For this example, we use data from the website PhysioNet (Goldberger et al., 2000), which hosts open data for physiological research. The data come from a study by Hausdorff et al. (1996), who examined walking stride intervals (gait) of 15 subjects (5 healthy young adults, age 23 – 29; 5 healthy old adults, age 71 – 77; and 5 older adults with Parkinson’s disease). On the data website, the description regarding walking stride intervals read:

Subjects walked continuously on level ground around an obstacle-free path. The stride interval was measured using ultra-thin, force sensitive resistors placed inside the shoe. The analog force signal was sampled at 300 Hz with a 12 bit A/D converter, using an ambulatory, ankle-worn microcomputer that also recorded the data. Subsequently, the time between foot-strikes was automatically computed. The method for determining the stride interval is a modification of a previously validated method that has been shown to agree with force-platform measures, a “gold” standard. Data were collected from the healthy subjects as they walked in a roughly circular path for 15 minutes, and from the subjects with Parkinson’s disease as they walked for 6 minutes up and down a long hallway.

We will model subjects’ walking stride intervals in an autoregressive model. Furthermore, we will examine if subjects’ health status (healthy or Parkinson’s disease) can explain variation in random model parameters (i.e., mean stride interval \(\mu_1\), autoregressive effect \(\phi_{(1)11}\), or log innovation variance \(\ln(\sigma^2_{\zeta_{1}})\)).

```
load("gait_data.rda")
head(gait_data)
#> subject age group time stride_interval healthy
#> 1 1 76 healthy_old 30.797 1.023 1
#> 2 1 76 healthy_old 31.820 1.030 1
#> 3 1 76 healthy_old 32.850 1.017 1
#> 4 1 76 healthy_old 33.867 1.027 1
#> 5 1 76 healthy_old 34.893 1.043 1
#> 6 1 76 healthy_old 35.937 1.027 1
```

The variables included in this data set are

`subject`

: the unit identifier (ID)`age`

: subjects’ age in years`group`

: group variable with levels`healthy_old`

,`healthy_young`

, and`pd_old`

(for old adults with Parkinson’s disease)`time`

: the variable containing the measurement point after begin of the study, in seconds. It starts after a brief “warm-up” period`stride_interval`

: subjects’ stride interval in seconds (i.e., the time between heel strikes)

First, we will fit a simple autoregressive model for the stride interval time series. The model setup is the same as in the vignette “A Simple Example: Multilevel Manifest AR(1) Model”. We set it up with

We can check the parameters present in the model by just calling the object:

```
ar1_model1
#> Model Level Type Param
#> 1 Structural Within Fixed effect mu_1
#> 2 Structural Within Fixed effect phi(1)_11
#> 3 Structural Within Fixed effect ln.sigma2_1
#> 4 Structural Between Random effect SD sigma_mu_1
#> 5 Structural Between Random effect SD sigma_phi(1)_11
#> 6 Structural Between Random effect SD sigma_ln.sigma2_1
#> 7 Structural Between RE correlation r_mu_1.phi(1)_11
#> 8 Structural Between RE correlation r_mu_1.ln.sigma2_1
#> 9 Structural Between RE correlation r_phi(1)_11.ln.sigma2_1
#> Param_Label isRandom prior_type prior_location prior_scale
#> 1 Trait 1 normal 0 10.0
#> 2 Dynamic 1 normal 0 2.0
#> 3 Log Innovation Variance 1 normal 0 10.0
#> 4 Trait 0 cauchy 0 2.5
#> 5 Dynamic 0 cauchy 0 2.5
#> 6 Log Innovation Variance 0 cauchy 0 2.5
#> 7 RE Cor 0 LKJ 1 NA
#> 8 RE Cor 0 LKJ 1 NA
#> 9 RE Cor 0 LKJ 1 NA
```

For convenience, we can furthermore check the associated path model:

We fit the model with `mlts_fit()`

. We need to provide the
unit identifier and the time-series construct we wish to examine:

```
ar1_fit1 <- mlts_fit(
model = ar1_model1,
data = gait_data,
id = "subject",
ts = "stride_interval",
monitor_person_pars = TRUE,
iter = 1000
)
```

```
#> Call:
#> mlts_model(q = 1, max_lag = 1)
#> Time series variables as indicated by parameter subscripts:
#> 1 --> stride_interval
#> Data: 9144 observations in 15 IDs
#> Model convergence criteria:
#> Maximum Potential Scale Reduction Factor (PSR; Rhat): 1.006 (should be < 1.01)
#> Minimum Bulk ESS: 482 (should be > 200, 100 per chain)
#> Minimum Tail ESS: 506 (should be > 200, 100 per chain)
#> Number of divergent transitions: 0 (should be 0)
#>
#> Fixed Effects:
#> Post. Mean Post. Median Post. SD 2.5% 97.5% Rhat Bulk_ESS
#> mu_1 1.096 1.096 0.033 1.029 1.157 1.004 747
#> phi(1)_11 0.348 0.348 0.080 0.185 0.512 1.006 723
#> ln.sigma2_1 -6.958 -6.959 0.397 -7.777 -6.216 1.003 622
#> Tail_ESS
#> 713
#> 506
#> 587
#>
#> Random Effects SDs:
#> Post. Mean Post. Median Post. SD 2.5% 97.5% Rhat Bulk_ESS
#> mu_1 0.132 0.128 0.028 0.091 0.200 1.001 778
#> phi(1)_11 0.296 0.287 0.065 0.200 0.450 1.003 664
#> ln.sigma2_1 1.553 1.509 0.310 1.073 2.275 1.002 678
#> Tail_ESS
#> 785
#> 635
#> 681
#>
#> Random Effects Correlations:
#> Post. Mean Post. Median Post. SD 2.5% 97.5% Rhat
#> mu_1.phi(1)_11 0.015 0.018 0.246 -0.463 0.491 1.002
#> mu_1.ln.sigma2_1 0.480 0.499 0.197 0.058 0.801 1.001
#> phi(1)_11.ln.sigma2_1 -0.459 -0.487 0.196 -0.774 -0.029 1.002
#> Bulk_ESS Tail_ESS
#> 714 685
#> 554 695
#> 539 718
#>
#> Samples were drawn using NUTS on Thu May 16 15:17:38 2024.
#> For each parameter, Bulk_ESS and Tail_ESS are measures of effective
#> sample size, and Rhat is the potential scale reduction factor
#> on split chains (at convergence, Rhat = 1).
```

The fixed effect of the subject mean of stride interval is estimated
at 1.096. Individual mean stride intervals fluctuate around this fixed
effect with a standard deviation of 0.132 (see
`Random Effect SDs`

). The fixed effect of the first-order
autoregressive effect (see `phi(1)_11`

in the section
`Fixed Effects`

) is estimated at 0.348, with random effects
standard deviation of 0.296. The fixed effect of log innovation variance
is estimated at -6.958. To be on the original scale, we have to
exponentiate it: exp(0.132) = 0.001. The random effects’ standard
deviation of log innovation variance is estimated at 1.553.

There is also a substantial correlation between random effects of the
person mean (`mu_1`

) and log innovation variance
(`ln.sigma2_1`

) of 0.48, indicating that subjects with a
longer stride interval also display higher variation in their stride
interval. Furthermore, there is a substantial negative correlation of
-0.459 between the autoregressive effect `phi(1)_11`

and log
innovation variance, indicating that subjects displaying a higher
stability in their stride interval tend to display lower variation and
vice versa.

We can now try to explain differences in model parameters by another
covariate. In this example, we will use the subjects health status as
explanatory variable, which is binary in our case (i.e., `1`

for healthy subjects and `0`

for subjects with Parkinson’s
disease). We will include this covariate on the *between-level*
to explain random effect variation, thus it has to be stable
*within* subjects. Note furthermore that the variable has to be
numeric or integer for Stan to be acceptable.

We set this model up with `mtls_model()`

. To predict all
random effects present in the model, we can just provide the variable
name in the argument `ranef_pred`

:

We can see that three new parameters are added on the between level,
specifying the regression weights for predicition of random effects
(i.e., `b_mu_1.ON.healthy`

is the regression weight of the
predictor `healthy`

on the dependent variable
`mu_1`

):

```
ar1_model2
#> Model Level Type Param
#> 1 Structural Within Fixed effect mu_1
#> 2 Structural Within Fixed effect phi(1)_11
#> 3 Structural Within Fixed effect ln.sigma2_1
#> 4 Structural Between Random effect SD sigma_mu_1
#> 5 Structural Between Random effect SD sigma_phi(1)_11
#> 6 Structural Between Random effect SD sigma_ln.sigma2_1
#> 7 Structural Between RE correlation r_mu_1.phi(1)_11
#> 8 Structural Between RE correlation r_mu_1.ln.sigma2_1
#> 9 Structural Between RE correlation r_phi(1)_11.ln.sigma2_1
#> 10 Structural Between RE prediction b_mu_1.ON.healthy
#> 11 Structural Between RE prediction b_phi(1)_11.ON.healthy
#> 12 Structural Between RE prediction b_ln.sigma2_1.ON.healthy
#> Param_Label isRandom prior_type prior_location prior_scale
#> 1 Trait 1 normal 0 10.0
#> 2 Dynamic 1 normal 0 2.0
#> 3 Log Innovation Variance 1 normal 0 10.0
#> 4 Trait 0 cauchy 0 2.5
#> 5 Dynamic 0 cauchy 0 2.5
#> 6 Log Innovation Variance 0 cauchy 0 2.5
#> 7 RE Cor 0 LKJ 1 NA
#> 8 RE Cor 0 LKJ 1 NA
#> 9 RE Cor 0 LKJ 1 NA
#> 10 regression weight 0 normal 0 10.0
#> 11 regression weight 0 normal 0 10.0
#> 12 regression weight 0 normal 0 10.0
```

For convenience, we can plot the path model (note that only the between-level model is shown here, as decomposition and within-level model are the same as before):

We fit the model with `mlts_fit()`

. We need to provide the
unit identifier and the time-series construct we wish to examine. If the
explanatory variable is called the same as provided in the call to
`mlts_model()`

, it does not need to be specified again.
Explanatory variables for random effects are grand-mean-centered per
default. As our group variable is dichotomous, we set the argument
`center_covs`

to `FALSE`

so that we can interpret
the intercept of the random model parameters as mean parameter in the
group of subjects with Parkinson’s disease and the effect of the
explanatory variable as group difference. To obtain standardized
estimates for parameters on the within- and between-level, we set
`monitor_person_pars = TRUE`

. For large models, this may
greatly increase sampling times, so this argument is set to
`FALSE`

by default.

```
ar1_fit2 <- mlts_fit(
model = ar1_model2,
data = gait_data,
id = "subject",
ts = "stride_interval",
center_covs = FALSE,
monitor_person_pars = TRUE,
iter = 1000
)
```

```
#> Call:
#> mlts_model(q = 1, max_lag = 1)
#> Time series variables as indicated by parameter subscripts:
#> 1 --> stride_interval
#> Data: 9144 observations in 15 IDs
#> Model convergence criteria:
#> Maximum Potential Scale Reduction Factor (PSR; Rhat): 1.017 (should be < 1.01)
#> Minimum Bulk ESS: 408 (should be > 200, 100 per chain)
#> Minimum Tail ESS: 362 (should be > 200, 100 per chain)
#> Number of divergent transitions: 0 (should be 0)
#>
#> Fixed Effects:
#> Post. Mean Post. Median Post. SD 2.5% 97.5% Rhat Bulk_ESS
#> mu_1 1.161 1.158 0.060 1.048 1.291 1.003 429
#> phi(1)_11 0.160 0.166 0.126 -0.097 0.407 1.001 441
#> ln.sigma2_1 -5.268 -5.263 0.391 -6.106 -4.463 1.004 460
#> Tail_ESS
#> 509
#> 487
#> 450
#>
#> Random Effects SDs:
#> Post. Mean Post. Median Post. SD 2.5% 97.5% Rhat Bulk_ESS Tail_ESS
#> mu_1 0.129 0.124 0.029 0.088 0.202 0.999 845 743
#> phi(1)_11 0.267 0.257 0.064 0.171 0.428 1.003 922 663
#> ln.sigma2_1 0.873 0.842 0.189 0.590 1.310 1.000 862 622
#> Tail_ESS
#> 743
#> 663
#> 622
#>
#> Random Effects Correlations:
#> Post. Mean Post. Median Post. SD 2.5% 97.5% Rhat Bulk_ESS
#> mu_1.phi(1)_11 0.181 0.190 0.248 -0.339 0.625 1.001 710
#> mu_1.ln.sigma2_1 0.420 0.447 0.223 -0.054 0.781 1.000 842
#> phi(1)_11.ln.sigma2_1 -0.190 -0.200 0.249 -0.643 0.312 1.004 810
#> Tail_ESS
#> 811
#> 848
#> 749
#>
#> Random Effects Regressed On:
#> Post. Mean Post. Median Post. SD 2.5% 97.5% Rhat
#> mu_1 ~ healthy -0.096 -0.093 0.073 -0.243 0.046 1.002
#> phi(1)_11 ~ healthy 0.285 0.277 0.155 -0.032 0.597 0.999
#> ln.sigma2_1 ~ healthy -2.540 -2.533 0.479 -3.532 -1.580 1.003
#> Bulk_ESS Tail_ESS
#> 417 423
#> 468 452
#> 429 362
#>
#> Samples were drawn using NUTS on Fri Jun 21 11:04:08 2024.
#> For each parameter, Bulk_ESS and Tail_ESS are measures of effective
#> sample size, and Rhat is the potential scale reduction factor
#> on split chains (at convergence, Rhat = 1).
```

The `summary()`

now shows a new section called
`Random Effects Regressed On`

, which shows the regression
weights of the explanatory variable `healthy`

. We can see
that subjects’ health status has effects on all between-level model
parameters the autoregressive effect `phi(1)_11`

and log
innovation variance `ln.sigma2_1`

. However, only for the
effect on log innovation variance, the 95% credible intervals of the
regression weight does not include 0. In particular, healthy subjects’
(with a value of `1`

in the variable `healthy`

)
have, on average, a stride interval that is -0.096 seconds shorter than
subjects with Parkinson’s disease. Furthermore, healthy subjects
display, on average, an autoregressive effect that is 0.285 units higher
than for subjects with Parkinson’s disease. At last, the log innovation
variance is on average -2.54 units lower for healthy subjects in
comparison to subjects with Parkinson’s disesase.

To obtain standardized estimates of the parameters, we call
`mlts_standardized()`

on the `mltsfit`

-object. The
argument `what = "both"`

controls that standardized estimates
are computed for the within- and between level (by default, it is done
for the between-level only).

```
#> $`Between-level standardized`
#> Type Param Std.Est SD 2.5% 97.5%
#> 10 RE prediction b_mu_1.ON.healthy -0.326 0.220 -0.690 0.147
#> 11 RE prediction b_phi(1)_11.ON.healthy 0.446 0.207 -0.056 0.745
#> 12 RE prediction b_ln.sigma2_1.ON.healthy -0.808 0.085 -0.916 -0.580
#>
#> $`Within-level standardized effects averaged over clusters`
#> Type Param Std.Est SD 2.5% 97.5%
#> 1 Fixed effect phi(1)_11 0.35 0.011 0.329 0.373
```

Goldberger, A. L., Amaral, L. A. N., Glass, L., Hausdorff, J. M.,
Ivanov, P. Ch., Mark, R. G., Mietus, J. E., Moody, G. B., Peng, C.-K.,
& Stanley, H. E. (2000). PhysioBank, PhysioToolkit, and PhysioNet:
Components of a new research resource for complex physiologic signals.
*Circulation*, *101*(23), e215–e220. https://doi.org/10.1161/01.CIR.101.23.e215

Hausdorff, J., Purdon, P., Peng, C., Ladin, Z., Wei, J., &
Goldberger, A. (1996). Fractal dynamics of human gait: Stability of
long-range correlations in stride interval fluctuations. *Journal of
Applied Physiology*, *80*(5), 1448—1457. https://doi.org/10.1152/jappl.1996.80.5.1448