plot.statespace: Plot a statespace object

In viking: State-Space Models Inference by Kalman or Viking

Plot a statespace object

Description

plot.statespace displays different graphs expressing the behavior of the state-space model:
1. Evolution of the Bias: rolling version of the error of the model.
2. Evolution of the RMSE: root-mean-square-error computed on a rolling window.
3. State Evolution: time-varying state coefficients, subtracted of the initial state vector.
4. Normal Q-Q Plot: we check if the observation follows the Gaussian distribution of estimated mean and variance. To that end, we display a Q-Q plot of the residual divided by the estimated standard deviation, against the standard normal distribution.

Usage

## S3 method for class 'statespace'
plot(x, pause = FALSE, window_size = 7, date = NULL, sel = NULL, ...)

Arguments

x	the statespace object.
pause	(default FALSE) if set to FALSE then the plots are displayed on a single page, otherwise a new page is created for each plot.
window_size	(default 7) the window size of the rolling mean computed on the error to display the bias, and on the mean squared error to display a rolling RMSE.
date	(default NULL) defines the values for the x-axis.
sel	(default NULL) defines a subset of the data on which we zoom. For instance one can display the evolution of the SSM on a test set and not the whole data set.
...	additional parameters

Value

No return value, called to display plots.

viking documentation built on Oct. 6, 2023, 5:06 p.m.