Dictionary of statespacer

This document provides extensive details about the object that is returned by statespacer(). In order to do so, we start with introducing the form of the general linear Gaussian state space model, following the notation used by Durbin and Koopman (2012). Obtaining a grasp of the notation used will help to get the most out of the statespacer package!

The general linear Gaussian state space model

There are many ways to write down the form of the general linear Gaussian state space model. We use the form used by Durbin and Koopman (2012):

\[ \begin{aligned} y_t ~ &= ~ Z_t\alpha_t ~ + ~ \varepsilon_t, &\varepsilon_t ~ &\sim ~ N(0, ~ H_t), \\ \alpha_{t+1} ~ &= ~ T_t\alpha_t ~ + ~ R_t\eta_t, &\eta_t ~ &\sim ~ N(0, ~ Q_t), \\ & &\alpha_1 ~ &\sim ~ N(a_1, ~ P_1), \end{aligned} \]

where \(y_t\) is the observation vector, a \(p ~ \times ~ 1\) vector of dependent variables at time \(t\), \(\alpha_t\) is the unobserved state vector, a \(m ~ \times ~ 1\) vector of state variables at time \(t\), and \(\varepsilon_t\) and \(\eta_t\) are disturbance vectors of respectively the observation equation, and the state equation. To initialise the model, \(a_1\) is used as the initial guess of the state vector, and \(P_1\) is the corresponding uncertainty of that guess. The matrices \(Z_t\), \(H_t\), \(T_t\), \(R_t\), and \(Q_t\) are called the system matrices of the state space model. Different specifications of these system matrices, lead to different interpretations of the model at hand.

The object as returned by statespacer

Having obtained a better understanding of the notation used, it is easier to find our way in the object that is returned by statespacer(). Let’s say we store the object of statespacer in a variable called fit, that is, fit <- statespacer(...). fit is then a list, containing many items, including other lists. This section describes the items that are included in fit one by one.

function_call

function_call is a list that contains, as the name suggests, the call to the statespacer() function, including default values for the input arguments that were not specified. For details about the various input arguments, check out ?statespacer.

system_matrices

system_matrices is a list containing all of the system matrices of each of the components. For the variance - covariance matrices \(H\) and \(Q\), it also contains 2 decompositions, namely the Cholesky \(LDL^{\top}\) decomposition, where \(L\) is the loading matrix and \(D\) is the diagonal matrix, and the correlation / standard deviation decomposition. The initial guess for the state vector, a1, is also included, together with the corresponding uncertainty split out by its diffuse component, P_inf, and its stationary component P_star. Further, it contains Z_padded, which is a list containing the \(Z\) matrices of the components augmented with zeroes, such that its dimension is \(p ~ \times ~ m\). These matrices are useful to extract individual components (which is already done for you), or to extract standard deviations of the components. There’s also a vector called state_label, which labels the state vector to indicate which state parameters belongs to which components. If components are specified that introduce parameters into the system matrices, then these parameters are also included here. At the moment, these parameters are lamba (frequency) and rho (dampening factor) for the cycles, AR and MA for the ARIMA components, SAR and SMA for the SARIMA components, and self_spec for the self specified component. Note that coefficients of explanatory variables are put into the state vector, so these are treated as state parameters, and readily returned by the Kalman filter.

predicted

predicted is a list that contains the one-step ahead predicted (predicting time \(t\) using data up to time \(t ~ - ~ 1\)) objects as returned by the Kalman filter:

Further, the contributions of the components to the predicted values are extracted separately.

filtered

filtered is a list that contains the filtered (estimates for time \(t\) using data up to time \(t\)) objects as returned by the Kalman filter. Here, a is the filtered state, P the uncertainty of the filtered state, P_inf is the diffuse part of P, and P_star is the non-diffuse part of P. Further, the filtered values of the components are extracted separately.

smoothed

smoothed is a list that contains smoothed (estimates for time \(t\) using all of the time points) objects as returned by the Kalman smoother:

Further, the smoothed values of the components are extracted separately.

diagnostics

diagnostics is a list that contains items useful for diagnostic tests and model selection:

The following objects are only returned if diagnostics = TRUE:

optim

optim is the list as returned by stats::optim or optimx::optimr, depending on if you have optimx installed. See ?stats::optim and ?optimx::optimr for details. Only returned if fit = TRUE.

loglik_fun

loglik_fun is the loglikelihood function that takes param as its only argument. It returns the loglikelihood at the specified parameters.

standard_errors

standard_errors is a list that contains the standard errors for the transformed parameters. Its structure mimicks the structure from system_matrices, but only representing those system matrices that depend on the parameters. Only returned if standard_errors = TRUE.

Order of parameter input

This section provides details about the parameter vector that’s supplied to statespacer(). It clarifies which elements are used for what components.

Most components use a variance - covariance matrix, which are constructed using the Cholesky \(LDL^{\top}\) decomposition. The parameters supplied to build the variance - covariance matrix are ordered as follows: First, parameters are used for the Diagonal matrix \(D\) and transformed by \(exp(2x)\). Second, the remaining parameters are assigned columnwise to the Loading matrix \(L\), so first the \(1_{st}\) column, then the \(2_{nd}\) column, and so on.

The parameters are assigned to the components in the following order:

  1. The variance - covariance matrix, \(H\), of the observation equation. Unless the \(H\) matrix is self-specified!
  2. The Local Level component.
  3. The Local Level component + Slope in that order.
  4. The BSM components, in the order of the specified BSM_vec.
  5. Explanatory Variables, if the coefficients are time-varying. The coefficients themselves go into the state vector, so they don’t need any parameters!
  6. Local Level + Explanatory Variables in the Level. First the parameters go to the variance - covariance matrix of the Level, after which the remaining parameters go to the variance - covariance matrix of the Explanatory Variables (if time-varying).
  7. Local Level + Slope + Explanatory Variables in the Level. First the parameters go to the variance - covariance matrix of the Level, then they go to the variance - covariance matrix of the Slope, after which the remaining parameters go to the variance - covariance matrix of the Explanatory Variables (if time-varying).
  8. The Cycle components, in the order of the specified cycles. The first parameter is used for the frequency, \(\lambda\), of the cycle. The second parameter is used for the damping factor, \(\rho\), of the cycle, but only if damping_factor_ind = TRUE. The remaining parameters are used for the variance - covariance matrix.
  9. ARIMA, in the order of the specified ARIMA components. First, the parameters are used for the variance - covariance matrix. Then, the remaining parameters are first used for the AR coefficients, and then the MA coefficients.
  10. SARIMA, in the order of the specified SARIMA components. First, the parameters are used for the variance - covariance matrix. Then, the remaining parameters are used in the order of the specified seasonalities s, first used for the AR coefficients of the first seasonality, and then the MA coefficients of the first seasonality, and so on for the subsequent seasonalities.
  11. The self-specified part.

Care should be taken in specifying the initial parameters! Usually, I check out the variances of the dependent variables and then apply the transformation \(0.5\log(x)\) to the variances, and specify those as initial values for the parameters that go to the various variance - covariance matrices. For the AR and MA coefficients, it might be beneficial to initialise them close to 0, to prevent them from converging to unit root solutions. Using the information in this section, it should make the trial and error process of finding proper initial parameters less cumbersome!

References

Durbin, James, and Siem Jan Koopman. 2012. Time Series Analysis by State Space Methods. Oxford university press.