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Azure ml上のRにおける状態空間法でのwebのアクセス解析
- 5. R CODE (LOCAL LEVEL MODEL)
# Load modules
require(dlm)
# Map 1-based optional input ports to variables
dataset <- maml.mapInputPort(1) # class: data.frame
# Extract PV from data set
pv <- dataset$access
# Building function
build.1 <- function(theta) {
dlmModPoly(order=1, dV = exp(theta[1]), dW = exp(theta[2]))
}
# Fitting
fit.1 <- dlmMLE(pv, parm=c(1,1), build.1)
# Modeling by fitted parameters
mod.pv <- build.1(fit.1$par)
# Filtered
pvFilt <- dlmFilter(pv, mod.pv)
# Smoothed
pvSmooth <- dlmSmooth(pvFilt)
# Output
plot(pv, type="o", col=8, ylab="", main="PV Smoothing")
lines(dropFirst(pvSmooth$s), col=4, lwd=2)
http://logics-of-blue.com/dlm%E3%81%AE%E4%BD%BF%E3%81%84%E6%96%B9/を参照