plot_fitted: Plot the Bayesian trend filtering fitted values

In drkowal/dsp: Dynamic Shrinkage Processes

Plot the Bayesian trend filtering fitted values

Description

Plot the BTF posterior means with posterior credible intervals (pointwise and joint), the observed data, and true curves (if known)

Usage

plot_fitted(
  y,
  mu,
  postY,
  y_true = NULL,
  t01 = NULL,
  include_joint_bands = FALSE
)

Arguments

y	the T x 1 vector of time series observations
mu	the T x 1 vector of fitted values, i.e., posterior expectation of the state variables
postY	the nsims x T matrix of posterior draws from which to compute intervals
y_true	the T x 1 vector of points along the true curve
t01	the observation points; if NULL, assume T equally spaced points from 0 to 1
include_joint_bands	logical; if TRUE, compute simultaneous credible bands

Examples

simdata = simUnivariate(signalName = "doppler", T = 128, RSNR = 7, include_plot = FALSE)
y = simdata$y
out = btf(y)
plot_fitted(y, mu = colMeans(out$mu), postY = out$yhat, y_true = simdata$y_true)

drkowal/dsp documentation built on July 19, 2023, 11:42 a.m.