dynr-package: Dynamic Models with Regime-Switching

In dynr: Dynamic Models with Regime-Switching

Dynamic Models with Regime-Switching

Description

Intensive longitudinal data have become increasingly prevalent in various scientific disciplines. Many such data sets are noisy, multivariate, and multi-subject in nature. The change functions may also be continuous, or continuous but interspersed with periods of discontinuities (i.e., showing regime switches). The package 'dynr' (Dynamic Modeling in R) is an R package that implements a set of computationally efficient algorithms for handling a broad class of linear and nonlinear discrete- and continuous-time models with regime-switching properties under the constraint of linear Gaussian measurement functions. The discrete-time models can generally take on the form of a state-space or difference equation model. The continuous-time models are generally expressed as a set of ordinary or stochastic differential equations. All estimation and computations are performed in C, but users are provided with the option to specify the model of interest via a set of simple and easy-to-learn model specification functions in R. Model fitting can be performed using single-subject time series data or multiple-subject longitudinal data. Ou, Hunter, & Chow (2019) <doi:10.32614%2FRJ-2019-012> provided a detailed introduction to the interface and more information on the algorithms.

Details

The DESCRIPTION file: This package was not yet installed at build time.
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Because the dynr package compiles C code in response to user input, more setup is required for the dynr package than for many others. We acknowledge that this additional setup can be bothersome, but we believe the ease of use for the rest of the package and the wide variety of models it is possible to fit with it will compensate for this initial burden. Hopefully you will agree!

See the installation vignette referenced in the Examples section below for installation instructions.

The naming convention for dynr exploits the pronunciation of the package name, dynr, pronounced the same as “dinner”. That is, the names of functions and methods are specifically designed to relate to things done surrounding dinner, such as gathering ingredients (e.g., the data), preparing recipes, cooking, and serving the finished product. The general procedure for using the dynr package can be summarized in five steps as below.

1. Data are prepared using with the dynr.data() function.

2. Recipes are prepared. To each part of a model there is a corresponding prep.*() recipe function. Examples of such prep.*() functions include: prep.measurement(), prep.matrixDynamics(), prep.formulaDynamics(), prep.initial(), prep.noise(), and prep.regimes().

3. The function dynr.model() mixes the data and recipes together into a model object of class dynrModel.

4. The model is cooked with dynr.cook().

5. Results from model fitting and related estimation are served using functions such as summary(), plot(), dynr.ggplot() (or its alias autoplot()), plotFormula(), and printex().

Note

State-space modeling, dynamic model, differential equation, regime switching, nonlinear

Author(s)

Lu Ou [aut], Michael D. Hunter [aut, cre] (<https://orcid.org/0000-0002-3651-6709>), Sy-Miin Chow [aut] (<https://orcid.org/0000-0003-1938-027X>), Linying Ji [aut], Meng Chen [aut], Hui-Ju Hung [aut], Jungmin Lee [aut], Yanling Li [aut], Jonathan Park [aut], Massachusetts Institute of Technology [cph], S. G. Johnson [cph], Benoit Scherrer [cph], Dieter Kraft [cph]

Maintainer: Michael D. Hunter <[e-mail]>

References

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Chow17adynr

See Also

For other annotated tutorials using the dynr package see https://quantdev.ssri.psu.edu/resources/what%E2%80%99s-dynr-package-linear-and-nonlinear-dynamic-modeling-r

Examples

# For installation instructions see the package vignette below
## Not run: 
vignette(package='dynr', 'InstallationForUsers')

## End(Not run)
# This should open a pdf/html file to guide you through proper
#  installation and configuration.

#For illustrations of the functions in dynr, check out some of the demo examples in:
## Not run: 
demo(package='dynr')

## End(Not run)

#For example, to run the demo 'LinearSDE' type
# the following without the comment character (#) in front of it.
## Not run: 
demo('LinearSDE', package='dynr')

## End(Not run)

dynr documentation built on May 29, 2024, 2:49 a.m.