diagnostic-plots function

Diagnostic Plots

Diagnostic plots for distributions of residuals.

qqdist(draws, ...)
  AcfDist(draws, lag.max = NULL, xlab = "Lag", ylab = "Autocorrelation", ...)

Arguments

• draws: A matrix of Monte Carlo draws of residual errors. Each row is a Monte Carlo draw, and each column is an observation. In the case of AcfDist successive observations are assumed to be sequential in time.

• lag.max: The number of lags to plot in the autocorrelation function. See acf.

• xlab: Label for the horizontal axis.

• ylab: Label for the vertical axis.

• ...: Extra arguments passed to either boxplot

  (for AcfDist) or PlotDynamicDistribution (for qqdist).

Details

qqdist sorts the columns of draws by their mean, and plots the resulting set of curves against the quantiles of the standard normal distribution. A reference line is added, and the mean of each column of draws is represented by a blue dot. The dots and the line are the transpose of what you get with qqnorm

and qqline.

AcfDist plots the posterior distribution of the autocorrelation function using a set of side-by-side boxplots.

Examples

data(AirPassengers)
y <- log(AirPassengers)

ss <- AddLocalLinearTrend(list(), y)
ss <- AddSeasonal(ss, y, nseasons = 12)
model <- bsts(y, ss, niter = 500)

r <- residuals(model)
par(mfrow = c(1,2))
qqdist(r)   ## A bit of departure in the upper tail
AcfDist(r)