exalStaticDiagnostics: exAL Diagnostics

In exdqlm: Extended Dynamic Quantile Linear Models

exAL Diagnostics

Description

Static diagnostics companion for exalStaticLDVB() and exalStaticMCMC(). The function summarizes fitted quantiles on a shared design matrix, reports mean check loss against observed responses when available, and can optionally compare the fitted quantile curve against a known reference quantile function. The returned diagnostic object also stores posterior summaries for the static regression coefficients, which can be plotted with plot(..., type = "coefficients").

Usage

exalStaticDiagnostics(
  m1,
  m2 = NULL,
  X = NULL,
  y = NULL,
  ref = NULL,
  plot = TRUE,
  cols = c("red", "blue"),
  cr.percent = 0.95
)

Arguments

m1	An object of class "exalStaticLDVB" or "exalStaticMCMC".
m2	Optional second fitted static model to compare against m1.
X	Optional design matrix. If omitted, the function uses m1$X when available.
y	Optional response vector. If omitted, the function uses m1$y when available.
ref	Optional reference quantile vector on the same rows as X.
plot	Logical; if TRUE, produce a compact static-diagnostics plot.
cols	Character vector of length 1 or 2 giving colors for plotted diagnostics.
cr.percent	Credible-interval mass used when summarizing fitted quantiles.

Details

Unlike exdqlmDiagnostics, which is built around one-step-ahead dynamic forecast diagnostics, exalStaticDiagnostics() is designed for the static regression setting. It reports fitted quantile summaries on a common design matrix, optional mean check loss against observed responses, optional reference-curve errors, coefficient posterior summaries, and compact comparison plots. The ref argument is a reference conditional quantile evaluated on the rows of X; it is distinct from the optional beta.ref argument of plot.exalStaticDiagnostic, which is used only to overlay known coefficient values in simulation examples.

Value

An object of class "exalStaticDiagnostic" containing fitted-quantile summaries, residual summaries (when y is provided), optional reference-curve error metrics, coefficient posterior summaries, and run-time metadata for m1 and m2 (if supplied).

Examples

set.seed(1)
x <- seq(-2, 2, length.out = 60)
X <- cbind(1, x)
y <- 0.5 * x + (1.2 + 0.35 * x) * stats::rnorm(length(x))
q_true <- 0.5 * x + (1.2 + 0.35 * x) * stats::qnorm(0.25)

fit_ldvb <- exalStaticLDVB(
  y = y, X = X, p0 = 0.25,
  max_iter = 60, tol = 1e-3,
  verbose = FALSE
)
fit_mcmc <- exalStaticMCMC(
  y = y, X = X, p0 = 0.25,
  n.burn = 60, n.mcmc = 60,
  mh.proposal = "slice",
  verbose = FALSE
)
out <- exalStaticDiagnostics(fit_ldvb, fit_mcmc, ref = q_true, plot = FALSE)
print(out)
plot(out, type = "coefficients")

exdqlm documentation built on June 5, 2026, 1:06 a.m.