Value Members

1.  final def !=(arg0: Any): Boolean

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2.  final def ##(): Int

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3.  final def ==(arg0: Any): Boolean

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4.  def angle(period: Int)(dt: Double): Double

   Get the angle of the rotation for the seasonal model

5.  final def asInstanceOf[T0]: T0

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6.  def blockDiagonal(a: DenseMatrix[Double], b: DenseMatrix[Double]): DenseMatrix[Double]

   Build a block diagonal matrix by combining two matrices of the same size

7.  def clone(): AnyRef

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8.  def composeModels(x: Model, y: Model): Model

   Dynamic Linear Models can be combined in order to model different time dependent phenomena, for instance seasonal with trend

9.  final def eq(arg0: AnyRef): Boolean

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10.  def equals(arg0: Any): Boolean

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11.  def finalize(): Unit

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12.  def forecast(mod: Model, mt: DenseVector[Double], ct: DenseMatrix[Double], time: Double, p: Parameters): Stream[(Double, Double, Double)]

    Forecast a DLM from a state

    Forecast a DLM from a state

    mod

    a DLM

    mt

    the posterior mean of the state at time t (start of forecast)

    ct

    the posterior variance of the state at time t (start of forecast)

    time

    the starting time of the forecast

    p

    the parameters of the DLM

    returns

    a Stream of forecasts

13.  final def getClass(): Class[_]

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14.  def hashCode(): Int

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15.  final def isInstanceOf[T0]: Boolean

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16.  final def ne(arg0: AnyRef): Boolean

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17.  final def notify(): Unit

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18.  final def notifyAll(): Unit

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19.  def outerSumModel(x: Model, y: Model): Model

    Similar Dynamic Linear Models can be combined in order to model multiple similar times series in a vectorised way

20.  def outerSumParameters(x: Parameters, y: Parameters): Parameters
21.  def polynomial(order: Int): Model

    A polynomial model

22.  def regression(x: Array[DenseVector[Double]]): Model

    A first order regression model with intercept

23.  def rotationMatrix(theta: Double): DenseMatrix[Double]

    Build a 2 x 2 rotation matrix

24.  def seasonal(period: Int, harmonics: Int): Model

    Create a seasonal model with fourier components in the system evolution matrix

    Create a seasonal model with fourier components in the system evolution matrix

    period

    the period of the seasonality

    harmonics

    the number of harmonics in the seasonal model

    returns

    a seasonal DLM model

25.  def seasonalG(period: Int, harmonics: Int)(dt: Double): DenseMatrix[Double]

    Build the G matrix for the system evolution

26.  def simStep(mod: Model, x: DenseVector[Double], time: Double, p: Parameters, dt: Double): Rand[(Data, DenseVector[Double])]

    Simulate a single step from a DLM, used in simulateRegular

    Simulate a single step from a DLM, used in simulateRegular

    mod

    a DLM model

    x

    a realisation from the latent state at time t-1

    time

    the current time

    p

    the parameters of the DLM model

    dt

    the time increment between successive realisations of the process

27.  def simulate(times: Iterable[Double], mod: Model, p: Parameters): Iterable[(Data, DenseVector[Double])]

    Simulate from a DLM at the given times

28.  def simulateRegular(startTime: Double, mod: Model, p: Parameters, dt: Double): Process[(Data, DenseVector[Double])]

    Simulate from a DLM

29.  def simulateState(times: Iterable[Double], g: (Double) ⇒ DenseMatrix[Double], p: Parameters, init: (Double, DenseVector[Double])): Iterable[(Double, DenseVector[Double])]

    Simulate the state at the given times

30.  def simulateStateRegular(mod: Model, w: DenseMatrix[Double]): Process[(Double, DenseVector[Double])]

    Simulate the latent-state from a DLM model

31.  def stepForecast(mod: Model, time: Double, dt: Double, mt: DenseVector[Double], ct: DenseMatrix[Double], p: Parameters): (Double, DenseVector[Double], DenseMatrix[Double], DenseVector[Double], DenseMatrix[Double])

    Perform a single forecast step, equivalent to performing the Kalman Filter Without an observation of the process

    Perform a single forecast step, equivalent to performing the Kalman Filter Without an observation of the process

    mod

    a DLM specification

    time

    the current time

    mt

    the mean of the latent state at time t

    ct

    the variance of the latent state at time t

    p

    the parameters of the DLM

32.  final def synchronized[T0](arg0: ⇒ T0): T0

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33.  def toString(): String

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34.  final def wait(): Unit

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35.  final def wait(arg0: Long, arg1: Int): Unit

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36.  final def wait(arg0: Long): Unit

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