Extract Samples for a Latent State from a Stan model

Extracts a time-varying latent state from a list of stan output and returns it as a <data.table>.

Usage

extract_latent_state(param, samples, dates)

Arguments

param

Character string indicating the latent state to extract

samples

Extracted stan model (using rstan::extract())

dates

A vector identifying the dimensionality of the latent state to extract. Generally this will be a date.

Value

A <data.frame> containing the following columns:

parameter

Character string, the name of the extracted parameter

time

Integer index (1..N) corresponding to the position in the supplied dates vector. This is the row/time-step index that maps to the date column

date

The date corresponding to this time step

sample

Integer sample ID from the posterior

value

Numeric value of the parameter sample