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Put data (y) in a \(n \times
T\) matrix or ts/mts object.
Specify each of the parameters in a list for the model
argument.
Fit with
fit <- MARSS(y, model=list(...), method=c("kem", "BFGS", "TMB"))Choose one method from c("kem", "BFGS", "TMB").
Specification of a properly constrained model with a unique solution is the responsibility of the user because the {MARSS} package has no way to tell if you have specified an insufficiently constrained model.
The {MARSS} package fits multivariate autoregressive state-space (MARSS) models of the form: \[\begin{equation} \begin{gathered} \boldsymbol{x}_t = \mbox{$\mathbf B$}_t\boldsymbol{x}_{t-1} + \mbox{$\mathbf U$}_t + \mbox{$\mathbf C$}_t\mbox{$\mathbf c$}_t + \mbox{$\mathbf G$}_t\boldsymbol{w}_t, \text{ where } \boldsymbol{W}_t \sim \,\textup{\textrm{MVN}}(0,\mbox{$\mathbf Q$}_t)\\ \boldsymbol{y}_t = \mbox{$\mathbf Z$}_t\boldsymbol{x}_t + \mbox{$\mathbf A$}_t + \mbox{$\mathbf D$}_t\mbox{$\mathbf d$}_t + \mbox{$\mathbf H$}_t\boldsymbol{v}_t, \text{ where } \boldsymbol{V}_t \sim \,\textup{\textrm{MVN}}(0,\mbox{$\mathbf R$}_t)\\ \boldsymbol{X}_1 \sim \,\textup{\textrm{MVN}}(\boldsymbol{\xi},\boldsymbol{\Lambda}) \text{ or } \boldsymbol{X}_0 \sim \,\textup{\textrm{MVN}}(\boldsymbol{\xi},\boldsymbol{\Lambda}) \end{gathered} \end{equation}\] \(\mbox{$\mathbf c$}\) and \(\mbox{$\mathbf d$}\) are inputs (aka, exogenous variables or covariates or indicator variables) and must have no missing values. The \(\mbox{$\mathbf R$}\), \(\mbox{$\mathbf Q$}\) and \(\boldsymbol{\Lambda}\) variances can can have zeros on the diagonal to specify partially deterministic systems. This allows you to write MAR(p) models in MARSS form for example. See the User Guide. The {MARSS} package is designed to handle linear constraints within the parameter matrices. Linear constraint means you can write the elements of the matrix as a linear equation of all the other elements. See section below on linear constraints.
Example: a mean-reverting random walk model with three observation time series: \[\begin{gather} \begin{bmatrix}x_1\\ x_2\end{bmatrix}_t = \begin{bmatrix}b&0\\ 0&b\end{bmatrix} \begin{bmatrix}x_1\\ x_2\end{bmatrix}_{t-1} + \begin{bmatrix}w_1\\ w_2\end{bmatrix}_t, \quad \begin{bmatrix}w_1\\ w_2\end{bmatrix}_t \sim \,\textup{\textrm{MVN}}\begin{pmatrix}\begin{bmatrix}0\\0\end{bmatrix},\begin{bmatrix}q_{11}&q_{12}\\ q_{12}&q_{22}\end{bmatrix} \end{pmatrix} \\ \begin{bmatrix}y_1\\y_2\\y_3\end{bmatrix}_t = \begin{bmatrix}1&1\\ 0&1\\ 1&0\end{bmatrix} \begin{bmatrix}x_1\\x_2\end{bmatrix}_t + \begin{bmatrix}v_1\\ v_2\\ v_3\end{bmatrix}_t,\quad \begin{bmatrix}v_1\\ v_2\\ v_3\end{bmatrix}_t \sim \,\textup{\textrm{MVN}}\begin{pmatrix}\begin{bmatrix}a_1\\ 0\\ 0\end{bmatrix}, \begin{bmatrix}r_{11}&0&0\\ 0&r&0\\ 0&0&r\end{bmatrix} \end{pmatrix} \\ \begin{bmatrix}x_1\\ x_2\end{bmatrix}_0 \sim \,\textup{\textrm{MVN}}\begin{pmatrix}\begin{bmatrix}0\\ 0\end{bmatrix},\begin{bmatrix}1&0\\ 0&1\end{bmatrix} \end{pmatrix} \end{gather}\]
Model specification is via a list with the structure of each of the model parameters: \(\mbox{$\mathbf B$}\), \(\mbox{$\mathbf U$}\), \(\mbox{$\mathbf C$}\), \(\mbox{$\mathbf Q$}\), \(\mbox{$\mathbf Z$}\), \(\mbox{$\mathbf A$}\), \(\mbox{$\mathbf D$}\), \(\mbox{$\mathbf R$}\), \(\boldsymbol{\xi}\), and\(\boldsymbol{\Lambda}\). There is a one-to-one correspondence between the model in and the math version of the model. The model written in matrix form is translated into equivalent matrices (or arrays if time-varying) in code. Matrices that combine fixed and estimated values are specified using a list matrix with numerical values for fixed values and character names for the estimated values.
For the MARSS model above, this would be:
B1 <- matrix(list("b",0,0,"b"),2,2)
U1 <- matrix(0,2,1)
Q1 <- matrix(c("q11","q12","q12","q22"),2,2)
Z1 <- matrix(c(1,0,1,1,1,0),3,2)
A1 <- matrix(list("a1",0,0),3,1)
R1 <- matrix(list("r11",0,0,0,"r",0,0,0,"r"),3,3)
pi1 <- matrix(0,2,1); V1=diag(1,2)
model.list <- list(B=B1,U=U1,Q=Q1,Z=Z1,A=A1,R=R1,x0=pi1,V0=V1,tinitx=0)The tinitx element tells MARSS whether the initial state
for \(x\) is at \(t=1\) (tinitx=1) or \(t=0\) (tinitx=0).
MARSS has a number of text shortcuts for common parameter forms, such
as "diagonal and unequal"; see below for the possible
shortcuts.
The data must be entered as a \(n \times
T\) matrix, or a ts() (or mts) object or vector
(which will be converted to a \(n \times
T\) matrix).
The call to fit the model is.
fit <- MARSS(y, model=model.list)See ?MARSS for all other arguments. The common ones are
method to change the fitting method from default of EM
(slow). See below. control is used to pass in a list to
control fitting, e.g. control=list(maxit=1000) to increase
maximum iterations if the fit does not converge.
Example with simulated data:
library(MARSS)
set.seed(1234)
x <- rbind(arima.sim(n=50,list(ar=0.95), sd=0.4),
arima.sim(n=50,list(ar=0.95), sd=.02))
y <- Z1 %*% x + matrix(rnorm(3*50,0,0.1), 3, 50)
fit <- MARSS(y, model=model.list, silent=TRUE)
tidy(fit)## term estimate std.error conf.low conf.up
## 1 A.a1 0.0184598413 0.0269628326 -0.0343863395 0.0713060221
## 2 R.r11 0.0188070225 0.0062216241 0.0066128633 0.0310011817
## 3 R.r 0.0115645650 0.0024433098 0.0067757658 0.0163533641
## 4 B.b 0.8605716318 0.0634069752 0.7362962441 0.9848470195
## 5 Q.q11 0.1301323970 0.0288070155 0.0736716842 0.1865931098
## 6 Q.q12 0.0020987299 0.0029632765 -0.0037091853 0.0079066452
## 7 Q.q22 0.0001353807 0.0003058603 -0.0004640944 0.0007348558The EM algorithm in the {MARSS} package is in R and on top of that EM
algorithms are famously slow. You can try method="BFGS" and
see if that is faster. For some models, it will be much faster and for
others slower. The companion package {marssTMB} allows you to
fit these models with TMB and will be the fastest, often much faster.
Definitely if you are doing Dynamic Factor Analysis or working with
large data sets, you will want to use {marssTMB}.
fit1 <- MARSS(y, model=model.list)
fit2 <- MARSS(y, model=model.list, method="BFGS")
fit3 <- MARSS(y, model=model.list, method="TMB")method="BFGS" and method="TMB" are both
using quasi-Newton methods to optimize and these can be sensitive to
initial conditions. You can run EM a few iterations use that as initial
conditions for BFGS or TMB, and this will guard against poor initial
conditions issues.
fit1 <- MARSS(y, model=model.list, control = list(maxit=15))
fit2 <- MARSS(y, model=model.list, method="BFGS", inits = fit1)model listForm of the model list is list(B=..., U=...) etc.
form="marxss"For form="marxss" (the default), matrix names in the
model list must be B, U, C,
c, Q, Z, A,
D, d, R, x0 (\(\boldsymbol{\xi}\)), and V0
(\(\boldsymbol{\Lambda}\)), just like
in the MARSS equation. There are defaults each parameter and you can
leave off matrix names and the defaults will be used. Type
?MARSS.marxss additional information.
B="identity" \(m \times
m\) identity matrixU="unequal" Each element in the \(m \times 1\) matrix \(\mbox{$\mathbf U$}\) is estimated and
allowed to be different.Q="diagonal and unequal" \(\mbox{$\mathbf Q$}\) is a diagonal matrix
and each element on the diagonal is allowed to be different.Z="identity" \(n \times
n\) identity matrix thus in the default model each \(y\) is associated with one \(x\).A="scaling" If \(\mbox{$\mathbf Z$}\) is identity, \(\mbox{$\mathbf A$}\) is zero. Otherwise,
the first \(y\) associated with a \(x\) is set to 0 and the rest are
estimated.R="diagonal and equal" \(\mbox{$\mathbf R$}\) is a diagonal matrix
and each element on the diagonal is the same.x0="unequal" Each element in the \(m \times 1\) matrix \(\boldsymbol{\xi}\) is estimated and allowed
to be different.V0="zero" \(\boldsymbol{\Lambda}\) is set to zero thus
\(\boldsymbol{x}_0\) is treated as an
estimated parameter.tinitx=0 The initial condition for \(\boldsymbol{x}\) is set at \(t=0\).form="dfa"Special form for fitting DFA models. Pass in form="dfa"
to the MARSS() call. Typically only these would be in the
model list:
m=1 Number of factors.R="diagonal and equal" \(\mbox{$\mathbf R$}\) is a diagonal matrix
and each element on the diagonal is the same.d="zero" If there are \(p\) covariates, pass in as a \(p \times T\) matrix.D="unconstrained" if covariates passed in.Defaults.
Z A special unconstrained matrix with the upper
triangle (without the diagonal) set to zero.Q="identity" \(\mbox{$\mathbf
Q$}\) is a diagonal matrix and each element on the diagonal is
allowed to be different.x0="zero" Each element in the \(m \times 1\) matrix \(\boldsymbol{\xi}\) is estimated and allowed
to be different.V0=diag(5,n) \(\boldsymbol{\Lambda}\) is set to a diagonal
matrix with 5 on the diagonal.tinitx=0 The initial condition for \(\boldsymbol{x}\) is set at \(t=0\).B="identity" \(m \times
m\) identity matrixU="zero"A="zero"There are plot.marssMLE(),
autoplot.marssMLE(), print,
summary, coef, fitted,
residuals and predict functions for marssMLE
objects. ?print.MARSS will show you how to get standard
output from your fitted model objects and where that output is stored in
the marssMLE object. See coef.marssMLE() for the different
formats for displaying the estimated parameters. To see plots of your
states and fits plus diagnostic plots, use plot(fit) or,
better, ggplot2::autoplot(fit). For summaries of the
residuals (model and state), use the residuals function.
See ?residuals.marssMLE. To produce predictions and
forecasts from a MARSS model, see ?predict.marssMLE.
Use ggplot2::autoplot(fit) (or plot(fit))
to see a series of standard plots and diagnostics for your model. Use
tidy(fit) for parameter estimates or
coef(fit). Use fitted(fit) for model (\(\boldsymbol{y}\)) estimates and
tsSmooth(fit) for states (\(\boldsymbol{x}\)) estimates. You can also
use fit$states for the states.
Let’s say you specified your model with some text short-cuts, like
Q="unconstrained", but you want the list matrix for for a
next step. a <- summary(fit$model) returns that list
(invisibly). Because the model argument of MARSS() will
understand a list of list matrices, you can pass in model=a
to specify the model.
MARSSkfas(fit, return.kfas.model=TRUE) will return your
model in {KFAS} format (class SSModel), thus you can use all the
functions available in the {KFAS} package on your model.
Try MARSSinfo() if you get errors you don’t understand
or fitting is taking a long time to converge. When fitting a model with
MARSS(), pass in silent=2 to see what
MARSS() is doing. This puts it in verbose mode. Use
fit=FALSE to set up a model without fitting. Let’s say you
do fit <- MARSS(..., fit=FALSE). Now you can do
summary(fit$model) to see what MARSS() thinks
you are trying to fit.
You can also try toLatex(fit$model) to make a LaTeX file
and pdf version of your model (saved in the working directory). This
loads the {Hmisc} package (and all its dependencies) and requires that
you are able to process LaTeX files.
Many example analyses can be found in the MARSS User Guide (pdf). In addition, recorded lectures and more examples on fitting multivariate models can be found at our course website and in the ATSA course eBook html.
The MARSS User Guide starts with some tutorials on MARSS models and walks through many examples showing how to write multivariate time-series models in MARSS form. The User Guide also has vignettes: how to write AR(p) models in state-space form, dynamic linear models (regression models where the regression parameters are AR(p)), multivariate regression models with regression parameters that are time-varying and enter the non-AR part of your model or the AR part, detecting breakpoints using state-space models, and dynamic factor analysis. All of these can be written in MARSS form. It also has a series of vignettes on analysis of multivariate biological data.
Background on the algorithms used in the {MARSS} package is included in the User Guide.
All parameters except x0 and V0 may be
time-varying. If time-varying, then text shortcuts cannot be used. Enter
as an array with the 3rd dimension being time. Time dimension must be 1
or equal to the number of time-steps in the data.
The model list elements can have the following values:
ZDefaults to "identity". Can be a text string,
"identity", "unconstrained",
"diagonal and unequal", "diagonal and equal",
"equalvarcov", or "onestate", or a length
\(n\) vector of factors specifying
which of the \(m\) hidden state time
series correspond to which of the n observation time series. May be
specified as a \(n \times m\) list
matrix for general specification of both fixed and shared elements
within the matrix. May also be specified as a numeric \(n \times m\) matrix to use a custom fixed
\(\mbox{$\mathbf Z$}\).
"onestate" gives a \(n \times
1\) matrix of 1s. The text shortcuts all specify \(n \times n\) matrices.
BDefaults to "identity". Can be a text string,
"identity", "unconstrained",
"diagonal and unequal", "diagonal and equal",
"equalvarcov", "zero". Can also be specified
as a list matrix for general specification of both fixed and shared
elements within the matrix. May also be specified as a numeric \(m \times m\) matrix to use custom fixed
\(\mbox{$\mathbf B$}\), but in this
case all the eigenvalues of \(\mbox{$\mathbf
B$}\) must fall in the unit circle.
U and
x0Defaults to "unequal". Can be a text string,
"unconstrained", "equal",
"unequal" or "zero". May be specified as a
\(m \times 1\) list matrix for general
specification of both fixed and shared elements within the matrix. May
also be specified as a numeric \(m \times
1\) matrix to use a custom fixed \(\mbox{$\mathbf U$}\) or \(\boldsymbol{x}_0\).
ADefaults to "scaling". Can be a text string,
"scaling" ,"unconstrained",
"equal", “unequal” or “zero”. May be specified as a n x 1
list matrix for general specification of both fixed and shared elements
within the matrix. May also be specified as a numeric \(n \times 1\) matrix to use a custom fixed
\(\mbox{$\mathbf A$}\). Care must be
taken so that the model is not under-constrained and unsolvable model.
The default, "scaling", only applies to \(\mbox{$\mathbf Z$}\) matrices that are
design matrices (only 1s and 0s and all rows sum to 1). When a column in
\(\mbox{$\mathbf Z$}\) has multiple 1s,
the first row in the \(\mbox{$\mathbf
A$}\) matrix associated with those \(\mbox{$\mathbf Z$}\) rows is 0 and the
other associated \(\mbox{$\mathbf A$}\)
rows have an estimated value. This treats \(\mbox{$\mathbf A$}\) as an intercept where
one intercept for each \(\boldsymbol{x}\) (hidden state) is fixed at
0 and any other intercepts associated with that \(\boldsymbol{x}\) have an estimated
intercept. This ensures a solvable model when \(\mbox{$\mathbf Z$}\) is a design
matrix.
Q,
R and V0Can be a text string, "identity",
"unconstrained", "diagonal and unequal",
"diagonal and equal", "equalvarcov", “zero”.
May be specified as a list matrix for general specification of both
fixed and shared elements within the matrix. May also be specified as a
numeric matrix to use a custom fixed matrix.
V0 defaults to "zero", which means that
\(\boldsymbol{x}_0\) is treated as an
estimated parameter.
D and
CDefaults to "zero" or if no covariates, defaults to
"unconstrained". Can also be any of the options available
for the variance matrices.
d and
cDefaults to "zero". Numeric matrix. No missing values
allowed. Must have 1 column or the same number of columns as the data,
The numbers of rows in must match the corresponding \(\mbox{$\mathbf D$}\) or \(\mbox{$\mathbf C$}\) matrix.
G and
HDefaults to "identity". Can be specified as a numeric
matrix or array for time-varying cases. Size must match the
corresponding \(\mbox{$\mathbf Q$}\) or
\(\mbox{$\mathbf R$}\) matrix.
Inputs, aka covariates, are in \(\mbox{$\mathbf c$}\) and \(\mbox{$\mathbf d$}\). The are passed in via the model list and must be a numeric matrix (no missing values). \(\mbox{$\mathbf C$}\) and \(\mbox{$\mathbf D$}\) are the estimated parameters, aka covariate effects.
Let’s say you have temperature data and you want to include a linear effect of temperature that is different for each \(\boldsymbol{x}\) time series:
temp <- matrix(rnorm(50, seq(0,1,1/50), 0.1),nrow=1)
C1 <- matrix(c("temp1","temp2"),2,1)
model.list$C <- C1
model.list$c <- tempFit as normal:
fit <- MARSS(y, model=model.list, method="BFGS")A seasonal effect can be easily included via sine/cosine pairs. The
fourier() function in the {forecast} package simplifies
this. You will need to make your data into a ts/mts object.
yts <- ts(t(y), frequency = 12) # requires time down the rows
fcov <- forecast::fourier(yts,1) |> t()## Registered S3 method overwritten by 'quantmod':
## method from
## as.zoo.data.frame zooIf you want a factor effect, then you can use the
seasonaldummy() function in {forecast}
yts <- ts(t(y), frequency = 12) # monthly data
mcov <- forecast::seasonaldummy(yts) |> t() # month factorYour model can have simple linear constraints within all the
parameters except \(\mbox{$\mathbf
Q$}\), \(\mbox{$\mathbf R$}\)
and \(\boldsymbol{\Lambda}\). For
example \(1+2a-3b\) is a linear
constraint. When entering this value for you matrix, you specify this as
"1+2*a+-3*b". NOTE: \(+\)’s join parts so +-3*b to
specify \(-3b\). Anything after
* is a parameter. So 1*1 has a parameter
called "1". Example, let’s change the \(\mbox{$\mathbf B$}\) and \(\mbox{$\mathbf Q$}\) matrices in the
previous model to: \[\begin{equation*}
\mbox{$\mathbf B$}= \begin{bmatrix}b-0.1&0\\
0&b+0.1\end{bmatrix}\quad
\mbox{$\mathbf Q$}= \begin{bmatrix}1&0\\ 0&1\end{bmatrix}\quad
\mbox{$\mathbf Z$}= \begin{bmatrix}z_1-z_2&2 z_1\\ 0&z_1\\
z_2&0\end{bmatrix}
\end{equation*}\] \(\mbox{$\mathbf
Q$}\) is fixed because \(\mbox{$\mathbf
Z$}\) is estimated and estimating both creates a statistically
confounded model (both scale the variance of \(\boldsymbol{x}\)).
This would be specified as (notice "1*z1+-1*z2" for
z1-z2):
B1 <- matrix(list("-0.1+1*b",0,0,"0.1+1*b"),2,2)
Q1 <- matrix(list(1,0,0,1),2,2)
Z1 <- matrix(list("1*z1+-1*z2",0,"z2","2*z1","z1",0),3,2)
model.list <- list(B=B1,U=U1,Q=Q1,Z=Z1,A=A1,R=R1,x0=pi1,V0=V1,tinitx=0)Fit as usual:
fit <- MARSS(y, model=model.list, silent = TRUE)The default model form allows you to pass in a 3-D array for a
time-varying parameter (\(T\) is the
number of time-steps in your data and is the 3rd dimension in the
array):
\[\begin{equation}
\begin{gathered}
\boldsymbol{x}_t = \mbox{$\mathbf B$}_t\boldsymbol{x}_{t-1} +
\mbox{$\mathbf U$}_t + \mbox{$\mathbf C$}_t\mbox{$\mathbf c$}_t +
\mbox{$\mathbf G$}_t\boldsymbol{w}_t, \quad
\boldsymbol{W}_t \sim \,\textup{\textrm{MVN}}(0,\mbox{$\mathbf Q$}_t)\\
\boldsymbol{y}_t = \mbox{$\mathbf Z$}_t\boldsymbol{x}_t + \mbox{$\mathbf
A$}_t + \mbox{$\mathbf D$}_t\mbox{$\mathbf d$}_t + \mbox{$\mathbf
H$}_t\boldsymbol{v}_t, \quad
\boldsymbol{V}_t \sim \,\textup{\textrm{MVN}}(0,\mbox{$\mathbf R$}_t)\\
\boldsymbol{x}_{t_0} \sim
\,\textup{\textrm{MVN}}(\boldsymbol{\xi},\boldsymbol{\Lambda})
\end{gathered}
\end{equation}\] Zeros are allowed on the diagonals of \(\mbox{$\mathbf Q$}\), \(\mbox{$\mathbf R$}\) and \(\boldsymbol{\Lambda}\). NOTE(!!), the time
indexing. Make sure you enter your arrays such that the correct
parameter (or input) at time \(t\)
lines up with \(\boldsymbol{x}_t\);
e.g., it is common for state equations to have \(\mbox{$\mathbf B$}_{t-1}\) lined up with
\(\boldsymbol{x}_t\) so you might need
to enter the \(\mbox{$\mathbf B$}\)
array such that your \(\mbox{$\mathbf
B$}_{t-1}\) is entered at Bt[,,t] in your code.
The length of the 3rd dimension must be the same as your data. For example, say in your mean-reverting random walk model (the example on the first page) you wanted \(\mbox{$\mathbf B$}(2,2)\) to be one value before \(t=20\) and another value after but \(\mbox{$\mathbf B$}(1,1)\) to be time constant. You can pass in the following:
TT <- dim(y)[2]
B1 <- array(list(),dim=c(2,2,TT))
B1[,,1:20] <- matrix(list("b",0,0,"b_1"),2,2)
B1[,,21:TT] <- matrix(list("b",0,0,"b_2"),2,2)Notice the specification is one-to-one to your \(\mbox{$\mathbf B$}_t\) matrices on paper.
These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.