rstandard.KFS: Extract Standardized Residuals from KFS output

In KFAS: Kalman Filter and Smoother for Exponential Family State Space Models

Extract Standardized Residuals from KFS output

Description

Extract Standardized Residuals from KFS output

Usage

## S3 method for class 'KFS'
rstandard(
  model,
  type = c("recursive", "pearson", "state"),
  standardization_type = c("marginal", "cholesky"),
  zerotol = 0,
  expected = FALSE,
  ...
)

Arguments

model	KFS object
type	Type of residuals. See details.
standardization_type	Type of standardization. Either "marginal" (default) for marginal standardization or "cholesky" for Cholesky-type standardization.
zerotol	Tolerance parameter for positivity checking in standardization. Default is zero. The values of D <= zerotol * max(D, 0) are deemed to zero.
expected	Logical value defining the approximation of H_t in case of Gamma and negative binomial distribution. Default is FALSE which matches the algorithm of Durbin & Koopman (1997), whereas TRUE uses the expected value of observations in the equations, leading to results which match with glm (where applicable). The latter case was the default behaviour of KFAS before version 1.3.8. Essentially this is the difference between observed and expected information.
...	Ignored.

Details

For object of class KFS with fully Gaussian observations, several types of standardized residuals can be computed. Also the standardization for multivariate residuals can be done either by Cholesky decomposition L^{-1}_t residual_t, or component-wise residual_t/sd(residual_t),.

• "recursive": For Gaussian models the vector standardized one-step-ahead prediction residuals are defined as

  v_{t,i}/\sqrt{F_{i,t}},

  with residuals being undefined in diffuse phase. Note that even in multivariate case these standardized residuals coincide with the ones obtained from the Kalman filter without the sequential processing (which is not true for the non-standardized innovations). For non-Gaussian models the vector standardized recursive residuals are obtained as

  L^{-1}_t (y_{t}-\mu_{t}),

  where L_t is the lower triangular matrix from Cholesky decomposition of Var(y_t|y_{t-1},\ldots,y_1). Computing these for large non-Gaussian models can be time consuming as filtering is needed.

  For Gaussian models the component-wise standardized one-step-ahead prediction residuals are defined as

  v_{t}/\sqrt{diag(F_{t})},

  where v_{t} and F_{t} are based on the standard multivariate processing. For non-Gaussian models these are obtained as

  (y_{t}-\mu_{t})/\sqrt{diag(F_t)},

  where F_t=Var(y_t|y_{t-1},\ldots,y_1).

• "state": Residuals based on the smoothed state disturbance terms \eta are defined as

  L^{-1}_t \hat \eta_t, \quad t=1,\ldots,n,

  where L_t is either the lower triangular matrix from Cholesky decomposition of Var(\hat\eta_t) = Q_t - V_{\eta,t}, or the diagonal of the same matrix.

• "pearson": Standardized Pearson residuals

  L^{-1}_t(y_{t}-\theta_{i}), \quad t=1,\ldots,n,

  where L_t is the lower triangular matrix from Cholesky decomposition of Var(\hat\mu_t) = H_t - V_{\mu,t}, or the diagonal of the same matrix. For Gaussian models, these coincide with the standardized smoothed \epsilon disturbance residuals (as V_{\mu,t} = V_{\epsilon,t}), and for generalized linear models these coincide with the standardized Pearson residuals (hence the name).

Note that the variance estimates from KFS are of form Var(x | y), e.g., V_eps from KFS is Var(\epsilon_t | Y) and matches with equation 4.69 in Section 4.5.3 of Durbin and Koopman (2012). (in case of univariate Gaussian model). But for the standardization we need Var(E(x | y)) (e.g., Var(epshat) which we get with the law of total variance as H_t - V_eps for example.

Examples

# Replication of residual plot of Section 8.2 of Durbin and Koopman (2012)
model <- SSModel(log(drivers) ~ SSMtrend(1, Q = list(NA))+
    SSMseasonal(period = 12, sea.type = "trigonometric", Q = NA),
  data = Seatbelts, H = NA)

updatefn <- function(pars, model){
  model$H[] <- exp(pars[1])
  diag(model$Q[, , 1]) <- exp(c(pars[2], rep(pars[3], 11)))
  model
}

fit <- fitSSM(model = model,
  inits = log(c(var(log(Seatbelts[, "drivers"])), 0.001, 0.0001)),
  updatefn = updatefn)

# tiny differences due to different optimization algorithms
setNames(c(diag(fit$model$Q[,,1])[1:2], fit$model$H[1]),
  c("level", "seasonal", "irregular"))

out <- KFS(fit$model, smoothing = c("state", "mean", "disturbance"))

plot(cbind(
  recursive = rstandard(out),
  irregular = rstandard(out, "pearson"),
  state = rstandard(out, "state")[,1]),
  main = "recursive and state residuals", type = "h")

# Figure 2.8 in DK2012
model_Nile <- SSModel(Nile ~
    SSMtrend(1, Q = list(matrix(NA))), H = matrix(NA))
model_Nile <- fitSSM(model_Nile, c(log(var(Nile)), log(var(Nile))),
  method = "BFGS")$model

out_Nile <- KFS(model_Nile,  smoothing = c("state", "mean", "disturbance"))

par(mfrow = c(2, 2))
res_p <- rstandard(out_Nile, "pearson")
ts.plot(res_p)
abline(a = 0, b= 0, lty = 2)
hist(res_p, freq = FALSE)
lines(density(res_p))
res_s <- rstandard(out_Nile, "state")
ts.plot(res_s)
abline(a = 0, b= 0, lty = 2)
hist(res_s, freq = FALSE)
lines(density(res_s))

KFAS documentation built on Sept. 8, 2023, 5:56 p.m.