R: Plotting functions for Bayesian structural time series

plot.bsts {bsts}

R Documentation

Plotting functions for Bayesian structural time series

Description

Functions to plot the results of a model fit using bsts.

Usage

  ## S3 method for class 'bsts'
plot(x, y = c("state", "components", "residuals",
              "coefficients", "prediction.errors",
              "forecast.distribution",
              "predictors", "size", "dynamic", "seasonal", "monthly",
              "help"),
      ...)

  PlotBstsCoefficients(bsts.object, burn = SuggestBurn(.1, bsts.object),
                       inclusion.threshold = 0, number.of.variables = NULL, ...)

  PlotBstsComponents(bsts.object,
                     burn = SuggestBurn(.1, bsts.object),
                     time,
                     same.scale = TRUE,
                     layout = c("square", "horizontal", "vertical"),
                     style = c("dynamic", "boxplot"),
                     ylim = NULL,
                     components = 1:length(bsts.object$state.specification),
                     ...)

  PlotDynamicRegression(bsts.object,
                        burn = SuggestBurn(.1, bsts.object),
                        time = NULL,
                        same.scale = FALSE,
                        style = c("dynamic", "boxplot"),
                        layout = c("square", "horizontal", "vertical"),
                        ylim = NULL,
                        zero.width = 2,
                        zero.color = "green",
                        ...)

  PlotBstsState(bsts.object, burn = SuggestBurn(.1, bsts.object),
                       time, show.actuals = TRUE,
                       style = c("dynamic", "boxplot"),
                       scale = c("linear", "mean"),
                       ylim = NULL,
                       ...)

  PlotBstsResiduals(bsts.object, burn = SuggestBurn(.1, bsts.object),
                       time, style = c("dynamic", "boxplot"), means =
                       TRUE, ...)

  PlotBstsPredictionErrors(bsts.object, cutpoints = NULL,
                           burn = SuggestBurn(.1, bsts.object),
                           style = c("dynamic", "boxplot"),
                           xlab = "Time", ylab = "", main = "",
                           ...)

  PlotBstsForecastDistribution(bsts.object, cutpoints = NULL,
                               burn = SuggestBurn(.1, bsts.object),
                               style = c("dynamic", "boxplot"),
                               xlab = "Time",
                               ylab = "",
                               main = "",
                               show.actuals = TRUE,
                               col.actuals = "blue",
                               ...)

  PlotBstsSize(bsts.object, burn = SuggestBurn(.1, bsts.object), style =
                       c("histogram", "ts"), ...)

  PlotSeasonalEffect(bsts.object, nseasons = 7, season.duration = 1,
                     same.scale = TRUE, ylim = NULL, get.season.name = NULL,
                     burn = SuggestBurn(.1, bsts.object),  ...)

  PlotMonthlyAnnualCycle(bsts.object, ylim = NULL, same.scale = TRUE,
                     burn = SuggestBurn(.1, bsts.object),  ...)

Arguments

`x`	An object of class `bsts`.
`bsts.object`	An object of class `bsts`.
`y`	A character string indicating the aspect of the model that should be plotted.
`burn`	The number of MCMC iterations to discard as burn-in.
`col.actuals`	The color to use for the actual data when comparing actuals vs forecasts.
`components`	A numeric vector indicating which components to plot. Component indices correspond to elements of the state specification that was used to build the bsts model being plotted.
`cutpoints`	A numeric vector of integers, or `NULL`. For diagnostic plots of prediction errors or forecast distributions, the model will be re-fit with a separate MCMC run for each entry in 'cutpoints'. Data up to each cutpoint will be included in the fit, and one-step prediction errors for data after the cutpoint will be computed.
`get.season.name`	A function that can be used to infer the title of each seasonal plot. It should take a single `POSIXt`, `Date`, or similar object as an argument, and return a single string that can be used as a panel title. If `get.season.name` is `NULL` and `nseasons` is specified or inferred to be one of the following values, then the following functions will be used. 4: `quarters` 7: `weekdays` 12: `months`
`inclusion.threshold`	An inclusion probability that individual coefficients must exceed in order to be displayed when `what == "coefficients"`. See the help file for `plot.lm.spike.`
`layout`	For controlling the layout of functions that generate mutiple plots.
`main`	Main title for the plot.
`means`	Logical. If TRUE then the mean of each residual is plotted as a blue dot. If false only the distribution of the residuals is plotted.
`nseasons`	If there is only one seasonal component in the model, this argument is ignored. If there are multiple seasonal components then `nseasons` and `season.duration` are used to select the desired one.
`number.of.variables`	If non-`NULL` this specifies the number of coefficients to plot, taking precedence over `inclusion.threshold`. See `plot.lm.spike.`
`same.scale`	Logical. If `TRUE` then all the state components will be plotted with the same scale on the vertical axis. If `FALSE` then each component will get its own scale for the vertical axis.
`scale`	The scale on which to plot the state. If the error family is "logit" or "poisson" then the state can either be plotted on the scale of the linear predictor (e.g. trend + seasonal + regression) or the linear predictor can be passed through the link function so as to plot the distribution of the conditional mean.
`season.duration`	If there is only one seasonal component in the model, this argument is ignored. If there are multiple seasonal components then `nseasons` and `season.duration` are used to select the desired one.
`show.actuals`	Logical. If `TRUE` then actual values from the fitted series will be shown on the plot.
`style`	The desired plot style. Partial matching is allowed, so "dyn" would match "dynamic", for example.
`time`	An optional vector of values to plot against. If missing, the default is to diagnose the time scale of the original time series.
`xlab`	Label for the horizontal axis.
`ylab`	Label for the vertical axis.
`ylim`	Limits for the vertical axis. If `NULL` these will be inferred from the state components and the `same.scale` argument. Otherwise all plots will be created with the same `ylim` values.
`zero.width`	A numerical value for the width of the reference line at zero. If `NULL` then the line will be omitted.
`zero.color`	A color for the width of the reference line at zero. If `NULL` then the line will be omitted.
`...`	Additional arguments to be passed to `PlotDynamicDistribution`, or `TimeSeriesBoxplot`.

Details

PlotBstsState, PlotBstsComponents, and PlotBstsResiduals all produce dynamic distribution plots. PlotBstsState plots the aggregate state contribution (including regression effects) to the mean, while PlotBstsComponents plots the contribution of each state component. PlotBstsResiduals plots the posterior distribution of the residuals given complete data (i.e. looking forward and backward in time). PlotBstsPredictionErrors plots filtering errors (i.e. the one-step-ahead prediction errors given data up to the previous time point). PlotBstsForecastDistribution plots the one-step-ahead forecasts instead of the prediction errors.

PlotBstsCoefficients creates a significance plot for the predictors used in the state space regression model. It is obviously not useful for models with no regressors.

PlotBstsSize plots the distribution of the number of predictors included in the model.

PlotSeasonalEffect generates an array of plots showing how the distibution of the seasonal effect changes, for each season, for models that include a seasonal state component.

PlotMonthlyAnnualCycle produces an array of plots much like PlotSeasonalEffect, for models that include a MonthlyAnnualCycle state component.

Value

These functions are called for their side effect, which is to produce a plot on the current graphics device.

PlotBstsState invisibly returns the state object being plotted.

Examples

  data(AirPassengers)
  y <- log(AirPassengers)
  ss <- AddLocalLinearTrend(list(), y)
  ss <- AddSeasonal(ss, y, nseasons = 12)
  model <- bsts(y, state.specification = ss, niter = 500)
  plot(model, burn = 100)
  plot(model, "residuals", burn = 100)
  plot(model, "components", burn = 100)
  plot(model, "forecast.distribution", burn = 100)

[Package bsts version 0.9.10 Index]