MARSS_marxss: Multivariate AR-1 State-space Model with Inputs

Description Details Value Usage Author(s) See Also Examples

Description

The argument form="marxss" in a MARSS() function call specifies a MAR-1 model with eXogenous variables model. This is a MARSS(1) model of the form:

x(t) = B(t) x(t-1) + u(t) + C(t)c(t) + w(t), where w(t) ~ MVN(0,Q(t))
y(t) = Z(t) x(t) + a(t) + D(t)d(t) + v(t), where v(t) ~ MVN(0,R(t))
x(0) ~ MVN(x0, V0)

Note, marxss is a model form. A model form is defined by a collection of form functions discussed in marssMODEL. These functions are not exported to the user, but are called by MARSS() using the argument form.

Details

The allowed arguments when form="marxss" are 1) the arguments common to all forms: "data", "inits", "MCbounds", "control", "method", "form", "fit", "silent", "fun.kf" (see MARSS for information on these arguments) and 2) the argument "model" which is a list describing the MARXSS model (the model list is described below). See the Quick Start guide (RShowDoc("Quick_Start",package="MARSS")) or the User Guide (RShowDoc("UserGuide",package="MARSS")) for examples.

The argument model must be a list. The elements in the list specify the structure for the B, u, C, c, Q, Z, a, D, d, R, x0, and V0 in the MARXSS model (above). The list elements can have the following values:

All parameters except x0 and V0 may be time-varying. If time-varying, then text shortcuts cannot be used. Enter as an array with the 3rd dimension being time. Time dimension must be 1 or equal to the number of time-steps in the data. See Quick Start guide (RShowDoc("Quick_Start",package="MARSS")) or the User Guide (RShowDoc("UserGuide",package="MARSS")) for examples.Valid model structures for method="BFGS" are the same as for method="kem". See MARSSoptim for the allowed options for this method.

The default estimation method, method="kem", is the EM algorithm described in the user guide. The default settings for the control and inits arguments are set via MARSS:::alldefaults$kem in MARSSsettings.R. The defaults for the model argument are set in MARSS_marxss.R For this method, they are:

For method="BFGS", type MARSS:::alldefaults$BFGS to see the defaults.

Value

A object of class marssMLE. See print.marssMLE for a discussion of the various output available for marssMLE objects (coefficients, residuals, Kalman filter and smoother output, imputed values for missing data, etc.). See MARSSsimulate for simulating from marssMLE objects. MARSSboot for bootstrapping, MARSSaic for calculation of various AIC related model selection metrics, and MARSSparamCIs for calculation of confidence intervals and bias.

Usage

MARSS(y, inits=NULL, model=NULL, miss.value=as.numeric(NA), method = "kem", form = "marxss", fit=TRUE, silent = FALSE, control = NULL, MCbounds = NULL, fun.kf = "MARSSkfas", ...)

Author(s)

Eli Holmes, NOAA, Seattle, USA.

See Also

marssMODEL MARSS.dfa

Examples

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## Not run: 
#See the MARSS man page for examples
?MARSS

#and the Quick Examples chapter in the User Guide
RShowDoc("UserGuide",package="MARSS")

## End(Not run)

gragusa/MARSS documentation built on May 17, 2019, 8:18 a.m.