Oracle State Space Model Fit

Fits a state space model by treating a known set of outliers as missing data. This benchmark model assumes prior knowledge of outlier locations and is intended for comparison with automatic outlier detection procedures.

Usage

oracle_SSM(
  y,
  init_par,
  build,
  outlier_locs,
  lower = NA,
  upper = NA,
  control = list(parscale = init_par)
)

Arguments

y

A numeric matrix of observations (time points in rows).

init_par

A numeric vector of initial parameter values.

build

A function that returns a dlm model given a parameter vector. The specify_SSM() function can be used to create this build function.

outlier_locs

An integer or logical vector of length equal to the number of time points, indicating locations of known outliers.

lower

Optional numeric vector of lower bounds for parameter estimation. Defaults to -Inf. Must be of same length as init_par.

upper

Optional numeric vector of upper bounds for parameter estimation. Defaults to Inf. Must be of same length as init_par.

control

Optional list of control parameters passed to optim via dlm::dlmMLE(). Default is list(parscale = init_par), which can help the optimizer if parameters are on vastly different scales.

Value

An object of class oracle_SSM containing the optimization result, the provided outlier locations, the original data, and the original build function.

See also

dlmMLE, roams_SSM, attach_insample_info, oos_filter, specify_SSM