Description Usage Arguments Value Examples
View source: R/functions-code.R
This is the main function of the package. It takes as inputs the time series data as response, as well as a predictor matrix, excluding the intercept column, and other settings. It returns as outputs a scalar representing the value of alpha which maximizes the marginal predictive likelihood of the data given the grid of alpha values considered.
1 2 | alphahat_LR_one_Rcpp(y, X = FALSE, alpha.grid = seq(0.65, 1, length.out =
150), init = 2, plotting = TRUE)
|
y |
T-length time series vector. y[1] represents the beginning of the time eries. |
X |
[T x p] dimensional matrix of covariates. This should not include the intercept column. If X is FALSE, intercept model is run. |
alpha.grid |
Grid of alpha values over which to compute the marginal predictive likelihood. |
init |
integer representing the time point to begin computing marginal predictive likelihoods. |
plotting |
If TRUE, plot the marginal predictive distribution of alpha. |
Return a scalar value representing the value of alpha which maximizes the marginal predictive likelihood of the data over the grid of alpha values considered.
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 | set.seed(12)
N=80
err = rnorm(N)
X = 1:N
slopes = c(rep(1.5,40),rep(2,N-40))
y = rep(5,N) + slopes*X + err
init=6
alpha.grid = seq(.75,1,length.out=40)
alphahat=alphahat_LR_one_Rcpp(y=y,X=X,alpha.grid=alpha.grid,init=init,plotting=TRUE)
alpha1 = 1.0
coeffs1 = bhat.func(y,X,alpha1)
alpha2 = alphahat
coeffs2 = bhat.func(y,X,alpha2)
plot(x=X,y=y)
abline(a=coeffs2[1],b=coeffs2[2],lty=2,col="red")
abline(a=coeffs1[1],b=coeffs1[2],lty=2)
legend("right", legend=c("OLS","PWD"), col=c(1,2), lty=c(2,2), lwd=c(1,1))
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