MARSS (version 3.10.12)

MARSShatyt: Compute Expected Value of Y, YY, and YX

Description

Computes the expected value of random variables involving Y. Users can also use print( MLEobj, what="Ey") to access this output. See print.marssMLE.

Usage

MARSShatyt( MLEobj, only.kem = TRUE )

Arguments

MLEobj

A marssMLE object with the par element of estimated parameters, model element with the model description and data.

only.kem

Return only ytT, OtT, yxtT, and yxttpT (values conditioned on the data from 1:T). If only.kem If TRUE, only return (and compute) values needed for the EM algorithm. If only.kem=FALSE, then also return values conditioned on data from 1 to t-1 (Ott1 and ytt1) and 1 to t (Ott and ytt), yxtt1T (E[Y(t),X(t-1)|1:T]), var.ytT (var[Y(t)|1:T]), and var.EytT (var_X[E_Y|x[Y(t)|1:T,x(t)]]).

Value

A list with the following components (n is the number of state processes). Following the notation in Holmes (2012), y(1) is the observed data (for t=1:T) while y(2) is the unobserved data. y(1,1:t-1) is the observed data from time 1 to t-1.

ytT

E[Y(t) | Y(1,1:T)=y(1,1:T)] (n x T matrix).

ytt1

E[Y(t) | Y(1,1:t-1)=y(1,1:t-1)] (n x T matrix).

ytt

E[Y(t) | Y(1,1:t)=y(1,1:t)] (n x T matrix).

OtT

E[Y(t) t(Y(t)) | Y(1,1:T)=y(1,1:T)] (n x n x T array).

var.ytT

var[Y(t) | Y(1,1:T)=y(1,1:T)] (n x n x T array).

var.EytT

var_X[E_Y|x[Y(t) | Y(1,1:T)=y(1,1:T), X(t)=x(t)]] (n x n x T array).

Ott1

E[Y(t) t(Y(t)) | Y(1,1:t-1)=y(1,1:t-1)] (n x n x T array).

Ott

E[Y(t) t(Y(t)) | Y(1,1:t)=y(1,1:t)] (n x n x T array).

yxtT

E[Y(t) t(X(t)) | Y(1,1:T)=y(1,1:T)] (n x m x T array).

yxtt1T

E[Y(t) t(X(t-1)) | Y(1,1:T)=y(1,1:T)] (n x m x T array).

yxttpT

E[Y(t) t(X(t+1)) | Y(1,1:T)=y(1,1:T)] (n x m x T array).

errors

Any error messages due to ill-conditioned matrices.

ok

(TRUE/FALSE) Whether errors were generated.

Details

For state space models, MARSShatyt() computes the expectations involving Y. If Y is completely observed, this entails simply replacing Y with the observed y. When Y is only partially observed, the expectation involves the conditional expectation of a multivariate normal.

References

Holmes, E. E. (2012) Derivation of the EM algorithm for constrained and unconstrained multivariate autoregressive state-space (MARSS) models. Technical report. arXiv:1302.3919 [stat.ME] Type RShowDoc("EMDerivation",package="MARSS") to open a copy. See the section on 'Computing the expectations in the update equations' and the subsections on expectations involving Y.

See Also

MARSS, marssMODEL, MARSSkem

Examples

# NOT RUN {
dat <- t(harborSeal)
dat <- dat[2:3, ]
MLEobj <- MARSS(dat)
EyList <- MARSShatyt(MLEobj)
# }