StateSpaceModels/regressionVaryingCoeffs.R at master · pteetor/StateSpaceModels

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#

# This is yet another model of the Nile River data,

# using the same explanatory variable, `x`, as the other

# regression recipe but letting its coefficient vary over time.

#

library(dlm)

y <- datasets::Nile

x <- cbind(c(rep(0,27), rep(1,length(y)-27)))

buildModReg <- function(v) {

dV <- exp(v[1])

dW <- exp(v[2:3])

m0 <- v[4:5]

dlmModReg(x, dV=dV, dW=dW, m0=m0)

}

varGuess <- var(diff(y), na.rm=TRUE)

mu0Guess <- as.numeric(y[1])

lambda0Guess <- mean(diff(y), na.rm=TRUE)

parm <- c(log(varGuess), log(varGuess/5), log(varGuess/5),

mu0Guess, lambda0Guess)

mle <- dlmMLE(y, parm=parm, build=buildModReg)

if (mle$convergence != 0) stop(mle$message)

model <- buildModReg(mle$par)

filt <- dlmFilter(y, model)

tsdiag(filt)

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