Given a dynamic linear model (DLM), we want to forecast the 10-year US Treasury for nine days. Having a prediction about bond yield rate might be very useful for policy making, influencing our decision in trading, etc. We have several models, including the ones combining more than one component.

The source code file: https://github.com/stephanielees/Bond...

00:00 Introduction
00:41 Notations
03:20 DLM model summary
04:40 Forecast function theory
08:03 The forecast function for each model component fitted
09:46 The forecast function for models including more than one component
10:46 Reference
11:06 Forecasting in R programming
26:38 Visualizing the forecasts
30:49 Closing remarks

#forecasting #timeseries #dlm #treasurybonds #rprogramming #datascience