Data Scientist TJO in Tokyo

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Bayesian modeling with R and Stan (4): Time series with a nonlinear trend

The previous post reviewed how to estimate a simple hierarchical Bayesian models. You can see more complicated cases in a great textbook "The BUGS book".

But personally hierarchical Bayesian modeling is the most useful for time-series analysis. I think {dlm} CRAN package is popular for such a purpose, but in order to run more complicated modeling Stan would be a powerful alternative.

To see a simple practice on a complicated time series analysis with Stan, first download a sample dataset from GitHub and import it as "d" to your RStudio workspace. It contains 3 independent variables (x1, x2 and x3) and 1 dependent variable (y). Here I assume y means a certain the number of conversion on a daily basis and x1-x3 mean daily amounts of budget for distinct ads. You can overview how they are just by plotting.

> par(mfrow=c(4,1),mar=c(1,6,1,1))
> plot(d$y,type='l',lwd=3,col='red')
> plot(d$x1,type='l',lwd=1.5)
> plot(d$x2,type='l',lwd=1.5)
> plot(d$x3,type='l',lwd=1.5)


It appears to include some nonlinear trend. Usual multiple linear regression cannot fit such a time series.

> d.lm<-lm(y~.,d)
> matplot(cbind(d$y,predict(d.lm,d[,-4])),type='l',lty=1,lwd=3,col=c(1,2))


In traditional econometrics, such a trend should be treated as, for example, unit root process or trend process. But here we tackle it with just a Bayesian modeling using Stan.

First, let's fit it using a simple model with second-order difference trend. The model is described as follows.

CV_t = Q_t + \sum{trend_t}

trend_t - trend_{t-1} = trend_{t-1} - trend_{t-2} + \epsilon_t

 Q_t = a x_{1t} + b x_{2t} + c x_{3t} + d + \epsilon_t

Actually I set parameters as a = 0.00015, b = 0.00025, c = 5e-05, d = 1000 in the sample dataset. OK, can we correctly estimate these parameters with ruling out a nonlinear trend?

Below is a Stan code for the model above. Save it as "hb_ts1.stan".

data {
	int<lower=0> N;
	real<lower=0> x1[N];
	real<lower=0> x2[N];
	real<lower=0> x3[N];
	real<lower=0> y[N];

parameters {
	real trend[N];
	real s_trend;
	real s_q;
	real<lower=0> a;
	real<lower=0> b;
	real<lower=0> c;
	real d;

model {
	real q[N];
	real cum_trend[N];
	for (i in 3:N)

	for (i in 2:N)

	for (i in 1:N)
	for (i in 1:N)

So now just run as below.

> library(rstan)
> dat<-list(N=100,x1=d$x1,x2=d$x2,x3=d$x3,y=d$y)
> fit1<-stan(file='hb_ts1.stan',data=dat,iter=1000,chains=4)
> library(coda)
> fit1.coda<-mcmc.list(lapply(1:ncol(fit1),function(x) mcmc(as.array(fit1)[,x,])))
> plot(fit1.coda)

You can check its convergence here. Let's estimate each parameter.

> fit1.smp<-extract(fit1)
> dens_a<-density(fit1.smp$a)
> dens_b<-density(fit1.smp$b)
> dens_c<-density(fit1.smp$c)
> dens_d<-density(fit1.smp$d)
> a_est<-dens_a$x[dens_a$y==max(dens_a$y)]
> b_est<-dens_b$x[dens_b$y==max(dens_b$y)]
> c_est<-dens_c$x[dens_c$y==max(dens_c$y)]
> d_est<-dens_d$x[dens_d$y==max(dens_d$y)]
> trend_est<-rep(0,100)
> for (i in 1:100) {
+     tmp<-density(fit1.smp$trend[,i])
+     trend_est[i]<-tmp$x[tmp$y==max(tmp$y)]
+ }
> pred<-a_est*d$x1+b_est*d$x2+c_est*d$x3+d_est+cumsum(trend_est)
> par(mfrow=c(1,1))
> matplot(cbind(d$y,pred),type='l',lty=1,lwd=c(2,3),col=c(1,2))
> legend('topleft',legend=c('Data','Predicted'),col=c(1,2),lty=1,lwd=3,ncol=2,cex=1.5)> a_est
[1] 0.0001447182
> b_est
[1] 0.0003036063
> c_est
[1] 2.771731e-05
> d_est
[1] 1669.245


Great, it looks very nice! But actually a certain problem still remains to solve. In the next post, we'll try it.