Constructs ARIMA term metadata

Takes an ARIMA term as defined by arima() and returns the metadata required to wire the term into a Stan model. Unlike construct_rw(), this does not modify the data or produce design matrix columns; ARIMA latent residuals enter the linear predictor through a parameter-dependent kernel applied to unit-normal shocks (see inst/stan/functions/arima_kernel.stan).

Usage

construct_arima(arima, data)

Arguments

arima

An ARIMA term as defined by arima().

data

A data.frame of observations used to define the ARIMA term. Must contain the time and (if specified) grouping variable.

Value

A list with the following elements:

• time, by, p, d, q: passed through from the arima() term.

• T: number of distinct time points in the series.

• G: number of groups (1 if by is unspecified).

• time_idx: integer vector mapping each row of data to a time index in 1:T.

• group_idx: integer vector mapping each row of data to a group index in 1:G.

• time_vals, group_levels: lookup vectors so the indices can be inverted.

• name: a label for the term, suitable as a parameter prefix.

See also

Functions used to help convert formulas into model designs ar(), arima(), arima_terms(), arma(), as_string_formula(), construct_gp(), construct_re(), construct_rw(), enw_formula(), enw_manual_formula(), gp(), gp_terms(), ma(), parse_formula(), re(), remove_arima_terms(), remove_gp_terms(), remove_rw_terms(), rw(), rw_terms(), split_formula_to_terms()

Examples

data <- enw_example("preproc")$metareference[[1]]
epinowcast:::construct_arima(arima(week), data)
#> $time
#> [1] "week"
#> 
#> $by
#> NULL
#> 
#> $p
#> [1] 1
#> 
#> $d
#> [1] 0
#> 
#> $q
#> [1] 0
#> 
#> $T
#> [1] 6
#> 
#> $G
#> [1] 1
#> 
#> $time_idx
#>  [1] 1 1 1 1 1 1 1 2 2 2 2 2 2 2 3 3 3 3 3 3 3 4 4 4 4 4 4 4 5 5 5 5 5 5 5 6 6 6
#> [39] 6 6
#> 
#> $group_idx
#>  [1] 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1
#> [39] 1 1
#> 
#> $time_vals
#> [1] 0 1 2 3 4 5
#> 
#> $group_levels
#> [1] "1"
#> 
#> $name
#> [1] "arima__week"
#> 
epinowcast:::construct_arima(
  arima(week, day_of_week, p = 2, d = 1), data
)
#> $time
#> [1] "week"
#> 
#> $by
#> [1] "day_of_week"
#> 
#> $p
#> [1] 2
#> 
#> $d
#> [1] 1
#> 
#> $q
#> [1] 0
#> 
#> $T
#> [1] 6
#> 
#> $G
#> [1] 7
#> 
#> $time_idx
#>  [1] 1 1 1 1 1 1 1 2 2 2 2 2 2 2 3 3 3 3 3 3 3 4 4 4 4 4 4 4 5 5 5 5 5 5 5 6 6 6
#> [39] 6 6
#> 
#> $group_idx
#>  [1] 7 5 1 3 4 2 6 7 5 1 3 4 2 6 7 5 1 3 4 2 6 7 5 1 3 4 2 6 7 5 1 3 4 2 6 7 5 1
#> [39] 3 4
#> 
#> $time_vals
#> [1] 0 1 2 3 4 5
#> 
#> $group_levels
#> [1] "Friday"    "Monday"    "Saturday"  "Sunday"    "Thursday"  "Tuesday"  
#> [7] "Wednesday"
#> 
#> $name
#> [1] "arima__week__day_of_week"
#>