Re: [R] DLM - Covariates in the system equation

Hi Jens, I assume you are using package dlm. To add covariates to the system equation the workaround is to include psi in the state vector. Suppose your observation and system equations are as follow: Y[t] = F[t]theta[t] + v[t], v[t] ~ N[0,V] #observation equation theta[t] = G[t]theta[t-1] +

[R] DLM - Covariates in the system equation

Is there a way to add covariates to the system equation in a time-varying approach: Y[t] = F'[t]theta[t] + v[t], v[t] ~ N[0,V] #observation equation theta[t] = theta[t-1] + psi*Z[t] + w[t], w[t] ~ N[0,W] #system equation While F[t] is a matrix of regressors to capture the short term effect on