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Set innovations for trend term to 0 in DLM models #8

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johnrbryant opened this issue Dec 21, 2017 · 0 comments
Open

Set innovations for trend term to 0 in DLM models #8

johnrbryant opened this issue Dec 21, 2017 · 0 comments

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@johnrbryant
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We would like to implement a version of the DLM prior where

beta_t = alpha_t + u_t
alpha_t = alpha_{t-1} + delta_{t-1} + v_t
delta_t = delta_{t-1}

This should be relatively simple, since it's a linear model. When we do this we need to prevent users from setting phi != 1. We should also come up with a consistent interface for this model and the model

beta_t = alpha_t + u_t
alpha_t = alpha_{t-1} + delta_{t-1}
delta_t = delta_{t-1} + w_t

which is currently specified using 'level = NULL'.

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