mmc: Find the Maximized Monte Carlo (MMC) p-value on a set of...

In MaxMC: Maximized Monte Carlo

Description

The dgp function defined by the user is used to generate new observations in order to compute the simulated statistics.

Usage

mmc(y, statistic, ..., dgp = function(y, v) sample(y, replace = TRUE),
  est = NULL, lower, upper, N = 99, type = c("geq", "leq",
  "absolute", "two-tailed"), method = c("GenSA", "pso", "GA",
  "gridSearch"), control = list(), alpha = NULL, monitor = FALSE)

Arguments

y	A vector or data frame.
statistic	A function or a character string that specifies how the statistic is computed. The function needs to input the y and output a scalar.
...	Other named arguments for statistic which are passed unchanged each time it is called
dgp	A function. The function inputs the first argument y and a vector of nuisance parameters v and outputs a simulated y. It should represent the data generating process under the null. Default value is the function sample(y, replace = TRUE), i.e. the bootstrap resampling of y.
est	A vector with length of v. It is the starting point of the algorithm. If est is a consistent estimate of v then mmc will return both the MMC and Local Monte Carlo (LMC). Default is NULL, in which case, default values will be generated automatically.
lower	A vector with length of v. Lower bounds for nuisance parameters under the null. See Details.
upper	A vector with length of v. Upper bounds for nuisance parameters under the null. See Details.
N	An atomic vector. Number of replications of the test statistic.
type	A character string. It specifies the type of test the p-value function produces. The possible values are geq, leq, absolute and two-tailed. Default is geq.
method	A character string. Type of algorithm to be used for global optimization. The four available methods are simulated annealing (GenSA), particle swarm (pso), genetic algorithm (GA), and grid search (gridSearch) Default is GenSA,
control	A list. Arguments to be used to control the behavior of the algorithm chosen in method. See controls section for more details.
alpha	An atomic vector. If mmc finds a p-value over alpha, then the algorithm will stop. This is particularly useful if we are only looking at testing a hypothesis at a particular level. Default is NULL.
monitor	A logical. If set to TRUE, then the p-values at every iteration and the cumulative maximum p-value are plotted on a graphical device. Default is FALSE.

Details

Then pvalue is applied to the statistic and its simulated values.pvalue computes the p-value by ranking the statistic compared to its simulated values. Ties in the ranking are broken according to a uniform distribution.

We allow for four types of p-value: leq, geq, absolute and two-tailed. For one-tailed test, leq returns the proportion of simulated values smaller than the statistic while geq returns the proportion of simulated values greater than the statistic. For two-tailed test with a symmetric statistic, one can use the absolute value of the statistic and its simulated values to retrieve a two-tailed test (i.e. type = absolute). If the statistic is not symmetric, one can specify the p-value type as two-tailed which is equivalent to twice the minimum of leq and geq.

Ties in the ranking are broken according to a uniform distribution.

Usually, to ensure that the MMC procedure is exact, lower and upper must be set such that any theoretically possible values for the nuisance parameters under the null are covered. This can be computationally expansive.

Alternatively, the consistent set estimate MMC method (CSEMMC) which is applicable when a consistent set estimator of the nuisance parameters is available can be used. If such set is available, by setting lower and upper accordingly, mmc will yield an asymptotically justified version of the MMC procedure.

One version of this procedure is the Two-stage constrained maximized Monte Carlo test, where first a confidence set of level 1-α_1 for the nuisance parameters is obtained and then the MMC with confidence level α_2 is taken over this particular set. This procedure yields a conservative test with level α=α_1+α_2. Note that we generally advise against using asymptotic Wald-type confidence intervals based on their poor performance. Instead, it is simply best to build confidence set using problem-specific tools.

Value

The returned value is an object of class mmc containing the following components:

S0	Observed value of statistic.
pval	Maximized Monte Carlo p-value of statistic under null.
y	Data specified in call.
statistic	statistic function specified in call.
dgp	dgp function specified in call.
est	est vector if specified in call.
lower	lower vector if specified in call.
upper	upper vector if specified in call.
N	Number of replications specified in call.
type	type of p-value specified in call.
method	method specified in call.
call	Original call to mmc.
seed	Value of .Random.seed at the start of mmc call.
lmc	If par is specified, it returns an object of class mc corresponding to the Local Monte Carlo test.
opt_result	An object returning the optimization results.
rejection	If alpha is specified, it returns a vector specifying whether the hypothesis was rejected at level alpha.

Controls

Controls - GenSA

maxit

Integer. Maximum number of iterations of the algorithm. Defaults to 1000.

nb.stop.improvement

Integer. The program will stop when there is no any improvement in nb.stop.improvement steps. Defaults to 25

smooth

Logical.TRUE when the objective function is smooth, or differentiable almost everywhere in the region of par, FALSE otherwise. Default value is TRUE.

max.call

Integer. Maximum number of call of the objective function. Default is set to 1e7.

max.time

Numeric. Maximum running time in seconds.

temperature

Numeric. Initial value for temperature.

visiting.param

Numeric. Parameter for visiting distribution.

acceptance.param

Numeric. Parameter for acceptance distribution.

simple.function

Logical. FALSE means that the objective function has only a few local minima. Default is FALSE which means that the objective function is complicated with many local minima.

Controls - psoptim

maxit

The maximum number of iterations. Defaults to 1000.

maxf

The maximum number of function evaluations (not considering any performed during numerical gradient computation). Defaults to Inf.

reltol

The tolerance for restarting. Once the maximal distance between the best particle and all other particles is less than reltol*d the algorithm restarts. Defaults to 0 which disables the check for restarting.

s

The swarm size. Defaults to floor(10+2*sqrt(length(par))) unless type is "SPSO2011" in which case the default is 40.

k

The exponent for calculating number of informants. Defaults to 3.

p

The average percentage of informants for each particle. A value of 1 implies that all particles are fully informed. Defaults to 1-(1-1/s)^k.

w

The exploitation constant. A vector of length 1 or 2. If the length is two, the actual constant used is gradially changed from w[1] to w[2] as the number of iterations or function evaluations approach the limit provided. Defaults to 1/(2*log(2)).

c.p

The local exploration constant. Defaults to .5+log(2).

c.g

The global exploration constant. Defaults to .5+log(2).

d

The diameter of the search space. Defaults to the euclidean distance between upper and lower.

v.max

The maximal (euclidean) length of the velocity vector. Defaults to NA which disables clamping of the velocity. However, if specified the actual clamping of the length is v.max*d.

rand.order

Logical; if TRUE the particles are processed in random order. If vectorize is TRUE then the value of rand.order does not matter. Defaults to TRUE.

max.restart

The maximum number of restarts. Defaults to Inf.

maxit.stagnate

The maximum number of iterations without improvement. Defaults to 25

vectorize

Logical; if TRUE the particles are processed in a vectorized manner. This reduces the overhead associated with iterating over each particle and may be more time efficient for cheap function evaluations. Defaults to TRUE.

type

Character vector which describes which reference implementation of SPSO is followed. Can take the value of "SPSO2007" or "SPSO2011". Defaults to "SPSO2007".

Controls - GA

popSize

the population size.

pcrossover

the probability of crossover between pairs of chromosomes. Typically this is a large value and by default is set to 0.8.

pmutation

the probability of mutation in a parent chromosome. Usually mutation occurs with a small probability, and by default is set to 0.1.

updatePop

a logical defaulting to FALSE. If set at TRUE the first attribute attached to the value returned by the user-defined fitness function is used to update the population. Be careful though, this is an experimental feature!

postFitness

a user-defined function which, if provided, receives the current ga-class object as input, performs post fitness-evaluation steps, then returns an updated version of the object which is used to update the GA search. Be careful though, this is an experimental feature!

maxiter

the maximum number of iterations to run before the GA search is halted.

run

the number of consecutive generations without any improvement in the best fitness value before the GA is stopped.

optim

a logical defaulting to FALSE determining whether or not a local search using general-purpose optimisation algorithms should be used. See argument optimArgs for further details and finer control.

optimArgs

a list controlling the local search algorithm with the following components:

method

a string specifying the general-purpose optimisation method to be used, by default is set to "L-BFGS-B". Other possible methods are those reported in optim.

poptim

a value in the range [0,1] specifying the probability of performing a local search at each iteration of GA (default 0.1).

pressel

a value in the range [0,1] specifying the pressure selection (default 0.5). The local search is started from a random solution selected with probability proportional to fitness. High values of pressel tend to select the solutions with the largest fitness, whereas low values of pressel assign quasi-uniform probabilities to any solution.

control

a list of control parameters. See 'Details' section in optim.

keepBest

a logical argument specifying if best solutions at each iteration should be saved in a slot called bestSol. See ga-class.

parallel

a logical argument specifying if parallel computing should be used (TRUE) or not (FALSE, default) for evaluating the fitness function. This argument could also be used to specify the number of cores to employ; by default, this is taken from detectCores. Finally, the functionality of parallelization depends on system OS: on Windows only 'snow' type functionality is available, while on Unix/Linux/Mac OSX both 'snow' and 'multicore' (default) functionalities are available.

Controls - gridSearch

n

the number of levels. Default is 10.

printDetail

print information on the number of objective function evaluations

method

can be loop (the default), multicore or snow. See Details.

mc.control

a list containing settings that will be passed to mclapply if method is multicore. Must be a list of named elements; see the documentation of mclapply in parallel.

cl

default is NULL. If method snow is used, this must be a cluster object or an integer (the number of cores).

keepNames

logical: should the names of levels be kept?

asList

does fun expect a list? Default is FALSE

References

Dufour, J.-M. (2006), Monte Carlo Tests with nuisance parameters: A general approach to finite sample inference and nonstandard asymptotics in econometrics. Journal of Econometrics, 133(2), 443-447.

Dufour, J.-M. and Khalaf L. (2003), Monte Carlo Test Methods in Econometrics. in Badi H. Baltagi, ed., A Companion to Theoretical Econometrics, Blackwell Publishing Ltd, 494-519.

Y. Xiang, S. Gubian. B. Suomela, J. Hoeng (2013). Generalized Simulated Annealing for Efficient Global Optimization: the GenSA Package for R. The R Journal, Volume 5/1, June 2013. URL https://journal.r-project.org/.

Claus Bendtsen. (2012). pso: Particle Swarm Optimization. R package version 1.0.3. https://CRAN.R-project.org/package=pso

Luca Scrucca (2013). GA: A Package for Genetic Algorithms in R. Journal of Statistical Software, 53(4), 1-37. URL http://www.jstatsoft.org/v53/i04/.

Luca Scrucca (2016). On some extensions to GA package: hybrid optimisation, parallelisation and islands evolution. Submitted to R Journal. Pre-print available at arXiv URL http://arxiv.org/abs/1605.01931.

Manfred Gilli (2011), Dietmar Maringer and Enrico Schumann. Numerical Methods and Optimization in Finance. Academic Press.

See Also

mc, pvalue

Examples

## Example 1
## Exact Unit Root Test
library(fUnitRoots)

# Set seed
set.seed(123)

# Generate an AR(2) process with phi = (-1.5,0.5), and n = 25
y <- filter(rnorm(25), c(-1.5, 0.5), method = "recursive")

# Set bounds for the nuisance parameter v
lower <- -1
upper <- 1

# Set the function to generate an AR(2) integrated process
dgp <- function(y, v) {
    ran.y <- filter(rnorm(length(y)), c(1-v,v), method = "recursive")
}

# Set the Augmented-Dicky Fuller statistic
statistic <- function(y){
    out <- suppressWarnings(adfTest(y, lags = 2, type = "nc"))
    return(out@test$statistic)
}

# Apply the mmc procedure
mmc(y, statistic = statistic , dgp = dgp, lower = lower,
    upper = upper, N = 99, type = "leq", method = "GenSA",
    control = list(max.time = 2))


## Example 2
## Behrens-Fisher Problem
library(MASS)

# Set seed
set.seed(123)

# Generate sample x1 ~ N(0,1) and x2 ~ N(0,4)
x1 <- rnorm(15, mean = 0, sd = 1)
x2 <- rnorm(25, mean = 0, sd = 2)
data <- list(x1 = x1, x2 = x2)

# Fit a normal distribution on x1 and x2 using maximum likelihood
fit1 <- fitdistr(x1, "normal")
fit2 <- fitdistr(x2, "normal")

# Extract the estimate for the nuisance parameters v = (sd_1, sd_2)
est <- c(fit1$estimate["sd"], fit2$estimate["sd"])

# Set the bounds of the nuisance parameters equal to the 99% CI
lower <- est - 2.577 * c(fit2$sd["sd"], fit1$sd["sd"])
upper <- est + 2.577 * c(fit2$sd["sd"], fit1$sd["sd"])

# Set the function for the DGP under the null (i.e. two population means are equal)
dgp <- function(data, v) {
    x1 <- rnorm(length(data$x1), mean = 0, sd = v[1])
    x2 <- rnorm(length(data$x2), mean = 0, sd = v[2])
    return(list(x1 = x1, x2 = x2))
}

# Set the statistic function to Welch's t-test
welch <- function(data) {
    test <- t.test(data$x2, data$x1)
    return(test$statistic)
}

# Apply Welch's t-test
t.test(data$x2, data$x1)

# Apply the mmc procedure
mmc(y = data, statistic = welch, dgp = dgp, est = est,
    lower = lower, upper = upper, N = 99,	type = "absolute",
    method = "pso")

MaxMC documentation built on May 1, 2019, 10:16 p.m.