Projects found

Projects for multivariate autoregressive:

1-2 of 2 shown   (1 visible only to FishBox members).    

  • Bayesian MAR(1) model

    This set of Matlab scripts conducts a first order MAR(1) model to estimate interactive effects, and covariate effects, on a time series of data from a community.

    It uses a Gibbs sampler to estimate parameters, and currently is set up with diffuse priors on all parameters for the model. It is pretty basic at this point, but it works.

    Note on the Gamma distribution:

    Going back and forth between Matlab/R/WinBUGS can be confusing, because of the different parameterizations of the gamma pdf. Here's the Matlab/BUGS forms and the R equivalents:

    Matlab: X ~ g(a,b) E[X] = ab

    R equivalent: X ~ g(shape=a,scale=b)

    BUGS: X ~ g(a,b) E[X] = a/b

    R equivalent: X ~ g(shape=a,rate=b) OR

    X ~ g(shape=a,scale=1/b)

  • MARSS Dev Site

    This is the DEVELOPMENT site for the MARSS.  For the current MARSS  release go to CRAN or download straight from the R GUI using "Install Packages" menu.

    MARSS fits mulitvariate autoregressive state-space (MARSS) models with Gaussian errors to multivariate time series data.  A MARSS model is:

    x(t) = B(t) x(t-1) + u(t) + C(t)c(t) + v(t), v(t)~MVN(0,Q)

    y(t) = Z(t) x(t) + a(t) + D(t)d(t) + w(t), w(t)~MVN(0,R)

    Project news (Feb 26, 2013): MARSS 3.4 uploaded to CRAN.  I fixed MARSSkfas to work with the new KFAS package in order to use the Koopman/Durbin filter/smoother algorithms. I also coded up a lag-one covariance smoother using an augmented state-space model that you can then run through the smoother to get the lag-one covariances.  I added a coef() and residuals() method to improve output.

    Developers: Eli Holmes, Eric Ward, Mark Scheuerell and Kellie Wills

    Current known issues:

    • When variance is "unconstrained", the covariances can be set to 0 in the degen.test() and this leads to not pos-def matrix and error.  Need to block setting to 0 when this happens, or block covariances set to zero?  Currently, deal with this by setting allow.degen=FALSE when covariances are estimated.
    • demean.states=TRUE is causing the EM algorithm to give drops in logLik. This is not really a bug but perhaps a property of demean.states.  Removed the demean.states option in vrs 3.3.

    MARSS 4.0 in progress:

    • 4.0 involves a substantial change in the model object structure---however the user should not notice the difference.  The change allows the developers to more easily code up new model structures. 
    • Progress continues on writing functions for standard output, e.g. predict function added. 
    • Integration with LateX begun so that output can be sent to a tex or pdf file instead of just the console.


Projects for multivariate autoregressive:

1-2 of 2 shown   (1 visible only to FishBox members).    

Sculpin 0.2 | xhtml | problems or comments? | report bugs