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Data Sets and R Examples to Accompany Dynamic Linear Models with R, Springer 2009 |
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Data Sets and R Examples to Accompany Dynamic Linear Models with R, Springer 2009 |
If you have any questions, please e-mail Giovanni Petris at GPetris@uark.edu.
Chapter 2 - Dynamic Linear Models
Chapter 3 - Model specification
Chapter 4 - Models with unknown parameters
Chapter 5 - Sequential Monte Carlo methods
Datasets - All the data sets used in the book, and not already available in R
R functions - R functions used in the book, and not included in package dlm
List of corrections, in PDF format
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Chapter 2 - Dynamic Linear Models
R code for Chapter 2: Chapter2.R
Data:
qconsum.dat - Quarterly expenditure on durable goods
Chapter 3 - Model specification
R code for Chapter 3: Chapter3.R
Data:
lakeSuperior.dat - Annual level of Lake Superior
invest2.dat - Annual Denmark and Spain investments
gdp5004.dat - Quarterly deseasonalized US Gross Domestic Product
P.dat - Monthly returns
Chapter 4 - Models with unknown parameters
R code for Chapter 4: Chapter4.R
Data:
lakeSuperior.dat - Annual level of Lake Superior
invest2.dat - Annual Denmark and Spain investments
gdp5004.dat - Quarterly deseasonalized US Gross Domestic Product
yields.dat - Monthly yields of US bonds
interestRates - Weakly short and long interest rates
Chapter 5 - Sequential Monte Carlo methods
R code for Chapter 5: Chapter5.R