--- title: "The structure of the concentration and covariance matrix in a simple state-space model" author: "Mikkel Meyer Andersen and Søren Højsgaard" date: "`r Sys.Date()`" output: rmarkdown::html_vignette vignette: > %\VignetteIndexEntry{The structure of the concentration and covariance matrix in a simple state-space model} %\VignetteEngine{knitr::rmarkdown} %\VignetteEncoding{UTF-8} --- ```{r setup, include=FALSE} knitr::opts_chunk$set(echo = TRUE) ``` ```{r, message=FALSE} library(Ryacas0) library(Matrix) ``` Set output width: ```{r} get_output_width() set_output_width(120) get_output_width() ``` ## Autoregression ($AR(1)$) Consider $AR(1)$ process: $x_i = a x_{i-1} + e_i$ where $i=1,2,3$ and where $x_0=e_0$. Isolating error terms gives that $$ e = L_1 x $$ where $e=(e_0, \dots, e_3)$ and $x=(x_0, \dots x_3)$ and where $L_1$ has the form ```{r} N <- 3 L1chr <- diag("1", 1 + N) L1chr[cbind(1+(1:N), 1:N)] <- "-a" L1s <- as.Sym(L1chr) L1s ``` If error terms have variance $1$ then $\mathbf{Var}(e)=L \mathbf{Var}(x) L'$ so the covariance matrix $V1=\mathbf{Var}(x) = L^- (L^-)'$ while the concentration matrix is $K=L L'$ ```{r} # FIXME: * vs %*% K1s <- Simplify(L1s * Transpose(L1s)) V1s <- Simplify(Inverse(K1s)) ``` ```{r, results="asis"} cat( "\\begin{align} K_1 &= ", TeXForm(K1s), " \\\\ V_1 &= ", TeXForm(V1s), " \\end{align}", sep = "") ``` ## Dynamic linear model Augument the $AR(1)$ process above with $y_i=b x_i + u_i$. Then $(e,u)$ can be expressed in terms of $(x,y)$ as $$ (e,u) = L_2(x,y) $$ where ```{r} N <- 3 L2chr <- diag("1", 1 + 2*N) L2chr[cbind(1+(1:N), 1:N)] <- "-a" L2chr[cbind(1 + N + (1:N), 1 + 1:N)] <- "-b" L2s <- as.Sym(L2chr) L2s ``` ```{r} K2s <- Simplify(L2s * Transpose(L2s)) V2s <- Simplify(Inverse(K2s)) ``` ```{r, results="asis"} cat( "\\begin{align} K_2 &= ", TeXForm(K2s), " \\\\ V_2 &= ", TeXForm(V2s), " \\end{align}", sep = "") ``` ## Numerical evalation in R ```{r} sparsify <- function(x) { Matrix::Matrix(x, sparse = TRUE) } alpha <- 0.5 beta <- -0.3 ## AR(1) N <- 3 L1 <- diag(1, 1 + N) L1[cbind(1+(1:N), 1:N)] <- -alpha K1 <- L1 %*% t(L1) V1 <- solve(K1) sparsify(K1) sparsify(V1) ## Dynamic linear models N <- 3 L2 <- diag(1, 1 + 2*N) L2[cbind(1+(1:N), 1:N)] <- -alpha L2[cbind(1 + N + (1:N), 1 + 1:N)] <- -beta K2 <- L2 %*% t(L2) V2 <- solve(K2) sparsify(K2) sparsify(V2) ``` Comparing with results calculated by yacas: ```{r} V1s_eval <- Eval(V1s, list(a = alpha)) V2s_eval <- Eval(V2s, list(a = alpha, b = beta)) all.equal(V1, V1s_eval) all.equal(V2, V2s_eval) ```