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R/bcont32.R
In SemiParBIVProbit: Semiparametric Copula Regression Models
Defines functions
bcont32
Documented in
bcont32
bcont32 <- function(params, respvec, VC, ps, AT = FALSE){
eta1 <- VC$X1%*%params[1:VC$X1.d2]
eta2 <- VC$X2%*%params[(VC$X1.d2 + 1):(VC$X1.d2 + VC$X2.d2)]
etad <- etas1 <- etas2 <- etan1 <- etan2 <- l.ln <- NULL
epsilon <- 0.0000001
max.p <- 0.9999999
if(is.null(VC$X3)){
sigma21.st <- etas1 <- params[(VC$X1.d2 + VC$X2.d2 + 1)]
sigma22.st <- etas2 <- params[(VC$X1.d2 + VC$X2.d2 + 2)]
nu1.st <- etan1 <- params[(VC$X1.d2 + VC$X2.d2 + 3)]
teta.st <- etad <- params[(VC$X1.d2 + VC$X2.d2 + 4)]
}
if(!is.null(VC$X3)){
sigma21.st <- etas1 <- VC$X3%*%params[(VC$X1.d2 + VC$X2.d2 + 1):(VC$X1.d2 + VC$X2.d2 + VC$X3.d2)]
sigma22.st <- etas2 <- VC$X4%*%params[(VC$X1.d2 + VC$X2.d2 + VC$X3.d2 + 1):(VC$X1.d2 + VC$X2.d2 + VC$X3.d2 + VC$X4.d2)]
nu1.st <- etan1 <- VC$X5%*%params[(VC$X1.d2 + VC$X2.d2 + VC$X3.d2 + VC$X4.d2 + 1):(VC$X1.d2 + VC$X2.d2 + VC$X3.d2 + VC$X4.d2 + VC$X5.d2)]
teta.st <- etad <- VC$X6%*%params[(VC$X1.d2 + VC$X2.d2 + VC$X3.d2 + VC$X4.d2 + VC$X5.d2 + 1):(VC$X1.d2 + VC$X2.d2 + VC$X3.d2 + VC$X4.d2 + VC$X5.d2 + VC$X6.d2)]
}
##################
## Transformations
##################
sstr1 <- esp.tr(sigma21.st, VC$margins[1])
sstr2 <- esp.tr(sigma22.st, VC$margins[2])
sigma21.st <- sstr1$vrb.st
sigma22.st <- sstr2$vrb.st
sigma21 <- sstr1$vrb
sigma22 <- sstr2$vrb
sstr1 <- esp.tr(nu1.st, VC$margins[1])
nu1.st <- sstr1$vrb.st
nu1 <- sstr1$vrb
eta1 <- eta.tr(eta1, VC$margins[1])
eta2 <- eta.tr(eta2, VC$margins[2])
resT <- teta.tr(VC, teta.st)
teta.st1 <- teta.st2 <- teta.st <- resT$teta.st
teta1 <- teta2 <- teta <- resT$teta
##################
Cop1 <- Cop2 <- VC$BivD
teta.ind1 <- as.logical(c(1,0,round(runif(VC$n-2))) )
teta.ind2 <- teta.ind1 == FALSE
if(!(VC$BivD %in% VC$BivD2) && length(teta.st) > 1){
teta.st1 <- teta.st[teta.ind1]
teta.st2 <- teta.st[teta.ind2]
teta1 <- teta[teta.ind1]
teta2 <- teta[teta.ind2]
}
if(VC$BivD %in% VC$BivD2){
if(VC$BivD %in% VC$BivD2[1:4]) teta.ind1 <- ifelse(VC$my.env$signind*teta > exp(VC$zerov), TRUE, FALSE)
if(VC$BivD %in% VC$BivD2[5:12]) teta.ind1 <- ifelse(VC$my.env$signind*teta > exp(VC$zerov) + 1, TRUE, FALSE)
teta.ind2 <- teta.ind1 == FALSE
VC$my.env$signind <- ifelse(teta.ind1 == TRUE, 1, -1)
teta1 <- teta[teta.ind1]
teta2 <- -teta[teta.ind2]
teta.st1 <- teta.st[teta.ind1]
teta.st2 <- teta.st[teta.ind2]
if(length(teta) == 1) teta.ind2 <- teta.ind1 <- rep(TRUE, VC$n)
Cop1Cop2R <- Cop1Cop2(VC$BivD)
Cop1 <- Cop1Cop2R$Cop1
Cop2 <- Cop1Cop2R$Cop2
}
##################
dHs1 <- distrHs(respvec$y1, eta1, sigma21, sigma21.st, nu1, nu1.st, margin2=VC$margins[1], naive = FALSE)
dHs2 <- distrHs(respvec$y2, eta2, sigma22, sigma22.st, 1, 1, margin2=VC$margins[2], naive = FALSE)
pdf1 <- dHs1$pdf2
pdf2 <- dHs2$pdf2
p1 <- dHs1$p2
p2 <- dHs2$p2
if( length(teta1) != 0) dH1 <- copgHsAT(p1[teta.ind1], p2[teta.ind1], teta1, Cop1, Ln = TRUE)
if( length(teta2) != 0) dH2 <- copgHsAT(p1[teta.ind2], p2[teta.ind2], teta2, Cop2, Ln = TRUE)
c.copula2.be1be2 <- NA
if( length(teta1) != 0) c.copula2.be1be2[teta.ind1] <- dH1$c.copula2.be1be2
if( length(teta2) != 0) c.copula2.be1be2[teta.ind2] <- dH2$c.copula2.be1be2
l.par <- VC$weights*( log(pdf1) + log(pdf2) + log(c.copula2.be1be2) )
##################
##################
derpdf1.dereta1 <- dHs1$derpdf2.dereta2
derpdf1.dersigma21.st <- dHs1$derpdf2.dersigma2.st
derpdf1.dernu1.st <- dHs1$derpdf2.dernu.st
derpdf2.dereta2 <- dHs2$derpdf2.dereta2
derpdf2.dersigma22.st <- dHs2$derpdf2.dersigma2.st
derp1.dereta1 <- dHs1$derp2.dereta2
derp1.dersigma21.st <- dHs1$derp2.dersigma.st
derp1.dernu1.st <- dHs1$derp2.nu.st
derp2.dereta2 <- dHs2$derp2.dereta2
derp2.dersigma22.st <- dHs2$derp2.dersigma.st
if( length(teta1) != 0) BITS1 <- copgHsCont(p1[teta.ind1], p2[teta.ind1], teta1, teta.st1, Cop1, Cont = TRUE)
if( length(teta2) != 0) BITS2 <- copgHsCont(p1[teta.ind2], p2[teta.ind2], teta2, teta.st2, Cop2, Cont = TRUE)
der2h.derp1p1 <- NA
if( length(teta1) != 0) der2h.derp1p1[teta.ind1] <- BITS1$der2h.derp1p1
if( length(teta2) != 0) der2h.derp1p1[teta.ind2] <- BITS2$der2h.derp1p1
derc.dereta1 <- der2h.derp1p1 * derp1.dereta1
derc.dersigma21.st <- der2h.derp1p1 * derp1.dersigma21.st
der2h.derp1p2 <- NA
if( length(teta1) != 0) der2h.derp1p2[teta.ind1] <- BITS1$der2h.derp1p2
if( length(teta2) != 0) der2h.derp1p2[teta.ind2] <- BITS2$der2h.derp1p2
derc.dereta2 <- der2h.derp1p2 * derp2.dereta2
derc.dersigma22.st <- der2h.derp1p2 * derp2.dersigma22.st
der2h.derp1teta <- NA
derteta.derteta.st <- NA
if( length(teta1) != 0) der2h.derp1teta[teta.ind1] <- BITS1$der2h.derp1teta
if( length(teta2) != 0) der2h.derp1teta[teta.ind2] <- BITS2$der2h.derp1teta
if( length(teta1) != 0) derteta.derteta.st[teta.ind1] <- BITS1$derteta.derteta.st
if( length(teta2) != 0) derteta.derteta.st[teta.ind2] <- BITS2$derteta.derteta.st
der2h.derp1teta.st <- der2h.derp1teta * derteta.derteta.st # new bit
derc.dernu1.st <- der2h.derp1p1 * derp1.dernu1.st
dl.dbe1 <- VC$weights*( derpdf1.dereta1/pdf1 + derc.dereta1/c.copula2.be1be2 )
dl.dbe2 <- VC$weights*( derpdf2.dereta2/pdf2 + derc.dereta2/c.copula2.be1be2 )
dl.dsigma21.st <- VC$weights*( derpdf1.dersigma21.st/pdf1 + derc.dersigma21.st/c.copula2.be1be2 )
dl.dsigma22.st <- VC$weights*( derpdf2.dersigma22.st/pdf2 + derc.dersigma22.st/c.copula2.be1be2 )
dl.dnu1.st <- VC$weights*( derpdf1.dernu1.st/pdf1 + derc.dernu1.st/c.copula2.be1be2 )
dl.dteta.st <- VC$weights*( der2h.derp1teta.st/c.copula2.be1be2 )
#################################################################################################
der2c.derrho.derrho <- NA
der2c.derp1.derp1 <- NA
der2c.derp2.derp2 <- NA
der2c.derp1.derp2 <- NA
der2c.derp1.derrho <- NA
der2c.derp2.derrho <- NA
der2teta.derteta.stteta.st <- NA
if( length(teta1) != 0){ der2c.derrho.derrho[teta.ind1] <- BITS1$der2c.derrho.derrho
der2c.derp1.derp1[teta.ind1] <- BITS1$der2c.derp1.derp1
der2c.derp2.derp2[teta.ind1] <- BITS1$der2c.derp2.derp2
der2c.derp1.derp2[teta.ind1] <- BITS1$der2c.derp1.derp2
der2c.derp1.derrho[teta.ind1] <- BITS1$der2c.derp1.derrho
der2c.derp2.derrho[teta.ind1] <- BITS1$der2c.derp2.derrho }
if( length(teta2) != 0){ der2c.derrho.derrho[teta.ind2] <- BITS2$der2c.derrho.derrho
der2c.derp1.derp1[teta.ind2] <- BITS2$der2c.derp1.derp1
der2c.derp2.derp2[teta.ind2] <- BITS2$der2c.derp2.derp2
der2c.derp1.derp2[teta.ind2] <- BITS2$der2c.derp1.derp2
der2c.derp1.derrho[teta.ind2] <- BITS2$der2c.derp1.derrho
der2c.derp2.derrho[teta.ind2] <- BITS2$der2c.derp2.derrho }
if( length(teta1) != 0) der2teta.derteta.stteta.st[teta.ind1] <- BITS1$der2teta.derteta.stteta.st
if( length(teta2) != 0) der2teta.derteta.stteta.st[teta.ind2] <- BITS2$der2teta.derteta.stteta.st
der2pdf1.dereta1 <- dHs1$der2pdf2.dereta2
der2pdf2.dereta2 <- dHs2$der2pdf2.dereta2
der2pdf1.dersigma21.st2 <- dHs1$der2pdf2.dersigma2.st2
der2pdf2.dersigma22.st2 <- dHs2$der2pdf2.dersigma2.st2
der2pdf1.dernu1.st2 <- dHs1$der2pdf2.dernu.st2
der2p1.dereta1eta1 <- dHs1$der2p2.dereta2eta2
der2p2.dereta2eta2 <- dHs2$der2p2.dereta2eta2
der2p1.dersigma21.st2 <- dHs1$der2p2.dersigma2.st2
der2p2.dersigma22.st2 <- dHs2$der2p2.dersigma2.st2
der2p1.dernu1.st2 <- dHs1$der2p2.dernu.st2
der2pdf1.dereta1dersigma21.st <- dHs1$der2pdf2.dereta2dersigma2.st
der2pdf2.dereta2dersigma22.st <- dHs2$der2pdf2.dereta2dersigma2.st
der2pdf1.dereta1dernu1.st <- dHs1$der2pdf2.dereta2dernu.st
der2p1.dereta1dersigma21.st <- dHs1$der2p2.dereta2dersigma2.st
der2p2.dereta2dersigma22.st <- dHs2$der2p2.dereta2dersigma2.st
der2p1.dereta1dernu1.st <- dHs1$der2p2.dereta2dernu.st
der2pdf1.dersigma21.stdernu1.st <- dHs1$der2pdf2.sigma2.st2dernu.st
der2p1.dersigma21.stdernu1.st <- dHs1$der2p2.dersigma2.stdernu.st
d2l.be1.be1 <- -VC$weights*( (der2pdf1.dereta1 * pdf1 - derpdf1.dereta1^2) / pdf1^2 +
((der2c.derp1.derp1 * derp1.dereta1^2 + der2h.derp1p1 * der2p1.dereta1eta1) * c.copula2.be1be2 - derc.dereta1^2) /c.copula2.be1be2^2 )
d2l.be2.be2 <- -VC$weights*( (der2pdf2.dereta2 * pdf2 - derpdf2.dereta2^2) / pdf2^2 +
((der2c.derp2.derp2 * derp2.dereta2^2 + der2h.derp1p2 * der2p2.dereta2eta2) * c.copula2.be1be2 - derc.dereta2^2) /c.copula2.be1be2^2 )
d2l.rho.rho <- -VC$weights*( ((der2c.derrho.derrho*derteta.derteta.st^2 + der2h.derp1teta *der2teta.derteta.stteta.st)*c.copula2.be1be2 -
der2h.derp1teta.st^2) /c.copula2.be1be2^2 )
d2l.sigma21.sigma21 <- -VC$weights*( (der2pdf1.dersigma21.st2 * pdf1 - derpdf1.dersigma21.st^2) / pdf1^2 +
((der2c.derp1.derp1*derp1.dersigma21.st^2+der2h.derp1p1*der2p1.dersigma21.st2)*c.copula2.be1be2 - derc.dersigma21.st^2) /c.copula2.be1be2^2 )
d2l.sigma22.sigma22 <- -VC$weights*( (der2pdf2.dersigma22.st2 * pdf2 - derpdf2.dersigma22.st^2) / pdf2^2 +
((der2c.derp2.derp2*derp2.dersigma22.st^2+der2h.derp1p2*der2p2.dersigma22.st2)*c.copula2.be1be2 - derc.dersigma22.st^2) /c.copula2.be1be2^2 )
d2l.nu1.nu1 <- -VC$weights*( (der2pdf1.dernu1.st2 * pdf1 - derpdf1.dernu1.st^2) / pdf1^2 +
((der2c.derp1.derp1*derp1.dernu1.st^2+der2h.derp1p1*der2p1.dernu1.st2)*c.copula2.be1be2 - derc.dernu1.st^2) /c.copula2.be1be2^2 )
d2l.be1.be2 <- -VC$weights*( (der2c.derp1.derp2*derp1.dereta1*derp2.dereta2* c.copula2.be1be2 - derc.dereta1*derc.dereta2) /c.copula2.be1be2^2 )
d2l.be1.rho <- -VC$weights*( (der2c.derp1.derrho *derp1.dereta1*derteta.derteta.st* c.copula2.be1be2 - derc.dereta1*der2h.derp1teta*derteta.derteta.st) /c.copula2.be1be2^2 )
d2l.be2.rho <- -VC$weights*( (der2c.derp2.derrho *derp2.dereta2*derteta.derteta.st* c.copula2.be1be2 - derc.dereta2*der2h.derp1teta*derteta.derteta.st) /c.copula2.be1be2^2 )
d2l.be1.sigma21 <- -VC$weights*( (der2pdf1.dereta1dersigma21.st * pdf1 - derpdf1.dereta1*derpdf1.dersigma21.st) / pdf1^2 +
((der2c.derp1.derp1 * derp1.dereta1* derp1.dersigma21.st+der2h.derp1p1*der2p1.dereta1dersigma21.st) * c.copula2.be1be2 - derc.dereta1*derc.dersigma21.st) /c.copula2.be1be2^2 )
d2l.be2.sigma22 <- -VC$weights*( (der2pdf2.dereta2dersigma22.st * pdf2 - derpdf2.dereta2*derpdf2.dersigma22.st) / pdf2^2 +
((der2c.derp2.derp2 * derp2.dereta2* derp2.dersigma22.st+der2h.derp1p2*der2p2.dereta2dersigma22.st) * c.copula2.be1be2 - derc.dereta2*derc.dersigma22.st) /c.copula2.be1be2^2 )
d2l.be1.nu1 <- -VC$weights*( (der2pdf1.dereta1dernu1.st * pdf1 - derpdf1.dereta1*derpdf1.dernu1.st) / pdf1^2 +
((der2c.derp1.derp1 * derp1.dereta1* derp1.dernu1.st+der2h.derp1p1*der2p1.dereta1dernu1.st) * c.copula2.be1be2 - derc.dereta1*derc.dernu1.st) /c.copula2.be1be2^2 )
d2l.be2.sigma21 <- -VC$weights*( (der2c.derp1.derp2*derp2.dereta2*derp1.dersigma21.st* c.copula2.be1be2 - derc.dereta2*derc.dersigma21.st)/c.copula2.be1be2^2)
d2l.be1.sigma22 <- -VC$weights*( (der2c.derp1.derp2*derp1.dereta1*derp2.dersigma22.st* c.copula2.be1be2 - derc.dereta1*derc.dersigma22.st)/c.copula2.be1be2^2)
d2l.be2.nu1 <- -VC$weights*( (der2c.derp1.derp2*derp2.dereta2*derp1.dernu1.st* c.copula2.be1be2 - derc.dereta2*derc.dernu1.st)/c.copula2.be1be2^2)
d2l.rho.sigma21 <- -VC$weights*( (der2c.derp1.derrho*derp1.dersigma21.st*derteta.derteta.st*c.copula2.be1be2 - derc.dersigma21.st*der2h.derp1teta *derteta.derteta.st)/c.copula2.be1be2^2 )
d2l.rho.sigma22 <- -VC$weights*( (der2c.derp2.derrho*derp2.dersigma22.st*derteta.derteta.st*c.copula2.be1be2 - derc.dersigma22.st*der2h.derp1teta *derteta.derteta.st)/c.copula2.be1be2^2 )
d2l.rho.nu1 <- -VC$weights*( (der2c.derp1.derrho*derp1.dernu1.st*derteta.derteta.st*c.copula2.be1be2 - derc.dernu1.st*der2h.derp1teta *derteta.derteta.st)/c.copula2.be1be2^2 )
d2l.sigma21.sigma22 <- -VC$weights*( (der2c.derp1.derp2*derp1.dersigma21.st*derp2.dersigma22.st* c.copula2.be1be2 - derc.dersigma21.st*derc.dersigma22.st ) /c.copula2.be1be2^2 )
d2l.sigma22.nu1 <- -VC$weights*( (der2c.derp1.derp2*derp2.dersigma22.st*derp1.dernu1.st* c.copula2.be1be2 - derc.dersigma22.st*derc.dernu1.st)/c.copula2.be1be2^2)
d2l.sigma21.nu1 <- -VC$weights*( (der2pdf1.dersigma21.stdernu1.st * pdf1 - derpdf1.dersigma21.st*derpdf1.dernu1.st) / pdf1^2 +
((der2c.derp1.derp1 * derp1.dersigma21.st* derp1.dernu1.st+der2h.derp1p1*der2p1.dersigma21.stdernu1.st) * c.copula2.be1be2 - derc.dersigma21.st*derc.dernu1.st) /c.copula2.be1be2^2 )
if( is.null(VC$X3) ){
G <- -c(colSums( c(dl.dbe1)*VC$X1 ),
colSums( c(dl.dbe2)*VC$X2 ),
sum( dl.dsigma21.st ),
sum( dl.dsigma22.st ),
sum( dl.dnu1.st ),
sum( dl.dteta.st ) )
be1.be1 <- crossprod(VC$X1*c(d2l.be1.be1),VC$X1)
be2.be2 <- crossprod(VC$X2*c(d2l.be2.be2),VC$X2)
be1.be2 <- crossprod(VC$X1*c(d2l.be1.be2),VC$X2)
be1.rho <- t(t(rowSums(t(VC$X1*c(d2l.be1.rho)))))
be1.sigma21 <- t(t(rowSums(t(VC$X1*c(d2l.be1.sigma21)))))
be1.sigma22 <- t(t(rowSums(t(VC$X1*c(d2l.be1.sigma22)))))
be1.nu1 <- t(t(rowSums(t(VC$X1*c(d2l.be1.nu1)))))
be2.rho <- t(t(rowSums(t(VC$X2*c(d2l.be2.rho)))))
be2.sigma21 <- t(t(rowSums(t(VC$X2*c(d2l.be2.sigma21)))))
be2.sigma22 <- t(t(rowSums(t(VC$X2*c(d2l.be2.sigma22)))))
be2.nu1 <- t(t(rowSums(t(VC$X2*c(d2l.be2.nu1)))))
H <- rbind( cbind( be1.be1 , be1.be2 , be1.sigma21, be1.sigma22, be1.nu1, be1.rho ),
cbind( t(be1.be2) , be2.be2 , be2.sigma21, be2.sigma22, be2.nu1 , be2.rho ),
cbind( t(be1.sigma21) , t(be2.sigma21) , sum(d2l.sigma21.sigma21), sum(d2l.sigma21.sigma22), sum(d2l.sigma21.nu1), sum(d2l.rho.sigma21)),
cbind( t(be1.sigma22) , t(be2.sigma22) , sum(d2l.sigma21.sigma22), sum(d2l.sigma22.sigma22),sum(d2l.sigma22.nu1), sum(d2l.rho.sigma22)),
cbind( t(be1.nu1) , t(be2.nu1) , sum(d2l.sigma21.nu1), sum(d2l.sigma22.nu1), sum(d2l.nu1.nu1), sum(d2l.rho.nu1)),
cbind( t(be1.rho) , t(be2.rho) , sum(d2l.rho.sigma21), sum(d2l.rho.sigma22), sum(d2l.rho.nu1), sum(d2l.rho.rho) )
)
}
if( !is.null(VC$X3) ){
G <- -c( colSums( c(dl.dbe1)*VC$X1 ) ,
colSums( c(dl.dbe2)*VC$X2 ) ,
colSums(c(dl.dsigma21.st)*VC$X3 ) ,
colSums(c(dl.dsigma22.st)*VC$X4 ) ,
colSums(c(dl.dnu1.st)*VC$X5 ) ,
colSums( c(dl.dteta.st)*VC$X6 ) )
be1.be1 <- crossprod(VC$X1*c(d2l.be1.be1),VC$X1)
be2.be2 <- crossprod(VC$X2*c(d2l.be2.be2),VC$X2)
be1.be2 <- crossprod(VC$X1*c(d2l.be1.be2),VC$X2)
be1.rho <- crossprod(VC$X1*c(d2l.be1.rho),VC$X6)
be2.rho <- crossprod(VC$X2*c(d2l.be2.rho),VC$X6)
be1.sigma21 <- crossprod(VC$X1*c(d2l.be1.sigma21),VC$X3)
be1.sigma22 <- crossprod(VC$X1*c(d2l.be1.sigma22),VC$X4)
be1.nu1 <- crossprod(VC$X1*c(d2l.be1.nu1),VC$X5)
be2.nu1 <- crossprod(VC$X2*c(d2l.be2.nu1),VC$X5)
be2.sigma21 <- crossprod(VC$X2*c(d2l.be2.sigma21),VC$X3)
be2.sigma22 <- crossprod(VC$X2*c(d2l.be2.sigma22),VC$X4)
sigma21.sigma21 <- crossprod(VC$X3*c(d2l.sigma21.sigma21),VC$X3)
nu1.nu1 <- crossprod(VC$X5*c(d2l.nu1.nu1),VC$X5)
sigma21.sigma22 <- crossprod(VC$X3*c(d2l.sigma21.sigma22),VC$X4)
rho.sigma21 <- crossprod(VC$X3*c(d2l.rho.sigma21),VC$X6)
rho.nu1 <- crossprod(VC$X5*c(d2l.rho.nu1),VC$X6)
sigma22.sigma22 <- crossprod(VC$X4*c(d2l.sigma22.sigma22),VC$X4)
rho.sigma22 <- crossprod(VC$X4*c(d2l.rho.sigma22),VC$X6)
rho.rho <- crossprod(VC$X6*c(d2l.rho.rho),VC$X6)
sigma21.nu1 <- crossprod(VC$X3*c(d2l.sigma21.nu1),VC$X5)
sigma22.nu1 <- crossprod(VC$X4*c(d2l.sigma22.nu1),VC$X5)
H <- rbind( cbind( be1.be1 , be1.be2 , be1.sigma21, be1.sigma22, be1.nu1, be1.rho ),
cbind( t(be1.be2) , be2.be2 , be2.sigma21, be2.sigma22, be2.nu1, be2.rho ),
cbind( t(be1.sigma21) , t(be2.sigma21) , sigma21.sigma21, sigma21.sigma22, sigma21.nu1, rho.sigma21),
cbind( t(be1.sigma22) , t(be2.sigma22) , t(sigma21.sigma22), sigma22.sigma22, sigma22.nu1, rho.sigma22),
cbind( t(be1.nu1) , t(be2.nu1) , t(sigma21.nu1), t(sigma22.nu1), nu1.nu1, rho.nu1),
cbind( t(be1.rho) , t(be2.rho) , t(rho.sigma21), t(rho.sigma22), t(rho.nu1), rho.rho ) )
}
res <- -sum(l.par)
if(VC$extra.regI == "pC") H <- regH(H, type = 1)
S.h <- ps$S.h
if( length(S.h) != 1){
S.h1 <- 0.5*crossprod(params,S.h)%*%params
S.h2 <- S.h%*%params
} else S.h <- S.h1 <- S.h2 <- 0
S.res <- res
res <- S.res + S.h1
G <- G + S.h2
H <- H + S.h
if(VC$extra.regI == "sED") H <- regH(H, type = 2)
if( VC$margins[2] == "LN"){
dHs2 <- distrHsAT(exp(respvec$y2), eta2, sigma22, 1, margin2=VC$margins[2])
pdf2 <- dHs2$pdf2
p2 <- dHs2$p2
if( length(teta1) != 0) dH1 <- copgHsAT(p1[teta.ind1], p2[teta.ind1], teta1, Cop1, Ln = TRUE)
if( length(teta2) != 0) dH2 <- copgHsAT(p1[teta.ind2], p2[teta.ind2], teta2, Cop2, Ln = TRUE)
c.copula2.be1be2 <- NA
if( length(teta1) != 0) c.copula2.be1be2[teta.ind1] <- dH1$c.copula2.be1be2
if( length(teta2) != 0) c.copula2.be1be2[teta.ind2] <- dH2$c.copula2.be1be2
l.ln <- -sum( VC$weights*( log(pdf1) + log(pdf2) + log(c.copula2.be1be2) ) )
}
list(value=res, gradient=G, hessian=H, S.h=S.h, S.h1=S.h1, S.h2=S.h2, l=S.res, l.ln = l.ln, l.par=l.par, ps = ps,
eta1=eta1, eta2=eta2, etad=etad, etas1 = etas1, etas2 = etas2, etan1 = etan1, etan2 = etan2,
BivD=VC$BivD, p1 = p1, p2 = p2,
dl.dbe1 =dl.dbe1,
dl.dbe2 =dl.dbe2,
dl.dsigma21.st =dl.dsigma21.st,
dl.dsigma22.st =dl.dsigma22.st,
dl.dnu1.st =dl.dnu1.st,
dl.dteta.st =dl.dteta.st,
teta.ind2 = teta.ind2, teta.ind1 = teta.ind1,
Cop1 = Cop1, Cop2 = Cop2, teta1 = teta1, teta2 = teta2)
}
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SemiParBIVProbit documentation built on June 20, 2017, 9:03 a.m.
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Defines functions bcont32
Documented in bcont32
bcont32 <- function(params, respvec, VC, ps, AT = FALSE){
eta1 <- VC$X1%*%params[1:VC$X1.d2]
eta2 <- VC$X2%*%params[(VC$X1.d2 + 1):(VC$X1.d2 + VC$X2.d2)]
etad <- etas1 <- etas2 <- etan1 <- etan2 <- l.ln <- NULL
epsilon <- 0.0000001
max.p <- 0.9999999
if(is.null(VC$X3)){
sigma21.st <- etas1 <- params[(VC$X1.d2 + VC$X2.d2 + 1)]
sigma22.st <- etas2 <- params[(VC$X1.d2 + VC$X2.d2 + 2)]
nu1.st <- etan1 <- params[(VC$X1.d2 + VC$X2.d2 + 3)]
teta.st <- etad <- params[(VC$X1.d2 + VC$X2.d2 + 4)]
}
if(!is.null(VC$X3)){
sigma21.st <- etas1 <- VC$X3%*%params[(VC$X1.d2 + VC$X2.d2 + 1):(VC$X1.d2 + VC$X2.d2 + VC$X3.d2)]
sigma22.st <- etas2 <- VC$X4%*%params[(VC$X1.d2 + VC$X2.d2 + VC$X3.d2 + 1):(VC$X1.d2 + VC$X2.d2 + VC$X3.d2 + VC$X4.d2)]
nu1.st <- etan1 <- VC$X5%*%params[(VC$X1.d2 + VC$X2.d2 + VC$X3.d2 + VC$X4.d2 + 1):(VC$X1.d2 + VC$X2.d2 + VC$X3.d2 + VC$X4.d2 + VC$X5.d2)]
teta.st <- etad <- VC$X6%*%params[(VC$X1.d2 + VC$X2.d2 + VC$X3.d2 + VC$X4.d2 + VC$X5.d2 + 1):(VC$X1.d2 + VC$X2.d2 + VC$X3.d2 + VC$X4.d2 + VC$X5.d2 + VC$X6.d2)]
}
##################
## Transformations
##################
sstr1 <- esp.tr(sigma21.st, VC$margins[1])
sstr2 <- esp.tr(sigma22.st, VC$margins[2])
sigma21.st <- sstr1$vrb.st
sigma22.st <- sstr2$vrb.st
sigma21 <- sstr1$vrb
sigma22 <- sstr2$vrb
sstr1 <- esp.tr(nu1.st, VC$margins[1])
nu1.st <- sstr1$vrb.st
nu1 <- sstr1$vrb
eta1 <- eta.tr(eta1, VC$margins[1])
eta2 <- eta.tr(eta2, VC$margins[2])
resT <- teta.tr(VC, teta.st)
teta.st1 <- teta.st2 <- teta.st <- resT$teta.st
teta1 <- teta2 <- teta <- resT$teta
##################
Cop1 <- Cop2 <- VC$BivD
teta.ind1 <- as.logical(c(1,0,round(runif(VC$n-2))) )
teta.ind2 <- teta.ind1 == FALSE
if(!(VC$BivD %in% VC$BivD2) && length(teta.st) > 1){
teta.st1 <- teta.st[teta.ind1]
teta.st2 <- teta.st[teta.ind2]
teta1 <- teta[teta.ind1]
teta2 <- teta[teta.ind2]
}
if(VC$BivD %in% VC$BivD2){
if(VC$BivD %in% VC$BivD2[1:4]) teta.ind1 <- ifelse(VC$my.env$signind*teta > exp(VC$zerov), TRUE, FALSE)
if(VC$BivD %in% VC$BivD2[5:12]) teta.ind1 <- ifelse(VC$my.env$signind*teta > exp(VC$zerov) + 1, TRUE, FALSE)
teta.ind2 <- teta.ind1 == FALSE
VC$my.env$signind <- ifelse(teta.ind1 == TRUE, 1, -1)
teta1 <- teta[teta.ind1]
teta2 <- -teta[teta.ind2]
teta.st1 <- teta.st[teta.ind1]
teta.st2 <- teta.st[teta.ind2]
if(length(teta) == 1) teta.ind2 <- teta.ind1 <- rep(TRUE, VC$n)
Cop1Cop2R <- Cop1Cop2(VC$BivD)
Cop1 <- Cop1Cop2R$Cop1
Cop2 <- Cop1Cop2R$Cop2
}
##################
dHs1 <- distrHs(respvec$y1, eta1, sigma21, sigma21.st, nu1, nu1.st, margin2=VC$margins[1], naive = FALSE)
dHs2 <- distrHs(respvec$y2, eta2, sigma22, sigma22.st, 1, 1, margin2=VC$margins[2], naive = FALSE)
pdf1 <- dHs1$pdf2
pdf2 <- dHs2$pdf2
p1 <- dHs1$p2
p2 <- dHs2$p2
if( length(teta1) != 0) dH1 <- copgHsAT(p1[teta.ind1], p2[teta.ind1], teta1, Cop1, Ln = TRUE)
if( length(teta2) != 0) dH2 <- copgHsAT(p1[teta.ind2], p2[teta.ind2], teta2, Cop2, Ln = TRUE)
c.copula2.be1be2 <- NA
if( length(teta1) != 0) c.copula2.be1be2[teta.ind1] <- dH1$c.copula2.be1be2
if( length(teta2) != 0) c.copula2.be1be2[teta.ind2] <- dH2$c.copula2.be1be2
l.par <- VC$weights*( log(pdf1) + log(pdf2) + log(c.copula2.be1be2) )
##################
##################
derpdf1.dereta1 <- dHs1$derpdf2.dereta2
derpdf1.dersigma21.st <- dHs1$derpdf2.dersigma2.st
derpdf1.dernu1.st <- dHs1$derpdf2.dernu.st
derpdf2.dereta2 <- dHs2$derpdf2.dereta2
derpdf2.dersigma22.st <- dHs2$derpdf2.dersigma2.st
derp1.dereta1 <- dHs1$derp2.dereta2
derp1.dersigma21.st <- dHs1$derp2.dersigma.st
derp1.dernu1.st <- dHs1$derp2.nu.st
derp2.dereta2 <- dHs2$derp2.dereta2
derp2.dersigma22.st <- dHs2$derp2.dersigma.st
if( length(teta1) != 0) BITS1 <- copgHsCont(p1[teta.ind1], p2[teta.ind1], teta1, teta.st1, Cop1, Cont = TRUE)
if( length(teta2) != 0) BITS2 <- copgHsCont(p1[teta.ind2], p2[teta.ind2], teta2, teta.st2, Cop2, Cont = TRUE)
der2h.derp1p1 <- NA
if( length(teta1) != 0) der2h.derp1p1[teta.ind1] <- BITS1$der2h.derp1p1
if( length(teta2) != 0) der2h.derp1p1[teta.ind2] <- BITS2$der2h.derp1p1
derc.dereta1 <- der2h.derp1p1 * derp1.dereta1
derc.dersigma21.st <- der2h.derp1p1 * derp1.dersigma21.st
der2h.derp1p2 <- NA
if( length(teta1) != 0) der2h.derp1p2[teta.ind1] <- BITS1$der2h.derp1p2
if( length(teta2) != 0) der2h.derp1p2[teta.ind2] <- BITS2$der2h.derp1p2
derc.dereta2 <- der2h.derp1p2 * derp2.dereta2
derc.dersigma22.st <- der2h.derp1p2 * derp2.dersigma22.st
der2h.derp1teta <- NA
derteta.derteta.st <- NA
if( length(teta1) != 0) der2h.derp1teta[teta.ind1] <- BITS1$der2h.derp1teta
if( length(teta2) != 0) der2h.derp1teta[teta.ind2] <- BITS2$der2h.derp1teta
if( length(teta1) != 0) derteta.derteta.st[teta.ind1] <- BITS1$derteta.derteta.st
if( length(teta2) != 0) derteta.derteta.st[teta.ind2] <- BITS2$derteta.derteta.st
der2h.derp1teta.st <- der2h.derp1teta * derteta.derteta.st # new bit
derc.dernu1.st <- der2h.derp1p1 * derp1.dernu1.st
dl.dbe1 <- VC$weights*( derpdf1.dereta1/pdf1 + derc.dereta1/c.copula2.be1be2 )
dl.dbe2 <- VC$weights*( derpdf2.dereta2/pdf2 + derc.dereta2/c.copula2.be1be2 )
dl.dsigma21.st <- VC$weights*( derpdf1.dersigma21.st/pdf1 + derc.dersigma21.st/c.copula2.be1be2 )
dl.dsigma22.st <- VC$weights*( derpdf2.dersigma22.st/pdf2 + derc.dersigma22.st/c.copula2.be1be2 )
dl.dnu1.st <- VC$weights*( derpdf1.dernu1.st/pdf1 + derc.dernu1.st/c.copula2.be1be2 )
dl.dteta.st <- VC$weights*( der2h.derp1teta.st/c.copula2.be1be2 )
#################################################################################################
der2c.derrho.derrho <- NA
der2c.derp1.derp1 <- NA
der2c.derp2.derp2 <- NA
der2c.derp1.derp2 <- NA
der2c.derp1.derrho <- NA
der2c.derp2.derrho <- NA
der2teta.derteta.stteta.st <- NA
if( length(teta1) != 0){ der2c.derrho.derrho[teta.ind1] <- BITS1$der2c.derrho.derrho
der2c.derp1.derp1[teta.ind1] <- BITS1$der2c.derp1.derp1
der2c.derp2.derp2[teta.ind1] <- BITS1$der2c.derp2.derp2
der2c.derp1.derp2[teta.ind1] <- BITS1$der2c.derp1.derp2
der2c.derp1.derrho[teta.ind1] <- BITS1$der2c.derp1.derrho
der2c.derp2.derrho[teta.ind1] <- BITS1$der2c.derp2.derrho }
if( length(teta2) != 0){ der2c.derrho.derrho[teta.ind2] <- BITS2$der2c.derrho.derrho
der2c.derp1.derp1[teta.ind2] <- BITS2$der2c.derp1.derp1
der2c.derp2.derp2[teta.ind2] <- BITS2$der2c.derp2.derp2
der2c.derp1.derp2[teta.ind2] <- BITS2$der2c.derp1.derp2
der2c.derp1.derrho[teta.ind2] <- BITS2$der2c.derp1.derrho
der2c.derp2.derrho[teta.ind2] <- BITS2$der2c.derp2.derrho }
if( length(teta1) != 0) der2teta.derteta.stteta.st[teta.ind1] <- BITS1$der2teta.derteta.stteta.st
if( length(teta2) != 0) der2teta.derteta.stteta.st[teta.ind2] <- BITS2$der2teta.derteta.stteta.st
der2pdf1.dereta1 <- dHs1$der2pdf2.dereta2
der2pdf2.dereta2 <- dHs2$der2pdf2.dereta2
der2pdf1.dersigma21.st2 <- dHs1$der2pdf2.dersigma2.st2
der2pdf2.dersigma22.st2 <- dHs2$der2pdf2.dersigma2.st2
der2pdf1.dernu1.st2 <- dHs1$der2pdf2.dernu.st2
der2p1.dereta1eta1 <- dHs1$der2p2.dereta2eta2
der2p2.dereta2eta2 <- dHs2$der2p2.dereta2eta2
der2p1.dersigma21.st2 <- dHs1$der2p2.dersigma2.st2
der2p2.dersigma22.st2 <- dHs2$der2p2.dersigma2.st2
der2p1.dernu1.st2 <- dHs1$der2p2.dernu.st2
der2pdf1.dereta1dersigma21.st <- dHs1$der2pdf2.dereta2dersigma2.st
der2pdf2.dereta2dersigma22.st <- dHs2$der2pdf2.dereta2dersigma2.st
der2pdf1.dereta1dernu1.st <- dHs1$der2pdf2.dereta2dernu.st
der2p1.dereta1dersigma21.st <- dHs1$der2p2.dereta2dersigma2.st
der2p2.dereta2dersigma22.st <- dHs2$der2p2.dereta2dersigma2.st
der2p1.dereta1dernu1.st <- dHs1$der2p2.dereta2dernu.st
der2pdf1.dersigma21.stdernu1.st <- dHs1$der2pdf2.sigma2.st2dernu.st
der2p1.dersigma21.stdernu1.st <- dHs1$der2p2.dersigma2.stdernu.st
d2l.be1.be1 <- -VC$weights*( (der2pdf1.dereta1 * pdf1 - derpdf1.dereta1^2) / pdf1^2 +
((der2c.derp1.derp1 * derp1.dereta1^2 + der2h.derp1p1 * der2p1.dereta1eta1) * c.copula2.be1be2 - derc.dereta1^2) /c.copula2.be1be2^2 )
d2l.be2.be2 <- -VC$weights*( (der2pdf2.dereta2 * pdf2 - derpdf2.dereta2^2) / pdf2^2 +
((der2c.derp2.derp2 * derp2.dereta2^2 + der2h.derp1p2 * der2p2.dereta2eta2) * c.copula2.be1be2 - derc.dereta2^2) /c.copula2.be1be2^2 )
d2l.rho.rho <- -VC$weights*( ((der2c.derrho.derrho*derteta.derteta.st^2 + der2h.derp1teta *der2teta.derteta.stteta.st)*c.copula2.be1be2 -
der2h.derp1teta.st^2) /c.copula2.be1be2^2 )
d2l.sigma21.sigma21 <- -VC$weights*( (der2pdf1.dersigma21.st2 * pdf1 - derpdf1.dersigma21.st^2) / pdf1^2 +
((der2c.derp1.derp1*derp1.dersigma21.st^2+der2h.derp1p1*der2p1.dersigma21.st2)*c.copula2.be1be2 - derc.dersigma21.st^2) /c.copula2.be1be2^2 )
d2l.sigma22.sigma22 <- -VC$weights*( (der2pdf2.dersigma22.st2 * pdf2 - derpdf2.dersigma22.st^2) / pdf2^2 +
((der2c.derp2.derp2*derp2.dersigma22.st^2+der2h.derp1p2*der2p2.dersigma22.st2)*c.copula2.be1be2 - derc.dersigma22.st^2) /c.copula2.be1be2^2 )
d2l.nu1.nu1 <- -VC$weights*( (der2pdf1.dernu1.st2 * pdf1 - derpdf1.dernu1.st^2) / pdf1^2 +
((der2c.derp1.derp1*derp1.dernu1.st^2+der2h.derp1p1*der2p1.dernu1.st2)*c.copula2.be1be2 - derc.dernu1.st^2) /c.copula2.be1be2^2 )
d2l.be1.be2 <- -VC$weights*( (der2c.derp1.derp2*derp1.dereta1*derp2.dereta2* c.copula2.be1be2 - derc.dereta1*derc.dereta2) /c.copula2.be1be2^2 )
d2l.be1.rho <- -VC$weights*( (der2c.derp1.derrho *derp1.dereta1*derteta.derteta.st* c.copula2.be1be2 - derc.dereta1*der2h.derp1teta*derteta.derteta.st) /c.copula2.be1be2^2 )
d2l.be2.rho <- -VC$weights*( (der2c.derp2.derrho *derp2.dereta2*derteta.derteta.st* c.copula2.be1be2 - derc.dereta2*der2h.derp1teta*derteta.derteta.st) /c.copula2.be1be2^2 )
d2l.be1.sigma21 <- -VC$weights*( (der2pdf1.dereta1dersigma21.st * pdf1 - derpdf1.dereta1*derpdf1.dersigma21.st) / pdf1^2 +
((der2c.derp1.derp1 * derp1.dereta1* derp1.dersigma21.st+der2h.derp1p1*der2p1.dereta1dersigma21.st) * c.copula2.be1be2 - derc.dereta1*derc.dersigma21.st) /c.copula2.be1be2^2 )
d2l.be2.sigma22 <- -VC$weights*( (der2pdf2.dereta2dersigma22.st * pdf2 - derpdf2.dereta2*derpdf2.dersigma22.st) / pdf2^2 +
((der2c.derp2.derp2 * derp2.dereta2* derp2.dersigma22.st+der2h.derp1p2*der2p2.dereta2dersigma22.st) * c.copula2.be1be2 - derc.dereta2*derc.dersigma22.st) /c.copula2.be1be2^2 )
d2l.be1.nu1 <- -VC$weights*( (der2pdf1.dereta1dernu1.st * pdf1 - derpdf1.dereta1*derpdf1.dernu1.st) / pdf1^2 +
((der2c.derp1.derp1 * derp1.dereta1* derp1.dernu1.st+der2h.derp1p1*der2p1.dereta1dernu1.st) * c.copula2.be1be2 - derc.dereta1*derc.dernu1.st) /c.copula2.be1be2^2 )
d2l.be2.sigma21 <- -VC$weights*( (der2c.derp1.derp2*derp2.dereta2*derp1.dersigma21.st* c.copula2.be1be2 - derc.dereta2*derc.dersigma21.st)/c.copula2.be1be2^2)
d2l.be1.sigma22 <- -VC$weights*( (der2c.derp1.derp2*derp1.dereta1*derp2.dersigma22.st* c.copula2.be1be2 - derc.dereta1*derc.dersigma22.st)/c.copula2.be1be2^2)
d2l.be2.nu1 <- -VC$weights*( (der2c.derp1.derp2*derp2.dereta2*derp1.dernu1.st* c.copula2.be1be2 - derc.dereta2*derc.dernu1.st)/c.copula2.be1be2^2)
d2l.rho.sigma21 <- -VC$weights*( (der2c.derp1.derrho*derp1.dersigma21.st*derteta.derteta.st*c.copula2.be1be2 - derc.dersigma21.st*der2h.derp1teta *derteta.derteta.st)/c.copula2.be1be2^2 )
d2l.rho.sigma22 <- -VC$weights*( (der2c.derp2.derrho*derp2.dersigma22.st*derteta.derteta.st*c.copula2.be1be2 - derc.dersigma22.st*der2h.derp1teta *derteta.derteta.st)/c.copula2.be1be2^2 )
d2l.rho.nu1 <- -VC$weights*( (der2c.derp1.derrho*derp1.dernu1.st*derteta.derteta.st*c.copula2.be1be2 - derc.dernu1.st*der2h.derp1teta *derteta.derteta.st)/c.copula2.be1be2^2 )
d2l.sigma21.sigma22 <- -VC$weights*( (der2c.derp1.derp2*derp1.dersigma21.st*derp2.dersigma22.st* c.copula2.be1be2 - derc.dersigma21.st*derc.dersigma22.st ) /c.copula2.be1be2^2 )
d2l.sigma22.nu1 <- -VC$weights*( (der2c.derp1.derp2*derp2.dersigma22.st*derp1.dernu1.st* c.copula2.be1be2 - derc.dersigma22.st*derc.dernu1.st)/c.copula2.be1be2^2)
d2l.sigma21.nu1 <- -VC$weights*( (der2pdf1.dersigma21.stdernu1.st * pdf1 - derpdf1.dersigma21.st*derpdf1.dernu1.st) / pdf1^2 +
((der2c.derp1.derp1 * derp1.dersigma21.st* derp1.dernu1.st+der2h.derp1p1*der2p1.dersigma21.stdernu1.st) * c.copula2.be1be2 - derc.dersigma21.st*derc.dernu1.st) /c.copula2.be1be2^2 )
if( is.null(VC$X3) ){
G <- -c(colSums( c(dl.dbe1)*VC$X1 ),
colSums( c(dl.dbe2)*VC$X2 ),
sum( dl.dsigma21.st ),
sum( dl.dsigma22.st ),
sum( dl.dnu1.st ),
sum( dl.dteta.st ) )
be1.be1 <- crossprod(VC$X1*c(d2l.be1.be1),VC$X1)
be2.be2 <- crossprod(VC$X2*c(d2l.be2.be2),VC$X2)
be1.be2 <- crossprod(VC$X1*c(d2l.be1.be2),VC$X2)
be1.rho <- t(t(rowSums(t(VC$X1*c(d2l.be1.rho)))))
be1.sigma21 <- t(t(rowSums(t(VC$X1*c(d2l.be1.sigma21)))))
be1.sigma22 <- t(t(rowSums(t(VC$X1*c(d2l.be1.sigma22)))))
be1.nu1 <- t(t(rowSums(t(VC$X1*c(d2l.be1.nu1)))))
be2.rho <- t(t(rowSums(t(VC$X2*c(d2l.be2.rho)))))
be2.sigma21 <- t(t(rowSums(t(VC$X2*c(d2l.be2.sigma21)))))
be2.sigma22 <- t(t(rowSums(t(VC$X2*c(d2l.be2.sigma22)))))
be2.nu1 <- t(t(rowSums(t(VC$X2*c(d2l.be2.nu1)))))
H <- rbind( cbind( be1.be1 , be1.be2 , be1.sigma21, be1.sigma22, be1.nu1, be1.rho ),
cbind( t(be1.be2) , be2.be2 , be2.sigma21, be2.sigma22, be2.nu1 , be2.rho ),
cbind( t(be1.sigma21) , t(be2.sigma21) , sum(d2l.sigma21.sigma21), sum(d2l.sigma21.sigma22), sum(d2l.sigma21.nu1), sum(d2l.rho.sigma21)),
cbind( t(be1.sigma22) , t(be2.sigma22) , sum(d2l.sigma21.sigma22), sum(d2l.sigma22.sigma22),sum(d2l.sigma22.nu1), sum(d2l.rho.sigma22)),
cbind( t(be1.nu1) , t(be2.nu1) , sum(d2l.sigma21.nu1), sum(d2l.sigma22.nu1), sum(d2l.nu1.nu1), sum(d2l.rho.nu1)),
cbind( t(be1.rho) , t(be2.rho) , sum(d2l.rho.sigma21), sum(d2l.rho.sigma22), sum(d2l.rho.nu1), sum(d2l.rho.rho) )
)
}
if( !is.null(VC$X3) ){
G <- -c( colSums( c(dl.dbe1)*VC$X1 ) ,
colSums( c(dl.dbe2)*VC$X2 ) ,
colSums(c(dl.dsigma21.st)*VC$X3 ) ,
colSums(c(dl.dsigma22.st)*VC$X4 ) ,
colSums(c(dl.dnu1.st)*VC$X5 ) ,
colSums( c(dl.dteta.st)*VC$X6 ) )
be1.be1 <- crossprod(VC$X1*c(d2l.be1.be1),VC$X1)
be2.be2 <- crossprod(VC$X2*c(d2l.be2.be2),VC$X2)
be1.be2 <- crossprod(VC$X1*c(d2l.be1.be2),VC$X2)
be1.rho <- crossprod(VC$X1*c(d2l.be1.rho),VC$X6)
be2.rho <- crossprod(VC$X2*c(d2l.be2.rho),VC$X6)
be1.sigma21 <- crossprod(VC$X1*c(d2l.be1.sigma21),VC$X3)
be1.sigma22 <- crossprod(VC$X1*c(d2l.be1.sigma22),VC$X4)
be1.nu1 <- crossprod(VC$X1*c(d2l.be1.nu1),VC$X5)
be2.nu1 <- crossprod(VC$X2*c(d2l.be2.nu1),VC$X5)
be2.sigma21 <- crossprod(VC$X2*c(d2l.be2.sigma21),VC$X3)
be2.sigma22 <- crossprod(VC$X2*c(d2l.be2.sigma22),VC$X4)
sigma21.sigma21 <- crossprod(VC$X3*c(d2l.sigma21.sigma21),VC$X3)
nu1.nu1 <- crossprod(VC$X5*c(d2l.nu1.nu1),VC$X5)
sigma21.sigma22 <- crossprod(VC$X3*c(d2l.sigma21.sigma22),VC$X4)
rho.sigma21 <- crossprod(VC$X3*c(d2l.rho.sigma21),VC$X6)
rho.nu1 <- crossprod(VC$X5*c(d2l.rho.nu1),VC$X6)
sigma22.sigma22 <- crossprod(VC$X4*c(d2l.sigma22.sigma22),VC$X4)
rho.sigma22 <- crossprod(VC$X4*c(d2l.rho.sigma22),VC$X6)
rho.rho <- crossprod(VC$X6*c(d2l.rho.rho),VC$X6)
sigma21.nu1 <- crossprod(VC$X3*c(d2l.sigma21.nu1),VC$X5)
sigma22.nu1 <- crossprod(VC$X4*c(d2l.sigma22.nu1),VC$X5)
H <- rbind( cbind( be1.be1 , be1.be2 , be1.sigma21, be1.sigma22, be1.nu1, be1.rho ),
cbind( t(be1.be2) , be2.be2 , be2.sigma21, be2.sigma22, be2.nu1, be2.rho ),
cbind( t(be1.sigma21) , t(be2.sigma21) , sigma21.sigma21, sigma21.sigma22, sigma21.nu1, rho.sigma21),
cbind( t(be1.sigma22) , t(be2.sigma22) , t(sigma21.sigma22), sigma22.sigma22, sigma22.nu1, rho.sigma22),
cbind( t(be1.nu1) , t(be2.nu1) , t(sigma21.nu1), t(sigma22.nu1), nu1.nu1, rho.nu1),
cbind( t(be1.rho) , t(be2.rho) , t(rho.sigma21), t(rho.sigma22), t(rho.nu1), rho.rho ) )
}
res <- -sum(l.par)
if(VC$extra.regI == "pC") H <- regH(H, type = 1)
S.h <- ps$S.h
if( length(S.h) != 1){
S.h1 <- 0.5*crossprod(params,S.h)%*%params
S.h2 <- S.h%*%params
} else S.h <- S.h1 <- S.h2 <- 0
S.res <- res
res <- S.res + S.h1
G <- G + S.h2
H <- H + S.h
if(VC$extra.regI == "sED") H <- regH(H, type = 2)
if( VC$margins[2] == "LN"){
dHs2 <- distrHsAT(exp(respvec$y2), eta2, sigma22, 1, margin2=VC$margins[2])
pdf2 <- dHs2$pdf2
p2 <- dHs2$p2
if( length(teta1) != 0) dH1 <- copgHsAT(p1[teta.ind1], p2[teta.ind1], teta1, Cop1, Ln = TRUE)
if( length(teta2) != 0) dH2 <- copgHsAT(p1[teta.ind2], p2[teta.ind2], teta2, Cop2, Ln = TRUE)
c.copula2.be1be2 <- NA
if( length(teta1) != 0) c.copula2.be1be2[teta.ind1] <- dH1$c.copula2.be1be2
if( length(teta2) != 0) c.copula2.be1be2[teta.ind2] <- dH2$c.copula2.be1be2
l.ln <- -sum( VC$weights*( log(pdf1) + log(pdf2) + log(c.copula2.be1be2) ) )
}
list(value=res, gradient=G, hessian=H, S.h=S.h, S.h1=S.h1, S.h2=S.h2, l=S.res, l.ln = l.ln, l.par=l.par, ps = ps,
eta1=eta1, eta2=eta2, etad=etad, etas1 = etas1, etas2 = etas2, etan1 = etan1, etan2 = etan2,
BivD=VC$BivD, p1 = p1, p2 = p2,
dl.dbe1 =dl.dbe1,
dl.dbe2 =dl.dbe2,
dl.dsigma21.st =dl.dsigma21.st,
dl.dsigma22.st =dl.dsigma22.st,
dl.dnu1.st =dl.dnu1.st,
dl.dteta.st =dl.dteta.st,
teta.ind2 = teta.ind2, teta.ind1 = teta.ind1,
Cop1 = Cop1, Cop2 = Cop2, teta1 = teta1, teta2 = teta2)
}
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