bayes_mixAR.RdSamples parameters of a mixture autoregressive model from respective posterior distributions.
bayes_mixAR(y, model, fix_shift = FALSE, a = .2, c = 2, tau, nsim, burnin)
| y | a time series (currently a numeric vector). |
|---|---|
| model | an object of class |
| fix_shift | should |
| a, c | numeric hyperparameters, default values are from Richardson and Green (1997) . |
| tau |
|
| nsim |
|
| burnin |
|
For details see Ravagli and Boshnakov (2020) .
a list with following elements:
a g columns matrix with samples from the posterior distributions of
the mixing weights.
a g columns matrix with samples from posterior distributions of
scale parameters.
a g columns matrix with samples from posterior distributions of
precision parameters, defined as 1 / (scale ^ 2).
a g columns matrix with samples from posterior distributions of
shift parameters, namely phi_k0.
a g columns matrix with samples from posterior distributions
of component means, calculated as phi_k0 / (1 - phi_k1 - phi_k2 - ...).
a list which elements are matrices, one for each AR component in the mixture.
numeric vector, the acceptance rate for M-H moves.
the sample size, calculated as nsim - burnin.
the latest Z variables drawn (for utility only).
the number of components in the mixture.
same as input, whether the shift parameter was kept fixed or not.
Richardson S, Green PJ (1997). “On Bayesian Analysis of Mixtures with an Unknown Number of Components.” J. R. Stat. Soc., Ser. B, Stat. Methodol. , 59(4), 731-792.
Ravagli D, Boshnakov GN (2020). “Bayesian analysis of mixture autoregressive models covering the complete parameter space.” 2006.11041, https://arxiv.org/abs/2006.11041.
prob <- c(0.5, 0.5) sigma <- c(1, 2) ar <- list(-0.5, 1) model <- new("MixARGaussian", prob = prob, scale = sigma, arcoef = ar) ## MAR(1,1) model y <- mixAR_sim(model, 300, rep(0, max(model@order))) bayes_mixAR(y, model, fix_shift = FALSE, tau = c(.15,.25), nsim = 20, burnin = 10)#> $mix_weights #> [,1] [,2] #> [1,] 0.5859404 0.4140596 #> [2,] 0.5675420 0.4324580 #> [3,] 0.6090409 0.3909591 #> [4,] 0.5816917 0.4183083 #> [5,] 0.5090090 0.4909910 #> [6,] 0.4638817 0.5361183 #> [7,] 0.4745710 0.5254290 #> [8,] 0.5371336 0.4628664 #> [9,] 0.5879339 0.4120661 #> [10,] 0.5532978 0.4467022 #> #> $scale #> [,1] [,2] #> [1,] 1.1431564 2.074092 #> [2,] 1.0450437 2.314067 #> [3,] 1.0833460 1.938325 #> [4,] 1.0272325 1.843347 #> [5,] 1.0229076 2.113068 #> [6,] 1.0677279 1.984406 #> [7,] 0.9103989 2.082002 #> [8,] 0.9609276 2.259794 #> [9,] 1.1051917 2.143391 #> [10,] 1.1997655 2.147962 #> #> $precision #> [,1] [,2] #> [1,] 0.7652242 0.2324578 #> [2,] 0.9156534 0.1867446 #> [3,] 0.8520510 0.2661625 #> [4,] 0.9476817 0.2942969 #> [5,] 0.9557124 0.2239614 #> [6,] 0.8771600 0.2539446 #> [7,] 1.2065256 0.2306948 #> [8,] 1.0829756 0.1958223 #> [9,] 0.8186999 0.2176694 #> [10,] 0.6947160 0.2167438 #> #> $shift #> [,1] [,2] #> [1,] -0.17388804 -0.33229027 #> [2,] 0.07111309 -0.19669854 #> [3,] 0.04899561 -0.20119328 #> [4,] -0.02118783 -0.36544546 #> [5,] -0.08636606 -0.33550322 #> [6,] -0.07308396 -0.16964398 #> [7,] -0.05537787 -0.35371554 #> [8,] -0.13936048 -0.04630361 #> [9,] -0.05377540 -0.23745943 #> [10,] -0.05190417 -0.07954147 #> #> $mu #> [,1] [,2] #> [1,] -0.11596246 3.1612893 #> [2,] 0.04742389 1.2848873 #> [3,] 0.03267419 1.3142482 #> [4,] -0.01412974 2.3871872 #> [5,] -0.05759580 2.1915965 #> [6,] -0.04873823 1.1081598 #> [7,] -0.03693039 2.3105643 #> [8,] -0.09293672 0.3024675 #> [9,] -0.03586174 1.5511483 #> [10,] -0.03461385 0.5195861 #> #> $ARcoeff #> $ARcoeff$Component_1 #> [,1] #> [1,] -0.4995202 #> [2,] -0.4995202 #> [3,] -0.4995202 #> [4,] -0.4995202 #> [5,] -0.4995202 #> [6,] -0.4995202 #> [7,] -0.4995202 #> [8,] -0.4995202 #> [9,] -0.4995202 #> [10,] -0.4158659 #> #> $ARcoeff$Component_2 #> [,1] #> [1,] 1.153086 #> [2,] 1.153086 #> [3,] 1.153086 #> [4,] 1.153086 #> [5,] 1.153086 #> [6,] 1.153086 #> [7,] 1.153086 #> [8,] 1.153086 #> [9,] 1.153086 #> [10,] 1.153086 #> #> #> $acc_rate #> [1] 0.1 0.1 #> #> $n_samp #> [1] 10 #> #> $LatentZ #> latent Z 1 latent Z 2 #> [1,] 0 1 #> [2,] 0 1 #> [3,] 0 1 #> [4,] 0 1 #> [5,] 1 0 #> [6,] 1 0 #> [7,] 0 1 #> [8,] 0 1 #> [9,] 1 0 #> [10,] 1 0 #> [11,] 0 1 #> [12,] 1 0 #> [13,] 1 0 #> [14,] 1 0 #> [15,] 0 1 #> [16,] 1 0 #> [17,] 0 1 #> [18,] 1 0 #> [19,] 0 1 #> [20,] 0 1 #> [21,] 1 0 #> [22,] 1 0 #> [23,] 0 1 #> [24,] 1 0 #> [25,] 1 0 #> [26,] 0 1 #> [27,] 1 0 #> [28,] 0 1 #> [29,] 0 1 #> [30,] 1 0 #> [31,] 1 0 #> [32,] 1 0 #> [33,] 0 1 #> [34,] 1 0 #> [35,] 1 0 #> [36,] 1 0 #> [37,] 0 1 #> [38,] 1 0 #> [39,] 1 0 #> [40,] 1 0 #> [41,] 1 0 #> [42,] 1 0 #> [43,] 1 0 #> [44,] 0 1 #> [45,] 0 1 #> [46,] 1 0 #> [47,] 1 0 #> [48,] 0 1 #> [49,] 1 0 #> [50,] 0 1 #> [51,] 1 0 #> [52,] 0 1 #> [53,] 1 0 #> [54,] 1 0 #> [55,] 1 0 #> [56,] 1 0 #> [57,] 0 1 #> [58,] 0 1 #> [59,] 0 1 #> [60,] 1 0 #> [61,] 0 1 #> [62,] 1 0 #> [63,] 0 1 #> [64,] 1 0 #> [65,] 0 1 #> [66,] 0 1 #> [67,] 1 0 #> [68,] 0 1 #> [69,] 1 0 #> [70,] 0 1 #> [71,] 1 0 #> [72,] 1 0 #> [73,] 0 1 #> [74,] 0 1 #> [75,] 0 1 #> [76,] 1 0 #> [77,] 1 0 #> [78,] 0 1 #> [79,] 0 1 #> [80,] 1 0 #> [81,] 0 1 #> [82,] 0 1 #> [83,] 0 1 #> [84,] 1 0 #> [85,] 0 1 #> [86,] 1 0 #> [87,] 0 1 #> [88,] 0 1 #> [89,] 1 0 #> [90,] 1 0 #> [91,] 1 0 #> [92,] 1 0 #> [93,] 0 1 #> [94,] 1 0 #> [95,] 0 1 #> [96,] 0 1 #> [97,] 1 0 #> [98,] 1 0 #> [99,] 1 0 #> [100,] 0 1 #> [101,] 0 1 #> [102,] 0 1 #> [103,] 0 1 #> [104,] 0 1 #> [105,] 1 0 #> [106,] 0 1 #> [107,] 0 1 #> [108,] 0 1 #> [109,] 0 1 #> [110,] 1 0 #> [111,] 1 0 #> [112,] 1 0 #> [113,] 1 0 #> [114,] 1 0 #> [115,] 0 1 #> [116,] 0 1 #> [117,] 1 0 #> [118,] 1 0 #> [119,] 1 0 #> [120,] 1 0 #> [121,] 1 0 #> [122,] 0 1 #> [123,] 1 0 #> [124,] 0 1 #> [125,] 0 1 #> [126,] 1 0 #> [127,] 1 0 #> [128,] 0 1 #> [129,] 0 1 #> [130,] 1 0 #> [131,] 0 1 #> [132,] 0 1 #> [133,] 0 1 #> [134,] 1 0 #> [135,] 0 1 #> [136,] 1 0 #> [137,] 1 0 #> [138,] 0 1 #> [139,] 1 0 #> [140,] 1 0 #> [141,] 1 0 #> [142,] 0 1 #> [143,] 0 1 #> [144,] 1 0 #> [145,] 0 1 #> [146,] 1 0 #> [147,] 0 1 #> [148,] 1 0 #> [149,] 1 0 #> [150,] 1 0 #> [151,] 0 1 #> [152,] 0 1 #> [153,] 1 0 #> [154,] 1 0 #> [155,] 0 1 #> [156,] 0 1 #> [157,] 0 1 #> [158,] 1 0 #> [159,] 1 0 #> [160,] 0 1 #> [161,] 1 0 #> [162,] 1 0 #> [163,] 1 0 #> [164,] 1 0 #> [165,] 0 1 #> [166,] 1 0 #> [167,] 1 0 #> [168,] 1 0 #> [169,] 1 0 #> [170,] 0 1 #> [171,] 1 0 #> [172,] 1 0 #> [173,] 1 0 #> [174,] 1 0 #> [175,] 0 1 #> [176,] 1 0 #> [177,] 0 1 #> [178,] 1 0 #> [179,] 1 0 #> [180,] 1 0 #> [181,] 0 1 #> [182,] 0 1 #> [183,] 1 0 #> [184,] 1 0 #> [185,] 0 1 #> [186,] 1 0 #> [187,] 0 1 #> [188,] 1 0 #> [189,] 0 1 #> [190,] 0 1 #> [191,] 0 1 #> [192,] 1 0 #> [193,] 1 0 #> [194,] 1 0 #> [195,] 1 0 #> [196,] 0 1 #> [197,] 0 1 #> [198,] 1 0 #> [199,] 1 0 #> [200,] 1 0 #> [201,] 0 1 #> [202,] 1 0 #> [203,] 1 0 #> [204,] 1 0 #> [205,] 0 1 #> [206,] 1 0 #> [207,] 1 0 #> [208,] 1 0 #> [209,] 1 0 #> [210,] 1 0 #> [211,] 0 1 #> [212,] 0 1 #> [213,] 1 0 #> [214,] 1 0 #> [215,] 0 1 #> [216,] 0 1 #> [217,] 1 0 #> [218,] 1 0 #> [219,] 1 0 #> [220,] 1 0 #> [221,] 0 1 #> [222,] 1 0 #> [223,] 1 0 #> [224,] 0 1 #> [225,] 1 0 #> [226,] 0 1 #> [227,] 1 0 #> [228,] 0 1 #> [229,] 1 0 #> [230,] 0 1 #> [231,] 0 1 #> [232,] 1 0 #> [233,] 0 1 #> [234,] 1 0 #> [235,] 0 1 #> [236,] 0 1 #> [237,] 0 1 #> [238,] 1 0 #> [239,] 1 0 #> [240,] 0 1 #> [241,] 0 1 #> [242,] 1 0 #> [243,] 1 0 #> [244,] 0 1 #> [245,] 1 0 #> [246,] 0 1 #> [247,] 0 1 #> [248,] 0 1 #> [249,] 0 1 #> [250,] 1 0 #> [251,] 0 1 #> [252,] 1 0 #> [253,] 1 0 #> [254,] 0 1 #> [255,] 0 1 #> [256,] 1 0 #> [257,] 1 0 #> [258,] 1 0 #> [259,] 0 1 #> [260,] 1 0 #> [261,] 1 0 #> [262,] 0 1 #> [263,] 1 0 #> [264,] 1 0 #> [265,] 1 0 #> [266,] 0 1 #> [267,] 0 1 #> [268,] 0 1 #> [269,] 0 1 #> [270,] 1 0 #> [271,] 1 0 #> [272,] 0 1 #> [273,] 0 1 #> [274,] 0 1 #> [275,] 1 0 #> [276,] 0 1 #> [277,] 1 0 #> [278,] 1 0 #> [279,] 0 1 #> [280,] 0 1 #> [281,] 1 0 #> [282,] 1 0 #> [283,] 0 1 #> [284,] 1 0 #> [285,] 1 0 #> [286,] 0 1 #> [287,] 1 0 #> [288,] 1 0 #> [289,] 0 1 #> [290,] 0 1 #> [291,] 0 1 #> [292,] 1 0 #> [293,] 0 1 #> [294,] 1 0 #> [295,] 1 0 #> [296,] 1 0 #> [297,] 1 0 #> [298,] 0 1 #> [299,] 1 0 #> #> $ncomp #> [1] 2 #> #> $fix_shift #> [1] FALSE #>