Choose_pk: Choose the autoregressive order of MixAR components

In mixAR: Mixture Autoregressive Models

Choose the autoregressive order of MixAR components

Description

Reversible Jump MCMC algorithm to choose the optimal autoregressive order of each component of a mixture autoregressive model.

Usage

Choose_pk(y, model, fix_shift = FALSE, tau, pmax, method, par = NULL, nsim)

Arguments

y	a time series. Currently a numeric vector.
model	an object inheriting from class "MixAR".
fix_shift	whether the shift/mean parameter should be kept fixed to its starting value or not. Default is FALSE.
tau	tuning parameters for Metropolis-Hastings algorithm in sampling AR coefficients.
pmax	the largest autoregressive order allowed for each component.
method	character vector of length 1. Method for calculating probability of new AR order to be increased/decreased by 1 unit. Currently available "Ratio", "Poisson" and "NULL". Default is "NULL".
par	numeric, parameter for tuning probabilities according to method. Ignored if method is "NULL".
nsim	numeric, the number of iterations.

Value

out	a dataframe with g+1 columns. The first g columns contain the autoregressive orders of the components, the last column how often a model is preferred, divided by nsim.
fix_shift	the choice made for the shift/mean parameters.
method	the method used to increase/decrease AR orders.

Note

Choose_pk currenlty supports class "MixARGaussian" only.

Author(s)

Davide Ravagli

References

\insertRef

ravagli2020bayesianmixAR

See Also

bx_dx for more details on the method

Examples

model <- new("MixARGaussian", 
             prob   = exampleModels$WL_At@prob,      # c(0.5, 0.5)
             scale  = exampleModels$WL_At@scale,     # c(1, 2)        
             arcoef = list(-0.5, 1) )
             # note: arcoef != list(-0.5, 1.1) == exampleModels$WL_At@arcoef@a

set.seed(1234)
n <- 50 # 200
y <- mixAR_sim(model, n, rep(0, max(model@order)), nskip = 100)

nsim <- 25 # 100
pk_star <- Choose_pk(y, model, tau = c(.15, .25), pmax = 5, method = "NULL", nsim = nsim)

mixAR documentation built on May 29, 2024, 6:21 a.m.