Package: exdqlm 1.0.0

Raquel Barata

exdqlm: Extended Dynamic Quantile Linear Models

Bayesian quantile-regression routines for dynamic state-space models and static regression under the extended asymmetric Laplace (exAL) error distribution. The dynamic state-space models are extended dynamic quantile linear models (exDQLMs). The package combines dynamic exDQLM inference via LDVB, MCMC, and legacy ISVB with static exAL regression via LDVB and MCMC, reduced AL/DQLM paths through fixed skewness, component builders for trend/seasonality/regression blocks, static shrinkage priors including ridge, regularized horseshoe, and 'rhs_ns', evidence lower bound diagnostics, optional C++ accelerators, and posterior predictive synthesis across separately fitted quantiles through 'quantileSynthesis()'. Dynamic exDQLM methods are described in Barata et al. (2020) <doi:10.1214/21-AOAS1497>.

Authors:Raquel Barata [aut, cre], Raquel Prado [ths], Bruno Sanso [ths], Antonio Aguirre [aut]

exdqlm_1.0.0.tar.gz
exdqlm_1.0.0.tar.gz(r-4.7-arm64)exdqlm_1.0.0.tar.gz(r-4.7-x86_64)exdqlm_1.0.0.tar.gz(r-4.6-arm64)exdqlm_1.0.0.tar.gz(r-4.6-x86_64)
exdqlm_1.0.0.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
card.svg |card.png
exdqlm/json (API)
NEWS

# Install 'exdqlm' in R:
install.packages('exdqlm', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/antonioapdl/exdqlm/issues

Uses libs:
  • openblas– Optimized BLAS
  • c++– GNU Standard C++ Library v3
  • openmp– GCC OpenMP (GOMP) support library
Datasets:
  • BTflow - Monthly streamflow at the Big Trees gauge
  • climateIndices - Monthly climate indices for streamflow examples
  • ELIanoms - Daily time-series of ELI anomalies.
  • scIVTmag - Time series of daily average magnitude IVT in Santa Cruz, CA.

On CRAN:

Conda:

openblascppopenmp

2.40 score 1 stars 4 scripts 313 downloads 43 exports 40 dependencies

Last updated from:945a3ed3da. Checks:6 OK. Indexed: no.

TargetResultTimeFilesSyslog
linux-devel-arm64OK226
linux-devel-x86_64OK253
source / vignettesOK261
linux-release-arm64OK224
linux-release-x86_64OK237
wasm-releaseOK170

Exports:as.exdqlmcompPlotdexalexal_make_mcmc_controlexal_make_mcmc_dqlm_sigma_controlexal_make_mcmc_latent_state_controlexal_make_mcmc_sigmagam_controlexal_make_mcmc_theta_controlexal_make_vb_controlexal_make_vb_sigmagam_controlexal_make_vb_sts_controlexalStaticDiagnosticsexalStaticLDVBexalStaticMCMCexdqlmDiagnosticsexdqlmForecastexdqlmForecastDiagnosticsexdqlmISVBexdqlmLDVBexdqlmMCMCexdqlmPlotexdqlmTransferISVBexdqlmTransferLDVBexdqlmTransferMCMCget_gamma_boundsis.exalStaticDiagnosticis.exalStaticLDVBis.exalStaticMCMCis.exdqlmis.exdqlmDiagnosticis.exdqlmForecastis.exdqlmForecastDiagnosticis.exdqlmISVBis.exdqlmLDVBis.exdqlmMCMCis.exdqlmSynthesispexalpolytrendModqexalquantileSynthesisregModrexalseasMod

Dependencies:abindBHclicodacpp11crchevaluateFormulagluehighrigraphknitrLaplacesDemonlatticelifecyclemagicmagrittrMASSMatrixmatrixStatsnimblenlmenumDerivordinalpkgconfigpracmaR6RcppRcppArmadilloRcppEigenrlangsandwichscoringRulestictoctruncnormucminfvctrsxfunyamlzoo

Readme and manuals

Help Manual

Help pageTopics
exdqlm: Extended Dynamic Quantile Linear Modelsexdqlm-package exdqlm
Addition for 'exdqlm' objects+.exdqlm
'exdqlm' objectsas.exdqlm
Monthly streamflow at the Big Trees gaugeBTflow
Monthly climate indices for streamflow examplesclimateIndices
Plot a component of an exDQLMcompPlot
Density Function for the Extended Asymmetric Laplace (exAL) Distributiondexal
Daily time-series of ELI anomalies.ELIanoms
Build advanced MCMC controlexal_make_mcmc_control
Build DQLM sigma-only MCMC warmup controlexal_make_mcmc_dqlm_sigma_control
Build dynamic MCMC latent-state warmup controlexal_make_mcmc_latent_state_control
Build MCMC sigmagam warmup controlexal_make_mcmc_sigmagam_control
Build MCMC theta warmup controlexal_make_mcmc_theta_control
Build advanced VB controlexal_make_vb_control
Build VB sigmagam warmup controlexal_make_vb_sigmagam_control
Build dynamic VB latent-state warmup controlexal_make_vb_sts_control
exAL DiagnosticsexalStaticDiagnostics
Static exAL Regression - LDVB ApproximationexalStaticLDVB
exAL (static) - MCMC algorithmexalStaticMCMC
exDQLM DiagnosticsexdqlmDiagnostics
k-step-ahead quantile forecastsexdqlmForecast
Held-out forecast diagnostics for exDQLM forecastsexdqlmForecastDiagnostics
exDQLM - legacy ISVB algorithmexdqlmISVB
exDQLM - LDVB algorithm (Laplace-Delta)exdqlmLDVB
exDQLM - MCMC algorithmexdqlmMCMC
Plot exDQLMexdqlmPlot
Transfer Function exDQLM - legacy ISVB algorithmexdqlmTransferISVB
Transfer Function exDQLM - LDVB algorithmexdqlmTransferLDVB
Transfer Function exDQLM - MCMC algorithmexdqlmTransferMCMC
Bounds for the exAL shape parameter gammaget_gamma_bounds
'exalStaticDiagnostic' objectsis.exalStaticDiagnostic
'exalStaticLDVB' objectsis.exalStaticLDVB
'exalStaticMCMC' objectsis.exalStaticMCMC
'exdqlm' objectsis.exdqlm
'exdqlmDiagnostic' objectsis.exdqlmDiagnostic
'exdqlmForecast' objectsis.exdqlmForecast
'exdqlmForecastDiagnostic' objectsis.exdqlmForecastDiagnostic
'exdqlmISVB' objectsis.exdqlmISVB
'exdqlmLDVB' objectsis.exdqlmLDVB
'exdqlmMCMC' objectsis.exdqlmMCMC
'exdqlmSynthesis' objectsis.exdqlmSynthesis
Cumulative Distribution Function (CDF) for the exAL Distributionpexal
Plot Method for 'exalStaticDiagnostic' Objectsplot.exalStaticDiagnostic
Plot Method for 'exalStaticLDVB' Objectsplot.exalStaticLDVB
Plot Method for 'exalStaticMCMC' Objectsplot.exalStaticMCMC
Plot Method for 'exdqlmDiagnostic' Objectsplot.exdqlmDiagnostic
Plot Method for 'exdqlmForecast' Objectsplot.exdqlmForecast
Plot Method for 'exdqlmISVB' Objectsplot.exdqlmISVB
Plot Method for 'exdqlmLDVB' Objectsplot.exdqlmLDVB
Plot Method for 'exdqlmMCMC' Objectsplot.exdqlmMCMC
Plot Method for 'exdqlmSynthesis' Objectsplot.exdqlmSynthesis
Create an n-th order polynomial exDQLM componentpolytrendMod
Print Method for 'exalStaticDiagnostic' Objectsprint.exalStaticDiagnostic
Print Method for 'exalStaticLDVB' Objectsprint.exalStaticLDVB
Print Method for 'exalStaticMCMC' Objectsprint.exalStaticMCMC
Print exDQLM model detailsprint.exdqlm
Print Method for 'exdqlmDiagnostic' Objectsprint.exdqlmDiagnostic
Print Method for 'exdqlmForecast' Objectsprint.exdqlmForecast
Print Method for 'exdqlmForecastDiagnostic' Objectsprint.exdqlmForecastDiagnostic
Print Method for 'exdqlmISVB' Objectsprint.exdqlmISVB
Print Method for 'exdqlmLDVB' Objectsprint.exdqlmLDVB
Print Method for 'exdqlmMCMC' Objectsprint.exdqlmMCMC
Print Method for 'exdqlmSynthesis' Objectsprint.exdqlmSynthesis
Quantile Function for the exAL Distributionqexal
Synthesize a unified posterior predictive distribution from multiple quantile-model drawsquantileSynthesis
Create a standard regression component for an exDQLMregMod
Random Sample Generation for the exAL Distributionrexal
Time series of daily average magnitude IVT in Santa Cruz, CA.scIVTmag
Create Fourier representation of a periodic exDQLM componentseasMod
Summary Method for 'exalStaticDiagnostic' Objectssummary.exalStaticDiagnostic
Summary Method for 'exalStaticLDVB' Objectssummary.exalStaticLDVB
Summary Method for 'exalStaticMCMC' Objectssummary.exalStaticMCMC
Summary exDQLM model detailssummary.exdqlm
Summary Method for 'exdqlmDiagnostic' Objectssummary.exdqlmDiagnostic
Summary Method for 'exdqlmForecast' Objectssummary.exdqlmForecast
Summary Method for 'exdqlmForecastDiagnostic' Objectssummary.exdqlmForecastDiagnostic
Summary Method for 'exdqlmISVB' Objectssummary.exdqlmISVB
Summary Method for 'exdqlmLDVB' Objectssummary.exdqlmLDVB
Summary Method for 'exdqlmMCMC' Objectssummary.exdqlmMCMC
Summary Method for 'exdqlmSynthesis' Objectssummary.exdqlmSynthesis