STAT443 Study Guide - Quiz Guide: Hidden Markov Model, Frot, Pennsylvania Railroad Class Gg1

• School: University of Waterloo
• Department: Statistics
• Course: STAT443
• Professor: Diana Skrzydlo

Document Summary

These are some practice questions to prepare you for the nal exam. That is, yt = t + vt where t = t 1 + wt and vt, wt are independent normal errors with mean 0 and variance v and w , respectively. The initial conditions for are m0 = 0, c0 = 5. (a) using the r code on learn as a starting point, generate 100 yt and t values from each of the following dlms. Plot them on the same graph and comment on the behaviour that you see in each case and how they compare: dlm {1, 1, 1, 5} ii. How close are the tted values to the actual process means t: predict the next 5 values using dlmforecast and add them to the plot, along with 95% prediction intervals. How useful a forecast is this: figure 5. 11 from the notes shows the posterior for 1 in the model from de nition 5. 4. 3.