Interface DlmOptions

DLM model configuration options

interface DlmOptions {
    arCoefficients?: number[];
    fitAr?: boolean;
    fullSeasonal?: boolean;
    harmonics?: number;
    order?: number;
    seasonLength?: number;
    spline?: boolean;
}

Properties

arCoefficients?: number[]

AR coefficients (initial values). In MATLAB DLM, this is arphi.

fitAr?: boolean

Fit AR coefficients via MLE optimization (default: false). In MATLAB DLM, this is fitar.

fullSeasonal?: boolean

Full seasonal component (ns-1 dummy variables). In MATLAB DLM, this is fullseas.

harmonics?: number

Number of trigonometric harmonic pairs. In MATLAB DLM, this is trig.

order?: number

Polynomial trend order: 0 (level), 1 (level + slope), 2 (level + slope + acceleration). Default: 1.

seasonLength?: number

Seasons per cycle (period length). In MATLAB DLM, this is ns. Default: 12.

spline?: boolean

Spline mode for order=1: modifies W for integrated random walk.