exdqlmDiagnostics: exDQLM Diagnostics

In exdqlm: Extended Dynamic Quantile Linear Models

exDQLM Diagnostics

Description

The function computes the following for the model(s) provided: the posterior predictive loss criterion based off the check loss, the one-step-ahead distribution sequence and its KL divergence from normality. The function also plots the following: the qq-plot and ACF plot corresponding to the one-step-ahead distribution sequence, and a time series plot of the MAP standard forecast errors.

Usage

exdqlmDiagnostics(
  m1,
  m2 = NULL,
  plot = TRUE,
  cols = c("red", "blue"),
  ref = NULL
)

Arguments

m1	An object of class "exdqlmMCMC" or "exdqlmISVB".
m2	An optional additional object of class "exdqlmMCMC" or "exdqlmISVB" to compare with m1.
plot	If TRUE, the following will be plotted for m1 and m2 (if provided): a qq-plot and ACF plot of the MAP one-step-ahead distribution sequence, and a time series plot of the standardized forecast errors.
cols	Color(s) used to plot diagnostics.
ref	Reference sample of size length(y) from a standard normal distribution used to compute the KL divergence.

Value

A object of class "exdqlmDiagnostics" containing the following:

• m1.uts - The one-step-ahead distribution sequence of m1.

• m1.KL - The KL divergence of m1.uts and a standard normal.

• m1.pplc - The posterior predictive loss criterion of m1 based off the check loss function.

• m1.qq - The ordered pairs of the qq-plot comparing m1.uts with a standard normal distribution.

• m1.acf - The autocorrelations of m1.uts by lag.

• m1.rt - Run-time of the original model m1 in seconds.

• m1.msfe - MAP standardized one-step-ahead forecast errors from the original model m1.

• y - The original time-series used to fit m1.

If m2 is provided, analogous results for m2 are also included in the list.

Examples

y = scIVTmag[1:100]
model = polytrendMod(1,mean(y),10)
M0 = exdqlmISVB(y,p0=0.85,model,df=c(0.95),dim.df = c(1),
                  gam.init=-3.5,sig.init=15)
M0.diags = exdqlmDiagnostics(M0,plot=FALSE)

exdqlm documentation built on Feb. 8, 2026, 1:06 a.m.