Nothing
##from the R package locfdr (v1.1.7) by Bradley Efron, Brit B. Turnbull, and Balasubramanian Narasimhan.
locmle <- function(z, xlim , Jmle = 35, d = 0, s = 1, ep = 1/100000, sw = 0, Cov.in)
{
## uses z-values in [-xlim,xlim] to find mles for p0,del0,sig0
## Jmle number of iterations, beginning at (del0,sig0)=(d,s)
## sw=1 returns correlation matrix
N = length(z)
if (missing(xlim)) {
if (N>500000) b = 1
else b=4.3 * exp(-0.26*log(N,10))
xlim=c(median(z),b*diff(quantile(z)[c(2,4)])/(2*qnorm(.75)))
}
aorig=xlim[1]-xlim[2]
borig=xlim[1]+xlim[2]
z0=z[which(z>=aorig & z<=borig)]
N0 = length(z0)
Y = c(mean(z0), mean(z0^2))
that = N0/N
######## find mle estimates ###########################
for(j in 1:Jmle) {
bet = c(d/s^2, -1/(2 * s^2))
aa = (aorig - d)/s
bb = (borig - d)/s
H0 = pnorm(bb) - pnorm(aa)
fa = dnorm(aa)
fb = dnorm(bb)
H1 = fa - fb
H2 = H0 + aa * fa - bb * fb
H3 = (2 + aa^2) * fa - (2 + bb^2) * fb
H4 = 3 * H0 + (3 * aa + aa^3) * fa - (3 * bb + bb^3) * fb
H = c(H0, H1, H2, H3, H4)
r = d/s
I = matrix(rep(0, 25), 5)
for(i in 0:4)
I[i + 1, 0:(i + 1)] = choose(i, 0:i)
u1 = s^(0:4)
II = pmax(row(I) - col(I), 0)
II = r^II
I = u1 * (I * II)
E = as.vector(I %*% H)/H0
E1 = E[2]
E2 = E[3]
E3 = E[4]
E4 = E[5]
mu = c(E1, E2)
V = matrix(c(E2 - E1^2, E3 - E1 * E2, E3 - E1 * E2, E4 -
E2^2), 2)
bett = bet + solve(V, Y - mu)/(1 + 1/j^2)
if(bett[2]>0)bett=bet+.1*solve(V, Y - mu)/(1 + 1/j^2)
if (is.na(bett[2])) break
else if (bett[2]>=0) break
d = - bett[1]/(2 * bett[2])
s = 1/sqrt(-2 * bett[2])
if(sum((bett - bet)^2)^0.5 < ep)
break
}
if (is.na(bett[2])) {
mle = rep(NA, 6)
Cov.lfdr = NA
Cor = matrix(NA, 3, 3)
}
else if (bett[2] >=0) {
mle = rep(NA, 6)
Cov.lfdr = Cov.out = NA
Cor = matrix(NA, 3, 3)
}
else {
aa = (aorig - d)/s
bb = (borig - d)/s
H0 = pnorm(bb) - pnorm(aa)
p0 = that/H0
############ sd calcs ###########################
J = s^2 * matrix(c(1, 0, 2 * d, s), 2)
JV = J %*% solve(V)
JVJ = JV %*% t(J)
mat2 = cbind(0, JVJ/N0)
mat1 = c((p0 * H0 * (1 - p0 * H0))/N, 0, 0)
mat = rbind(mat1, mat2)
h = c(H1/H0, (H2 - H0)/H0)
matt = c(1/H0, - (p0/s) * t(h))
matt = rbind(matt, cbind(0, diag(2)))
C = matt %*% (mat %*% t(matt))
mle = c(p0, d, s, diag(C)^0.5)
if(sw == 1) {
sd = mle[4:6]
Co = C/outer(sd, sd)
dimnames(Co) = list(c("p0", "d", "s"), c("p0", "d", "s"))
Cor = Co[c(2, 3, 1), c(2, 3, 1)]
}
if (!missing(Cov.in)) {
i0 = which(Cov.in$x > aa & Cov.in$x < bb)
Cov.out = loccov(N, N0, p0, d, s, Cov.in$x, Cov.in$X, Cov.in$f,
JV, Y, i0, H, h, Cov.in$sw)
}
}
names(mle) = c("p0", "del0", "sig0", "sd.p0", "sd.del0", "sd.sig0")
mle = mle[c(2, 3, 1, 5, 6, 4)]
out = list(mle=mle)
if (sw==1) {
Cor = list(Cor = Cor)
out = c(out, Cor)
}
if (!missing(Cov.in)) {
if (Cov.in$sw == 2) {
pds. = list(pds.=Cov.out)
out = c(out, pds.)
}
else if (Cov.in$sw == 3) {
Ilfdr = list(Ilfdr=Cov.out)
out = c(out, Ilfdr)
}
else {
Cov.lfdr = list(Cov.lfdr=Cov.out)
out = c(out, Cov.lfdr)
}
}
if ((sw==1) | !missing(Cov.in)) return(out)
else return(mle)
}
loccov <- function(N, N0, p0, d, s, x, X, f, JV, Y, i0, H, h, sw) {
M = rbind(1, x - Y[1], x^2 - Y[2])
if (sw==2) {
K = length(x)
K0 = length(i0)
toprow = c(1 - N0/N, -t(h) %*% JV / s)
botrow = cbind(0, JV / p0)
mat = rbind(toprow, botrow)
M0 = M[,i0]
dpds.dy0 = mat %*% M0 / N / H[1]
dy0.dy = matrix(0, K0, K)
dy0.dy[,i0] = diag(1, K0)
dpds.dy = dpds.dy0 %*% dy0.dy
rownames(dpds.dy) = c("p", "d", "s")
return(dpds.dy)
}
else {
xstd = (x - d)/s
U = cbind(xstd - H[2]/H[1], xstd^2 - H[3]/H[1])
M[,-i0] = 0
dl0plus.dy = cbind(1 - N0/N, U %*% JV / s) %*% M /N/H[1]/p0
G <- t(X) %*% (f * X)
dl.dy = X %*% solve(G) %*% t(X)
dlfdr.dy = dl0plus.dy - dl.dy
if (sw==3) return(dlfdr.dy)
else {
Cov.lfdr = dlfdr.dy %*% (f * t(dlfdr.dy))
return(Cov.lfdr)
}
}
}
loccov2 <- function(X, X0, i0, f, ests, N) {
d = ests[1]
s = ests[2]
p0 = ests[3]
theo = I(ncol(X0)==1)
Xtil <- X[i0,]
X0til <- X0[i0,]
G <- t(X) %*% (f * X)
G0 <- t(X0til) %*% X0til
B0 <- X0 %*% (solve(G0) %*% t(X0til)) %*% Xtil
C <- B0 - X
Ilfdr = C %*% solve(G, t(X))
Cov <- C %*% solve(G) %*% t(C)
if (theo)
D = matrix(1,1,1)
else
D = matrix(c(1, 0, 0, d, s^2, 0, s^2 + d^2, 2 * d * s^2, s^3), 3)
gam. = solve(G0, t(X0til)) %*% (Xtil %*% solve(G, t(X)))
pds. = D %*% gam.
if (theo) pds. = rbind(pds., matrix(0, 2, nrow(X)))
pds.[1,] = pds.[1,] - 1/N
m1 = pds. %*% f
m2 = pds.^2 %*% f
stdev = as.vector(sqrt(m2 - m1^2/N))
stdev[1] = p0 * stdev[1]
pds.[1,] = p0 * pds.[1,]
rownames(pds.) = c("p", "d", "s")
list(Ilfdr = Ilfdr, pds.=pds., stdev=stdev, Cov=Cov)
}
locfdr <-function(zz, bre = 120, df = 7, pct = 0, pct0 = 1/4, nulltype = 1, type = 0, plot = 1, mult, mlests, main = " ", sw = 0)
{
call = match.call()
if(length(bre) > 1) {
lo <- min(bre)
up <- max(bre)
bre <- length(bre)
}
else {
if(length(pct) > 1) {
lo <- pct[1]
up <- pct[2]
}
else {
if(pct == 0) {
lo <- min(zz)
up <- max(zz)
}
if(pct < 0) {
med = median(zz)
ra = med + (1 - pct) * (range(zz) - med)
lo = ra[1]
up = ra[2]
}
if(pct > 0) {
v <- quantile(zz, c(pct, 1 - pct))
lo <- v[1]
up <- v[2]
}
}
}
zzz <- pmax(pmin(zz, up), lo)
breaks <- seq(lo, up, length = bre)
zh <- hist(zzz, breaks = breaks, plot = F)
x <- (breaks[-1] + breaks[ - length(breaks)])/2
yall <- y <- zh$counts
K <- length(y)
N <- length(zz)
if(pct > 0) {
y[1.] <- min(y[1.], 1.)
y[K] <- min(y[K], 1.)
}
if(type == 0) {
X <- cbind(1, ns(x, df = df))
f <- glm(y ~ ns(x, df = df), poisson)$fit
}
else {
X <- cbind(1, poly(x, df = df))
f <- glm(y ~ poly(x, df = df), poisson)$fit
}
l <- log(f)
Fl <- cumsum(f)
Fr <- cumsum(rev(f))
D <- (y - f)/(f + 1)^0.5
D <- sum(D[2:(K - 1)]^2)/(K - 2 - df)
if(D > 1.5)
warning(paste("f(z) misfit = ", round(
D, 1), ". Rerun with increased df", sep=""))
# ............. create fp0 matrix ..........................
if (nulltype == 3) {
fp0 = matrix(NA, 6, 4)
colnames(fp0) = c("delta", "sigleft", "p0", "sigright")
}
else {
fp0 = matrix(NA, 6, 3)
colnames(fp0) = c("delta", "sigma", "p0")
}
rownames(fp0) = c("thest", "theSD", "mlest", "mleSD", "cmest", "cmeSD")
fp0["thest", 1:2] = c(0,1)
fp0["theSD", 1:2] = 0
# ..............begin central matching f0 calcs...............
imax <- seq(l)[l == max(l)][1]
xmax <- x[imax]
if(length(pct0) == 1) {
pctup <- 1 - pct0
pctlo <- pct0
}
else {
pctlo <- pct0[1]
pctup <- pct0[2]
}
lo0 <- quantile(zz, pctlo)
hi0 <- quantile(zz, pctup)
nx <- length(x)
i0 <- (1.:nx)[x > lo0 & x < hi0]
x0 <- x[i0]
y0 <- l[i0]
if(nulltype == 3) {
X00 <- cbind((x0 - xmax)^2, pmax(x0 - xmax, 0)^2)
}
else {
X00 <- cbind(x0 - xmax, (x0 - xmax)^2)
}
lr <- lm(y0 ~ X00)
co <- lr$coef
## Error messages for failed CM estimation ##
if (nulltype == 3) {
cmerror = I(is.na(co[3]) | is.na(co[2]))
if (!cmerror) cmerror = I(co[2] >= 0 | co[2]+co[3]>=0)
}
else {
cmerror = is.na(co[3])
if (!cmerror) cmerror = I(co[3] >= 0)
}
if (cmerror) {
if (nulltype == 3)
stop("CM estimation failed. Rerun with nulltype = 1 or 2.")
else
if (nulltype == 2)
stop("CM estimation failed. Rerun with nulltype = 1.")
else {
X0 <- cbind(1, x - xmax, (x - xmax)^2)
warning("CM estimation failed, middle of histogram non-normal")
}
}
else {
if(nulltype == 3) {
X0 <- cbind(1, (x - xmax)^2, pmax(x - xmax, 0)^2)
sigs <- 1/sqrt(-2 * (c(co[2], co[2] + co[3])))
fp0["cmest", c(1,2,4)] <- c(xmax, sigs)
}
else {
X0 <- cbind(1, x - xmax, (x - xmax)^2)
xmaxx <- - co[2.]/(2. * co[3.]) + xmax
sighat <- 1./sqrt(-2. * co[3.])
fp0["cmest", 1:2] <- c(xmaxx, sighat)
}
l0 <- as.vector(X0 %*% co)
f0 <- exp(l0)
p0 <- sum(f0)/sum(f)
f0 <- f0/p0
fp0["cmest", 3] <- p0
}
#............... begin MLE f0 calcs ........................
b = 4.3 * exp(-0.26*log(N,10))
if(missing(mlests)){
med = median(zz);sc=diff(quantile(zz)[c(2,4)])/(2*qnorm(.75))
mlests = locmle(zz, xlim=c(med, b*sc))
if (N>500000) {
warning("length(zz) > 500,000: For ML estimation, a wider interval than optimal was used. To use the optimal interval, rerun with mlests = c(", mlests[1], ", ", b * mlests[2], ").\n", sep="")
mlests = locmle(zz, xlim=c(med, sc))
}
}
if (!is.na(mlests[1])) {
if (N>500000) b = 1
if (nulltype == 1) {
Cov.in = list(x=x, X=X, f=f, sw=sw)
ml.out = locmle(zz, xlim = c(mlests[1], b * mlests[2]),
d=mlests[1], s=mlests[2], Cov.in=Cov.in)
mlests = ml.out$mle
}
else mlests = locmle(zz, xlim = c(mlests[1], b * mlests[2]),
d=mlests[1], s=mlests[2])
fp0["mlest", 1:3] = mlests[1:3]
fp0["mleSD", 1:3] = mlests[4:6]
}
if (sum(is.na(fp0[c(3,5),1:2])) == 0 & nulltype > 1)
if(abs(fp0["cmest",1] - mlests[1]) > 0.050000000000000003 |
abs(log(fp0["cmest",2]/mlests[2])) > 0.050000000000000003)
warning("Discrepancy between central matching and maximum likelihood estimates.\nConsider rerunning with nulltype = 1")
## Error messages for failed ML estimation ##
if (is.na(mlests[1])) {
if (nulltype == 1) {
if (is.na(fp0["cmest", 1]))
stop("CM and ML Estimation failed, middle of histogram non-normal")
else stop("ML estimation failed. Rerun with nulltype=2")
}
else warning("ML Estimation failed")
}
if(nulltype < 2) {
delhat = xmax = xmaxx = mlests[1]
sighat = mlests[2]
p0 = mlests[3]
f0 = dnorm(x, delhat, sighat)
f0 = (sum(f) * f0)/sum(f0)
}
fdr = pmin((p0 * f0)/f, 1)
f00 <- exp( - x^2/2)
f00 <- (f00 * sum(f))/sum(f00)
p0theo <- sum(f[i0])/sum(f00[i0])
fp0["thest", 3] = p0theo
fdr0 <- pmin((p0theo * f00)/f, 1)
f0p <- p0 * f0
if(nulltype == 0)
f0p <- p0theo * f00
F0l <- cumsum(f0p)
F0r <- cumsum(rev(f0p))
Fdrl <- F0l/Fl
Fdrr <- rev(F0r/Fr)
Int <- (1 - fdr) * f * (fdr < 0.90000000000000002)
##### raise fdr to 1 near xmax .............
if (sum(x <= xmax & fdr == 1) > 0)
xxlo <- min(x[x <= xmax & fdr == 1])
else xxlo = xmax
if (sum(x >= xmax & fdr == 1) > 0)
xxhi <- max(x[x >= xmax & fdr == 1])
else xxhi = xmax
if (sum(x >= xxlo & x <= xxhi) > 0)
fdr[x >= xxlo & x <= xxhi] <- 1
if (sum(x <= xmax & fdr0 == 1) > 0)
xxlo <- min(x[x <= xmax & fdr0 == 1])
else xxlo = xmax
if (sum(x >= xmax & fdr0 == 1) > 0)
xxhi <- max(x[x >= xmax & fdr0 == 1])
else xxhi = xmax
if (sum(x >= xxlo & x <= xxhi) > 0)
fdr0[x >= xxlo & x <= xxhi] <- 1
##################### raise fdr to 1 for mle option
if(nulltype == 1) {
fdr[x >= mlests[1] - mlests[2] & x <= mlests[1] + mlests[
2]] = 1
fdr0[x >= mlests[1] - mlests[2] & x <= mlests[1] + mlests[
2]] = 1
}
p1 <- sum((1 - fdr) * f)/N
p1theo <- sum((1 - fdr0) * f)/N
fall <- f + (yall - y)
########Efdr1 calculations
Efdr <- sum((1 - fdr) * fdr * fall)/sum((1 - fdr) * fall)
Efdrtheo <- sum((1 - fdr0) * fdr0 * fall)/sum((1 - fdr0) * fall)
iup <- (1:K)[x >= xmax]
ido <- (1:K)[x <= xmax]
Eleft <- sum((1 - fdr[ido]) * fdr[ido] * fall[ido])/sum((1 - fdr[
ido]) * fall[ido])
Eleft0 <- sum((1 - fdr0[ido]) * fdr0[ido] * fall[ido])/sum((1 -
fdr0[ido]) * fall[ido])
Eright <- sum((1 - fdr[iup]) * fdr[iup] * fall[iup])/sum((1 - fdr[
iup]) * fall[iup])
Eright0 <- sum((1 - fdr0[iup]) * fdr0[iup] * fall[iup])/sum((
1 - fdr0[iup]) * fall[iup])
Efdr <- c(Efdr, Eleft, Eright, Efdrtheo, Eleft0, Eright0)
Efdr[which(is.na(Efdr))] = 1
names(Efdr) <- c("Efdr", "Eleft", "Eright", "Efdrtheo", "Eleft0",
"Eright0")
if(nulltype == 0)
f1 <- (1 - fdr0) * fall
else f1 <- (1 - fdr) * fall
############ multiple sample size Efdr1 calculation
if(!missing(mult)) {
mul = c(1, mult)
EE = rep(0, length(mul))
for(m in 1:length(EE)) {
xe = sqrt(mul[m]) * x
f1e = approx(xe, f1, x, rule = 2, ties=mean)$y
f1e = (f1e * sum(f1))/sum(f1e)
f0e = f0
p0e = p0
if(nulltype == 0) {
f0e = f00
p0e = p0theo
}
fdre = (p0e * f0e)/(p0e * f0e + f1e)
EE[m] = sum(f1e * fdre)/sum(f1e)
}
EE = EE/EE[1]
names(EE) = mul
}
#................. Accuracy Calcs .................................
Cov2.out = loccov2(X, X0, i0, f, fp0["cmest",], N)
Cov0.out = loccov2(X, matrix(1, length(x), 1), i0, f, fp0["thest",], N)
if(sw == 3) {
if (nulltype==0) Ilfdr = Cov0.out$Ilfdr
else if (nulltype==1) Ilfdr = ml.out$Ilfdr
else if (nulltype==2) Ilfdr = Cov2.out$Ilfdr
else stop("With sw=3, nulltype must equal 0, 1, or 2.")
return(Ilfdr)
}
if (nulltype == 0) Cov = Cov0.out$Cov
else if (nulltype == 1) Cov = ml.out$Cov.lfdr
else Cov = Cov2.out$Cov
lfdrse <- diag(Cov)^0.5
fp0["cmeSD",1:3] = Cov2.out$stdev[c(2,3,1)]
if (nulltype==3) fp0["cmeSD",4] = fp0["cmeSD",2]
fp0["theSD",3] = Cov0.out$stdev[1]
########### sw==2 returns Influence function pds. ##########
if(sw == 2) {
if (nulltype==0) {
pds = fp0["thest", c(3,1,2)]
stdev = fp0["theSD", c(3,1,2)]
pds. = t(Cov0.out$pds.)
}
else if (nulltype==1) {
pds = fp0["mlest",c(3,1,2)]
stdev = fp0["mleSD",c(3,1,2)]
pds. = t(ml.out$pds.)
}
else if (nulltype==2) {
pds = fp0["cmest",c(3,1,2)]
stdev = fp0["cmeSD", c(3,1,2)]
pds. = t(Cov2.out$pds.)
}
else stop("With sw=2, nulltype must equal 0, 1, or 2.")
colnames(pds.) = names(pds) = c("p0", "delhat", "sighat")
names(stdev) = c("sdp0", "sddelhat", "sdsighat")
return(list(pds=pds, x=x, f=f, pds.=pds., stdev=stdev))
}
# find cdf1, the cdf of fdr according to f1 density..................
p1 <- seq(0.01, 0.99, 0.01)
cdf1 <- rep(0, 99)
fd <- fdr
if(nulltype == 0)
fd <- fdr0
for(i in 1:99)
cdf1[i] <- sum(f1[fd <= p1[i]])
cdf1 <- cbind(p1, cdf1/cdf1[99])
mat <- cbind(x, fdr, Fdrl, Fdrr, f, f0, f00, fdr0, yall, lfdrse,
f1)
namat <- c("x", "fdr", "Fdrleft", "Fdrright", "f", "f0", "f0theo",
"fdrtheo", "counts", "lfdrse", "p1f1")
if(nulltype == 0)
namat[c(3, 4, 10)] <- c("Fdrltheo", "Fdrrtheo",
"lfdrsetheo")
dimnames(mat) <- list(NULL, namat)
############## Locations of triangles ###########
z.2 = rep(NA, 2)
m = order(fd)[nx]
if (fd[nx] < 0.2) {
z.2[2] = approx(fd[m:nx], x[m:nx], 0.20000000000000001,
ties=mean)$y
}
if (fd[1] < 0.2) {
z.2[1] = approx(fd[1:m], x[1:m], 0.20000000000000001,
ties=mean)$y
}
################### Plotting ####################
if(plot > 0) {
if(plot == 2 | plot == 3)
oldpar <- par(mfrow = c(1, 2), pty = "m")
else if (plot ==4) oldpar = par(mfrow = c(1, 3), pty = "m")
hist(zzz, breaks = breaks, xlab = " ", main = main)
################### make yt positive ##############
yt <- pmax(yall * (1 - fd), 0)
for(k in 1:K)
lines(c(x[k], x[k]), c(0, yt[k]), lwd = 2, col = 6)
if(nulltype == 3)
title(xlab = paste("delta=", round(xmax, 3),
"sigleft=", round(sigs[1], 3),
" sigright=", round(sigs[2], 3), "p0=",
round(fp0["cmest", 3], 3)))
if(nulltype == 1 | nulltype == 2)
title(xlab = paste("MLE: delta:", round(
mlests[1], 3), "sigma:", round(mlests[
2], 3), "p0:", round(mlests[3], 3)),
sub = paste("CME: delta:",
round(fp0["cmest",1], 3),
"sigma:", round(fp0["cmest",2], 3),
"p0:", round(fp0["cmest", 3], 3)))
lines(x, f, lwd = 3, col = 3)
if(nulltype == 0)
lines(x, p0theo*f00, lwd = 2, lty = 2, col = 4)
else
lines(x, p0*f0, lwd = 2, lty = 2, col = 4)
################## Plot triangles ###############
if (!is.na(z.2[2]))
points(z.2[2], -0.5, pch = 24, col="red", bg="yellow")
if(!is.na(z.2[1]))
points(z.2[1], -0.5, pch = 24, col="red", bg="yellow")
if(nulltype == 1 | nulltype ==2)
Ef <- Efdr[1]
else if (nulltype == 0) Ef <- Efdr[4]
if (plot == 2 | plot == 4) {
if(nulltype == 0)
fdd <- fdr0
else fdd = fdr
matplot(x, cbind(fdd, Fdrl, Fdrr), type = "l",
lwd = 3, xlab = " ", ylim = c(0,
1.1000000000000001), main =
"fdr (solid); Fdr's (dashed)")
title(xlab = paste("Efdr= ", round(Ef, 3)))
abline(0, 0, lty = 3, col = 2)
lines(c(0, 0), c(0, 1), lty = 3, col = 2)
}
if (plot == 3 | plot == 4) {
if(sum(is.na(cdf1[, 2])) == nrow(cdf1))
warning("cdf1 not available")
else {
plot(cdf1[, 1], cdf1[, 2], type = "l",
lwd = 3, xlab = "fdr level", ylim
= c(0, 1), ylab =
"f1 proportion < fdr level", main
= "f1 cdf of estimated fdr")
title(sub = paste("Efdr= ", round(Ef,
3)))
lines(c(0.20000000000000001,
0.20000000000000001), c(0, cdf1[
20, 2]), col = 4, lty = 2)
lines(c(0, 0.20000000000000001), rep(
cdf1[20, 2], 2), col = 4, lty = 2)
text(0.050000000000000003, cdf1[20, 2],
round(cdf1[20, 2], 2))
abline(0, 0, col = 2)
lines(c(0, 0), c(0, 1), col = 2)
}
}
if(plot > 1)
par(oldpar)
}
if(nulltype == 0) {
ffdr <- approx(x, fdr0, zz, rule = 2, ties="ordered")$y
}
else ffdr <- approx(x, fdr, zz, rule = 2, ties="ordered")$y
vl = list(fdr = ffdr, fp0 = fp0, Efdr = Efdr, cdf1 = cdf1, mat = mat,
z.2 = z.2)
if(!missing(mult))
vl$mult = EE
vl$call = call
vl
}
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