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fMP_CorrGxM_closedform <-
function(listdata, param) {
## model 6 closedform
m = c(listdata$M1,listdata$M2);
p = c(listdata$P1,listdata$P2);
rG = listdata$rG;
muM = param$muM; muP = param$muP;
aM = param$aM; cM = param$cM; eM = param$eM;
aP = param$aP; cP = param$cP; eP = param$eP;
rA = param$rA; rC = param$rC; rE = param$rE;
alphaP = param$alphaP;
kappaP = param$kappaP;
epsilonP = param$epsilonP;
aC = rA*aP; cC = rC*cP; eC = rE*eP;
aU = sqrt(1-rA^2)*aP; cU = sqrt(1-rC^2)*cP; eU = sqrt(1-rE^2)*eP;
alphaC = rA*alphaP;
alphaU = sqrt(1-rA^2)*alphaP;
kappaC = rC*kappaP;
kappaU = sqrt(1-rC^2)*kappaP;
epsilonC = rE*epsilonP;
epsilonU = sqrt(1-rE^2)*epsilonP;
entry11 = aM^2 + cM^2 + eM^2
entry12 = aM^2*rG + cM^2
SigmaM = matrix(c(entry11, entry12,
entry12, entry11),2,2)
invSigmaM = solve(SigmaM);
fm = log(2*pi) + 0.5*log(det(SigmaM)) + 0.5*(m-muM) %*% invSigmaM %*%(m-muM);
SigmaAC = matrix(c(1, rG, 0,
rG, 1, 0,
0, 0, 1),3,3);
SigmaACM = matrix(c(aM, aM*rG, cM, aM*rG, aM, cM), 3,2)
muAC_M = SigmaACM %*% invSigmaM %*% (m-muM);
covAC_M = SigmaAC - SigmaACM %*% invSigmaM %*% t(SigmaACM);
muE_M = (m - muM - aM*muAC_M[1:2] - cM*muAC_M[3]) / eM;
muP_M = muP + (aC+alphaC*m)*muAC_M[1:2] + (cC+kappaC*m)*muAC_M[3] + (eC+epsilonC*m)*muE_M;
am1 = aC+alphaC*m[1] - (eC+epsilonC*m[1])*aM / eM;
am2 = aC+alphaC*m[2] - (eC+epsilonC*m[2])*aM / eM;
cm1 = cC+kappaC*m[1] - (eC+epsilonC*m[1])*cM / eM;
cm2 = cC+kappaC*m[2] - (eC+epsilonC*m[2])*cM / eM;
trans = matrix(c(am1, 0, cm1,
0, am2, cm2),2,3,byrow=T);
cov_Cpart = trans%*%covAC_M%*%t(trans);
entry11 = (aU+alphaU*m[1])^2 + (cU+kappaU*m[1])^2 + (eU+epsilonU*m[1])^2;
entry12 = (aU+alphaU*m[1])*(aU+alphaU*m[2])*rG + (cU+kappaU*m[1])*(cU+kappaU*m[2]);
entry22 = (aU+alphaU*m[2])^2 + (cU+kappaU*m[2])^2 + (eU+epsilonU*m[2])^2;
cov_Upart = matrix(c(entry11, entry12,
entry12, entry22),2,2)
covP_M = cov_Cpart + cov_Upart; # cov(P|M)=E(cov(P|ACM))+cov(E(P|ACM));
fp_M = log(2*pi) + 0.5*log(det(covP_M)) + 0.5*(p-muP_M) %*% solve(covP_M) %*% (p-muP_M);
return(fm+fp_M);
}
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