Package 'shrinkTVPVAR'

Title: Efficient Bayesian Inference for TVP-VAR-SV Models with Shrinkage
Description: Efficient Markov chain Monte Carlo (MCMC) algorithms for fully Bayesian estimation of time-varying parameter vector autoregressive models with shrinkage priors. Details on the algorithms used are provided in Cadonna et al. (2020) <doi:10.3390/econometrics8020020> and Knaus et al. (2021) <doi:10.18637/jss.v100.i13>.
Authors: Peter Knaus [aut, cre]
Maintainer: Peter Knaus <[email protected]>
License: GPL (>= 2)
Version: 0.1.1
Built: 2024-11-16 05:50:55 UTC
Source: https://github.com/cran/shrinkTVPVAR

Help Index

Kernel density plots of posterior distribution for hyperparameters of time-varying coefficient matrix in a TVP-VAR model

Description

density_plotter plots empirical kernel density estimates of the posterior distribution for hyperparameters of a time-varying parameter coefficient matrix in a TVP-VAR model. beta_mean and theta_sr will most likely be of interest here.

Usage

density_plotter(
  x,
  lag = 1,
  mgp = c(1.5, 0.5, 0),
  ylim,
  xlim,
  ylabs,
  mains,
  h_borders = c(0.075, 0.05),
  w_borders = c(0.05, 0.05),
  ...
)

Arguments

x

mcmc.var object
lag

single integer value, indicating the lag of the time-varying VAR to be plotted. The default value is 1.
mgp

vector of length 3, determining the margin line (in par) for the plot. The default value is c(1.5, 0.5, 0). See par for more information.
ylim

numeric vector of length 2, determining the y-axis limits of the plot. If missing, the limits are determined by the density function.
xlim

numeric vector of length 2, determining the x-axis limits of the plot. If missing, the limits are determined by the minimum and maximum values of the data.
ylabs

character vector of length m, determining the y-axis labels of the plot. If missing, the labels are taken from the column names of the data.
mains

character vector of length m, determining the main titles of the plot. If missing, the titles are taken from the column names of the data.
h_borders

numeric vector of length 2, determining the horizontal borders of the plot. The first value is the space between the plot and the left border, the second value is the space between the plot and the right border. Both are fractions of the total width of the plot. The default value is c(0.075, 0.05).
w_borders

numeric vector of length 2, determining the vertical borders of the plot. The first value is the space between the plot and the top border, the second value is the space between the plot and the bottom border. Both are fractions of the total height of the plot. The default value is c(0.05, 0.05).
...

further arguments to be passed to plot.

Value

Called for its side effects and returns invisibly.

Author(s)

Peter Knaus [email protected]

See Also

Other plotting functions: TV_heatmap(), plot.mcmc.tvp.var(), plot.mcmc.var(), plot.shrinkTVPVAR(), plot.shrinkTVPVAR_fit(), plot.shrinkTVPVAR_forc(), state_plotter()

Examples

set.seed(123)
sim <- simTVPVAR(p = 2)
data <- sim$data

res <- shrinkTVPVAR(data, p = 2)
plot(res$theta_sr)

# Plot second lag
plot(res$theta_sr, lag = 2)

Calculate fitted historical values for an estimated TVP-VAR-SV model

Description

Calculates the fitted values for an estimated TVP-VAR-SV model.

Usage

## S3 method for class 'shrinkTVPVAR'
fitted(object, ...)

Arguments

object

A shrinkTVPVAR object
...

Currently ignored.

Value

An object of class shrinkTVPVAR_fit

Author(s)

Peter Knaus [email protected]

See Also

Other prediction functions: forecast_shrinkTVPVAR()

Examples

set.seed(123)
sim <- simTVPVAR(p = 2)
data <- sim$data

res <- shrinkTVPVAR(data, p = 2)
fitted <- fitted(res)

# Visualize fitted values
plot(fitted)

Draw from posterior predictive density of a fitted TVP-VAR-SV model

Description

forecast_shrinkTVPVAR draws from the posterior predictive distribution of a fitted TVP-VAR-SV model resulting from a call to shrinkTVPVAR.

Usage

forecast_shrinkTVPVAR(mod, n.ahead = 1)

Arguments

mod

an object of class shrinkTVPVAR, containing the fitted model.
n.ahead

a single, positive integer indicating the forecasting horizon, i.e. how many time-points into the future the posterior predictive distribution should be sampled from. Can not be larger than the number of rows in newdata.

Value

The value returned is a list object of class shrinkTVPVAR_forc containing the samples from the posterior predictive density.

Author(s)

Peter Knaus [email protected]

See Also

Other prediction functions: fitted.shrinkTVPVAR()

Examples

set.seed(123)
sim <- simTVPVAR(p = 2)
data <- sim$data

res <- shrinkTVPVAR(data, p = 2)
forc <- forecast_shrinkTVPVAR(res, n.ahead = 4)

# Visualize forecast
plot(forc)

Generate TVP_params that can be used as input for a TVP-VAR-SV model

Description

gen_TVP_params creates either a list or a list of lists of hyperparameters in the correct format to be used as input for a TVP-VAR-SV model estimated by shrinkTVPVAR.

Usage

gen_TVP_params(m = 2, for_each_eq = TRUE)

Arguments

m

The number of equations in the VAR model. Ignored if for_each_eq is set to FALSE. The default value is 2.
for_each_eq

Logical. If TRUE, a list of lists is returned, where each list contains the hyperparameters for one equation. If FALSE, a single list is returned.

Value

Either a list containing the hyperparameters for all equations or a list of lists containing the hyperparameters for each equation individually.

Author(s)

Peter Knaus [email protected]

Examples

# For a 5 equation model
params <- gen_TVP_params(m = 5)

# For a model where all equations share the same hyperparameters
params <- gen_TVP_params(for_each_eq = FALSE)

Plotting method for mcmc.tvp.var objects

Description

Plotting method for mcmc.tvp.var objects

Usage

## S3 method for class 'mcmc.tvp.var'
plot(x, ...)

Arguments

x

mcmc.tvp.var object
...

further arguments to be passed to state_plotter function.

For further details see state_plotter function.

Value

Called for its side effects and returns invisibly.

Author(s)

Peter Knaus [email protected]

See Also

Other plotting functions: TV_heatmap(), density_plotter(), plot.mcmc.var(), plot.shrinkTVPVAR(), plot.shrinkTVPVAR_fit(), plot.shrinkTVPVAR_forc(), state_plotter()

Examples

set.seed(123)
sim <- simTVPVAR(p = 2)
data <- sim$data

res <- shrinkTVPVAR(data, p = 2)

plot(res$beta)

Plotting method for mcmc.var objects

Description

Plotting method for mcmc.var objects

Usage

## S3 method for class 'mcmc.var'
plot(x, ...)

Arguments

x

mcmc.var object
...

further arguments to be passed to TV_heatmap function.

For further details see TV_heatmap function.

Value

Called for its side effects and returns invisibly.

Author(s)

Peter Knaus [email protected]

See Also

Other plotting functions: TV_heatmap(), density_plotter(), plot.mcmc.tvp.var(), plot.shrinkTVPVAR(), plot.shrinkTVPVAR_fit(), plot.shrinkTVPVAR_forc(), state_plotter()

Examples

set.seed(123)
sim <- simTVPVAR(p = 2)
data <- sim$data

res <- shrinkTVPVAR(data, p = 2)

plot(res$theta_sr)

Plotting method for shrinkTVPVAR objects

Description

Plotting method for shrinkTVPVAR objects

Usage

## S3 method for class 'shrinkTVPVAR'
plot(x, ...)

Arguments

x

shrinkTVPVAR object
...

further arguments to be passed to state_plotter function.

For further details see state_plotter function.

Value

Called for its side effects and returns invisibly.

Author(s)

Peter Knaus [email protected]

See Also

Other plotting functions: TV_heatmap(), density_plotter(), plot.mcmc.tvp.var(), plot.mcmc.var(), plot.shrinkTVPVAR_fit(), plot.shrinkTVPVAR_forc(), state_plotter()

Examples

set.seed(123)
sim <- simTVPVAR(p = 2)
data <- sim$data

res <- shrinkTVPVAR(data, p = 2)

plot(res)

Graphical summary of posterior distribution of fitted values for TVP-VAR model

Description

plot.shrinkTVPVAR_fit generates plots visualizing the posterior distribution of fitted values of a model generated by a call to shrinkTVPVAR.

Usage

## S3 method for class 'shrinkTVPVAR_fit'
plot(x, nplot = 3, h_borders = c(0.05, 0.05), w_borders = c(0.02, 0.02), ...)

Arguments

x

a shrinkTVPVAR_fit object.
nplot

single integer value, determining the number of plots (i.e. number of equations to visualize at once) to be generated. The default value is 3.
h_borders

numeric vector of length 2, determining the horizontal borders of the plot. The first value is the space between the plot and the left border, the second value is the space between the plot and the right border. Both are fractions of the total width of the plot. The default value is c(0.05, 0.05).
w_borders

numeric vector of length 2, determining the vertical borders of the plot. The first value is the space between the plot and the top border, the second value is the space between the plot and the bottom border. Both are fractions of the total height of the plot. The default value is c(0.02, 0.02).
...

further arguments to be passed to plot.

Value

Called for its side effects and returns invisibly.

Author(s)

Peter Knaus [email protected]

See Also

Other plotting functions: TV_heatmap(), density_plotter(), plot.mcmc.tvp.var(), plot.mcmc.var(), plot.shrinkTVPVAR(), plot.shrinkTVPVAR_forc(), state_plotter()

Examples

set.seed(123)
sim <- simTVPVAR(p = 2)
data <- sim$data

res <- shrinkTVPVAR(data, p = 2)
fit <- fitted(res)
plot(fit)

Graphical summary of posterior predictive density for TVP-VAR-SV model

Description

plot.shrinkTVPVAR_forc generates plots visualizing the posterior predictive density generated by forecast_shrinkTVPVAR.

Usage

## S3 method for class 'shrinkTVPVAR_forc'
plot(x, nplot = 3, h_borders = c(0.05, 0.05), w_borders = c(0.02, 0.02), ...)

Arguments

x

a shrinkTVPVAR_forc object.
nplot

single integer value, determining the number of plots (i.e. number of equations to visualize at once) to be generated. The default value is 3.
h_borders

numeric vector of length 2, determining the horizontal borders of the plot. The first value is the space between the plot and the left border, the second value is the space between the plot and the right border. Both are fractions of the total width of the plot. The default value is c(0.05, 0.05).
w_borders

numeric vector of length 2, determining the vertical borders of the plot. The first value is the space between the plot and the top border, the second value is the space between the plot and the bottom border. Both are fractions of the total height of the plot. The default value is c(0.02, 0.02).
...

further arguments to be passed to plot.

Value

Called for its side effects and returns invisibly.

Author(s)

Peter Knaus [email protected]

See Also

Other plotting functions: TV_heatmap(), density_plotter(), plot.mcmc.tvp.var(), plot.mcmc.var(), plot.shrinkTVPVAR(), plot.shrinkTVPVAR_fit(), state_plotter()

Examples

set.seed(123)
sim <- simTVPVAR(p = 2)
data <- sim$data

res <- shrinkTVPVAR(data, p = 2)
forc <- forecast_shrinkTVPVAR(res, n.ahead = 2)

plot(forc)

Nicer printing of shrinkTVPVAR objects

Description

Nicer printing of shrinkTVPVAR objects

Usage

## S3 method for class 'shrinkTVPVAR'
print(x, ...)

Arguments

x

a shrinkTVPVAR object.
...

Currently ignored.

Value

Called for its side effects and returns invisibly.

Author(s)

Peter Knaus [email protected]

Markov Chain Monte Carlo (MCMC) for TVP-VAR-SV models with shrinkage

Description

shrinkTVPVAR samples from the joint posterior distribution of the parameters of a TVP-VAR-SV model with shrinkage as described in Cadonna et al. (2020) and returns the MCMC draws. The model can be written as:

Yt=ct+Φ1,tYt−1+Φ2,tYt−2+⋯+Φp,tYt−p+ϵtY_t = c_t + \Phi_{1,t} Y_{t-1} + \Phi_{2,t} Y_{t-2} + \cdots + \Phi_{p,t} Y_{t-p} + \epsilon_t

where ϵt∼Nm(0,Σt)\epsilon_t \sim \mathcal{N}_m(0, \Sigma_t).

Usage

shrinkTVPVAR(
  y,
  p = 1,
  mod_type = "double",
  const = TRUE,
  niter = 5000,
  nburn = round(niter/2),
  nthin = 1,
  display_progress = TRUE,
  TVP_params_beta = list(),
  TVP_params_sigma = list()
)

Arguments

y

matrix or data frame containing the time series data. The rows correspond to the time points and the columns to the variables.
p

positive integer indicating the number of lags in the VAR model. The default value is 1.
mod_type

character string that reads either "triple", "double" or "ridge". Determines whether the triple gamma, double gamma or ridge prior are used for theta_sr and beta_mean. The default is "double".
const

logical value indicating whether a constant should be included in the model. The default value is TRUE.
niter

positive integer, indicating the number of MCMC iterations to perform, including the burn-in. Has to be larger than or equal to nburn + 2. The default value is 10000.
nburn

non-negative integer, indicating the number of iterations discarded as burn-in. Has to be smaller than or equal to niter - 2. The default value is round(niter / 2).
nthin

positive integer, indicating the degree of thinning to be performed. Every nthin draw is kept and returned. The default value is 1, implying that every draw is kept.
display_progress

logical value indicating whether the progress bar and other informative output should be displayed. The default value is TRUE.
TVP_params_beta

optional named list containing hyperparameter values for the TVP prior of the beta_mean matrix. Not all have to be supplied, with those missing being replaced by the default values. Any list elements that are misnamed will be ignored and a warning will be thrown. Can either be a list of depth 1, which results in all equations having the same hyperparameters, or a list of lists of length m, where each sub-list contains the hyperparameters for the respective equation. If sub-lists are provided, they can be unnamed, in which case the order of the elements is assumed to be the same as the order of the equations in the data. Alternatively, they can be named eq1, eq2, ..., eqm. The meaning of the hyperparameters is the same as in shrinkTVP, as this function is used to sample the TVP coefficients. A key difference lies in how the adaptive MH arguments are provided. In this function, the adaptive MH arguments are provided as vectors of length 4, where the elements control the MH steps in following order: a_xi, a_tau, c_xi, c_tau. E.g. if adaptive = c(FALSE, TRUE, TRUE, FALSE), then the MH step for a_xi and c_tau are non-adaptive, while the MH step for a_tau and c_xi are adaptive. The following elements can be supplied:

  • e1: positive, real number. The default value is 0.5.

  • e2: positive, real number. The default value is 0.001.

  • d1: positive, real number. The default value is 0.5.

  • d2: positive, real number. The default value is 0.001.

  • beta_a_xi: positive, real number. The default value is 10.

  • beta_a_tau: positive, real number. The default value is 10.

  • alpha_a_xi: positive, real number. The default value is 5.

  • alpha_a_tau: positive, real number. The default value is 5.

  • beta_c_xi: positive, real number. The default value is 2.

  • beta_c_tau: positive, real number. The default value is 2.

  • alpha_c_xi: positive, real number. The default value is 5.

  • alpha_c_tau: positive, real number. The default value is 5.

  • a_tuning_par_xi: positive, real number. The default value is 1.

  • a_tuning_par_tau: positive, real number. The default value is 1.

  • c_tuning_par_xi: positive, real number. The default value is 1.

  • c_tuning_par_tau: positive, real number. The default value is 1.

  • learn_a_xi: logical. The default value is TRUE.

  • learn_a_tau: logical. The default value is TRUE.

  • a_eq_c_xi: logical. The default value is FALSE.

  • a_eq_c_tau: logical. The default value is FALSE.

  • a_xi: positive, real number. The default value is 0.1.

  • a_tau: positive, real number. The default value is 0.1.

  • learn_c_xi: logical. The default value is TRUE.

  • learn_c_tau: logical. The default value is TRUE.

  • c_xi: positive, real number. The default value is 0.1.

  • c_tau: positive, real number. The default value is 0.1.

  • learn_kappa2_B: logical. The default value is TRUE.

  • learn_lambda2_B: logical. The default value is TRUE.

  • kappa2_B: positive, real number. The default value is 20.

  • lambda2_B: positive, real number. The default value is 20.

  • Bsigma_sv: positive, real number. The default value is 1.

  • a0_sv: positive, real number. The default value is 5.

  • b0_sv: positive, real number. The default value is 1.5.

  • bmu: real number. The default value is 0.

  • Bmu: positive, real number. The default value is 1.

  • adaptive: logical vector of length 4. The default value is rep(TRUE, 4).

  • target_rates: numeric vector of length 4. The default value is rep(0.44, 4).

  • batch_sizes: numeric vector of length 4. The default value is rep(50, 4).

  • max_adapts: numeric vector of length 4. The default value is rep(0.01, 4).

TVP_params_sigma

optional named list containing hyperparameter values for the TVP prior of the Sigma matrix. The structure is the same as for TVP_params_beta. The default values are the same as for TVP_params_beta.

Details

The elements of the VAR coefficients Φi,t\Phi_{i,t} are assumed to follow component-wise random walk.

For further details concerning the algorithms and the model please refer to the paper by Cadonna et al. (2020).

Value

The value returned is a shrinkTVPVAR object containing:

beta

an object of class "mcmc.tvp.var" containing the MCMC draws of the VAR coefficients.
beta_mean

an object of class "mcmc.var" containing the MCMC draws of beta_mean for the VAR coefficients.
theta_sr

an object of class "mcmc.var" containing the MCMC draws of theta_sr for the VAR coefficients.
xi2

an object of class "mcmc.var" containing the MCMC draws of xi2 for the VAR coefficients.
c_xi

an object of class "mcmc" containing the MCMC draws of c_xi for the VAR coefficients.
kappa2

an object of class "mcmc.var" containing the MCMC draws of kappa2 for the VAR coefficients.
kappa2_B

an object of class "mcmc" containing the MCMC draws of kappa2_B for the VAR coefficients.
a_xi

an object of class "mcmc" containing the MCMC draws of a_xi for the VAR coefficients.
tau2

an object of class "mcmc.var" containing the MCMC draws of tau2 for the VAR coefficients.
c_tau

an object of class "mcmc" containing the MCMC draws of c_tau for the VAR coefficients.
lambda2

an object of class "mcmc.var" containing the MCMC draws of lambda2 for the VAR coefficients.
lambda2_B

an object of class "mcmc" containing the MCMC draws of lambda2_B for the VAR coefficients.
a_tau

an object of class "mcmc" containing the MCMC draws of a_tau for the VAR coefficients.
Sigma

an object of class "mcmc.tvp.var" containing the MCMC draws of the covariance matrices.
pred_objs

a list containing objects required for prediction methods to work.
beta_consts

a list of mcmc.tvp objects containing the MCMC draws of the intercepts.
data

a list containing the input data, as well as the synthetic "covariates" used for estimation.

Note that only the values pertaining to the VAR coefficients are returned. The values for the variance-covariance matrix are not returned.

To display the output, use plot on various elements of the list, as well as the TV_heatmap, density_plotter and state_plotter function. Many functions that can be applied to coda::mcmc objects (e.g. coda::acfplot) can be applied to all output elements that are coda compatible.

Author(s)

Peter Knaus [email protected]

References

Cadonna, A., Frühwirth-Schnatter, S., & Knaus, P. (2020). "Triple the Gamma—A Unifying Shrinkage Prior for Variance and Variable Selection in Sparse State Space and TVP Models." Econometrics, 8(2), 20. <doi:10.3390/econometrics8020020>

Knaus, P., Bitto-Nemling, A., Cadonna, A., & Frühwirth-Schnatter, S. (2021) "Shrinkage in the Time-Varying Parameter Model Framework Using the R Package shrinkTVP." Journal of Statistical Software 100(13), 1–32. <doi:10.18637/jss.v100.i13>

See Also

TV_heatmap density_plotter state_plotter

Examples

set.seed(123)
sim <- simTVPVAR(p = 2)
data <- sim$data

res <- shrinkTVPVAR(data, p = 2)

# Visualize the results
plot(res)

plot(res$theta_sr)

# Change prior to triple gamma
res2 <- shrinkTVPVAR(data, p = 2, mod_type = "triple")

# Modify the hyperparameter setup
# Estimate under hierarchical horseshoe prior
hyperparam <- list(learn_a_xi = FALSE, learn_c_xi = FALSE,
                  learn_a_tau = FALSE, learn_c_tau = FALSE,
                  a_xi = 0.5, c_xi = 0.5, a_tau = 0.5, c_tau = 0.5)

res3 <- shrinkTVPVAR(data, p = 2, mod_type = "triple",
                    TVP_params_beta = hyperparam,
                    TVP_params_sigma = hyperparam)

# Can also specify different hyperparameters for each equation
# gen_TVP_params() is a helper function and returns a
# list of lists (if for_each_eq = TRUE) where each sub-list
# contains the hyperparameters for the respective equation
hyperparam2 <- gen_TVP_params(m = 3, for_each_eq = TRUE)

hyperparam2[[1]]$learn_a_xi <- FALSE
hyperparam2[[1]]$a_xi <- 0.5

res4 <- shrinkTVPVAR(data, p = 2, mod_type = "triple",
                     TVP_params_beta = hyperparam2)

# Now, a_xi is only fixed in first equation
plot(res4$a_xi)

Generate synthetic data from a TVP-VAR-SV model

Description

simTVPVAR generates synthetic data from a TVP-VAR-SV model. The data is always generated as to be stationary. This is done via a trial and error approach, where the VAR coefficients are drawn from the data generating process until the VAR process is stationary. As such, very large models might take a long time to generate.

Usage

simTVPVAR(
  N = 200,
  p = 2,
  m = 3,
  prob_0_beta = 0.8,
  prob_0_theta = 0.8,
  simsig2_theta_sr = 0.2,
  simsig2_beta_mean = 0.2,
  intercept = TRUE,
  display_progress = TRUE
)

Arguments

N

integer > 2. Indicates the length of the time series to be generated. The default value is 200.
p

integer > 0. Indicates the number of lags in the VAR model. The default value is 2.
m

integer > 1. Indicates the number of equations in the VAR model. The default value is 3.
prob_0_beta

numeric. Indicates the probability of a zero element in the beta_mean matrix. Can be a single value or a vector of length p. The default value is 0.8.
prob_0_theta

numeric. Indicates the probability of a zero element in the theta matrix. Can be a single value or a vector of length p. The default value is 0.8.
simsig2_theta_sr

numeric. Indicates the standard deviation of the normal distribution from which the elements of the theta matrix are drawn. The default value is 0.2.
simsig2_beta_mean

numeric. Indicates the standard deviation of the normal distribution from which the elements of the beta_mean matrix are drawn. The default value is 0.2.
intercept

logical. Indicates whether an intercept should be included in the model. The default value is TRUE.
display_progress

logical. Indicates whether a progress bar should be displayed. The default value is TRUE.

Value

The value returned is a list object containing:

  • data: data frame that holds the simulated data.

  • true_vals: list object containing:

    • Phi: array containing the true VAR coefficients.

    • Sigma: array containing the true covariance matrices.

    • theta_sr: array containing the true standard deviations of the theta matrix.

    • beta_mean: array containing the true means of the beta matrix.

Author(s)

Peter Knaus [email protected]

Examples

# Generate a time series of length 300
res <- simTVPVAR(N = 300, m = 3, p = 3)

# Estimate a model
model <- shrinkTVPVAR(y = res$data, p = 3)

Graphical summary of posterior distribution for a time-varying coefficient matrix in a TVP-VAR model

Description

plot.mcmc.tvp plots empirical posterior quantiles for a time-varying parameter coefficient matrix in a TVP-VAR model.

Usage

state_plotter(
  x,
  lag = 1,
  mgp = c(1.5, 0.5, 0),
  ylim,
  ylabs,
  mains,
  h_borders = c(0.075, 0.05),
  w_borders = c(0.05, 0.05),
  ...
)

Arguments

x

mcmc.tvp.var object
lag

single integer value, indicating the lag of the time-varying VAR to be plotted. The default value is 1.
mgp

vector of length 3, determining the margin line (in par) for the plot. The default value is c(1.5, 0.5, 0). See par for more information.
ylim

numeric vector of length 2, determining the y-axis limits of the plot. If missing, the limits are determined by the lowest and largest quantiles of the data.
ylabs

character vector of length m, determining the y-axis labels of the plot. If missing, the labels are taken from the column names of the data.
mains

character vector of length m, determining the main titles of the plot. If missing, the titles are taken from the column names of the data.
h_borders

numeric vector of length 2, determining the horizontal borders of the plot. The first value is the space between the plot and the left border, the second value is the space between the plot and the right border. Both are fractions of the total width of the plot. The default value is c(0.075, 0.05).
w_borders

numeric vector of length 2, determining the vertical borders of the plot. The first value is the space between the plot and the top border, the second value is the space between the plot and the bottom border. Both are fractions of the total height of the plot. The default value is c(0.05, 0.05).
...

further arguments to be passed to plot.mcmc.tvp (see shrinkTVP package).

Value

Called for its side effects and returns invisibly.

Author(s)

Peter Knaus [email protected]

See Also

Other plotting functions: TV_heatmap(), density_plotter(), plot.mcmc.tvp.var(), plot.mcmc.var(), plot.shrinkTVPVAR(), plot.shrinkTVPVAR_fit(), plot.shrinkTVPVAR_forc()

Examples

set.seed(123)
sim <- simTVPVAR(p = 2)
data <- sim$data

res <- shrinkTVPVAR(data, p = 2)
plot(res$beta)

# Plot second lag
plot(res$beta, lag = 2)

Heatmap of hyperparameters of time-varying coefficient matrix in a TVP-VAR model

Description

TV_heatmap plots a heatmap of posterior distribution for hyperparameters of a time-varying parameter coefficient matrix in a TVP-VAR model. This is achieved by plotting the median of the posterior of the absolute value for theta_sr and the median of the posterior for all others. The plot itself is generated by lattice::levelplot. beta_mean and theta_sr will most likely be of interest here.

Usage

TV_heatmap(x, cuts = 15, cols, max_val, flipcols, ...)

Arguments

x

mcmc.var object
cuts

single integer value, determining the number of cuts for the color palette. The default value is 15.
cols

character string, determining the color palette to be used. The default value is "Purples" for theta_sr and "RdBu" for all others. See RColorBrewer::brewer.pal.info for more information.
max_val

numeric value, determining the maximum value for the color palette. If missing, the maximum value is determined by the largest absolute value of the data.
flipcols

logical value, determining whether the color palette should be flipped. The default value is FALSE for theta_sr and TRUE for all others.
...

further arguments to be passed to lattice::levelplot.

Value

Called for its side effects and returns invisibly.

Author(s)

Peter Knaus [email protected]

See Also

Other plotting functions: density_plotter(), plot.mcmc.tvp.var(), plot.mcmc.var(), plot.shrinkTVPVAR(), plot.shrinkTVPVAR_fit(), plot.shrinkTVPVAR_forc(), state_plotter()

Examples

set.seed(123)
sim <- simTVPVAR(p = 2)
data <- sim$data

res <- shrinkTVPVAR(data, p = 2)
TV_heatmap(res$theta_sr)