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# Fitting heteroscedastic SEM models
#
hetero_sem=function(formulamean,formulavar,data,W,nsim,burn,step,prior,initial,kernel="normal",seed=0){
## Mean model ##
y_n_mean <- as.character(formulamean[[2]])
X0_mean <- as.character(formulamean[[3]])[-1]
X1_mean <- as.character(do.call("c",sapply(X0_mean, function(x){strsplit(x,"\\+")})))
X_n_mean <- gsub(" ","",X1_mean)
y_mean <- data[,which(names(data)==y_n_mean)]
X_mean <- as.matrix(data[,which(names(data)%in%X_n_mean)])
## Variance model ##
X0_var <- as.character(formulavar)[[2]]
X1_var <- as.character(do.call("c",sapply(X0_var, function(x){strsplit(x,"\\+")})))
X_n_var <- gsub(" ","",X1_var)
X_var <- as.matrix(data[,which(names(data)%in%X_n_var)])
## Prior information ##
b_pri <- prior$b_pri
B_pri <- prior$B_pri
g_pri <- prior$g_pri
G_pri <- prior$G_pri
## Initial values ##
beta_0 <- initial$beta_0
gammas_0 <- initial$gamma_0
lambda_0 <- initial$lambda_0
output <- hetero_sem_int(y_mean,X_mean,X_var,W,nsim,burn,step,b_pri,B_pri,g_pri,G_pri,beta_0,gammas_0,lambda_0,kernel="normal",seed=0)
return(output)
}
#' Hello
#'
#' @keywords internal
#'
hetero_sem_int=function(y,X,Z,W,nsim,burn,step,b_pri,B_pri,g_pri,G_pri,beta_0,gammas_0,lambda_0,kernel="normal",seed=0)
{
set.seed(seed)
########Lectura de la informaci?n
rowst=function(x){
x1=c()
x1=(x)/sum(x)
}
y=as.matrix(y)
if (is.null(X) | is.null(y) ){
stop("No data")
}
if(burn>nsim | burn<0){
stop("Burn must be between 0 and nsim")
}
if(nsim<=0){
stop("There must be more than 0 simulations")
}
if(step<0 | step > nsim){
stop("Jump length must not be lesser than 0 or greater than nsim")
}
if(class(W)=="nb"){
matstand=nb2mat(W)
mat0=nb2listw(W,style="B")
mat=listw2mat(mat0)
}
else{
if(class(W)=="listw"){
mat=listw2mat(W)
matstand=apply(mat,2,rowst)
matstand=t(matstand)
}
else{
if(sum(rowSums(W))==nrow(X))
{
matstand=W
mat=matrix(nrow=nrow(X),ncol=nrow(X))
for(i in 1:nrow(mat)){
for(j in 1:ncol(mat)){
if(matstand[i,j]==0){mat[i,j]=0}
else{mat[i,j]=1/matstand[i,j]}
}
}
}
else{
mat=W
matstand=apply(mat,2,rowst)
matstand=t(matstand)
}
}
}
dpost <- function(betas,gammas,lambda) {
A=diag(nrow(X))-lambda*matstand
Sigma=diag(c(exp((Z)%*%gammas)))
solvSigma=diag(1/c(exp(Z%*%gammas)))
k=t(A%*%(y-X%*%(betas)))%*%solvSigma%*%(A%*%(y-X%*%(betas)))
fc.y=k
fc.beta=t(betas - b_pri)%*%solve(B_pri)%*%(betas-b_pri)
fc.gamma=t(gammas - g_pri)%*%solve(G_pri)%*%(gammas-g_pri)
# dp <- det(Sigma)^(-1/2)*det(A)*exp(-0.5*(fc.y + fc.beta+fc.gamma))
# dp
logdp <- (-1/2)*log(det(Sigma)) + log(det(A)) -0.5*fc.y - 0.5*fc.beta - 0.5*fc.gamma
return(logdp)
}
#Generacion de valores para las distribuciones propuestas
r.proposal_gamma=function(Gammas){
a.now=Z%*%Gammas
A=diag(nrow(X))-Lambda*matstand
b.now=A%*%(y-X%*%betas.now)
y.now=a.now+(b.now^2/exp(a.now))-1
G_pos=solve(solve(G_pri)+0.5*t(Z)%*%Z)
g_pos=G_pos%*%(solve(G_pri)%*%g_pri+0.5*(t(Z)%*%y.now))
gammas.pro=rmvnorm(1,g_pos,G_pos)
gammas.pro
}
dproposal_gamma<-function(gammas.now, gammas.old){
a.now=Z%*%gammas.old
A=diag(nrow(X))-Lambda*matstand
b.now=A%*%(y-X%*%betas.now)
y.now=a.now+(b.now^2/exp(a.now))-1
G_pos=solve(solve(G_pri)+0.5*t(Z)%*%Z)
g_pos=G_pos%*%(solve(G_pri)%*%g_pri+0.5*(t(Z)%*%y.now))
dmvnorm(gammas.now,g_pos,G_pos,log = TRUE)
}
dproposal_lambda<-function(lambda){
Sigma=diag(c(exp(Z%*%Gammas)))
solvSigma=diag(1/c(exp(Z%*%Gammas)))
a=t(y-X%*%betas.now)%*%t(matstand)%*%solvSigma%*%matstand%*%(y-X%*%betas.now)
b=t(y-X%*%betas.now)%*%t(matstand)%*%solvSigma%*%(y-X%*%betas.now)
dnorm(lambda,b/a,1/sqrt(a),log = TRUE)
}
#Algoritmo Metropolis Hastings
beta.mcmc=matrix(NA,nrow=nsim,ncol(X))
gamma.mcmc=matrix(NA,nrow=nsim,ncol(Z))
lambda.mcmc=c()
ind1=rep(0,nsim)
ind2=rep(0,nsim)
logV_DIC=c()
pb <- txtProgressBar(min = 0, max = nsim, style = 3)
if(kernel=="uniform"){
for(i in 1:nsim){
#Valores a posteriori condicional
if(i==1){
Lambda=lambda_0
Gammas=gammas_0
Sigma=diag(c(exp(Z%*%Gammas)))
}
else{
Sigma=diag(c(exp(Z%*%Gammas)))
}
A=diag(nrow(X))-Lambda*matstand
solvSigma=diag(1/c(exp(Z%*%Gammas)))
B_pos=solve(solve(B_pri)+t(A%*%X)%*%solvSigma%*%A%*%X)
b_pos=B_pos%*%(solve(B_pri)%*%b_pri+t(A%*%X)%*%solvSigma%*%A%*%y)
#Beta a posteriori condicional
betas.now=c(rmvnorm(1,b_pos,B_pos))
#A posteriori condicional completa para Sigma2
gammas.now=c(r.proposal_gamma(Gammas))
q1.1=dproposal_gamma(gammas.now,Gammas)
q2.1=dproposal_gamma(Gammas,gammas.now)
p1.1=dpost(betas.now,gammas.now,Lambda)
p2.1=dpost(betas.now,Gammas,Lambda)
T.val=min(1,(p1.1/p2.1)*(q1.1/q2.1))
u<-runif(1)
if(p2.1==0){T.val=0}
if(q2.1==0){T.val=0}
if (u <=T.val) {
Gammas= gammas.now
ind1[i] = 1
}
#A posteriori condicional completa para Lambda
lambda.now=runif(1,1/abs(min(eigen(mat)$values)),1)
p1.2=dpost(betas.now,Gammas,lambda.now)
p2.2=dpost(betas.now,Gammas,Lambda)
T.val2=min(1,p1.2/p2.2)
u<-runif(1)
if(p2.2==0){T.val2=0}
if (u <=T.val2) {
Lambda <- lambda.now
ind2[i] = 1
}
beta.mcmc[i,]<-betas.now
gamma.mcmc[i,]<-gammas.now
lambda.mcmc[i]<-lambda.now
Sigma=diag(c(exp(Z%*%gamma.mcmc[i,])))
detS=det(Sigma)
detB=det(diag(nrow(X))-lambda.mcmc[i]*matstand)
Yg=(diag(nrow(X))-lambda.mcmc[i]*matstand)%*%(y-X%*%beta.mcmc[i,])
logV_DIC[i]=(-(nrow(X)/2)*log(pi))+log(detB)-0.5*log(detS)-0.5*t(Yg)%*%diag(1/c(exp(Z%*%gamma.mcmc[i,])))%*%Yg
Sys.sleep(0.000000001)
# update progress bar
setTxtProgressBar(pb, i)
}
}
if(kernel=="normal"){
for(i in 1:nsim){
#Valores a posteriori condicional
if(i==1){
Gammas=gammas_0
Sigma=diag(c(exp(Z%*%Gammas)))
Lambda=lambda_0
}
else{
Sigma=diag(c(exp(Z%*%Gammas)))
}
A=diag(nrow(X))-Lambda*matstand
solvSigma=diag(1/c(exp(Z%*%Gammas)))
B_pos=solve(solve(B_pri)+t(A%*%X)%*%solvSigma%*%A%*%X)
b_pos=B_pos%*%(solve(B_pri)%*%b_pri+t(A%*%X)%*%solvSigma%*%A%*%y)
betas.now=c(rmvnorm(1,b_pos,B_pos))
###Propuesta de gammas
gammas.now=c(r.proposal_gamma(Gammas))
q1.1=dproposal_gamma(gammas.now,Gammas)
q2.1=dproposal_gamma(Gammas,gammas.now)
p1.1=dpost(betas.now,gammas.now,Lambda)
p2.1=dpost(betas.now,Gammas,Lambda)
met.a1 <- ifelse(p1.1>p2.1,log(p1.1-p2.1),-log(p2.1-p1.1))
met.b1 <- ifelse(q1.1>q2.1,log(q1.1-q2.1),-log(q2.1-q1.1))
T.val1=min(0,met.a1+met.b1)
#T.val=min(1,(p1.1/p2.1)*(q1.1/q2.1))
u<-runif(1)
# if(p2.1==0){T.val=0}
# if(q2.1==0){T.val=0}
if (u <=exp(T.val1)) {
Gammas= gammas.now
ind1[i] = 1
}
###Propuesta de Lambda
Sigma=diag(c(exp(Z%*%Gammas)))
solvSigma=diag(1/c(exp(Z%*%Gammas)))
a=t(y-X%*%betas.now)%*%t(matstand)%*%solvSigma%*%matstand%*%(y-X%*%betas.now)
b=t(y-X%*%betas.now)%*%t(matstand)%*%solvSigma%*%(y-X%*%betas.now)
eigenvals <- eigen(matstand)$values
lowlim <- -1/(max(abs(eigenvals[eigenvals<0])))
lambda.now=rnorm(1,b/a,1/sqrt(a))
while(lambda.now>1 || lambda.now< lowlim){
lambda.now <- rnorm(1,b/a,1/sqrt(a))
}
p1.2=dpost(betas.now,Gammas,lambda.now)
p2.2=dpost(betas.now,Gammas,Lambda)
q1.2=dproposal_lambda(lambda.now)
q2.2=dproposal_lambda(Lambda)
met.a2 <- ifelse(p1.2>p2.2,log(p1.2-p2.2),-log(p2.2-p1.2))
met.b2 <- ifelse(q1.2>q2.2,log(q1.2-q2.2),-log(q2.2-q1.2))
T.val2=min(0,met.a2+met.b2)
#T.val2=min(1,p1.2/p2.2)
u<-runif(1)
#if(p2.2==0){T.val2=0}
if (u <=exp(T.val2)) {
Lambda <- lambda.now
ind2[i] = 1
}
beta.mcmc[i,]<-betas.now
gamma.mcmc[i,]<-gammas.now
lambda.mcmc[i]<-lambda.now
Sigma=diag(c(exp(Z%*%gamma.mcmc[i,])))
detS=det(Sigma)
detB=det(diag(nrow(X))-lambda.mcmc[i]*matstand)
Yg=(diag(nrow(X))-lambda.mcmc[i]*matstand)%*%(y-X%*%beta.mcmc[i,])
logV_DIC[i]=(-(nrow(X)/2)*log(pi))+log(detB)-0.5*log(detS)-0.5*t(Yg)%*%diag(1/c(exp(Z%*%gamma.mcmc[i,])))%*%Yg
Sys.sleep(0.000000001)
# update progress bar
setTxtProgressBar(pb, i)
}
}
beta.mcmc_1=beta.mcmc[(burn+1):nsim,]
gamma.mcmc_1=gamma.mcmc[(burn+1):nsim,]
lambda.mcmc_1=lambda.mcmc[(burn+1):nsim]
beta.mcmc_2=matrix(NA,nrow=(nsim-burn+1)/step,ncol(X))
gamma.mcmc_2=matrix(NA,nrow=(nsim-burn+1)/step,ncol(Z))
lambda.mcmc_2=c()
for (i in 1:(nsim-burn+1))
{
if(i%%step==0)
{
beta.mcmc_2[i/step,]=beta.mcmc_1[i,]
gamma.mcmc_2[i/step,]=gamma.mcmc_1[i,]
lambda.mcmc_2[i/step]=lambda.mcmc_1[i]
}
}
Bestimado = colMeans(beta.mcmc_2)
Gammaest = colMeans(gamma.mcmc_2)
lambda.mcmc_3=lambda.mcmc_2[lambda.mcmc_2<=1]
Lambdaest=mean(lambda.mcmc_3)
DesvBeta <- apply(beta.mcmc_2,2,sd)
DesvGamma <- apply(gamma.mcmc_2,2,sd)
DesvLambda<-sd(lambda.mcmc_3)
Betaquant <- t(apply(beta.mcmc_2,2,function(x){quantile(x,c(0.025,0.5,0.975))}))
Gammaquant <- t(apply(gamma.mcmc_2,2,function(x){quantile(x,c(0.025,0.5,0.975))}))
Lambdaquant <- quantile(lambda.mcmc_3,c(0.025,0.5,0.975))
AccRate1<-sum(ind1)/nsim
AccRate2<-sum(ind2)/nsim
Sigma1=diag(c(exp(Z%*%Gammaest)))
detS=det(Sigma1)
detA=det(diag(nrow(X))-Lambdaest*matstand)
Yg=(diag(nrow(X))-Lambdaest*matstand)%*%(y-X%*%Bestimado)
Veros=detA*((detS)^(-0.5))*exp(-0.5*t(Yg)%*%solve(Sigma1)%*%Yg)
p=ncol(X)+ncol(Z)+1
BIC=-2*log(Veros)+p*log(nrow(X))
logV_DIC=logV_DIC[is.nan(logV_DIC)==FALSE]
Dbar=mean(-2*logV_DIC)
logV1_DIC=(-(nrow(X)/2)*log(pi))+log(detA)-0.5*log(detS)-0.5*t(Yg)%*%solve(Sigma1)%*%Yg
Dev=-2*logV1_DIC
DIC=2*Dbar+Dev
summary = data.frame( mean=c(Bestimado,Gammaest,Lambdaest),
sd = c(DesvBeta,DesvGamma,DesvLambda),
q0.025=c(Betaquant[,1],Gammaquant[,1],Lambdaquant[1]),
q0.5=c(Betaquant[,2],Gammaquant[,2],Lambdaquant[2]),
q0.975=c(Betaquant[,3],Gammaquant[,3],Lambdaquant[3]))
rownames(summary) = c("x0","x1","x2","z0","z1","z2","lambda")
#rownames(summary) = c("x0","x1","x2","z0","z1","lambda")
return(list(summary=summary,Acceptance_Rates=list(Gamma_AccRate=AccRate1,Lambda_AccRate=AccRate2),Criteria=list(BIC=BIC,DIC=DIC),chains=mcmc(data.frame(beta_chain=beta.mcmc,gamma_chain=gamma.mcmc,lambda_chain=lambda.mcmc),thin = 1)))
}
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