Forecasting with dlm

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Hi Michael,

There was a bug in dlmForecast that I have fixed. While the new
version of the package makes its way to CRAN, you can source the
attached file, which contains the amended version of dlmForecast. 

Best,
Giovanni Petris
Date: Wed, 11 Mar 2009 13:39:36 +0000
From: Michael Pearmain <mpearmain at google.com>
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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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Giovanni Petris  <GPetris at uark.edu>
Associate Professor
Department of Mathematical Sciences
University of Arkansas - Fayetteville, AR 72701
Ph: (479) 575-6324, 575-8630 (fax)
http://definetti.uark.edu/~gpetris/