Simple Dynamic Linear Model
/****************************************************************/
/* S A S S A M P L E L I B R A R Y */
/* */
/* NAME: MCMCLAG */
/* TITLE: Simple Dynamic Linear Model */
/* PRODUCT: STAT */
/* SYSTEM: ALL */
/* KEYS: */
/* PROCS: MCMC */
/* DATA: */
/* */
/* SUPPORT: Fang Chen */
/* REF: PROC MCMC */
/* MISC: */
/****************************************************************/
data dlm;
input time y;
datalines;
1 1.353412529
2 4.840739953
3 1.604892523
4 6.8947921
5 3.509644288
6 4.020173553
7 3.842884451
8 4.49057276
9 2.204570502
10 4.007351323
11 2.005515044
12 2.781756057
;
proc mcmc data=dlm outpost=dlmO nmc=20000 seed=23;
ods select PostSumInt;
parms alpha 0;
parms var_y 1 var_mu 1;
prior alpha ~ n(0, sd=10);
prior var_y var_mu ~ igamma(shape=3, scale=2);
random mu ~ n(mu.l1,var=var_mu) s=time icond=(alpha) monitor=(mu);
model y~n(mu, var=var_y);
run;