R/orm.scores.R

Defines functions orm.scores

######
#' @importFrom SparseM as.matrix
#' @importFrom rms orm

orm.scores <- function (y, X, link) {
  y <- as.numeric(factor(y))
  if(!is.matrix(X)) X = matrix(X, ncol=1)
  N = length(y)
  ny = length(table(y))
  na = ny - 1
  nb = ncol(X)
  npar = na + nb
  Z = outer(y, 1:ny, "<=")
  link <- ifelse(link=='logit', "logistic", link)
  
  mod <- orm(y~X, family=link, x=TRUE, y=TRUE)
  
  alpha = mod$coeff[1:na]
  beta = mod$coeff[-(1:na)]
  
  dl.dtheta = matrix(0, N, npar)
  #   ## Information matrices are stored as sums over all individuals.
  #   d2l.dalpha.dalpha = matrix(0,na,na)
  #   d2l.dalpha.dbeta = matrix(0,na,nb)
  #   d2l.dbeta.dbeta = matrix(0,nb,nb)
  #   d2l.dbeta.dalpha = matrix(0,nb,na)
  
  #p0 = matrix(,N,ny)
  #dp0.dtheta = array(0,c(N,ny,npar))
  ## Cumulative probabilities
  Gamma = matrix(0,N,na)
  #dgamma.dtheta = array(0,c(N,na,npar))
  dlow.dtheta = dhi.dtheta =dpij.dtheta= matrix(, npar, N)
  
  
  for (i in 1:N) {
    z = Z[i,]  ## z has length ny
    x = X[i,]
    
    ## gamma and phi are defined as in McCullagh (1980)
    #####gamma = 1 - 1/(1 + exp(alpha + sum(beta*x))) ## gamma has length na
    ### I am using orm() notation, orm model P(Y>=j+1), gamma=P(Y<=j)=1- F(alpha+sum(beta*x))
    ### It does not matter much for probit, logit, cauchy (with symetric pdf), but it does matter for loglog and cloglog
    ### Therefore,I modify the cocobot ordinal.scores code.
    gamma <-1- mod$trans$cumprob(alpha + sum(beta*x))
    diffgamma = diff(c(gamma,1))
    invgamma = 1/gamma
    invgamma2 = invgamma^2
    invdiffgamma = 1/diffgamma
    invdiffgamma2 = invdiffgamma^2
    phi = log(gamma / diffgamma) ## phi has length na
    Gamma[i,] = gamma
    
    
    #### Some intermediate derivatives
    ## g(phi) = log(1+exp(phi))
    dg.dphi = 1 - 1/(1 + exp(phi))
    ## l is the log likelihood (6.3) in McCullagh (1980)
    dl.dphi = z[-ny] - z[-1] * dg.dphi
    t.dl.dphi = t(dl.dphi)
    
    ## dphi.dgamma is a na*na matrix with rows indexed by phi
    ## and columns indexed by gamma
    dphi.dgamma = matrix(0,na,na)
    diag(dphi.dgamma) = invgamma + invdiffgamma
    if(na > 1)
      dphi.dgamma[cbind(1:(na-1), 2:na)] = -invdiffgamma[-na]
    
    
    dgamma.base <- - mod$trans$deriv(x=alpha + sum(beta*x), f=mod$trans$cumprob(alpha + sum(beta*x)))
    
    dgamma.dalpha = diagn(dgamma.base)
    dgamma.dbeta = dgamma.base %o% x
    #dgamma.dtheta[i,,] = cbind(dgamma.dalpha, dgamma.dbeta)
    #### First derivatives of log-likelihood (score functions)    
    dl.dalpha = dl.dphi %*% dphi.dgamma %*% dgamma.dalpha
    dl.dbeta = dl.dphi %*% dphi.dgamma %*% dgamma.dbeta
    dl.dtheta[i,] = c(dl.dalpha, dl.dbeta)
    
    if (y[i] == 1) {
      dlow.dtheta[,i] <- 0
    } else {
      dlow.dtheta[,i] <- c(dgamma.dalpha[y[i]-1,], dgamma.dbeta[y[i]-1, ])
    }
    
    if (y[i] == ny) {
      dhi.dtheta[,i] <- 0
    } else {
      
      dhi.dtheta[,i] <- -c(dgamma.dalpha[y[i],], dgamma.dbeta[y[i],])
    }
    
    
    
    
    
    
    
    
    
    ######################### use orm information matrix directly
    ####### I have checked they give same results with the following calculation
    #     d2gamma.base= -mod$trans$deriv2(x=alpha + sum(beta*x), f=mod$trans$cumprob(alpha + sum(beta*x)),
    #                                     deriv=mod$trans$deriv(x=alpha + sum(beta*x), f=mod$trans$cumprob(alpha + sum(beta*x))))
    #     
    #  
    #     ##
    #     d2l.dphi.dphi = diagn(-z[-1] * dg.dphi * (1-dg.dphi))
    #     d2l.dphi.dalpha = d2l.dphi.dphi %*% dphi.dgamma %*% dgamma.dalpha
    #     d2l.dphi.dbeta = d2l.dphi.dphi %*% dphi.dgamma %*% dgamma.dbeta
    #     
    #     ##
    #     d2phi.dgamma.dalpha = array(0,c(na,na,na))
    #     d2phi.dgamma.dalpha[cbind(1:na,1:na,1:na)] = (-invgamma2 + invdiffgamma2) * dgamma.base
    #     if(na > 1) {
    #       d2phi.dgamma.dalpha[cbind(1:(na-1),1:(na-1),2:na)] = -invdiffgamma2[-na] * dgamma.base[-1]
    #       d2phi.dgamma.dalpha[cbind(1:(na-1),2:na,1:(na-1))] = -invdiffgamma2[-na] * dgamma.base[-na]
    #       d2phi.dgamma.dalpha[cbind(1:(na-1),2:na,2:na)] = invdiffgamma2[-na] * dgamma.base[-1]
    #     }
    #     
    #     ##
    #     d2phi.dgamma.dbeta = array(0,c(na,na,nb))
    #     rowdiff = matrix(0,na,na)
    #     diag(rowdiff) = 1
    #     if(na > 1) rowdiff[cbind(1:(na-1),2:na)] = -1
    #     d2phi.dgamma.dbeta.comp1 = diagn(-invdiffgamma2) %*% rowdiff %*% dgamma.dbeta
    #     d2phi.dgamma.dbeta.comp2 = diagn(-invgamma2) %*% dgamma.dbeta - d2phi.dgamma.dbeta.comp1
    #     for(j in 1:na) {
    #       d2phi.dgamma.dbeta[j,j,] = d2phi.dgamma.dbeta.comp2[j,]
    #       if(j < na)
    #         d2phi.dgamma.dbeta[j,j+1,] = d2phi.dgamma.dbeta.comp1[j,]
    #     }
    #     
    #     ##
    #     d2gamma.dalpha.dbeta = array(0,c(na,na,nb))
    #     for(j in 1:na)
    #       d2gamma.dalpha.dbeta[j,j,] = d2gamma.base[j] %o% x
    #     
    #     ##
    #     d2gamma.dbeta.dbeta = d2gamma.base %o% x %o% x
    
    
    
    
    
    #### Second derivatives of log-likelihood
    #### Since first derivative is a sum of terms each being a*b*c,
    #### second derivative is a sum of terms each being (a'*b*c+a*b'*c+a*b*c').
    
    #### d2l.dalpha.dalpha
    ## Obtain aprime.b.c
    ## Transpose first so that matrix multiplication is meaningful.
    ## Then transpose so that column is indexed by second alpha.
    #     aprime.b.c = t(crossprod(d2l.dphi.dalpha, dphi.dgamma %*% dgamma.dalpha))
    #     
    #     ## Obtain a.bprime.c
    #     ## run through the index of second alpha
    #     a.bprime.c = matrix(,na,na)
    #     for(j in 1:na)
    #       a.bprime.c[,j] = t.dl.dphi %*% d2phi.dgamma.dalpha[,,j] %*% dgamma.dalpha
    #     
    #     ## Obtain a.b.cprime
    #     ## cprime = d2gamma.dalpha.dalpha = 0 if indices of the two alphas differ.
    #     d2gamma.dalpha.dalpha = diagn(d2gamma.base)
    #     a.b.cprime = diagn(as.vector(dl.dphi %*% dphi.dgamma %*% d2gamma.dalpha.dalpha))
    #     
    #     ## summing over individuals
    #     d2l.dalpha.dalpha = aprime.b.c + a.bprime.c + a.b.cprime + d2l.dalpha.dalpha
    #     
    #     
    #     #### d2l.dalpha.dbeta
    #     aprime.b.c = t(crossprod(d2l.dphi.dbeta, dphi.dgamma %*% dgamma.dalpha))
    #     a.bprime.c = a.b.cprime = matrix(,na,nb)
    #     for(j in 1:nb) {
    #       a.bprime.c[,j] = t.dl.dphi %*% d2phi.dgamma.dbeta[,,j] %*% dgamma.dalpha
    #       a.b.cprime[,j] = t.dl.dphi %*% dphi.dgamma %*% d2gamma.dalpha.dbeta[,,j]
    #     }
    #     d2l.dalpha.dbeta = aprime.b.c + a.bprime.c + a.b.cprime + d2l.dalpha.dbeta
    #     
    #     
    # 
    #     
    #     #### d2l.dbeta.dbeta
    #     aprime.b.c = t(crossprod(d2l.dphi.dbeta, dphi.dgamma %*% dgamma.dbeta))
    #     a.bprime.c = a.b.cprime = matrix(,nb,nb)
    #     for(j in 1:nb) {
    #       a.bprime.c[,j] = t.dl.dphi %*% d2phi.dgamma.dbeta[,,j] %*% dgamma.dbeta
    #       a.b.cprime[,j] = t.dl.dphi %*% dphi.dgamma %*% d2gamma.dbeta.dbeta[,,j]
    #     }
    #     d2l.dbeta.dbeta = aprime.b.c + a.bprime.c + a.b.cprime + d2l.dbeta.dbeta 
    #     
    
    #### Derivatives of predicted probabilities
    #     p0[i,] = diff(c(0, gamma, 1))
    #     
    #     rowdiff = matrix(0,ny,na)
    #     diag(rowdiff) = 1
    #     rowdiff[cbind(2:ny,1:na)] = -1
    #     dp0.dalpha = rowdiff %*% dgamma.dalpha
    #     dp0.dbeta = rowdiff %*% dgamma.dbeta
    #     
    #     dp0.dtheta[i,,] = cbind(dp0.dalpha, dp0.dbeta)
    #     
    #     dpij.dtheta[,i] <- dp0.dtheta[i, y[i],]
    #     
    #     
    #     if (y[i] == 1) {
    #       dlow.dtheta[,i] <- 0
    #     } else {
    #       dlow.dtheta[,i] <- dgamma.dtheta[i,y[i]-1,]
    #     }
    #     
    #     if (y[i] == ny) {
    #       dhi.dtheta[,i] <- 0
    #     } else {
    #       dhi.dtheta[,i] <- -dgamma.dtheta[i,y[i],]
    #     }
    
    
  }
  
  #   d2l.dtheta.dtheta = rbind(
  #     cbind(d2l.dalpha.dalpha, d2l.dalpha.dbeta),
  #     cbind(t(d2l.dalpha.dbeta), d2l.dbeta.dbeta))
  #   
  
  low = cbind(0, Gamma)[cbind(1:N, y)]
  hi = cbind(1-Gamma, 0)[cbind(1:N, y)]
  presid <- low - hi
  dpresid.dtheta <- dlow.dtheta - dhi.dtheta
  
  result <- list(dl.dtheta=dl.dtheta,
                 d2l.dtheta.dtheta =-as.matrix(mod$info.matrix),
                 presid=presid,
                 dpresid.dtheta = dpresid.dtheta )
  
  #   if(latent){
  #     rij <- cbind(Gamma, 1)[cbind(1:N, y)]
  #     rij_1 <- cbind(0,Gamma)[cbind(1:N, y)]
  #     pij <- rij-rij_1
  #     
  #     #G.inverse <- switch(link[1], logistic = qlogis, probit = qnorm,
  #     #                    cloglog = qgumbel, cauchit = qcauchy)
  #     G.inverse <- mod$trans$inverse
  #     latent.resid <- rep(NA, N)
  #     
  #     inverse_fail <- FALSE 
  #     for (i in 1:N){
  #       tmp <- try(integrate(G.inverse, rij_1[i], rij[i])$value/pij[i],silent=TRUE)
  #       if (inherits(tmp,'try-error')){
  #         if (link[1] != 'cauchit')
  #           warning("Cannot compute latent variable residual.")
  #         else
  #           warning("Cannot compute latent variable residual with link function cauchit.")
  #         inverse_fail <- TRUE
  #         break
  #       } else {
  #         latent.resid[i] <- tmp
  #       }
  #     }
  #     
  #     dlatent.dtheta = matrix(, npar, N)
  #     
  #     if (!inverse_fail){
  #       ### To compute dlatent.dtheta (need dgamma.dtheta and dp0.dtheta from ordinal scores)
  #       
  #       
  #       drij_1.dtheta <- dlow.dtheta
  #       drij.dtheta <- - dhi.dtheta
  #       for(i in 1:N) {  
  #         
  #         
  #         if (y[i] == 1) {
  #           dlatent.dtheta[,i] <- -latent.resid[i]/pij[i]*dpij.dtheta[,i] + 1/pij[i]*(
  #             G.inverse(rij[i])*drij.dtheta[,i] - 0 )
  #         } else if(y[i] == ny){
  #           dlatent.dtheta[,i] <- -latent.resid[i]/pij[i]*dpij.dtheta[,i] + 1/pij[i]*(
  #             0 - G.inverse(rij_1[i])*drij_1.dtheta[,i] )
  #         } else
  #           dlatent.dtheta[,i] <- -latent.resid[i]/pij[i]*dpij.dtheta[,i] + 1/pij[i]*(
  #             G.inverse(rij[i])*drij.dtheta[,i] - G.inverse(rij_1[i])*drij_1.dtheta[,i])
  #       }
  #     }
  #     
  #     result <- list(dl.dtheta=dl.dtheta,
  #                    d2l.dtheta.dtheta = -mod$info.matrix,
  #                    presid=presid,
  #                    dpresid.dtheta = dpresid.dtheta,
  #                    latent.resid=latent.resid,
  #                    dlatent.dtheta=dlatent.dtheta
  #     )
  #     
  #     
  #   }
  
  
  return(result)
  
}

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PResiduals documentation built on Nov. 12, 2018, 5:04 p.m.