vmeasure_spec: vmeasure specification

In pomp: Statistical Inference for Partially Observed Markov Processes

vmeasure specification

Description

Specification of the measurement-model covariance matrix, vmeasure.

Details

The measurement model is the link between the data and the unobserved state process. Some algorithms require the conditional covariance of the measurement model, given the latent state and parameters. This is supplied using the vmeasure argument.

Suppose you have a procedure to compute this conditional covariance matrix, given the value of the latent state variables. Then you can furnish

  vmeasure = f

to pomp algorithms, where f is a C snippet or R function that implements your procedure.

Using a C snippet is much preferred, due to its much greater computational efficiency. See Csnippet for general rules on writing C snippets.

In writing a vmeasure C snippet, bear in mind that:

1. The goal of such a snippet is to fill variables named V_y_z with the conditional covariances of observables y, z. Accordingly, there should be one assignment of V_y_z and one assignment of V_z_y for each pair of observables y and z.

2. In addition to the states, parameters, and covariates (if any), the variable t, containing the time of the observation, will be defined in the context in which the snippet is executed.

The demos and the tutorials on the package website give examples.

It is also possible, though less efficient, to specify vmeasure using an R function. In this case, specify it by furnishing

  vmeasure = f

to pomp, where f is an R function. The arguments of f should be chosen from among the state variables, parameters, covariates, and time. It must also have the argument .... f must return a square matrix of dimension equal to the number of observable variables. The row- and column-names of this matrix should match the names of the observable variables. The matrix should of course be symmetric.

Default behavior

The default vmeasure is undefined. It will yield missing values (NA).

Note for Windows users

Some Windows users report problems when using C snippets in parallel computations. These appear to arise when the temporary files created during the C snippet compilation process are not handled properly by the operating system. To circumvent this problem, use the cdir and cfile options to cause the C snippets to be written to a file of your choice, thus avoiding the use of temporary files altogether.

See Also

vmeasure

More on implementing POMP models: Csnippet, accumvars, basic_components, betabinomial, covariates, dinit_spec, dmeasure_spec, dprocess_spec, emeasure_spec, eulermultinom, parameter_trans(), pomp-package, pomp_constructor, prior_spec, rinit_spec, rmeasure_spec, rprocess_spec, skeleton_spec, transformations, userdata

pomp documentation built on Sept. 13, 2024, 1:08 a.m.