Dictionary of statespacer

This document provides extensive details about the object that is returned by statespacer(). In order to do so, we start with introducing the form of the general linear Gaussian state space model, following the notation used by Durbin and Koopman (2012). Obtaining a grasp of the notation used will help to get the most out of the statespacer package!

The general linear Gaussian state space model

There are many ways to write down the form of the general linear Gaussian state space model. We use the form used by Durbin and Koopman (2012):

\[ \begin{aligned} y_t ~ &= ~ Z_t\alpha_t ~ + ~ \varepsilon_t, &\varepsilon_t ~ &\sim ~ N(0, ~ H_t), \\ \alpha_{t+1} ~ &= ~ T_t\alpha_t ~ + ~ R_t\eta_t, &\eta_t ~ &\sim ~ N(0, ~ Q_t), \\ & &\alpha_1 ~ &\sim ~ N(a_1, ~ P_1), \end{aligned} \]

where \(y_t\) is the observation vector, a \(p ~ \times ~ 1\) vector of dependent variables at time \(t\), \(\alpha_t\) is the unobserved state vector, a \(m ~ \times ~ 1\) vector of state variables at time \(t\), and \(\varepsilon_t\) and \(\eta_t\) are disturbance vectors of respectively the observation equation, and the state equation. To initialise the model, \(a_1\) is used as the initial guess of the state vector, and \(P_1\) is the corresponding uncertainty of that guess. The matrices \(Z_t\), \(H_t\), \(T_t\), \(R_t\), and \(Q_t\) are called the system matrices of the state space model. Different specifications of these system matrices, lead to different interpretations of the model at hand.

The object as returned by statespacer

Having obtained a better understanding of the notation used, it is easier to find our way in the object that is returned by statespacer(). Let’s say we store the object of statespacer in a variable called fit, that is, fit <- statespacer(...). fit is then a list, containing many items, including other lists. This section describes the items that are included in fit one by one.

function_call

function_call is a list that contains, as the name suggests, the call to the statespacer() function, including default values for the input arguments that were not specified. For details about the various input arguments, check out ?statespacer.

system_matrices

system_matrices is a list containing all of the system matrices of each of the components. For the variance - covariance matrices \(H\) and \(Q\), it also contains 2 decompositions, namely the Cholesky \(LDL^{\top}\) decomposition, where \(L\) is the loading matrix and \(D\) is the diagonal matrix, and the correlation / standard deviation decomposition. The initial guess for the state vector, a1, is also included, together with the corresponding uncertainty split out by its diffuse component, P_inf, and its stationary component P_star. Further, it contains Z_padded, which is a list containing the \(Z\) matrices of the components augmented with zeroes, such that its dimension is \(p ~ \times ~ m\). These matrices are useful to extract individual components (which is already done for you), or to extract standard deviations of the components. There’s also a vector called state_label, which labels the state vector to indicate which state parameters belongs to which components. If components are specified that introduce parameters into the system matrices, then these parameters are also included here. At the moment, these parameters are lamba (frequency) and rho (dampening factor) for the cycles, AR and MA for the ARIMA components, SAR and SMA for the SARIMA components, and self_spec for the self specified component. Note that coefficients of explanatory variables are put into the state vector, so these are treated as state parameters, and readily returned by the Kalman filter.

predicted

predicted is a list that contains the one-step ahead predicted (predicting time \(t\) using data up to time \(t ~ - ~ 1\)) objects as returned by the Kalman filter:

yfit is the predicted value of \(y\).
v is the prediction error.
Fmat is the uncertainty of the prediction.
a is the predicted state.
P is the uncertainty of the predicted state.
P_inf is the diffuse part of P.
P_star is the non-diffuse part of P.
a_fc is the predicted state for time \(N ~ + ~ 1\) (\(N\) being the last observed timepoint).
P_fc is the uncertainty of a_fc.

Further, the contributions of the components to the predicted values are extracted separately.

filtered

filtered is a list that contains the filtered (estimates for time \(t\) using data up to time \(t\)) objects as returned by the Kalman filter. Here, a is the filtered state, and P the uncertainty of the filtered state. Further, the filtered values of the components are extracted separately.

smoothed

smoothed is a list that contains smoothed (estimates for time \(t\) using all of the timepoints) objects as returned by the Kalman smoother:

a is the smoothed state.
V the uncertainty of the smoothed state.
eta the smoothed state disturbance.
eta_var the uncertainty of eta.
epsilon the smoothed observation disturbance.
epsilon_var the uncertainty of epsilon.

Further, the smoothed values of the components are extracted separately.

diagnostics

diagnostics is a list that contains items useful for diagnostic tests and model selection:

initialisation_steps is the number of timesteps required before initialisation was achieved of the diffuse elements of the state vector.
loglik is the loglikelihood value at the estimated parameters.
AIC is the Akaike Information Criterion for the model.
BIC is the Bayesian Information Criterion for the model.
r is the scaled smoothed state disturbance.
N is the uncertainty of r.
e is the smoothing error.
D is the uncertainty of e.
Tstat_observation is the T-statistic for testing whether deviations from the observation equation are significant.
Tstat_state is the T-statistic for testing whether deviations from the state equation are significant.
v_normalised is the normalised prediction error.
Skewness is the skewness of v_normalised.
Kurtosis is the Kurtosis of v_normalised.
Jarque_Bera is the Jarque-Bera statistic for testing for normality.
Jarque_Bera_criticalvalue is the critical value of the Jarque-Bera test.
correlogram is the correlogram of v_normalised.
Box_Ljung are the Box-Ljung statistics for testing for serial correlation.
Box_Ljung_criticalvalues are the critical values of the Box-Ljung tests.
Heteroscedasticity are statistics for testing for heteroscedasticity.
Heteroscedasticity_criticalvalues are the critical values of the heteroscedasticity tests.
param_indices is a list containing the indices of the parameters in the parameter vector for each of the components.
hessian is the hessian of the loglikelihood evaluated at the estimated parameters.

optim

optim is the list as returned by stats::optim or optimx::optimr, depending on if you have optimx installed. See ?stats::optim and ?optimx::optimr for details.

loglik_fun

loglik_fun is the loglikelihood function that takes param as its only argument. It returns the loglikelihood at the specified parameters.

standard_errors

standard_errors is a list that contains the standard errors for the transformed parameters. Its structure mimicks the structure from system_matrices, but only representing those system matrices that depend on the parameters.

Order of parameter input

This section provides details about the parameter vector that’s supplied to statespacer(). It clarifies which elements are used for what components.

Most components use a variance - covariance matrix, which are constructed using the Cholesky \(LDL^{\top}\) decomposition. The parameters supplied to build the variance - covariance matrix are ordered as follows: First, parameters are used for the Diagonal matrix \(D\) and transformed by \(exp(2x)\). Second, the remaining parameters are assigned columnwise to the Loading matrix \(L\), so first the \(1_{st}\) column, then the \(2_{nd}\) column, and so on.

The parameters are assigned to the components in the following order:

The variance - covariance matrix, \(H\), of the observation equation. Unless the \(H\) matrix is self-specified!
The Local Level component.
The Local Level component + Slope in that order.
The BSM components, in the order of the specified BSM_vec.
Explanatory Variables, if the coefficients are time-varying. The coefficients themselves go into the state vector, so they don’t need any parameters!
Local Level + Explanatory Variables in the Level. First the parameters go to the variance - covariance matrix of the Level, after which the remaining parameters go to the variance - covariance matrix of the Explanatory Variables (if time-varying).
Local Level + Slope + Explanatory Variables in the Level. First the parameters go to the variance - covariance matrix of the Level, then they go to the variance - covariance matrix of the Slope, after which the remaining parameters go to the variance - covariance matrix of the Explanatory Variables (if time-varying).
The Cycle components, in the order of the specified cycles. The first parameter is used for the frequency, \(\lambda\), of the cycle. The second parameter is used for the damping factor, \(\rho\), of the cycle, but only if damping_factor_ind = TRUE. The remaining parameters are used for the variance - covariance matrix.
ARIMA, in the order of the specified ARIMA components. First, the parameters are used for the variance - covariance matrix. Then, the remaining parameters are first used for the AR coefficients, and then the MA coefficients.
SARIMA, in the order of the specified SARIMA components. First, the parameters are used for the variance - covariance matrix. Then, the remaining parameters are used in the order of the specified seasonalities s, first used for the AR coefficients of the first seasonality, and then the MA coefficients of the first seasonality, and so on for the subsequent seasonalities.
The self-specified part.

Care should be taken in specifying the initial parameters! Usually, I check out the variances of the dependent variables and then apply the transformation \(0.5\log(x)\) to the variances, and specify those as initial values for the parameters that go to the various variance - covariance matrices. For the AR and MA coefficients, it might be beneficial to initialise them close to 0, to prevent them from converging to unit root solutions. Using the information in this section, it should make the trial and error process of finding proper initial parameters less cumbersome!