dma: Dynamic model averaging for continuous outcomes

In dma: Dynamic Model Averaging

Dynamic model averaging for continuous outcomes

Description

Implemtent dynamic model averaging for continuous outcomes as described in Raftery, A.E., Karny, M., and Ettler, P. (2010). Online Prediction Under Model Uncertainty Via Dynamic Model Averaging: Application to a Cold Rolling Mill. Technometrics 52:52-66. Along with the values described below, plot() creates a plot of the posterior model probabilities over time and model-averaged fitted values and print() returns model matrix and posterior model probabilities. There are TT time points, K models, and d total covariates.

Usage

dma(x, y, models.which, lambda=0.99, gamma=0.99, 
 eps=.001/nrow(models.which), delay=0, initialperiod=200)

Arguments

x	TTxd matrix of system inputs
y	TT-vector of system outputs
models.which	Kxd matrix, with 1 row per model and 1 col per variable indicating whether that variable is in the model (the state theta is of dim (model.dim+1); the extra 1 for the intercept)
lambda	parameter forgetting factor
gamma	flatterning parameter for model updating
eps	regularization parameter for regularizing posterior model model probabilities away from zero
delay	When y_t is controlled, only y_{t-delay-1} and before are available. This is determined by the machine. Note that delay as defined here corresponds to (k-1) in the Ettler et al (2007, MixSim) paper. Thus k=25 in the paper corresponds to delay=24.
initialperiod	length of initial period. Performance is summarized with and without the first initialperiod samples.

Value

yhat.bymodel	TTxK matrix whose (t,k) element gives \hat{y} for y_t for model k
yhat.ma	TT vector whose t element gives the model-averaged \hat{y} for y_t
pmp	TTxK matrix whose (t,k) element is the post prob of model k at t
thetahat	KxTTx(nvar+1) array whose (k,t,j) element is the estimate of \theta_{j-1} for model k at t
Vtheta	KxTTx(nvar+1) array whose (k,t,j) element is the variance of \theta_{j-1} for model k at t
thetahat.ma	TTx(nvar+1) matrix whose (t,j) element is the model-averaged estimate of \theta_{j-1} at t
Vtheta.ma	TTx(nvar+1) matrix whose (t,j) element is the model-averaged variance of \hat{\theta}_{j-1} at t
mse.bymodel	MSE for each model
mse.ma	MSE of model-averaged prediction
mseinitialperiod.bymodel	MSE for each model excluding the first initialperiod samples
mseinitialperiod.ma	MSE of model averaging excluding the first initialperiod samples
model.forget	forgetting factor for the model switching matrix

Author(s)

Adrian Raftery, Tyler H. McCormick

References

Raftery, A.E., Karny, M., and Ettler, P. (2010). Online Prediction Under Model Uncertainty Via Dynamic Model Averaging: Application to a Cold Rolling Mill. Technometrics 52:52-66.

Examples

#simulate some data to test
#first, static coefficients
coef<-c(1.8,3.4,-2,3,-2.8,3)
coefmat<-cbind(rep(coef[1],200),rep(coef[2],200),
            rep(coef[3],200),rep(coef[4],200),
            rep(coef[5],200),rep(coef[6],200))
#then, dynamic ones
coefmat<-cbind(coefmat,seq(1,2.45,length.out=nrow(coefmat)),
            seq(-.75,-2.75,length.out=nrow(coefmat)),
            c(rep(-1.5,nrow(coefmat)/2),rep(-.5,nrow(coefmat)/2)))
npar<-ncol(coefmat)-1
dat<-matrix(rnorm(200*(npar),0,1),200,(npar))
ydat<-rowSums((cbind(rep(1,nrow(dat)),dat))[1:100,]*coefmat[1:100,])
ydat<-c(ydat,rowSums((cbind(rep(1,nrow(dat)),dat)*coefmat)[-c(1:100),c(6:9)]))
mmat<-matrix(c(c(1,0,1,0,0,rep(1,(npar-7)),0,0),
            c(rep(0,(npar-4)),rep(1,4)),rep(1,npar)),3,npar,byrow=TRUE)
dma.test<-dma(dat,ydat,mmat,lambda=.99,gamma=.99,initialperiod=20)
plot(dma.test)

dma documentation built on Aug. 8, 2025, 7:43 p.m.