kDGLM: a R package for Bayesian analysis of Generalized Dynamic Linear Models
kDGLM:广义动态线性模型贝叶斯分析的 R 包AI 解读 ↓
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kDGLM:广义动态线性模型贝叶斯分析的 R 包AI 解读 ↓
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This paper introduces kDGLM, an R package designed for Bayesian analysis of Generalized Dynamic Linear Models (GDLM), with a primary focus on both uni- and multivariate exponential families. Emphasizing sequential inference for time series data, the kDGLM package provides comprehensive support for fitting, smoothing, monitoring, and feed-forward interventions. The methodology employed by kDGLM, as proposed in Alves et al. (2024), seamlessly integrates with well-established techniques from the literature, particularly those used in (Gaussian) Dynamic Models. These include discount strategies, autoregressive components, transfer functions, and more. Leveraging key properties of the Kalman filter and smoothing, kDGLM exhibits remarkable computational efficiency, enabling virtually instantaneous fitting times that scale linearly with the length of the time series. This characteristic makes it an exceptionally powerful tool for the analysis of extended time series. For example, when modeling monthly hospital admissions in Brazil due to gastroenteritis from 2010 to 2022, the fitting process took a mere 0.11s. Even in a spatial-time variant of the model (27 outcomes, 110 latent states, and 156 months, yielding 17,160 parameters), the fitting time was only 4.24s. Currently, the kDGLM package supports a range of distributions, including univariate Normal (unknown mean and observational variance), bivariate Normal (unknown means, observational variances, and correlation), Poisson, Gamma (known shape and unknown mean), and Multinomial (known number of trials and unknown event probabilities). Additionally, kDGLM allows the joint modeling of multiple time series, provided each series follows one of the supported distributions. Ongoing efforts aim to continuously expand the supported distributions.
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