Hierarchical cors

.github/workflows/test-coverage.yaml

@@ -61,5 +61,5 @@ jobs:
         shell: Rscript {0}
 
       - name: Test coverage
-        run: covr::codecov()
+        run: covr::codecov(line_exclusions = "R/stan_utils.R")
         shell: Rscript {0}

NAMESPACE

@@ -109,6 +109,7 @@ export(gp)
 export(hindcast)
 export(hypotheses)
 export(irf)
+export(jsdgam)
 export(lfo_cv)
 export(lognormal)
 export(loo)

NEWS.md

@@ -1,10 +1,10 @@
 # mvgam 1.1.4 (development version; not yet on CRAN)
 ## New functionalities
-* Added a `stability.mvgam` method to compute stability metrics from models fit with Vector Autoregressive dynamics (#21)
+* Added function `jsdgam()` to estimate Joint Species Distribution Models in which both the latent factors and the observation model components can include any of mvgam's complex linear predictor effects. See `?mvgam::jsdgam` for details
+* Added a `stability.mvgam()` method to compute stability metrics from models fit with Vector Autoregressive dynamics (#21 and #76)
 * Added functionality to estimate hierarchical error correlations when using multivariate latent process models and when the data are nested among levels of a relevant grouping factor (#75); see `?mvgam::AR` for an example
 * Added `ZMVN()` error models for estimating Zero-Mean Multivariate Normal errors; convenient for working with non time-series data where latent residuals are expected to be correlated (such as when fitting Joint Species Distribution Models); see `?mvgam::ZMVN` for examples
-=======
-* Added a `fevd.mvgam` method to compute forecast error variance decompositions from models fit with Vector Autoregressive dynamics
+* Added a `fevd.mvgam()` method to compute forecast error variance decompositions from models fit with Vector Autoregressive dynamics (#21 and #76)
 
 ## Bug fixes
 * Fixed a minor bug in the way `trend_map` recognises levels of the `series` factor
@@ -15,8 +15,8 @@
 * Allow intercepts to be included in process models when `trend_formula` is supplied. This breaks the assumption that the process has to be zero-centred, adding more modelling flexibility but also potentially inducing nonidentifiabilities with respect to any observation model intercepts. Thoughtful priors are a must for these models
 * Added `standata.mvgam_prefit`, `stancode.mvgam` and `stancode.mvgam_prefit` methods for better alignment with 'brms' workflows
 * Added 'gratia' to *Enhancements* to allow popular methods such as `draw()` to be used for 'mvgam' models if 'gratia' is already installed
-* Added an `ensemble.mvgam_forecast` method to generate evenly weighted combinations of probabilistic forecast distributions
-* Added an `irf.mvgam` method to compute Generalized and Orthogonalized Impulse Response Functions (IRFs) from models fit with Vector Autoregressive dynamics
+* Added an `ensemble.mvgam_forecast()` method to generate evenly weighted combinations of probabilistic forecast distributions
+* Added an `irf.mvgam()` method to compute Generalized and Orthogonalized Impulse Response Functions (IRFs) from models fit with Vector Autoregressive dynamics
 
 ## Deprecations
 * The `drift` argument has been deprecated. It is now recommended for users to include parametric fixed effects of "time" in their respective GAM formulae to capture any expected drift effects

R/add_MACor.R

@@ -1893,7 +1893,7 @@ add_MaCor = function(model_file,
           model_file[grep("// posterior predictions",
                           model_file, fixed = TRUE)] <-
             paste0('// computed (full) error covariance matrix\n',
-                   'matrix[n_lv, n_lv]  Sigma;\n',
+                   'matrix[n_lv, n_lv] Sigma;\n',
                    'Sigma = rep_matrix(0, n_lv, n_lv);\n',
                    'for (g in 1 : n_groups){\n',
                    'Sigma[group_inds[g], group_inds[g]] = multiply_lower_tri_self_transpose(L_Sigma_group[g]);\n',
@@ -1904,7 +1904,7 @@ add_MaCor = function(model_file,
           model_file[grep("// posterior predictions",
                           model_file, fixed = TRUE)] <-
             paste0('// computed (full) error covariance matrix\n',
-                   'matrix[n_series, n_series]  Sigma;\n',
+                   'matrix[n_series, n_series] Sigma;\n',
                    'Sigma = rep_matrix(0, n_series, n_series);\n',
                    'for (g in 1 : n_groups){\n',
                    'Sigma[group_inds[g], group_inds[g]] = multiply_lower_tri_self_transpose(L_Sigma_group[g]);\n',

R/forecast.mvgam.R

@@ -84,17 +84,24 @@ forecast.mvgam = function(object,
   type <- match.arg(arg = type, choices = c("link", "response",
                                             "trend", "expected",
                                             "detection", "latent_N"))
+
+  if(inherits(object, 'jsdgam')){
+    orig_trend_model <- attr(object$model_data, 'prepped_trend_model')
+  } else {
+    orig_trend_model <- object$trend_model
+  }
+
   data_train <- validate_series_time(object$obs_data,
-                                     trend_model = object$trend_model)
+                                     trend_model = orig_trend_model)
   n_series <- NCOL(object$ytimes)
 
   # Check whether a forecast has already been computed
   forecasts_exist <- FALSE
   if(!is.null(object$test_data) && !missing(data_test)){
     object$test_data <- validate_series_time(object$test_data,
-                                             trend_model = object$trend_model)
+                                             trend_model = orig_trend_model)
     data_test <- validate_series_time(data_test,
-                                      trend_model = object$trend_model)
+                                      trend_model = orig_trend_model)
     if(max(data_test$index..time..index) <=
        max(object$test_data$index..time..index)){
       forecasts_exist <- TRUE
@@ -126,7 +133,7 @@ forecast.mvgam = function(object,
 
   if(is.null(object$test_data)){
     data_test <- validate_series_time(data_test, name = 'newdata',
-                                      trend_model = object$trend_model)
+                                      trend_model = orig_trend_model)
     data.frame(series = object$obs_data$series,
                time = object$obs_data$time) %>%
       dplyr::group_by(series) %>%
@@ -176,7 +183,7 @@ forecast.mvgam = function(object,
         data_test$y <- rep(NA, NROW(data_test))
       }
       data_test <- validate_series_time(data_test, name = 'newdata',
-                                        trend_model = object$trend_model)
+                                        trend_model = orig_trend_model)
     }
 
     # Generate draw-specific forecasts
@@ -198,7 +205,7 @@ forecast.mvgam = function(object,
 
     # Extract hindcasts
     data_train <- validate_series_time(object$obs_data,
-                                       trend_model = object$trend_model)
+                                       trend_model = orig_trend_model)
     ends <- seq(0, dim(mcmc_chains(object$model_output, 'ypred'))[2],
                 length.out = NCOL(object$ytimes) + 1)
     starts <- ends + 1
@@ -330,12 +337,12 @@ forecast.mvgam = function(object,
   } else {
     # If forecasts already exist, simply extract them
     data_test <- validate_series_time(object$test_data,
-                                      trend_model = object$trend_model)
+                                      trend_model = orig_trend_model)
     last_train <- max(object$obs_data$index..time..index) -
       (min(object$obs_data$index..time..index) - 1)
 
     data_train <- validate_series_time(object$obs_data,
-                                       trend_model = object$trend_model)
+                                       trend_model = orig_trend_model)
     ends <- seq(0, dim(mcmc_chains(object$model_output, 'ypred'))[2],
                 length.out = NCOL(object$ytimes) + 1)
     starts <- ends + 1
@@ -593,8 +600,13 @@ forecast_draws = function(object,
 
   # Check arguments
   validate_pos_integer(n_cores)
+  if(inherits(object, 'jsdgam')){
+    orig_trend_model <- attr(object$model_data, 'prepped_trend_model')
+  } else {
+    orig_trend_model <- object$trend_model
+  }
   data_test <- validate_series_time(data_test, name = 'newdata',
-                                    trend_model = object$trend_model)
+                                    trend_model = orig_trend_model)
   data_test <- sort_data(data_test)
   n_series <- NCOL(object$ytimes)
   use_lv <- object$use_lv
@@ -695,7 +707,7 @@ forecast_draws = function(object,
 
   # No need to compute in parallel if there was no trend model
   nmix_notrend <- FALSE
-  if(!inherits(object$trend_model, 'mvgam_trend') &
+  if(!inherits(orig_trend_model, 'mvgam_trend') &
      object$family == 'nmix'){
     nmix_notrend <- TRUE
   }

R/globals.R

@@ -19,4 +19,5 @@ utils::globalVariables(c("y", "year", "smooth_vals", "smooth_num",
                          "time_lag", "dis_time", "maxt", "orig_rows",
                          "matches", "time.", "file_name", ".data",
                          "horizon", "target", "Series", "evd", "mean_evd",
-                         "total_evd"))
+                         "total_evd", "smooth_label", "by_variable",
+                         "gr", "tot_subgrs", "subgr"))

R/index-mvgam.R

@@ -48,10 +48,13 @@ variables.mvgam = function(x, ...){
   # Linear predictor parameters
   observation_linpreds <- data.frame(orig_name = parnames[grepl('mus[',
                                                                 parnames,
-                                                                fixed = TRUE)],
+                                                                fixed = TRUE) &
+                                                            !grepl('trend_mus[',
+                                                                  parnames,
+                                                                  fixed = TRUE)],
                                      alias = NA)
 
-  if(!is.null(x$trend_call)){
+  if(!is.null(x$trend_call) & !inherits(x, 'jsdgam')){
     trend_linpreds <- data.frame(orig_name = parnames[grepl('trend_mus[',
                                                                   parnames,
                                                                   fixed = TRUE)],
@@ -71,7 +74,7 @@ variables.mvgam = function(x, ...){
   mgcv_names <- names(coef(x$mgcv_model))
   observation_betas <- data.frame(orig_name = b_names, alias = mgcv_names)
 
-  if(!is.null(x$trend_call)){
+  if(!is.null(x$trend_call) & !inherits(x, 'jsdgam')){
     b_names <- colnames(mcmc_chains(x$model_output, 'b_trend'))
     mgcv_names <- gsub('series', 'trend',
                        paste0(names(coef(x$trend_mgcv_model)), '_trend'))
@@ -97,7 +100,7 @@ variables.mvgam = function(x, ...){
   }
 
   trend_re_params <- NULL
-  if(!is.null(x$trend_call)){
+  if(!is.null(x$trend_call) & !inherits(x, 'jsdgam')){
     if(any(unlist(purrr::map(x$trend_mgcv_model$smooth, inherits, 'random.effect')))){
       re_labs <- unlist(lapply(purrr::map(x$trend_mgcv_model$smooth, 'term'),
                                paste, collapse = ','))[
@@ -125,7 +128,7 @@ variables.mvgam = function(x, ...){
     observation_smoothpars <- NULL
   }
 
-  if(any(grepl('rho_trend[', parnames, fixed = TRUE))){
+  if(any(grepl('rho_trend[', parnames, fixed = TRUE)) & !inherits(x, 'jsdgam')){
     trend_smoothpars <- data.frame(orig_name = parnames[grepl('rho_trend[',
                                                                     parnames,
                                                                     fixed = TRUE)],
@@ -136,7 +139,8 @@ variables.mvgam = function(x, ...){
 
   # Trend state parameters
   if(any(grepl('trend[', parnames, fixed = TRUE) &
-           !grepl('_trend[', parnames, fixed = TRUE))){
+           !grepl('_trend[', parnames, fixed = TRUE)) &
+     !inherits(x, 'jsdgam')){
     trend_states <- grepl('trend[', parnames, fixed = TRUE) &
       !grepl('_trend[', parnames, fixed = TRUE)
     trends <- data.frame(orig_name = parnames[trend_states],