulated by the user, in order to obtain a desired level of the state xt. Ht is a known matrix of coefficients, with dimension of (number of states * m).- See Also:
- G. Petris et al., "ch. 2, pp. 31-84," Dynamic Linear Models with R, New York, Springer, 2009.
- Wikipedia: Kalman filter - Underlying dynamic system model
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Constructor Summary
Constructors Constructor Description DLM(double m0, double C0, ObservationEquation Yt, StateEquation Xt)Construct a univariate controlled dynamic linear model.DLM(DLM that)Copy constructor.
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description doubleC0()Get the variance of x0.intgetObsDimension()Get the dimension of observations.ObservationEquationgetObservationModel()Get the observation model.intgetStateDimension()Get the dimension of states.StateEquationgetStateModel()Get the state model.doublem0()Get the the mean of x0.
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Constructor Detail
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DLM
public DLM(double m0, double C0, ObservationEquation Yt, StateEquation Xt)Construct a univariate controlled dynamic linear model.- Parameters:
m0- the mean of x0C0- the variance of x0Yt- the observation equation for the modelXt- the state equation for the model
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DLM
public DLM(DLM that)
Copy constructor.- Parameters:
that- a univariate controlled dynamic linear model
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Method Detail
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m0
public double m0()
Get the the mean of x0.- Returns:
- m0, the mean of x0
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C0
public double C0()
Get the variance of x0.- Returns:
- C0, the variance of x0
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getObsDimension
public int getObsDimension()
Get the dimension of observations.- Returns:
- the dimension of observations
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getStateDimension
public int getStateDimension()
Get the dimension of states.- Returns:
- the dimension of states
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getObservationModel
public ObservationEquation getObservationModel()
Get the observation model.- Returns:
- the observation model
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getStateModel
public StateEquation getStateModel()
Get the state model.- Returns:
- the state model
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