dsp_spec

print.dsp_spec

Method for creating dsp specification object prior to fitting.
Method for printing basic information about the model specification

Provides efficient Markov chain Monte Carlo (MCMC) algorithms for
dynamic shrinkage processes, which extend global-local shrinkage priors to
the time series setting by allowing shrinkage to depend on its own past.
These priors yield locally adaptive estimates, useful for time series and
regression functions with irregular features. The package includes full MCMC
implementations for trend filtering using dynamic shrinkage on signal differences,
producing locally constant or linear fits with adaptive credible bands.
Also included are models with static shrinkage and normal-inverse-Gamma priors for comparison.
Additional tools cover dynamic regression with time-varying coefficients and
B-spline models with shrinkage on basis differences, allowing for flexible
curve-fitting with unequally spaced data. Some support for heteroscedastic errors,
outlier detection, and change point estimation.
Methods in this package are described in Kowal et al. (2019) <doi:10.1111/rssb.12325>,
Wu et al. (2024) <doi:10.1080/07350015.2024.2362269>, Schafer and Matteson (2024)
<doi:10.1080/00401706.2024.2407316>, and Cho and Matteson (2024) <doi:10.48550/arXiv.2408.11315>.

Toryn Schafer

Dynamic Shrinkage Process and Change Point Detection

Daniel R. Kowal

Haoxuan Wu

Jason B. Cho

David S. Matteson

dsp_spec function

<dl><dt>family</dt>
<dd>A character string specifying the model family. Must be one of:<ul>
<li>"gaussian": Gaussian family.</li>
<li>"negbinom": Negative binomial family.</li>
</ul></dd>
<dt>model</dt>
<dd>A character string specifying the model type:<ul>
<li><code>family</code> = "gaussian":<ul>
<li>"changepoint": Change point detection with
Adaptive Bayesian Changepoint analysis and local Outlier (ABCO),</li>
<li>"smoothing": Bayesian smoothing,</li>
<li>"regression": Time-varying regression,</li>
<li>"bspline": Bayesian smoothing with B-spline for irregularly spaced or functional time-series.</li>
</ul></li>
<li><code>family</code> = "negbinom":<ul>
<li>"smoothing": Bayesian smoothing.</li>
</ul></li>
</ul></dd>
<dt>...</dt>
<dd>currently not used</dd>
<dt>x</dt>
<dd>object of class dsp_spec from <code>dsp_spec()</code></dd></dl>

Arguments

Model Specification — dsp_spec

<dl>

<dt>family</dt>
<dd>A character string specifying the model family. Must be one of:<ul>
<li>"gaussian": Gaussian family.</li>
<li>"negbinom": Negative binomial family.</li>
</ul></dd>


<dt>model</dt>
<dd>A character string specifying the model type:<ul>
<li><code>family</code> = "gaussian":<ul>
<li>"changepoint": Change point detection with
Adaptive Bayesian Changepoint analysis and local Outlier (ABCO),</li>
<li>"smoothing": Bayesian smoothing,</li>
<li>"regression": Time-varying regression,</li>
<li>"bspline": Bayesian smoothing with B-spline for irregularly spaced or functional time-series.</li>
</ul></li>
<li><code>family</code> = "negbinom":<ul>
<li>"smoothing": Bayesian smoothing.</li>
</ul></li>
</ul></dd>


<dt>...</dt>
<dd>currently not used</dd>


<dt>x</dt>
<dd>object of class dsp_spec from <code>dsp_spec()</code></dd>

</dl>

dsp_spec: Model Specification

Description

Usage

Value

Arguments

Examples