dlm swMATH ID: 4503 Software Authors: Petris, Giovanni; Petrone, Sonia; Campagnoli, Patrizia Description: R package dlm: Bayesian and Likelihood Analysis of Dynamic Linear Models. Maximum likelihood, Kalman filtering and smoothing, and Bayesian analysis of Normal linear State Space models, also known as Dynamic Linear Models. This book gives an introduction to statistical time series analysis by dynamic linear models. It covers the basic notions of dynamic linear models and state space models, the Kalman filter for estimation and forecasting in dynamic linear models with known parameters, and maximum likelihood estimation. It also presents many specific dynamic linear models particularly suited for time series analysis, both for univariate and multivariate data. The main methods and models are illustrated with examples based on real data. For this, the authors have developed an R package, DIM, for inference and forecasting with dynamic linear models. The code to run all the examples in the book and the data sets not included in the package can be downloaded from the web site of the book, definetti.uark.edu/gpetris/dlm. The text is organized as follows. Chapter 1 gives an introduction, presenting basic notions in Bayesian inference. The basic elements of Bayesian analysis for linear regression models are reminded, and Markov chain Monte Carlo methods are presented. Chapter 2 is on dynamic linear models. State space models, dynamic linear models, state estimation and forecasting, filtering and the Kalman filter, and some specialized topics are dealt with. Chapter 3 discusses model specifications. The first paragraph deals with classical tools for time series analysis. Then, dynamic linear models for time series analysis are investigated, both univariate and multivariate. Chapter 4 covers models with unknown parameters. It presents a discussion of maximum likelihood estimation and a much more elaborated one on Bayesian inference. The last chapter is on sequential Monte Carlo methods. Homepage: http://cran.r-project.org/web/packages/dlm/ Source Code: https://github.com/cran/dlm Dependencies: R Keywords: ARIMA; time series Related Software: R; KFAS; dse; pomp; forecast; sspir; nimble; FKF; SsfPack; CODA; stochvol; CRAN; Matlab; GitHub; BayesDA; WinBUGS; vSMC; LibBi; Biips; bsts Cited in: 25 Publications Standard Articles 2 Publications describing the Software, including 1 Publication in zbMATH Year Dynamic linear models with R. Zbl 1176.62088Petris, Giovanni; Petrone, Sonia; Campagnoli, Patrizia 2009 all top 5 Cited by 69 Authors 2 Costa, Lilia 2 Da-Silva, Cibele Queiroz 2 Migon, Helio S. 2 Nichols, Thomas E. 2 Smith, James Quartermaine 2 Triantafyllopoulos, Kostas 1 Albers, Casper J. 1 Allen, Nicholas B. 1 Anacleto, Osvaldo 1 Azadi, Nammam Ali 1 Bates, Timothy C. 1 Blok, Joleen H. 1 Boker, Steven M. 1 Brick, Timothy R. 1 Cabral, Celso Rômulo Barbosa 1 Campagnoli, Patrizia 1 Colombi, Roberto 1 Correia, Leandro T. 1 Cussens, James 1 Dishop, Christopher R. 1 Duff, Eugene P. 1 Estabrook, Ryne 1 Fearnhead, Paul 1 Fúquene, Jairo A. 1 Giordano, Sabrina 1 Gómez-Gutiérrez, David 1 Guo, Guangbao 1 Haario, Heikki 1 Hagiwara, Junichiro 1 Hunter, Michael D. 1 Huttunen, Janne M. J. 1 Jensen, Shane T. 1 Jia, Shuqin 1 Kaipio, Jari P. 1 Kirkpatrick, Robert M. 1 Krainski, Elias T. 1 Kuppens, Peter 1 Li, Yalan 1 Lodewyckx, Tom 1 Lopes, Hedibert Freitas 1 Maes, Hermine H. 1 Makin, Tamar R. 1 Meiring, Wendy 1 Meng, Fanyu 1 Morettin, Pedro Alberto 1 Neale, Michael C. 1 Niemi, Jarad 1 Nott, David John 1 Pérez, María Eglée 1 Pericchi, Luis Raul 1 Petris, Giovanni 1 Petrone, Sonia 1 Pritikin, Joshua N. 1 Queen, Catriona M. 1 Ramírez-Teviño, Antonio 1 Ridall, Gareth 1 Rodrigues, Guilherme Souza 1 Rue, Håvard 1 Ruiz-Cárdenas, Ramiro 1 Salcedo, Gladys E. 1 Shao, Wei 1 Sheeber, Lisa 1 Sheinson, Daniel M. 1 Sisson, Scott A. 1 Tsay, Ruey S. 1 Tuerlinckx, Francis 1 Vázquez, Carlos-Renato 1 Xu, Ancha 1 Zahery, Mahsa all top 5 Cited in 17 Serials 5 Computational Statistics and Data Analysis 2 Brazilian Journal of Probability and Statistics 2 Bayesian Analysis 1 Mathematical Biosciences 1 Psychometrika 1 Journal of Mathematical Psychology 1 The Journal of Mathematical Sociology 1 Journal of Multivariate Analysis 1 Journal of Time Series Analysis 1 Journal of Statistical Computation and Simulation 1 Differential Equations and Dynamical Systems 1 Australian & New Zealand Journal of Statistics 1 Journal of Forecasting 1 Nonlinear Analysis. Hybrid Systems 1 The Annals of Applied Statistics 1 Statistics and Computing 1 Use R! all top 5 Cited in 9 Fields 21 Statistics (62-XX) 4 Numerical analysis (65-XX) 4 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 3 Dynamical systems and ergodic theory (37-XX) 2 Probability theory and stochastic processes (60-XX) 2 Operations research, mathematical programming (90-XX) 2 Biology and other natural sciences (92-XX) 1 Relativity and gravitational theory (83-XX) 1 Systems theory; control (93-XX) Citations by Year