ST-Dynamic Linear Models
State space models in general, and dynamic linear models in particular, are useful for many types of data and have proven especially popular for time series. After a general introduction to state space models, this course focuses on dynamic linear models, emphasizing their Bayesian analysis. When possible, we show how to calculate estimates and forecasts in closed form; but for more complex models, we use simulation and the dlm package in R. The course includes many detailed examples based on real data sets.