computeMLE: Compute the MLE for bivariate censored data

In MLEcens: Computation of the MLE for Bivariate Interval Censored Data

Compute the MLE for bivariate censored data

Description

This function computes the MLE for bivariate censored data. To be more precise, we compute the MLE for the bivariate distribution of (X,Y) in the following situation: realizations of (X,Y) cannot be observed directly; instead, we observe a set of rectangles (that we call 'observation rectangles') that are known to contain the unobservable realizations of (X,Y).

Usage

computeMLE(R, B=c(0,1), max.inner=10, max.outer=1000, tol=1e-10)

Arguments

R	A nx4 matrix of observation rectangles. Each row corresponds to a rectangle, represented as (x1,x2,y1,y2). The point (x1,y1) is the lower left corner of the rectangle and the point (x2,y2) is the upper right corner of the rectangle.
B	This describes the boundaries of the rectangles (0=open or 1=closed). It can be specified in three ways: (1) A nx4 matrix containing 0's and 1's. Each row corresponds to a rectangle and is denoted as (cx1, cx2, cy1, cy2), where cx1 denotes the boundary type of x1, cx2 denotes the boundary type of x2, etc. (2) A vector (cx1, cx2, cy1, cy2) containing 0's and 1's. This representation can be used if all rectangles have the same type of boundaries. (3) A vector (c1, c2) containing 0's and 1's. This representation can be used if all x and y intervals have the same type of boundaries. c1 denotes the boundary type of x1 and y1, and c2 denotes the boundary type of x2 and y2. The default value is c(0,1).
max.inner	Maximum number of iterations for the inner iteration loop (see section 'Details').
max.outer	Maximum number of iterations for the outer loop (see section 'Details').
tol	Tolerance up to which the necessary and sufficient conditions of the MLE must be satisfied (see section 'Details').

Details

Let PF(Ri) be the probability mass in observation rectangle Ri under distribution F. Then the MLE maximizes log PF(R1)+...+log(PF(Rn)) over the space of all bivariate distribution functions F. The MLE can only assign mass to a finite number of disjoint sets, called maximal intersections, and the MLE is indifferent to the distribution of mass within these sets. Hence, the computation of the MLE can be split into two steps: a reduction step and an optimization step. In the reduction step, the maximal intersections are computed. Next, in the optimization step, it is determined how much probability mass should be assigned to each of these areas.

The function computeMLE uses the height map algorithm of Maathuis (2005) for the reduction step (see reduc) For the optimization step, it uses a combination of sequential quadratic programming (outer iteration loop) and the support reduction algorithm of Groeneboom, Jongbloed and Wellner (2007) (inner iteration loop). It terminates when the necessary and sufficient conditions for the MLE (see Maathuis (2003, page 49, eq (5.4))) are satisfied up to a tolerance tol, or when the maximum number of iterations is reached, whichever comes first. We have found that it works well in practice to set max.inner low; hence it's default value is 10.

The MLE is typically non-unique, in two ways: (1) The MLE is indifferent to the distribution of mass within the maximal intersections (called representational non-uniqueness by Gentleman and Vandal (2002); (2) The amounts of mass assigned to the maximal intersections may be non-unique (called mixture non-uniqueness by Gentleman and Vandal (2002)).

Hence, the algorithm computeMLE returns a MLE. One can deal with representational non-uniqueness by creating an upper bound (assign all mass to the lower left corners of the maximal intersections) and a lower bound (assign all mass to the upper right corners of the maximal intersections) of the MLE (see also plotCDF1, plotCDF2, plotDens1, plotDens2). The algorithm does not (yet) allow to account for mixture non-uniqueness.

Value

A list containing the following elements:

p	Vector of length m with positive probability masses.
rects	A mx4 matrix containing the maximal intersections that correspond to the positive probability masses p.
bounds	Boundaries of rects, specified in the same way as B.
conv	Boolean indicating if the algorithm has converged.
llh	Value of the log likelihood log(P(R1))+...+log(P(Rn)).

Author(s)

Marloes Maathuis: [e-mail]. Part of the code for the optimization step is adapted from code that was written by Piet Groeneboom.

References

Groeneboom, Jongbloed and Wellner (2007). The support reduction algorithm for computing nonparametric function estimates in mixture models. Submitted.

Gentleman and Vandal (2002). Nonparametric estimation of the bivariate CDF for arbitrarily censored data. Canadian Journal of Statistics 30 557-571.

M.H. Maathuis (2003). Nonparametric maximum likelihood estimation for bivariate censored data. Master's thesis, Delft University of Technology, The Netherlands. Available at http://stat.ethz.ch/~maathuis/papers/.

M.H. Maathuis (2005). Reduction algorithm for the NPMLE for the distribution function of bivariate interval censored data. Journal of Computational and Graphical Statistics 14 252–262.

See Also

reduc, plotCDF1, plotCDF2, plotDens1, plotDens2

Examples

# Load example data:
data(ex)
mle <- computeMLE(ex)
par(mfrow=c(2,2))

#### Bivariate density plots of the MLE:

# The colors represent the density=p/(area of maximal intersection)
plotDens2(mle, xlim=range(ex[,1:2]), ylim=range(ex[,3:4]), 
 main="Bivariate density plot of the MLE")
plotRects(ex, add=TRUE)

# Alternative: numbers represent the mass p in the maximal intersections
plotDens2(mle, xlim=range(ex[,1:2]), ylim=range(ex[,3:4]), 
 col="lightgray", main="Bivariate density plot of the MLE", 
 key=FALSE, numbers=TRUE)
plotRects(ex, add=TRUE)

#### Univariate density plots of the MLE:

# Plot univariate density for X
plotDens1(mle, margin=1, xlim=range(ex[,1:2]), 
 main="Marginal density plot, 
 x-margin", xlab="x", ylab=expression(f[X](x)))

# Plot univariate density for Y
plotDens1(mle, margin=2, xlim=range(ex[,3:4]), 
 main="Marginal density plot, 
 y-margin", xlab="y", ylab=expression(f[Y](y))) 

### Bivariate CDF plots of the MLE:

# Plot lower bound for representational non-uniqueness
plotCDF2(mle, xlim=c(min(ex[,1])-1,max(ex[,2])+1), 
 ylim=c(min(ex[,3])-1, max(ex[,4])+1), bound="l", n.key=4,
 main="Bivariate CDF plot of the MLE,
 lower bound")

# Add observation rectangles and shaded maximal intersections
plotRects(ex, add=TRUE) 
plotRects(mle$rects, density=20, border=NA, add=TRUE) 

# Plot upper bound for representational non-uniqueness
plotCDF2(mle, xlim=c(min(ex[,1])-1,max(ex[,2])+1), 
 ylim=c(min(ex[,3])-1, max(ex[,4])+1), bound="u", n.key=4,
 main="Bivariate CDF plot of the MLE, 
 upper bound")

# Add observation rectangles and shaded maximal intersections
plotRects(ex, add=TRUE)
plotRects(mle$rects, density=20, border=NA, add=TRUE)

### Marginal CDF plots of the MLE:

# Plot marginal CDF for X
plotCDF1(mle, margin=1, xlim=c(min(ex[,1])-1,max(ex[,2])+1), 
 bound="b", xlab="x", ylab="P(X<=x)", main="MLE for P(X<=x)")

# Plot marginal CDF for Y
plotCDF1(mle, margin=2, xlim=c(min(ex[,3])-1,max(ex[,4])+1), 
 bound="b", xlab="y", ylab="P(Y<=y)", main="MLE for P(Y<=y)")

MLEcens documentation built on Oct. 18, 2022, 5:05 p.m.