Dear sir,
As far as my understanding goes, the book ?dynamic linear models with
R? does everything based up on the non innovations form.
The problem is that I couldn?t find auxiliary residuals, which can be
used to check for the presence of outliers and structural breaks. R
packages ?dlm? and ?dlmodeler? use this form of model construction.
Hence I am stuck in the middle of my work.
Is there some R package which performs disturbance smoothing, or use
the innovations form?
Thanks beforehand!
Amsaya