R/u.logit.env.R

In Renvlp: Computing Envelope Estimators

u.logit.env <- function(X, Y, alpha = 0.01) {
  X <- as.matrix(X)
  Y <- as.matrix(Y)
  a <- dim(Y)
  n <- a[1]
  r <- a[2]
  p <- ncol(X)
  loglik.seq <- unlist(lapply(0 : p, function(x) logit.env(X, Y, x,  
                                                   asy = F)$loglik))
  npara.seq <- p * (p + 1)/2 + (0 : p) + 1
  aic.seq <- -2 * loglik.seq + 2 * npara.seq
  bic.seq <- -2 * loglik.seq + log(n) * npara.seq
  u.aic <- which.min(aic.seq) - 1
  u.bic <- which.min(bic.seq) - 1
  lrt.test <- stats::pchisq(2 * (loglik.seq[p + 1] - loglik.seq[1:p]), 
                     npara.seq[p + 1] - npara.seq[1:p], lower.tail = F)
  if (any(lrt.test > alpha)) {
    u.lrt <- which(lrt.test > alpha)[1] - 1
  }
  else {
    u.lrt <- p
  }
  return(list(u.aic = u.aic, u.bic = u.bic, u.lrt = u.lrt, 
              loglik.seq = loglik.seq, aic.seq = aic.seq, bic.seq = bic.seq))
}