MARSSinits: Initial Values for MLE

In MARSS: Multivariate Autoregressive State-Space Modeling

Initial Values for MLE

Description

Sets up generic starting values for parameters for maximum-likelihood estimation algorithms that use an iterative maximization routine needing starting values. Examples of such algorithms are the EM algorithm in MARSSkem() and Newton methods in MARSSoptim(). This is a utility function in the MARSS-package. It is not exported to the user. Users looking for information on specifying initial conditions should look at the help file for MARSS() and the User Guide section on initial conditions.

The function assumes that the user passed in the inits list using the parameter names in whatever form was specified in the MARSS() call. The default is form="marxss". The MARSSinits() function calls MARSSinits_foo, where foo is the form specified in the MARSS() call. MARSSinits_foo translates the inits list in form foo into form marss.

Usage

MARSSinits(MLEobj, inits=list(B=1, U=0, Q=0.05, Z=1, A=0, 
    R=0.05, x0=-99, V0=5, G=0, H=0, L=0))

Arguments

MLEobj	An object of class marssMLE.
inits	A list of column vectors (matrices with one column) of the estimated values in each parameter matrix.

Details

Creates an inits parameter list for use by iterative maximization algorithms.

Default values for inits is supplied in MARSSsettings.R. The user can alter these and supply any of the following (m is the dim of X and n is the dim of Y in the MARSS model):

• elem=A,U A numeric vector or matrix which will be constructed into inits$elem by the command array(inits$elem),dim=c(n or m,1)). If elem is fixed in the model, any inits$elem values will be overridden and replaced with the fixed value. Default is array(0,dim=c(n or m,1)).

• elem=Q,R,B A numeric vector or matrix. If length equals the length MODELobj$fixed$elem then inits$elem will be constructed by array(inits$elem),dim=dim(MODELobj$fixed$elem)). If length is 1 or equals dim of Q or dim of R then inits$elem will be constructed into a diagonal matrix by the command diag(inits$elem). If elem is fixed in the model, any inits$elem values will be overridden and replaced with the fixed value. Default is diag(0.05, dim of Q or R) for Q and R. Default is diag(1,m) for B.

• x0 If inits$x0=-99, then starting values for x0 are estimated by a linear regression through the count data assuming A is all zero. This will be a poor start if inits$A is not 0. If inits$x0 is a numeric vector or matrix, inits$x0 will be constructed by the command array(inits$x0),dim=c(m,1)). If x0 is fixed in the model, any inits$x0 values will be overridden and replaced with the fixed value. Default is inits$x0=-99.

• Z If Z is fixed in the model, inits$Z set to the fixed value. If Z is not fixed, then the user must supply inits$Z. There is no default.

• elem=V0 V0 is never estimated, so this is never used.

Value

A list with initial values for the estimated values for each parameter matrix in a MARSS model in marss form. So this will be a list with elements B, U, Q, Z, A, R, x0, V0, G, H, L.

Note

Within the base code, a form-specific internal MARSSinits function is called to allow the output to vary based on form: MARSSinits_dfa, MARSSinits_marss, MARSSinits_marxss.

Author(s)

Eli Holmes, NOAA, Seattle, USA.

See Also

marssMODEL, MARSSkem(), MARSSoptim()

MARSS documentation built on May 29, 2024, 3:34 a.m.