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growfunctions (version 0.1)

Bayesian non-parametric dependent models for time-indexed functional data

Description

Estimates a collection of time-indexed functions under either of Gaussian process (GP) or intrinsic Gaussian Markov random field (iGMRF) prior formulations where a Dirichlet process mixture allows sub-groupings of the functions to share the same covariance or precision parameters. The GP and iGMRF formulations both support any number of additive covariance or precision terms, respectively, expressing either or both of multiple trend and seasonality.

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Version

Install

install.packages('growfunctions')

Monthly Downloads

267

Version

0.1

License

GPL (>= 3)

Maintainer

Terrance Savitsky

Last Published

August 8th, 2014

Functions in growfunctions (0.1)

gen_informative_sample

Generate a finite population and take an informative single or two-stage sample.

Run a Bayesian functional data model under a GP prior with a fixed clustering structure that co-samples latent functions, {bb_i}.

Plot estimated functions, facetted by cluster numbers, for a known clustering

Compute normalized mean squared prediction error based on accuracy to impute missing data values

samples.gmrfdpgrow

Produce samples of MCMC output

Plot estimated functions both at estimated and predicted time points with 95% credible intervals.

Run a Bayesian functional data model under a GP prior whose parameters employ a DP prior

Bayesian instrinsic Gaussian Markov Random Field model for dependent time-indexed functions

predict_functions

Use the model-estimated covariance parameters from gpdpgrow() or gmrdpgrow to predict the function at future time points.

Run a Bayesian functional data model under a GP prior whose parameters employ a DP prior

Run a Bayesian functional data model under a GP prior whose parameters employ a DP prior

Run a Bayesian functional data model under an instrinsic GMRF prior whose precision parameters employ a DP prior

Plot estimated functions for experimental units faceted by cluster versus data to assess fit.

predict_functions.gpdpgrow

Use the model-estimated GP covariance parameters from gpdpgrow() to predict the GP function at future time points. Inputs the gpdpgrow object of estimated parameters.

Produce samples of MCMC output

Monthly employment counts from 1990 - 2013 from the Current Population Survey

predict_functions.gmrfdpgrow

Use the model-estimated iGMRF precision parameters from gmrfdpgrow() to predict the iGMRF function at future time points. Inputs the gmrfdpgrow object of estimated parameters.

Run a Bayesian functional data model under a GP prior whose parameters employ a DP prior

informative_plot

Plot credible intervals for parameters to compare ignoring with weighting an informative sample

Side-by-side plot panels that compare latent function values to data for different estimation models

growfunctions-package

Bayesian non-parametric models for estimating a set of denoised, latent functions from an observed collection of domain-indexed time-series.

Bayesian non-parametric dependent Gaussian process model for time-indexed functional data