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plot.svdraws
generates some plots visualizing the posterior distribution and can also be used to display predictive distributions of future volatilities.
# S3 method for svdraws
plot(x, forecast = NULL, dates = NULL, show0 = FALSE, showobs = TRUE,
showprior = TRUE, col = NULL, forecastlty = NULL, tcl = -0.4,
mar = c(1.9, 1.9, 1.7, 0.5), mgp = c(2, 0.6, 0), simobj = NULL, ...)
svdraws
object.
nonnegative integer or object of class svpredict
, as returned by predict.svdraws
. If an integer greater than 0 is provided, predict.svdraws
is invoked to obtain the forecast
-step-ahead prediction. The default value is 0
.
vector of length ncol(x$latent)
, providing optional dates for labelling the x-axis. The default value is NULL
; in this case, the axis will be labelled with numbers.
logical value, indicating whether the initial volatility exp(h_0/2)
should be displayed. The default value is FALSE
.
logical value, indicating whether the observations should be displayed along the x-axis. If many draws have been obtained, the default (TRUE
) can render the plotting to be quite slow, and you might want to try setting showobs
to FALSE
.
logical value, indicating whether the prior distribution should be displayed. The default value is TRUE
.
vector of color values (see par
) used for plotting the quantiles. The default value NULL
results in gray lines for all quantiles expect the median, which is displayed in black.
vector of line type values (see par
) used for plotting quantiles of predictive distributions. The default value NULL
results in dashed lines.
The length of tick marks as a fraction of the height of a line of text. See par
for details. The default value is -0.4
, which results in slightly shorter tick marks than usual.
numerical vector of length 4, indicating the plot margins. See par
for details. The default value is c(1.9, 1.9, 1.9, 0.5)
, which is slightly smaller than the R-defaults.
numerical vector of length 3, indicating the axis and label positions. See par
for details. The default value is c(2, 0.6, 0)
, which is slightly smaller than the R-defaults.
object of class svsim
as returned by the SV simulation function svsim
. If provided, the ``true'' data generating values will be added to the plots.
further arguments are passed on to the invoked plotting functions.
Called for its side effects. Returns argument x
invisibly.
This function sets up the page layout and calls volplot
, paratraceplot
and paradensplot
.
# NOT RUN {
## Simulate a short and highly persistent SV process
sim <- svsim(100, mu = -10, phi = 0.99, sigma = 0.2)
## Obtain 5000 draws from the sampler (that's not a lot)
draws <- svsample(sim$y, draws = 5000, burnin = 1000,
priormu = c(-10, 1), priorphi = c(20, 1.5), priorsigma = 0.2)
## Plot the latent volatilities and some forecasts
plot(draws, forecast = 10)
## Re-plot with different quantiles
newquants <- c(0.01, 0.05, 0.25, 0.5, 0.75, 0.95, 0.99)
draws <- updatesummary(draws, quantiles = newquants)
plot(draws, forecast = 20, showobs = FALSE, col = seq(along = newquants),
forecastlty = 3, showprior = FALSE)
# }
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