*
*  Illustration from section 2.5.3
*  Computing and graphing smoothing errors
*
open data nile.dat
calendar 1871
data(format=free,org=columns,skips=1) 1871:1 1970:1 nile
*
dlm(type=smooth,y=nile,a=1.0,c=1.0,sx0=1.e+7,sv=15099.0,sw=1469.1,$
 vhat=vhat,svhat=fhat,what=what,swhat=swhat) / xstates vstates
set v = vhat(t)(1)
set sv = fhat(t)(1,1)
set w = what(t)(1)
set sw = swhat(t)(1,1)
spgraph(footer="Figure 2.3. Output of disturbance smoothing recursion",hfields=2,vfields=2)
graph(header="Observation error")
# v
graph(header="State error")
# w
graph(header="Observation error variance")
# sv
graph(header="State error variance")
# sw
spgraph(done)
set ehat = nile-xstates(t)(1)