Forecasting with dlm

Date: Wed, 11 Mar 2009 13:39:36 +0000
From: Michael Pearmain <mpearmain at google.com>
Sender: r-help-bounces at r-project.org
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Hi All,
I have a problem trying to forecast using the dlm package, can anyone offer
any advise?

I setup my problem as follows, (following the manual as much as possible)

data for example to run code

CostUSD <- c(27.24031,32.97051, 38.72474, 22.78394, 28.58938, 49.85973,
42.93949, 35.92468)
library(dlm)

buildFun <- function(x) {
dlmModPoly(1, dV = exp(x[1]), dW = exp(x[2]))
}
fit <- dlmMLE(CostUSD, parm = c(0,0), build = buildFun)
fit$conv
dlmCostUSD <- buildFun(fit$par)
V(dlmCostUSD)
W(dlmCostUSD)
#For comparison
StructTS(CostUSD, "level")

CostUSDFilt <- dlmFilter(CostUSD, dlmCostUSD)
CostUSDFore <- dlmForecast(CostUSDFilt, nAhead = 1)

after which i return the error message:

Error in mod$m[lastObsIndex, ] : incorrect number of dimensions

Can anyone offer any insight to this problem?

Thanks in advance

Mike

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