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

 


 Return to the top

 

 

 

 

 

 

Chapter 2 - Dynamic Linear Models


R code for Chapter 2: Chapter2.R

Data:

qconsum.dat - Quarterly expenditure on durable goods


Return to chapter list

 

 

 

 

 

 

 

 

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


Return to chapter list

 

 

 

 

 

 

 

 

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


Return to chapter list

 

 

 

 

 

 

 

 

Chapter 5 - Sequential Monte Carlo methods


R code for Chapter 5: Chapter5.R


Return to chapter list

 

 

 

 

 

 

 

 


Return to chapter list