Nothing
R/family.extremes.R
In VGAM: Vector Generalized Linear and Additive Models
Defines functions
hurea
dhurea
gumbel1
poisson.points
dpois.points
rec.exp1
rec.exp1.control
rec.normal
rec.normal.control
frechet
frechet.control
rfrechet
qfrechet
pfrechet
dfrechet
cens.gumbel
gumbelff
guplot.vlm
guplot.default
meplot.vlm
meplot.default
gpd
qgpd
pgpd
dgpd
rgpd
gumbel
pgumbel
qgumbel
dgumbel
rgumbel
gevff
dgammadx
gev
qgev
pgev
dgev
rgev
Documented in
cens.gumbel
dfrechet
dgev
dgpd
dgumbel
dhurea
dpois.points
frechet
gev
gevff
gpd
gumbel
gumbelff
guplot.default
guplot.vlm
hurea
meplot.default
meplot.vlm
pfrechet
pgev
pgpd
pgumbel
poisson.points
qfrechet
qgev
qgpd
qgumbel
rec.exp1
rec.exp1.control
rec.normal
rec.normal.control
rfrechet
rgev
rgpd
rgumbel
# These functions are
# Copyright (C) 1998-2024 T.W. Yee, University of Auckland.
# All rights reserved.
rgev <- function(n, location = 0, scale = 1, shape = 0) {
use.n <- if ((length.n <- length(n)) > 1) length.n else
if (!is.Numeric(n, integer.valued = TRUE,
length.arg = 1, positive = TRUE))
stop("bad input for argument 'n'") else n
if (!is.Numeric(location))
stop("bad input for argument argument 'location'")
if (!is.Numeric(shape))
stop("bad input for argument argument 'shape'")
ans <- numeric(use.n)
if (length(shape) != use.n)
shape <- rep_len(shape, use.n)
if (length(location) != use.n)
location <- rep_len(location, use.n)
if (length(scale) != use.n)
scale <- rep_len(scale, use.n)
scase <- abs(shape) < sqrt( .Machine$double.eps )
nscase <- sum(scase)
if (use.n - nscase)
ans[!scase] <- location[!scase] + scale[!scase] *
((-log(runif(use.n - nscase)))^(-shape[!scase]) -
1) / shape[!scase]
if (nscase)
ans[scase] <- rgumbel(nscase, location = location[scase],
scale = scale[scase])
ans[scale <= 0] <- NaN
ans
}
dgev <-
function(x, location = 0, scale = 1, shape = 0, log = FALSE,
tolshape0 = sqrt( .Machine$double.eps )) {
oobounds.log <- -Inf # 20160412; No longer an argument.
if (!is.logical(log.arg <- log) || length(log) != 1)
stop("bad input for argument 'log'")
rm(log)
if (!is.Numeric(tolshape0, length.arg = 1, positive = TRUE))
stop("bad input for argument 'tolshape0'")
use.n <- max(length(x), length(location), length(scale),
length(shape))
if (length(shape) != use.n)
shape <- rep_len(shape, use.n)
if (length(location) != use.n)
location <- rep_len(location, use.n)
if (length(scale) != use.n)
scale <- rep_len(scale, use.n)
if (length(x) != use.n)
x <- rep_len(x, use.n)
logdensity <- rep_len(log(0), use.n)
scase <- (abs(shape) < tolshape0)
nscase <- sum(scase)
if (use.n - nscase) {
zedd <- 1 + shape * (x - location) / scale
xok <- (!scase) & (zedd > 0)
logdensity[xok] <-
-log(scale[xok]) - zedd[xok]^(-1/shape[xok]) -
(1 + 1/shape[xok]) * log(zedd[xok])
outofbounds <- (!scase) & (zedd <= 0)
if (any(outofbounds)) {
logdensity[outofbounds] <- oobounds.log
no.oob <- sum(outofbounds)
}
}
if (nscase) {
logdensity[scase] <- dgumbel(x[scase], log = TRUE,
location = location[scase],
scale = scale[scase])
}
logdensity[scale <= 0] <- NaN
logdensity[is.infinite(x)] <- log(0) # 20141209 KaiH
if (log.arg) logdensity else exp(logdensity)
}
pgev <- function(q, location = 0, scale = 1, shape = 0,
lower.tail = TRUE, log.p = FALSE) {
if (!is.logical(lower.tail) || length(lower.tail ) != 1)
stop("bad input for argument 'lower.tail'")
if (!is.logical(log.arg <- log.p) || length(log.p) != 1)
stop("bad input for argument 'log.p'")
use.n <- max(length(q), length(location),
length(scale), length(shape))
if (length(shape) != use.n)
shape <- rep_len(shape, use.n)
if (length(location) != use.n)
location <- rep_len(location, use.n)
if (length(scale) != use.n)
scale <- rep_len(scale, use.n)
if (length(q) != use.n)
q <- rep_len(q, use.n)
scase0 <- abs(shape) < sqrt( .Machine$double.eps )
zedd <- (q - location) / scale
use.zedd <- pmax(0, 1 + shape * zedd)
if (lower.tail) {
if (log.p) {
ans <- -use.zedd^(-1 / shape)
} else {
ans <- exp(-use.zedd^(-1 / shape))
}
} else {
if (log.p) {
ans <- log(-expm1(-use.zedd^(-1 / shape)))
} else {
ans <- -expm1(-use.zedd^(-1 / shape))
}
}
if (any(scase0)) {
ans[scase0] <- pgumbel(q[scase0],
location = location[scase0],
scale = scale[scase0],
lower.tail = lower.tail,
log.p = log.p)
}
ans[scale <= 0] <- NaN
ans
}
qgev <- function(p, location = 0, scale = 1, shape = 0,
lower.tail = TRUE, log.p = FALSE) {
if (!is.logical(log.p) || length(log.p) != 1)
stop("bad input for argument 'log.p'")
use.n <- max(length(p), length(location),
length(scale), length(shape))
if (length(shape) != use.n)
shape <- rep_len(shape, use.n)
if (length(location) != use.n)
location <- rep_len(location, use.n)
if (length(scale) != use.n)
scale <- rep_len(scale, use.n)
if (length(p) != use.n)
p <- rep_len(p, use.n)
scase0 <- abs(shape) < sqrt( .Machine$double.eps )
if (lower.tail) {
if (log.p) {
ln.p <- p
ans <- location + scale * ((-ln.p)^(-shape) - 1) / shape
ans[ln.p > 0] <- NaN
} else {
ans <- location + scale * ((-log(p))^(-shape) - 1) / shape
ans[p == 1] <- Inf
ans[p > 1] <- NaN
}
} else {
if (log.p) {
ln.p <- p
ans <- location + scale *
((-log1p(-exp(ln.p)))^(-shape) - 1) / shape
ans[ln.p > 0] <- NaN
} else {
ans <- location +
scale * ((-log1p(-p))^(-shape) - 1) / shape
ans[p == 1] <- Inf
ans[p > 1] <- NaN
ans[p < 0] <- NaN
}
}
if (any(scase0))
ans[scase0] <- qgumbel(p[scase0],
location = location[scase0],
scale = scale[scase0],
lower.tail = lower.tail,
log.p = log.p)
ans[scale <= 0] <- NaN
ans
}
gev <-
function(
llocation = "identitylink",
lscale = "loglink",
lshape = logofflink(offset = 0.5),
percentiles = c(95, 99),
ilocation = NULL,
iscale = NULL, ishape = NULL,
imethod = 1,
gprobs.y = (1:9)/10, # 20160713; grid for locat.init
gscale.mux = exp((-5:5)/6), # exp(-5:5),
gshape = (-5:5) / 11 + 0.01, # c(-0.45, 0.45),
iprobs.y = NULL,
tolshape0 = 0.001,
type.fitted = c("percentiles", "mean"),
zero = c("scale", "shape")) {
ilocat <- ilocation
type.fitted <- match.arg(type.fitted,
c("percentiles", "mean"))[1]
llocat <- as.list(substitute(llocation))
elocat <- link2list(llocat)
llocat <- attr(elocat, "function.name")
lscale <- as.list(substitute(lscale))
escale <- link2list(lscale)
lscale <- attr(escale, "function.name")
lshape <- as.list(substitute(lshape))
eshape <- link2list(lshape)
lshape <- attr(eshape, "function.name")
if (length(iscale) &&
!is.Numeric(iscale, positive = TRUE))
stop("bad input for argument 'iscale'")
if (length(percentiles) &&
(!is.Numeric(percentiles, positive = TRUE) ||
max(percentiles) >= 100))
stop("bad input for argument 'percentiles'")
if (!is.Numeric(imethod, length.arg = 1,
positive = TRUE, integer.valued = TRUE) ||
imethod > 2.5)
stop("argument 'imethod' must be 1 or 2")
if (length(ishape) && !is.Numeric(ishape))
stop("bad input for argument 'ishape'")
if (!is.Numeric(tolshape0, length.arg = 1, positive = TRUE) ||
tolshape0 > 0.1)
stop("bad input for argument 'tolshape0'")
new("vglmff",
blurb = c("Generalized extreme value distribution\n",
"Links: ",
namesof("location", llocat, earg = elocat), ", ",
namesof("scale", lscale, earg = escale), ", ",
namesof("shape", lshape, earg = eshape)),
constraints = eval(substitute(expression({
constraints <-
cm.zero.VGAM(constraints, x = x, .zero , M = M,
predictors.names = predictors.names,
M1 = 3)
}), list( .zero = zero ))),
infos = eval(substitute(function(...) {
list(M1 = 3,
Q1 = 1,
expected = TRUE,
multipleResponses = FALSE,
parameters.names = c("location", "scale", "shape"),
llocation = .llocat ,
lscale = .lscale ,
lshape = .lshape ,
tolshape0 = .tolshape0,
type.fitted = .type.fitted ,
zero = .zero )
},
list( .zero = zero,
.llocat = llocation, .lscale = lscale,
.lshape = lshape, .tolshape0 = tolshape0,
.type.fitted = type.fitted ))),
rqresslot = eval(substitute(
function(mu, y, w, eta, extra = NULL) {
Locat <- eta2theta(eta[, 1], .llocat , .elocat )
sigma <- eta2theta(eta[, 2], .lscale , .escale )
shape <- eta2theta(eta[, 3], .lshape , .eshape )
scrambleseed <- runif(1) # To scramble the seed
qnorm(pgev(y, location = Locat, scale = sigma,
shape = shape))
},
list( .llocat = llocat, .lscale = lscale, .lshape = lshape,
.elocat = elocat, .escale = escale, .eshape = eshape
))),
initialize = eval(substitute(expression({
temp16 <-
w.y.check(w = w, y = y,
Is.nonnegative.y = FALSE,
Is.integer.y = FALSE,
ncol.w.max = 1, # Inf,
ncol.y.max = Inf,
out.wy = TRUE,
colsyperw = NULL, # Ignore this argument
maximize = TRUE)
w <- temp16$w
y <- temp16$y
M1 <- extra$M1 <- 3
ncoly <- ncol(y)
extra$ncoly <- ncoly
extra$type.fitted <- .type.fitted
extra$colnames.y <- colnames(y)
extra$percentiles <- .percentiles
extra$M1 <- M1
mynames1 <- "location"
mynames2 <- "scale"
mynames3 <- "shape"
predictors.names <- c(
namesof(mynames1, .llocat , .elocat , short = TRUE),
namesof(mynames2, .lscale , .escale , short = TRUE),
namesof(mynames3, .lshape , .eshape , short = TRUE))
if (ncol(y) > 1)
y <- -t(apply(-y, 1, sort, na.last = TRUE))
r.vec <- rowSums(cbind(!is.na(y)))
if (any(r.vec == 0))
stop("A row contains all missing values")
NOS.proxy <- 1
gprobs.y <- .gprobs.y
ilocat <- .ilocat # Default is NULL
if (length(ilocat))
ilocat <- matrix(ilocat, n, NOS.proxy, byrow = TRUE)
if (!length(etastart)) {
locat.init <-
shape.init <-
scale.init <- matrix(NA_real_, n, NOS.proxy)
if (length( .iprobs.y ))
gprobs.y <- .iprobs.y
gscale.mux <- .gscale.mux # On a relative scale
gshape <- .gshape
for (jay in 1:NOS.proxy) { # For each response 'y_jay':
scale.init.jay <- sd(y[, 1]) * sqrt(6) / pi # Based
scale.init.jay <- gscale.mux * scale.init.jay
if (length( .iscale )) # iscale on an absolute scale
scale.init.jay <- ( .iscale )
if (length( .ishape ))
gshape <- .ishape # ishape is on an absolute scale
locat.init.jay <- if ( .imethod == 1) {
quantile(y[, jay], probs = gprobs.y) # + 1/16
} else {
weighted.mean(y[, jay], w = w[, 1])
}
if (length(ilocat))
locat.init.jay <- ilocat[, jay]
gev.Loglikfun3 <- function(shapeval,
locatval, scaleval,
y, x, w, extraargs) {
sum(c(w) * dgev(x = y,
locat = locatval,
scale = scaleval,
shape = shapeval, log = TRUE),
na.rm = TRUE)
}
try.this <-
grid.search3(gshape,
locat.init.jay, scale.init.jay,
objfun = gev.Loglikfun3,
y = y[, 1], w = w[, jay],
ret.objfun = TRUE, # Last value is \ell
extraargs = NULL)
shape.init[, jay] <- try.this["Value1" ]
locat.init[, jay] <- try.this["Value2" ]
scale.init[, jay] <- try.this["Value3" ]
} # for (jay ...)
etastart <-
cbind(theta2eta(locat.init, .llocat , .elocat ),
theta2eta(scale.init, .lscale , .escale ),
theta2eta(shape.init, .lshape , .eshape ))
}
}),
list(
.llocat = llocat, .lscale = lscale, .lshape = lshape,
.elocat = elocat, .escale = escale, .eshape = eshape,
.ilocat = ilocat, .ishape = ishape, .iscale = iscale,
.gprobs.y = gprobs.y, .gscale.mux = gscale.mux,
.iprobs.y = iprobs.y,
.gshape = gshape, .type.fitted = type.fitted,
.percentiles = percentiles,
.imethod = imethod ))),
linkinv = eval(substitute(function(eta, extra = NULL) {
NOS <- ncol(eta) / c(M1 = 3)
Locat <- eta2theta(eta[, 1], .llocat , .elocat )
sigma <- eta2theta(eta[, 2], .lscale , .escale )
shape <- eta2theta(eta[, 3], .lshape , .eshape )
type.fitted <-
if (length(extra$type.fitted)) {
extra$type.fitted
} else {
warning("cannot find 'type.fitted'. ",
"Returning 'percentiles'.")
"percentiles"
}
type.fitted <- match.arg(type.fitted,
c("percentiles", "mean"))[1]
pcent <- extra$percentiles
LP <- length(pcent)
if (type.fitted == "percentiles" &&
LP > 0) { # Upward compatibility:
fv <- matrix(NA_real_, nrow(eta), LP)
for (ii in 1:LP) {
fv[, ii] <- qgev(pcent[ii] /100, loc = Locat,
scale = sigma,
shape = shape)
}
fv <- label.cols.y(fv, colnames.y = extra$colnames.y,
NOS = NOS, percentiles = pcent,
one.on.one = FALSE)
} else {
is.zero <- (abs(shape) < .tolshape0 )
EulerM <- -digamma(1)
fv <- Locat + sigma * EulerM # When shape = 0, is Gumbel
fv[!is.zero] <- Locat[!is.zero] + sigma[!is.zero] *
(gamma(1 - shape[!is.zero]) - 1) / shape[!is.zero]
fv[shape >= 1] <- NA # Mean exists only if shape < 1.
fv <- label.cols.y(fv, colnames.y = extra$colnames.y,
NOS = NOS)
}
fv
}, list( .llocat = llocat, .lscale = lscale, .lshape = lshape,
.elocat = elocat, .escale = escale, .eshape = eshape,
.tolshape0 = tolshape0 ))),
last = eval(substitute(expression({
misc$earg <- vector("list", M)
names(misc$earg) <- c(mynames1, mynames2, mynames3)
misc$earg[[1]] <- .elocat
misc$earg[[2]] <- .escale
misc$earg[[3]] <- .eshape
misc$link <- c( .llocat , .lscale , .lshape )
names(misc$link) <- c(mynames1, mynames2, mynames3)
misc$true.mu <- !length( .percentiles )
misc$percentiles <- .percentiles
if (ncol(y) == 1)
y <- as.vector(y)
if (any(shape < -0.5))
warning("some values of the shape parameter ",
"are less than -0.5")
}),
list(
.llocat = llocat, .lscale = lscale, .lshape = lshape,
.elocat = elocat, .escale = escale, .eshape = eshape,
.percentiles = percentiles ))),
loglikelihood = eval(substitute(
function(mu, y, w, residuals = FALSE, eta, extra = NULL) {
Locat <- eta2theta(eta[, 1], .llocat , .elocat )
sigma <- eta2theta(eta[, 2], .lscale , .escale )
shape <- eta2theta(eta[, 3], .lshape , .eshape )
if (residuals) {
stop("loglikelihood residuals not implemented yet")
} else {
new.answer <-
sum(c(w) *
dgev(x = y, location = Locat, scale = sigma,
shape = shape, tolshape0 = .tolshape0 ,
log = TRUE), na.rm = TRUE)
new.answer
}
},
list( .llocat = llocat, .lscale = lscale, .lshape = lshape,
.elocat = elocat, .escale = escale, .eshape = eshape,
.tolshape0 = tolshape0 ))),
vfamily = c("gev", "vextremes"),
validparams =
eval(substitute(function(eta, y, extra = NULL) {
Locat <- eta2theta(eta[, c(TRUE, FALSE, FALSE)],
.llocat , .elocat )
sigma <- eta2theta(eta[, c(FALSE, TRUE, FALSE)],
.lscale , .escale )
shape <- eta2theta(eta[, c(FALSE, FALSE, TRUE)],
.lshape , .eshape )
okay1 <- all(is.finite(Locat)) &&
all(is.finite(sigma)) && all(0 < sigma) &&
all(is.finite(shape))
okay.support <-
if (okay1) {
Boundary <- Locat - sigma / shape
all((shape == 0) | # was || 20190213
(shape < 0 & y < Boundary) | # was || 20190213
(shape > 0 & y > Boundary))
} else {
TRUE
}
if (!okay.support)
warning("current parameter estimates are at the ",
"boundary of the parameter space. ",
"Try fitting a Gumbel model instead.")
okay1 && okay.support
},
list( .llocat = llocat, .lscale = lscale, .lshape = lshape,
.elocat = elocat, .escale = escale, .eshape = eshape
))),
deriv = eval(substitute(expression({
M1 <- 3
r.vec <- rowSums(cbind(!is.na(y)))
Locat <- eta2theta(eta[, 1], .llocat , .elocat )
sigma <- eta2theta(eta[, 2], .lscale , .escale )
shape <- eta2theta(eta[, 3], .lshape , .eshape )
dmu.deta <- dtheta.deta(Locat, .llocat , .elocat )
dsi.deta <- dtheta.deta(sigma, .lscale , .escale )
dxi.deta <- dtheta.deta(shape, .lshape , .eshape )
is.zero <- (abs(shape) < .tolshape0 )
ii <- 1:nrow(eta)
zedd <- (y - Locat) / sigma
A <- 1 + shape * zedd
dA.dxi <- zedd # matrix
dA.dmu <- -shape/sigma # vector
dA.dsigma <- -shape * zedd / sigma # matrix
pow <- 1 + 1 / shape
A1 <- A[cbind(ii, r.vec)]
AAr1 <- dA.dmu/(shape * A1^pow) -
pow * rowSums(cbind(dA.dmu/A), na.rm = TRUE)
AAr2 <- dA.dsigma[cbind(ii,r.vec)] / (shape * A1^pow) -
pow * rowSums(cbind(dA.dsigma/A), na.rm = TRUE)
AAr3 <- 1/(shape * A1^pow) -
pow * rowSums(cbind(dA.dsigma/A), na.rm = TRUE)
dl.dmu <- AAr1
dl.dsi <- AAr2 - r.vec/sigma
dl.dxi <- rowSums(cbind(log(A)), na.rm = TRUE)/shape^2 -
pow * rowSums(cbind(dA.dxi/A), na.rm = TRUE) -
(log(A1) / shape^2 -
dA.dxi[cbind(ii, r.vec)] / (shape*A1)) * A1^(-1/shape)
if (any(is.zero)) {
zorro <- c(zedd[cbind(1:n, r.vec)])
zorro <- zorro[is.zero]
ezm1 <- -expm1(-zorro) # 1 - exp(-zorro)
dl.dmu[is.zero] <- ezm1 / sigma[is.zero]
dl.dsi[is.zero] <- (zorro * ezm1 - 1) / sigma[is.zero]
dl.dxi[is.zero] <- zorro * (ezm1 * zorro / 2 - 1)
}
ansmat <-
c(w) * cbind(dl.dmu * dmu.deta,
dl.dsi * dsi.deta,
dl.dxi * dxi.deta)
ansmat
}),
list( .llocat = llocat, .lscale = lscale, .lshape = lshape,
.elocat = elocat, .escale = escale, .eshape = eshape,
.tolshape0 = tolshape0 ))),
weight = eval(substitute(expression({
kay <- -shape
dd <- digamma(r.vec - kay + 1)
ddd <- digamma(r.vec + 1) # Unnecessarily
temp13 <- -kay * dd + (kay^2 - kay + 1) / (1 - kay)
temp33 <- 1 - 2 * kay * ddd +
kay^2 * (1 + trigamma(r.vec + 1) + ddd^2)
temp23 <- -kay * dd + (1 + (1-kay)^2) / (1-kay)
GR.gev <- function(jay, ri, kay)
gamma(ri - jay * kay + 1) / gamma(ri)
tmp2 <- (1 - kay)^2 * GR.gev(2, r.vec, kay) # Latter is GR2
tmp1 <- (1 - 2*kay) * GR.gev(1, r.vec, kay) # Latter is GR1
k0 <- (1 - 2*kay)
k1 <- k0 * kay
k2 <- k1 * kay
k3 <- k2 * kay # kay^3 * (1-2*kay)
wz <- matrix(NA_real_, n, 6)
wz[, iam(1, 1, M)] <- tmp2 / (sigma^2 * k0)
wz[, iam(1, 2, M)] <- (tmp2 - tmp1) / (sigma^2 * k1)
wz[, iam(1, 3, M)] <- (tmp1 * temp13 - tmp2) / (sigma * k2)
wz[, iam(2, 2, M)] <- (r.vec*k0 - 2*tmp1 +
tmp2) / (sigma^2 * k2)
wz[, iam(2, 3, M)] <- (r.vec*k1*ddd + tmp1 *
temp23 - tmp2 -
r.vec*k0) / (sigma * k3)
wz[, iam(3, 3, M)] <- (2*tmp1*(-temp13) + tmp2 +
r.vec*k0*temp33) / (k3*kay)
if (any(is.zero)) {
if (ncol(y) > 1)
stop("cannot handle shape == 0 with a ",
"multivariate response")
EulerM <- -digamma(1)
wz[is.zero, iam(2, 2, M)] <-
(pi^2 / 6 + (1 - EulerM)^2) / sigma[is.zero]^2
wz[is.zero, iam(3, 3, M)] <- 2.4236
wz[is.zero, iam(1, 2, M)] <-
(digamma(2) + 2 * (EulerM - 1)) / sigma[is.zero]^2
wz[is.zero, iam(1, 3, M)] <-
-(trigamma(1) / 2 + digamma(1) *
(digamma(1)/2 + 1))/sigma[is.zero]
wz[is.zero, iam(2, 3, M)] <-
(-dgammadx(2, 3)/6 +
dgammadx(1, 1) +
2*dgammadx(1, 2) +
2*dgammadx(1, 3) / 3) / sigma[is.zero]
if (FALSE ) {
wz[, iam(1, 2, M)] <- 2 * r.vec / sigma^2
wz[, iam(2, 2, M)] <-
-4 * r.vec * digamma(r.vec + 1) +
2 * r.vec + (4 * dgammadx(r.vec + 1,
deriv.arg = 1) -
3 * dgammadx(r.vec + 1, # Not checked
deriv.arg = 2)) / gamma(r.vec)
}
}
wz[, iam(1, 1, M)] <- wz[, iam(1, 1, M)] * dmu.deta^2
wz[, iam(2, 2, M)] <- wz[, iam(2, 2, M)] * dsi.deta^2
wz[, iam(3, 3, M)] <- wz[, iam(3, 3, M)] * dxi.deta^2
wz[, iam(1, 2, M)] <- wz[, iam(1, 2, M)] * dmu.deta *
dsi.deta
wz[, iam(1, 3, M)] <- wz[, iam(1, 3, M)] * dmu.deta *
(-dxi.deta)
wz[, iam(2, 3, M)] <- wz[, iam(2, 3, M)] * dsi.deta *
(-dxi.deta)
c(w) * wz
}),
list( .llocat = llocat, .lscale = lscale, .lshape = lshape,
.elocat = elocat, .escale = escale, .eshape = eshape
))))
}
dgammadx <- function(x, deriv.arg = 1) {
if (deriv.arg == 0) {
gamma(x)
} else if (deriv.arg == 1) {
digamma(x) * gamma(x)
} else if (deriv.arg == 2) {
gamma(x) * (trigamma(x) + digamma(x)^2)
} else if (deriv.arg == 3) {
gamma(x) * (psigamma(x, deriv = 2) +
2 * digamma(x) * trigamma(x)) +
Recall(x, deriv.arg = 1) * (trigamma(x) + digamma(x)^2)
} else if (deriv.arg == 4) {
Recall(x, deriv.arg = 2) * (trigamma(x) + digamma(x)^2) +
2 * Recall(x, deriv.arg = 1) * (psigamma(x, deriv = 2) +
2*digamma(x) * trigamma(x)) +
gamma(x) * (psigamma(x, deriv = 3) + 2*trigamma(x)^2 +
2 * digamma(x) * psigamma(x, deriv = 2))
} else {
stop("cannot handle 'deriv' > 4")
}
}
gevff <-
function(
llocation = "identitylink",
lscale = "loglink",
lshape = logofflink(offset = 0.5),
percentiles = c(95, 99),
ilocation = NULL, iscale = NULL, ishape = NULL,
imethod = 1,
gprobs.y = (1:9)/10, # 20160713; grid for
gscale.mux = exp((-5:5)/6), # exp(-5:5),
gshape = (-5:5) / 11 + 0.01, # c(-0.45, 0.45),
iprobs.y = NULL,
tolshape0 = 0.001,
type.fitted = c("percentiles", "mean"),
zero = c("scale", "shape")) {
ilocat <- ilocation
if (length(iscale) && !is.Numeric(iscale, positive = TRUE))
stop("bad input for argument 'iscale'")
type.fitted <- match.arg(type.fitted,
c("percentiles", "mean"))[1]
llocat <- as.list(substitute(llocation))
elocat <- link2list(llocat)
llocat <- attr(elocat, "function.name")
lscale <- as.list(substitute(lscale))
escale <- link2list(lscale)
lscale <- attr(escale, "function.name")
lshape <- as.list(substitute(lshape))
eshape <- link2list(lshape)
lshape <- attr(eshape, "function.name")
if (length(percentiles) &&
(!is.Numeric(percentiles, positive = TRUE) ||
max(percentiles) >= 100))
stop("bad input for argument 'percentiles'")
if (!is.Numeric(imethod, length.arg = 1,
positive = TRUE, integer.valued = TRUE) ||
imethod > 2.5)
stop("argument 'imethod' must be 1 or 2")
if (length(ishape) && !is.Numeric(ishape))
stop("bad input for argument 'ishape'")
if (!is.Numeric(tolshape0, length.arg = 1,
positive = TRUE) ||
tolshape0 > 0.1)
stop("bad input for argument 'tolshape0'")
new("vglmff",
blurb = c("Generalized extreme value distribution\n",
"Links: ",
namesof("location", link = llocat, elocat), ", ",
namesof("scale", link = lscale, escale), ", ",
namesof("shape", link = lshape, eshape)),
constraints = eval(substitute(expression({
constraints <- cm.zero.VGAM(constraints, x = x,
.zero , M = M, M1 = 3,
predictors.names = predictors.names)
}), list( .zero = zero ))),
infos = eval(substitute(function(...) {
list(M1 = 3,
Q1 = 1,
expected = TRUE,
multipleResponses = FALSE,
parameters.names = c("location", "scale", "shape"),
llocation = .llocat ,
lscale = .lscale ,
lshape = .lshape ,
type.fitted = .type.fitted ,
percentiles = .percentiles ,
zero = .zero )
},
list( .zero = zero, .lshape = lshape,
.llocat = llocation, .lscale = lscale,
.type.fitted = type.fitted,
.percentiles = percentiles ))),
rqresslot = eval(substitute(
function(mu, y, w, eta, extra = NULL) {
M1 <- 3
NOS <- ncol(eta) / M1
Locat <- eta2theta(eta[, c(TRUE, FALSE, FALSE)],
.llocat , earg = .elocat )
Scale <- eta2theta(eta[, c(FALSE, TRUE, FALSE)],
.lscale , earg = .escale )
shape <- eta2theta(eta[, c(FALSE, FALSE, TRUE)],
.lshape , earg = .eshape )
scrambleseed <- runif(1) # To scramble the seed
qnorm(pgev(y, location = Locat, scale = Scale,
shape = shape))
},
list( .llocat = llocat, .lscale = lscale, .lshape = lshape,
.elocat = elocat, .escale = escale, .eshape = eshape
))),
initialize = eval(substitute(expression({
temp16 <-
w.y.check(w = w, y = y,
Is.nonnegative.y = FALSE,
Is.integer.y = FALSE,
ncol.w.max = Inf, # Differs from [e]gev()!
ncol.y.max = Inf,
out.wy = TRUE,
colsyperw = 1,
maximize = TRUE)
w <- temp16$w
y <- temp16$y
M1 <- extra$M1 <- 3
NOS <- ncoly <- ncol(y)
extra$ncoly <- ncoly
extra$type.fitted <- .type.fitted
extra$colnames.y <- colnames(y)
extra$percentiles <- .percentiles
extra$M1 <- M1
M <- M1 * ncoly # Is now true!
mynames1 <- param.names("location", NOS, skip1 = TRUE)
mynames2 <- param.names("scale", NOS, skip1 = TRUE)
mynames3 <- param.names("shape", NOS, skip1 = TRUE)
predictors.names <- c(
namesof(mynames1, .llocat , .elocat , short = TRUE),
namesof(mynames2, .lscale , .escale , short = TRUE),
namesof(mynames3, .lshape , .eshape , short = TRUE))[
interleave.VGAM(M, M1 = M1)]
gprobs.y <- .gprobs.y
ilocat <- .ilocat # Default is NULL
if (length(ilocat))
ilocat <- matrix(ilocat, n, NOS, byrow = TRUE)
if (!length(etastart)) {
if ( .lshape == "extlogitlink" && length( .ishape ) &&
(any( .ishape <= eshape$min | .ishape >= eshape$max)))
stop("bad input for argument 'eshape'")
locat.init <-
shape.init <-
scale.init <- matrix(NA_real_, n, NOS)
if (length( .iprobs.y ))
gprobs.y <- .iprobs.y
gscale.mux <- .gscale.mux # gscale.mux on relative scale
gshape <- .gshape
for (jay in 1:NOS) { # For each response 'y_jay'... do:
scale.init.jay <- sd(y[, jay]) * sqrt(6) / pi
scale.init.jay <- gscale.mux * scale.init.jay
if (length( .iscale ))
scale.init.jay <- .iscale # iscale on absolute scale
if (length( .ishape ))
gshape <- .ishape # ishape is on an absolute scale
locat.init.jay <- if ( .imethod == 1) {
quantile(y[, jay], probs = gprobs.y) # + 1/16
} else {
weighted.mean(y[, jay], w = w[, jay])
}
if (length(ilocat))
locat.init.jay <- ilocat[, jay]
gevff.Loglikfun3 <-
function(shapeval, locatval, scaleval,
y, x, w, extraargs) {
sum(c(w) * dgev(x = y,
locat = locatval,
scale = scaleval,
shape = shapeval, log = TRUE),
na.rm = TRUE)
}
try.this <-
grid.search3(gshape, locat.init.jay, scale.init.jay,
objfun = gevff.Loglikfun3,
y = y[, jay], w = w[, jay],
ret.objfun = TRUE, # Last value is \ell
extraargs = NULL)
shape.init[, jay] <- try.this["Value1" ]
locat.init[, jay] <- try.this["Value2" ]
scale.init[, jay] <- try.this["Value3" ]
} # for (jay ...)
etastart <-
cbind(theta2eta(locat.init, .llocat , earg = .elocat ),
theta2eta(scale.init, .lscale , earg = .escale ),
theta2eta(shape.init, .lshape , earg = .eshape ))
etastart <-
etastart[, interleave.VGAM(M, M1 = M1), drop = FALSE]
}
}),
list( .llocat = llocat, .lscale = lscale, .lshape = lshape,
.elocat = elocat, .escale = escale, .eshape = eshape,
.ilocat = ilocat, .iscale = iscale, .ishape = ishape,
.gshape = gshape,
.gprobs.y = gprobs.y, .gscale.mux = gscale.mux,
.iprobs.y = iprobs.y,
.percentiles = percentiles, .tolshape0 = tolshape0,
.imethod = imethod, .type.fitted = type.fitted ))),
linkinv = eval(substitute(function(eta, extra = NULL) {
NOS <- ncol(eta) / c(M1 = 3)
Locat <- eta2theta(eta[, c(TRUE, FALSE, FALSE)],
.llocat , earg = .elocat )
Scale <- eta2theta(eta[, c(FALSE, TRUE, FALSE)],
.lscale , earg = .escale )
shape <- eta2theta(eta[, c(FALSE, FALSE, TRUE)],
.lshape , earg = .eshape )
type.fitted <-
if (length(extra$type.fitted)) {
extra$type.fitted
} else {
warning("cannot find 'type.fitted'. Returning",
" 'percentiles'.")
"percentiles"
}
type.fitted <- match.arg(type.fitted,
c("percentiles", "mean"))[1]
pcent <- extra$percentiles
LP <- length(pcent)
if (type.fitted == "percentiles" &&
LP > 0) { # Upward compatibility:
fv <- matrix(NA_real_, nrow(eta), LP * NOS)
icol <- (0:(NOS-1)) * LP
for (ii in 1:LP) {
icol <- icol + 1
fv[, icol] <- qgev(pcent[ii] / 100, loc = Locat,
scale = Scale,
shape = shape)
}
fv <- label.cols.y(fv, colnames.y = extra$colnames.y,
NOS = NOS, percentiles = pcent,
one.on.one = FALSE)
} else {
is.zero <- (abs(shape) < .tolshape0 )
EulerM <- -digamma(1)
fv <- Locat + Scale * EulerM # If shape==0 its Gumbel
fv[!is.zero] <- Locat[!is.zero] + Scale[!is.zero] *
(gamma(1 - shape[!is.zero]) - 1) / shape[!is.zero]
fv[shape >= 1] <- NA # Mean exists only if shape < 1.
fv <- label.cols.y(fv, colnames.y = extra$colnames.y,
NOS = NOS)
}
fv
},
list( .llocat = llocat, .lscale = lscale, .lshape = lshape,
.elocat = elocat, .escale = escale, .eshape = eshape,
.tolshape0 = tolshape0 ))),
last = eval(substitute(expression({
temp0303 <- c(rep_len( .llocat , NOS),
rep_len( .lscale , NOS),
rep_len( .lshape , NOS))
names(temp0303) <- c(mynames1, mynames2, mynames3)
temp0303 <- temp0303[interleave.VGAM(M, M1 = M1)]
misc$link <- temp0303 # Already named
misc$earg <- vector("list", M)
names(misc$earg) <- names(misc$link)
for (ii in 1:NOS) {
misc$earg[[M1*ii-2]] <- .elocat
misc$earg[[M1*ii-1]] <- .escale
misc$earg[[M1*ii ]] <- .eshape
}
misc$true.mu <- !length( .percentiles )
misc$percentiles <- .percentiles
misc$tolshape0 <- .tolshape0
if (any(shape < -0.5))
warning("some values of the shape parameter are < -0.5")
}),
list( .llocat = llocat, .lscale = lscale, .lshape = lshape,
.elocat = elocat, .escale = escale, .eshape = eshape,
.tolshape0 = tolshape0,
.percentiles = percentiles ))),
loglikelihood = eval(substitute(
function(mu, y, w, residuals = FALSE, eta, extra = NULL,
summation = TRUE) {
M1 <- 3
NOS <- ncol(eta) / M1
Locat <- eta2theta(eta[, c(TRUE, FALSE, FALSE)],
.llocat , earg = .elocat )
Scale <- eta2theta(eta[, c(FALSE, TRUE, FALSE)],
.lscale , earg = .escale )
shape <- eta2theta(eta[, c(FALSE, FALSE, TRUE)],
.lshape , earg = .eshape )
if (residuals) {
stop("loglikelihood residuals not implemented yet")
} else {
ll.elts <- c(w) *
dgev(y, location = Locat, scale = Scale,
shape = shape, tolshape0 = .tolshape0 ,
log = TRUE)
if (summation) {
sum(ll.elts)
} else {
ll.elts
}
}
},
list( .llocat = llocat, .lscale = lscale, .lshape = lshape,
.elocat = elocat, .escale = escale, .eshape = eshape,
.tolshape0 = tolshape0 ))),
vfamily = c("gevff", "vextremes"),
validparams =
eval(substitute(function(eta, y, extra = NULL) {
Locat <- eta2theta(eta[, c(TRUE, FALSE, FALSE)],
.llocat , .elocat )
Scale <- eta2theta(eta[, c(FALSE, TRUE, FALSE)],
.lscale , .escale )
shape <- eta2theta(eta[, c(FALSE, FALSE, TRUE)],
.lshape , .eshape )
okay1 <- all(is.finite(Locat)) &&
all(is.finite(Scale)) && all(Scale > 0) &&
all(is.finite(shape))
okay.support <-
if (okay1) {
Boundary <- Locat - Scale / shape
all((shape == 0) | # 20190213 was ||
(shape < 0 & y < Boundary) | # 20190213 was ||
(shape > 0 & y > Boundary))
} else {
TRUE
}
if (!okay.support)
warning("current parameter estimates are at the ",
" boundary of the parameter space. ",
"Try fitting a Gumbel model instead.")
okay1 && okay.support
},
list( .llocat = llocat, .lscale = lscale, .lshape = lshape,
.elocat = elocat, .escale = escale, .eshape = eshape,
.tolshape0 = tolshape0 ))),
deriv = eval(substitute(expression({
M1 <- 3
NOS <- ncol(eta) / M1
Locat <- eta2theta(eta[, c(TRUE, FALSE, FALSE)],
.llocat , earg = .elocat )
Scale <- eta2theta(eta[, c(FALSE, TRUE, FALSE)],
.lscale , earg = .escale )
shape <- eta2theta(eta[, c(FALSE, FALSE, TRUE)],
.lshape , earg = .eshape )
is.zero <- (abs(shape) < .tolshape0 )
zedd <- (y - Locat) / Scale
A <- 1 + shape * zedd
dA.dlocat <- -shape / Scale
dA.dshape <- zedd
dA.dScale <- -shape * zedd / Scale
pow <- 1 + 1/shape
if (any(bad <- A <= 0, na.rm = TRUE))
stop(sum(bad, na.rm = TRUE), " observations ",
"violating boundary constraints in '@deriv'")
AA <- 1 / (shape * A^pow)- pow / A
dl.dlocat <- dA.dlocat * AA
dl.dscale <- dA.dScale * AA - 1/Scale
dl.dshape <- log(A)/shape^2 - pow * dA.dshape / A -
(log(A)/shape^2 - dA.dshape / (shape*A)) * A^(-1/shape)
if (any(is.zero)) {
omez <- -expm1(-zedd[is.zero])
zedd0 <- zedd[is.zero]
dl.dlocat[is.zero] <- omez / Scale[is.zero]
dl.dscale[is.zero] <- (zedd0 * omez - 1) / Scale[is.zero]
dl.dshape[is.zero] <- zedd0 * (omez * zedd0 / 2 - 1)
}
dlocat.deta <- dtheta.deta(Locat, .llocat , .elocat )
dscale.deta <- dtheta.deta(Scale, .lscale , .escale )
dshape.deta <- dtheta.deta(shape, .lshape , .eshape )
ans <- c(w) * cbind(dl.dlocat * dlocat.deta,
dl.dscale * dscale.deta,
dl.dshape * dshape.deta)
ans <- ans[, interleave.VGAM(M, M1 = M1)]
ans
}),
list( .llocat = llocat, .lscale = lscale, .lshape = lshape,
.elocat = elocat, .escale = escale, .eshape = eshape,
.tolshape0 = tolshape0 ))),
weight = eval(substitute(expression({
EulerM <- -digamma(1)
bad <- A <= 0
if (any(bad, na.rm = TRUE))
stop(sum(bad, na.rm = TRUE), " observations violating",
" boundary constraints in '@weight'")
shape[abs(shape + 0.5) < .tolshape0 ] <- -0.499
temp100 <- gamma(2 + shape)
pp <- (1 + shape)^2 * gamma(1 + 2*shape)
qq <- temp100 * (digamma(1 + shape) + (1 + shape)/shape)
ned2l.dlocat2 <- pp / Scale^2
ned2l.dscale2 <- (1 - 2*temp100 + pp) / (Scale * shape)^2
ned2l.dshape2 <- (pi^2 / 6 + (1 - EulerM + 1/shape)^2 -
(2*qq - pp/shape)/shape) / shape^2
ned2l.dlocsca <- -(pp - temp100) / (Scale^2 * shape)
ned2l.dscasha <- -(1 - EulerM + (1 - temp100)/shape - qq +
pp/shape) / (Scale * shape^2)
ned2l.dlocsha <- -(qq - pp/shape) / (Scale * shape)
if (any(is.zero)) {
ned2l.dscale2[is.zero] <-
(pi^2 / 6 + (1 - EulerM)^2) / Scale[is.zero]^2
ned2l.dshape2[is.zero] <- 2.4236
ned2l.dlocsca[is.zero] <- (digamma(2) +
2*(EulerM - 1)) / Scale[is.zero]^2
ned2l.dscasha[is.zero] <- -(-dgammadx(2, 3) / 6 +
dgammadx(1, 1) +
2*dgammadx(1, 2) +
2*dgammadx(1, 3) / 3) / Scale[is.zero]
ned2l.dlocsha[is.zero] <- (trigamma(1) / 2 +
digamma(1)*
(digamma(1) / 2 + 1)) / Scale[is.zero]
}
wz <-
array(c(c(w) * ned2l.dlocat2 * dlocat.deta^2,
c(w) * ned2l.dscale2 * dscale.deta^2,
c(w) * ned2l.dshape2 * dshape.deta^2,
c(w) * ned2l.dlocsca * dlocat.deta * dscale.deta,
c(w) * ned2l.dscasha * dscale.deta * dshape.deta,
c(w) * ned2l.dlocsha * dlocat.deta * dshape.deta),
dim = c(n, NOS, 6))
wz <- arwz2wz(wz, M = M, M1 = M1)
wz
}),
list( .eshape = eshape, .tolshape0 = tolshape0 ))))
} # gevff
rgumbel <- function(n, location = 0, scale = 1) {
answer <- location - scale * log(-log(runif(n)))
answer[scale <= 0] <- NaN
answer
}
dgumbel <- function(x, location = 0, scale = 1, log = FALSE) {
if (!is.logical(log.arg <- log) || length(log) != 1)
stop("bad input for argument 'log'")
rm(log)
zedd <- (x - location) / scale
logdensity <- -zedd - exp(-zedd) - log(scale)
logdensity[is.infinite(x)] <- log(0) # 20141209 KaiH
if (log.arg) logdensity else exp(logdensity)
}
qgumbel <- function(p, location = 0, scale = 1,
lower.tail = TRUE, log.p = FALSE) {
if (!is.logical(lower.tail) || length(lower.tail ) != 1)
stop("bad input for argument 'lower.tail'")
if (!is.logical(log.p) || length(log.p) != 1)
stop("bad input for argument 'log.p'")
if (lower.tail) {
if (log.p) {
ln.p <- p
ans <- location - scale * log(-ln.p)
} else {
ans <- location - scale * log(-log(p))
ans[p == 0] <- -Inf
ans[p == 1] <- Inf
}
} else {
if (log.p) {
ln.p <- p
ans <- location - scale * log(-log(-expm1(ln.p)))
ans[ln.p > 0] <- NaN
} else {
ans <- location - scale * log(-log1p(-p))
ans[p == 0] <- Inf
ans[p == 1] <- -Inf
}
}
ans[scale <= 0] <- NaN
ans
}
pgumbel <- function(q, location = 0, scale = 1,
lower.tail = TRUE, log.p = FALSE) {
if (!is.logical(lower.tail) || length(lower.tail ) != 1)
stop("bad input for argument 'lower.tail'")
if (!is.logical(log.p) || length(log.p) != 1)
stop("bad input for argument 'log.p'")
if (lower.tail) {
if (log.p) {
ans <- -exp(-(q - location) / scale)
ans[q <= -Inf] <- -Inf
ans[q == Inf] <- 0
} else {
ans <- exp(-exp(-(q - location) / scale))
ans[q <= -Inf] <- 0
ans[q == Inf] <- 1
}
} else {
if (log.p) {
ans <- log(-expm1(-exp(-(q - location) / scale)))
ans[q <= -Inf] <- 0
ans[q == Inf] <- -Inf
} else {
ans <- -expm1(-exp(-(q - location) / scale))
ans[q <= -Inf] <- 1
ans[q == Inf] <- 0
}
}
ans[scale <= 0] <- NaN
ans
}
gumbel <-
function(llocation = "identitylink",
lscale = "loglink",
iscale = NULL,
R = NA, percentiles = c(95, 99),
mpv = FALSE, zero = NULL) {
llocat <- as.list(substitute(llocation))
elocat <- link2list(llocat)
llocat <- attr(elocat, "function.name")
lscale <- as.list(substitute(lscale))
escale <- link2list(lscale)
lscale <- attr(escale, "function.name")
if (!is.logical(mpv) || length(mpv) != 1)
stop("bad input for argument 'mpv'")
if (length(percentiles) &&
(!is.Numeric(percentiles, positive = TRUE) ||
max(percentiles) >= 100))
stop("bad input for argument 'percentiles'")
if (length(iscale) && !is.Numeric(iscale, positive = TRUE))
stop("bad input for argument 'iscale'")
new("vglmff",
blurb = c("Gumbel distribution for extreme ",
"value regression\n",
"Links: ",
namesof("location", llocat, earg = elocat ), ", ",
namesof("scale", lscale, earg = escale )),
constraints = eval(substitute(expression({
constraints <-
cm.zero.VGAM(constraints, x = x, .zero , M = M,
predictors.names = predictors.names,
M1 = 2)
}), list( .zero = zero ))),
infos = eval(substitute(function(...) {
list(M1 = 2,
Q1 = 1,
expected = TRUE,
multipleResponses = FALSE,
parameters.names = c("location", "scale"),
llocation = .llocat ,
lscale = .lscale ,
mpv = .mpv ,
zero = .zero )
}, list( .zero = zero,
.llocat = llocation, .lscale = lscale,
.mpv = mpv ))),
rqresslot = eval(substitute(
function(mu, y, w, eta, extra = NULL) {
loc <- eta2theta(eta[, 1], .llocat, earg = .elocat )
sigma <- eta2theta(eta[, 2], .lscale , earg = .escale )
scrambleseed <- runif(1) # To scramble the seed
qnorm(pgumbel(y, location = Locat, scale = Scale))
}, list( .llocat = llocat, .lscale = lscale,
.elocat = elocat, .escale = escale ))),
initialize = eval(substitute(expression({
predictors.names <-
c(namesof("location", .llocat , .elocat , short = TRUE),
namesof("scale", .lscale , .escale , short = TRUE))
y <- as.matrix(y)
if (ncol(y) > 1)
y <- -t(apply(-y, 1, sort, na.last = TRUE))
w <- as.matrix(w)
if (ncol(w) != 1)
stop("the 'weights' argument must be a vector or ",
"1-column matrix")
r.vec <- rowSums(cbind(!is.na(y)))
if (any(r.vec == 0))
stop("There is at least one row of the response ",
"containing all NAs")
if (ncol(y) > 1) {
yiri <- y[cbind(1:nrow(y), r.vec)]
sc.init <- if (is.Numeric( .iscale, positive = TRUE))
.iscale else {3 * (rowMeans(y, na.rm = TRUE) - yiri)}
sc.init <- rep_len(sc.init, nrow(y))
sc.init[sc.init <= 0.0001] <- 1 # Used to be .iscale
loc.init <- yiri + sc.init * log(r.vec)
} else {
sc.init <- if (is.Numeric( .iscale, positive = TRUE))
.iscale else 1.1 * (0.01 + sqrt(6 * var(y))) / pi
sc.init <- rep_len(sc.init, n)
EulerM <- -digamma(1)
loc.init <- (y - sc.init * EulerM)
loc.init[loc.init <= 0] <- min(y)
}
extra$R <- .R
extra$mpv <- .mpv
extra$percentiles <- .percentiles
if (!length(etastart)) {
etastart <-
cbind(theta2eta(loc.init, .llocat , earg = .elocat ),
theta2eta( sc.init, .lscale , earg = .escale ))
}
}), list( .llocat = llocat, .lscale = lscale,
.elocat = elocat, .escale = escale,
.iscale = iscale,
.R = R, .mpv = mpv, .percentiles = percentiles ))),
linkinv = eval(substitute(function(eta, extra = NULL) {
loc <- eta2theta(eta[, 1], .llocat , earg = .elocat )
sigma <- eta2theta(eta[, 2], .lscale , earg = .escale )
pcent <- extra$percentiles
LP <- length(pcent) # may be 0
if (LP > 0) {
mpv <- extra$mpv
mu <- matrix(NA_real_, nrow(eta), LP + mpv) # LP may be 0
Rvec <- extra$R
for (ii in 1:LP) {
ci <- if (is.Numeric(Rvec))
Rvec * (1 - pcent[ii] / 100) else
-log(pcent[ii] / 100)
mu[, ii] <- loc - sigma * log(ci)
}
if (mpv)
mu[, ncol(mu)] <- loc - sigma * log(log(2))
dmn2 <- paste(as.character(pcent), "%", sep = "")
if (mpv)
dmn2 <- c(dmn2, "MPV")
dimnames(mu) <- list(dimnames(eta)[[1]], dmn2)
} else {
EulerM <- -digamma(1)
mu <- loc + sigma * EulerM
}
mu
}, list( .llocat = llocat, .lscale = lscale,
.elocat = elocat, .escale = escale ))),
last = eval(substitute(expression({
misc$links <- c(location = .llocat , scale = .lscale )
misc$earg <- list(location = .elocat , scale = .escale )
misc$R <- .R
misc$mpv <- .mpv
misc$true.mu <- !length( .percentiles ) # @fitted not
misc$percentiles <- .percentiles
}), list( .llocat = llocat, .lscale = lscale,
.elocat = elocat, .escale = escale,
.percentiles = percentiles,
.mpv = mpv, .R = R ))),
vfamily = c("gumbel", "vextremes"),
loglikelihood = eval(substitute(
function(mu, y, w, residuals = FALSE, eta, extra = NULL,
summation = TRUE) {
loc <- eta2theta(eta[, 1], .llocat, earg = .elocat )
sigma <- eta2theta(eta[, 2], .lscale , earg = .escale )
r.vec <- rowSums(cbind(!is.na(y)))
yiri <- y[cbind(1:nrow(y), r.vec)]
ans <- -r.vec * log(sigma) - exp( -(yiri-loc)/sigma )
max.r.vec <- max(r.vec)
for (jay in 1:max.r.vec) {
index <- (jay <= r.vec)
ans[index] <- ans[index] -
(y[index,jay] - loc[index]) / sigma[index]
}
if (residuals) {
stop("loglikelihood residuals not implemented yet")
} else {
ll.elts <- c(w) * ans
if (summation) {
sum(ll.elts)
} else {
ll.elts
}
}
}, list( .llocat = llocat, .lscale = lscale,
.elocat = elocat, .escale = escale ))),
deriv = eval(substitute(expression({
locat <- eta2theta(eta[, 1], .llocat , earg = .elocat )
sigma <- eta2theta(eta[, 2], .lscale , earg = .escale )
r.vec <- rowSums(cbind(!is.na(y)))
yiri <- y[cbind(1:nrow(y), r.vec)]
yi.bar <- rowMeans(y, na.rm = TRUE)
temp2 <- (yiri - locat) / sigma
term2 <- exp(-temp2)
dlocat.deta <- dtheta.deta(locat, .llocat , .elocat )
dsigma.deta <- dtheta.deta(sigma, .lscale , .escale )
dl.dlocat <- (r.vec - term2) / sigma
dl.dsigma <- (rowSums((y - locat) / sigma, na.rm = TRUE) -
r.vec - temp2 * term2) / sigma
c(w) * cbind(dl.dlocat * dlocat.deta,
dl.dsigma * dsigma.deta)
}), list( .llocat = llocat, .lscale = lscale,
.elocat = elocat, .escale = escale ))),
weight = eval(substitute(expression({
temp6 <- digamma(r.vec) # , integer = T
temp5 <- digamma(1:max(r.vec)) # , integer=T
temp5 <- matrix(temp5, n, max(r.vec), byrow = TRUE)
temp5[col(temp5) > r.vec] <- 0
temp5 <- temp5 %*% rep(1, ncol(temp5))
wz <- matrix(NA_real_, n, dimm(M = 2)) # 3=dimm(M = 2)
wz[, iam(1, 1, M)] <- r.vec / sigma^2
wz[, iam(2, 1, M)] <- -(1 + r.vec * temp6) / sigma^2
wz[, iam(2, 2, M)] <- (2 * (r.vec + 1) * temp6 +
r.vec * (trigamma(r.vec) +
temp6^2) + 2 - r.vec - 2 * temp5) / sigma^2
wz[, iam(1, 1, M)] <- wz[, iam(1, 1, M)] * dlocat.deta^2
wz[, iam(2, 1, M)] <- wz[, iam(2, 1, M)] * dsigma.deta *
dlocat.deta
wz[, iam(2, 2, M)] <- wz[, iam(2, 2, M)] * dsigma.deta^2
c(w) * wz
}), list( .lscale = lscale ))))
} # gumbel
rgpd <- function(n, location = 0, scale = 1, shape = 0) {
use.n <- if ((length.n <- length(n)) > 1) length.n else
if (!is.Numeric(n, integer.valued = TRUE,
length.arg = 1, positive = TRUE))
stop("bad input for argument 'n'") else n
if (!is.Numeric(location))
stop("bad input for argument 'location'")
if (!is.Numeric(shape))
stop("bad input for argument 'shape'")
ans <- numeric(use.n)
if (length(shape) != use.n)
shape <- rep_len(shape, use.n)
if (length(location) != use.n)
location <- rep_len(location, use.n)
if (length(scale) != use.n)
scale <- rep_len(scale, use.n)
scase <- abs(shape) < sqrt( .Machine$double.eps )
nscase <- sum(scase)
if (use.n - nscase)
ans[!scase] <- location[!scase] +
scale[!scase] *
((runif(use.n - nscase))^(-shape[!scase]) -
1) / shape[!scase]
if (nscase)
ans[scase] <- location[scase] -
scale[scase] * log(runif(nscase))
ans[scale <= 0] <- NaN
ans
}
dgpd <-
function(x, location = 0, scale = 1, shape = 0,
log = FALSE,
tolshape0 = sqrt( .Machine$double.eps )) {
if (!is.logical(log.arg <- log) || length(log) != 1)
stop("bad input for argument 'log'")
rm(log)
oobounds.log <- -Inf
if (!is.Numeric(tolshape0, length.arg = 1, positive = TRUE))
stop("bad input for argument 'tolshape0'")
L <- max(length(x), length(location),
length(scale), length(shape))
if (length(shape) != L) shape <- rep_len(shape, L)
if (length(location) != L) location <- rep_len(location, L)
if (length(scale) != L) scale <- rep_len(scale, L)
if (length(x) != L) x <- rep_len(x, L)
logdensity <- rep_len(log(0), L)
scase <- abs(shape) < tolshape0
nscase <- sum(scase)
if (L - nscase) {
zedd <- (x-location) / scale
xok <- (!scase) & (zedd > 0) & (1 + shape*zedd > 0)
logdensity[xok] <-
-(1 + 1/shape[xok])*log1p(shape[xok]*zedd[xok]) -
log(scale[xok])
outofbounds <- (!scase) & ((zedd <= 0) |
(1 + shape*zedd <= 0))
if (any(outofbounds)) {
logdensity[outofbounds] <- oobounds.log
}
}
if (nscase) {
xok <- scase & (x > location)
logdensity[xok] <- -(x[xok] - location[xok]) / scale[xok] -
log(scale[xok])
outofbounds <- scase & (x <= location)
if (any(outofbounds)) {
logdensity[outofbounds] <- oobounds.log
}
}
logdensity[scale <= 0] <- NaN
if (log.arg) logdensity else exp(logdensity)
} # dgpd
pgpd <- function(q, location = 0, scale = 1, shape = 0,
lower.tail = TRUE, log.p = FALSE) {
if (!is.logical(lower.tail) || length(lower.tail ) != 1)
stop("bad input for argument 'lower.tail'")
if (!is.logical(log.p) || length(log.p) != 1)
stop("bad input for argument 'log.p'")
use.n <- max(length(q), length(location), length(scale),
length(shape))
ans <- numeric(use.n)
if (length(shape) != use.n)
shape <- rep_len(shape, use.n)
if (length(location) != use.n)
location <- rep_len(location, use.n)
if (length(scale) != use.n)
scale <- rep_len(scale, use.n)
if (length(q) != use.n)
q <- rep_len(q, use.n)
zedd <- (q - location) / scale
use.zedd <- pmax(zedd, 0)
scase0 <- abs(shape) < sqrt( .Machine$double.eps )
nscase0 <- sum(scase0)
if (use.n - nscase0) {
ans <- 1 - pmax(1 + shape * use.zedd, 0)^(-1/shape)
}
if (nscase0) {
pos <- (zedd >= 0)
ind9 <- ( pos & scase0)
ans[ind9] <- -expm1(-use.zedd[ind9])
ind9 <- (!pos & scase0)
ans[ind9] <- 0
}
ans[scale <= 0] <- NaN
if (lower.tail) {
if (log.p) log(ans) else ans
} else {
if (log.p) log1p(-ans) else 1-ans
}
} # dgpd
qgpd <- function(p, location = 0, scale = 1, shape = 0,
lower.tail = TRUE, log.p = FALSE) {
if (!is.logical(lower.tail) || length(lower.tail ) != 1)
stop("bad input for argument 'lower.tail'")
if (!is.logical(log.arg <- log.p) || length(log.p) != 1)
stop("bad input for argument 'log.p'")
rm(log.p)
if (lower.tail) {
if (log.arg) p <- exp(p)
} else {
p <- if (log.arg) -expm1(p) else 1 - p
}
use.n <- max(length(p), length(location),
length(scale), length(shape))
ans <- numeric(use.n)
if (length(shape) != use.n)
shape <- rep_len(shape, use.n)
if (length(location) != use.n)
location <- rep_len(location, use.n)
if (length(scale) != use.n)
scale <- rep_len(scale, use.n)
if (length(p) != use.n)
p <- rep_len(p, use.n)
scase <- abs(shape) < sqrt( .Machine$double.eps )
nscase <- sum(scase)
if (use.n - nscase) {
ans[!scase] <- location[!scase] + scale[!scase] *
((1-p[!scase])^(-shape[!scase]) - 1) / shape[!scase]
}
if (nscase) {
ans[scase] <- location[scase] -
scale[scase] * log1p(-p[scase])
}
ans[p < 0] <- NaN
ans[p > 1] <- NaN
ans[(p == 0)] <- location[p == 0]
ans[(p == 1) & (shape >= 0)] <- Inf
ind5 <- (p == 1) & (shape < 0)
ans[ind5] <- location[ind5] - scale[ind5] / shape[ind5]
ans[scale <= 0] <- NaN
ans
} # qgpd
gpd <-
function(threshold = 0,
lscale = "loglink",
lshape = logofflink(offset = 0.5),
percentiles = c(90, 95),
iscale = NULL,
ishape = NULL,
tolshape0 = 0.001,
type.fitted = c("percentiles", "mean"),
imethod = 1,
zero = "shape") {
type.fitted <- match.arg(type.fitted,
c("percentiles", "mean"))[1]
lscale <- as.list(substitute(lscale))
escale <- link2list(lscale)
lscale <- attr(escale, "function.name")
lshape <- as.list(substitute(lshape))
eshape <- link2list(lshape)
lshape <- attr(eshape, "function.name")
if (!is.Numeric(threshold))
stop("bad input for argument 'threshold'")
if (!is.Numeric(imethod, length.arg = 1,
positive = TRUE, integer.valued = TRUE) ||
imethod > 2.5)
stop("argument 'imethod' must be 1 or 2")
if (length(percentiles) &&
(!is.Numeric(percentiles, positive = TRUE) ||
max(percentiles) >= 100))
stop("bad input for argument 'percentiles'")
if (!is.Numeric(tolshape0, length.arg = 1,
positive = TRUE) ||
tolshape0 > 0.1)
stop("bad input for argument 'tolshape0'")
new("vglmff",
blurb = c("Generalized Pareto distribution\n",
"Links: ",
namesof("scale", link = lscale, earg = escale),
", ",
namesof("shape", link = lshape, earg = eshape)),
constraints = eval(substitute(expression({
constraints <-
cm.zero.VGAM(constraints, x = x, .zero , M = M,
predictors.names = predictors.names,
M1 = 2)
}), list( .zero = zero ))),
infos = eval(substitute(function(...) {
list(M1 = 2,
Q1 = 1,
expected = TRUE,
multipleResponses = TRUE,
parameters.names = c("scale", "shape"),
lscale = .lscale ,
lshape = .lshape ,
type.fitted = .type.fitted ,
zero = .zero )
}, list( .zero = zero, .type.fitted = type.fitted,
.lscale = lscale, .lshape = lshape ))),
rqresslot = eval(substitute(
function(mu, y, w, eta, extra = NULL) {
sigma <- eta2theta(eta[, c(TRUE, FALSE)], .lscale , .escale )
Shape <- eta2theta(eta[, c(FALSE, TRUE)], .lshape , .eshape )
Threshold <- extra$threshold
scrambleseed <- runif(1) # To scramble the seed
qnorm(pgpd(y, location = Threshold, scale = sigma,
shape = Shape))
}, list(
.escale = escale, .eshape = eshape,
.lscale = lscale, .lshape = lshape ))),
initialize = eval(substitute(expression({
temp5 <-
w.y.check(w = w, y = y,
ncol.w.max = Inf,
ncol.y.max = Inf,
out.wy = TRUE,
colsyperw = 1,
maximize = TRUE)
w <- temp5$w
y <- temp5$y
ncoly <- ncol(y)
M1 <- 2
extra$ncoly <- ncoly
extra$M1 <- M1
M <- M1 * ncoly
y.names <- dimnames(y)[[2]]
if (length(y.names) != ncoly)
y.names <- paste("Y", 1:ncoly, sep = "")
extra$y.names <- y.names
extra$type.fitted <- .type.fitted
extra$percentiles <- .percentiles
extra$colnames.y <- colnames(y)
Threshold <- if (is.Numeric( .threshold ))
.threshold else 0
Threshold <- matrix(Threshold, n, ncoly, byrow = TRUE)
if (is.Numeric( .threshold )) {
orig.y <- y
}
ystar <- as.matrix(y - Threshold) # Operate on ystar
if (min(ystar, na.rm = TRUE) < 0)
stop("some response values, after subtracting ",
"argument 'threshold', are negative. ",
"Maybe argument 'subset' should be used. ",
"A threshold value no more than ",
min(orig.y, na.rm = TRUE), " is needed.")
extra$threshold <- Threshold
mynames1 <- param.names("scale", ncoly, skip1 = TRUE)
mynames2 <- param.names("shape", ncoly, skip1 = TRUE)
predictors.names <-
c(namesof(mynames1, .lscale , .escale , tag = FALSE),
namesof(mynames2, .lshape , .eshape , tag = FALSE))[
interleave.VGAM(M, M1 = M1)]
if (!length(etastart)) {
meany <- colSums(ystar * w) / colSums(w)
vary <- apply(ystar, 2, var)
mediany <- apply(ystar, 2, median)
init.xii <- if (length( .ishape )) .ishape else {
if ( .imethod == 1)
-0.5 * (meany^2 / vary - 1) else
0.5 * (1 - mediany^2 / vary)
}
init.sig <- if (length( .iscale )) .iscale else {
if (.imethod == 1)
0.5 * meany * (meany^2 / vary + 1) else
abs(1 - init.xii) * mediany
}
init.xii <- matrix(init.xii, n, ncoly, byrow = TRUE)
init.sig <- matrix(init.sig, n, ncoly, byrow = TRUE)
init.sig[init.sig <= 0.0] <- 0.01 # sigma > 0
init.xii[init.xii <= -0.5] <- -0.40 # FS works if xi > -0.5
init.xii[init.xii >= 1.0] <- 0.9 # Mean/var exists if xi<1/0.5
if ( .lshape == "loglink")
init.xii[init.xii <= 0.0] <- 0.05
etastart <-
cbind(theta2eta(init.sig, .lscale , earg = .escale ),
theta2eta(init.xii, .lshape , earg = .eshape ))[,
interleave.VGAM(M, M1 = M1)]
}
}),
list( .lscale = lscale, .lshape = lshape,
.iscale = iscale, .ishape = ishape,
.escale = escale, .eshape = eshape,
.percentiles = percentiles,
.threshold = threshold, .type.fitted = type.fitted,
.imethod = imethod ))),
linkinv = eval(substitute(function(eta, extra = NULL) {
sigma <- eta2theta(eta[, c(TRUE, FALSE)], .lscale , .escale )
shape <- eta2theta(eta[, c(FALSE, TRUE)], .lshape , .eshape )
if (!is.matrix(sigma))
sigma <- as.matrix(sigma)
if (!is.matrix(shape))
shape <- as.matrix(shape)
type.fitted <-
if (length(extra$type.fitted)) {
extra$type.fitted
} else {
warning("cannot find 'type.fitted'. ",
"Returning 'percentiles'.")
"percentiles"
}
type.fitted <- match.arg(type.fitted,
c("percentiles", "mean"))[1]
M1 <- 2
NOS <- ncol(eta) / M1
pcent <- extra$percentiles # Post-20140912
LP <- length(pcent) # NULL means LP == 0 & the
ncoly <- ncol(eta) / M1
if (!length(y.names <- extra$y.names))
y.names <- paste("Y", 1:ncoly, sep = "")
Threshold <- extra$threshold
if (type.fitted == "percentiles" &&
LP > 0) { # Upward compatibility:
do.one <- function(yvec, shape, scale,
threshold,
percentiles = c(90, 95),
y.name = NULL,
tolshape0 = 0.001) {
is.zero <- (abs(shape) < tolshape0 ) # A matrix
LP <- length(percentiles)
fv <- matrix(NA_real_, length(shape), LP)
is.zero <- (abs(shape) < tolshape0)
for (ii in 1:LP) {
temp <- 1 - percentiles[ii] / 100
fv[!is.zero, ii] <- threshold[!is.zero] +
(temp^(-shape[!is.zero]) - 1) *
scale[!is.zero] / shape[!is.zero]
fv[ is.zero, ii] <- threshold[is.zero]-scale[is.zero] *
log(temp)
}
post.name <- paste0(as.character(percentiles), "%")
dimnames(fv) <-
list(dimnames(shape)[[1]],
if (is.null(y.name))
post.name else
paste(y.name, post.name, sep = " "))
fv
} # do.one
fv <- matrix(-1, nrow(sigma), LP * ncoly)
for (jlocal in 1:ncoly) {
block.mat.fv <-
do.one(yvec = y[, jlocal],
shape = shape[, jlocal],
scale = sigma[, jlocal],
threshold = Threshold[, jlocal],
percentiles = pcent,
y.name = if (ncoly > 1)
y.names[jlocal] else NULL,
tolshape0 = .tolshape0 )
fv[, (jlocal - 1) * LP + (1:LP)] <- block.mat.fv
}
fv <- label.cols.y(fv, colnames.y = extra$colnames.y,
NOS = NOS, percentiles = pcent,
one.on.one = FALSE)
} else {
fv <- Threshold + sigma / (1 - shape)
fv[shape >= 1] <- Inf # Mean exists only if shape < 1.
fv <- label.cols.y(fv, colnames.y = extra$colnames.y,
NOS = NOS)
}
fv
},
list( .lscale = lscale, .lshape = lshape,
.escale = escale, .eshape = eshape,
.threshold = threshold,
.tolshape0 = tolshape0 ))),
last = eval(substitute(expression({
M1 <- extra$M1
misc$link <- c(rep_len( .lscale , ncoly),
rep_len( .lshape , ncoly))[
interleave.VGAM(M, M1 = M1)]
temp.names <- c(mynames1, mynames2)[
interleave.VGAM(M, M1 = M1)]
names(misc$link) <- temp.names
misc$earg <- vector("list", M)
names(misc$earg) <- temp.names
for (ii in 1:ncoly) {
misc$earg[[M1*ii-1]] <- .escale
misc$earg[[M1*ii ]] <- .eshape
}
misc$true.mu <- FALSE # @fitted is not a true mu
misc$percentiles <- .percentiles
misc$tolshape0 <- .tolshape0
if (any(Shape < -0.5))
warning("some values of the shape parameter are < -0.5")
}),
list( .lscale = lscale, .lshape = lshape,
.escale = escale, .eshape = eshape,
.threshold = threshold,
.tolshape0 = tolshape0,
.percentiles = percentiles ))),
loglikelihood = eval(substitute(
function(mu, y, w, residuals = FALSE, eta, extra = NULL,
summation = TRUE) {
sigma <- eta2theta(eta[, c(TRUE, FALSE)], .lscale , .escale )
Shape <- eta2theta(eta[, c(FALSE, TRUE)], .lshape , .eshape )
Threshold <- extra$threshold
if (residuals) {
stop("loglikelihood residuals not implemented yet")
} else {
ll.elts <-
c(w) * dgpd(y, location = Threshold, scale = sigma,
shape = Shape, tolshape0 = .tolshape0 ,
log = TRUE)
if (summation) {
sum(ll.elts)
} else {
ll.elts
}
}
}, list( .tolshape0 = tolshape0,
.escale = escale, .eshape = eshape,
.lscale = lscale, .lshape = lshape ))),
vfamily = c("gpd", "vextremes"),
validparams =
eval(substitute(function(eta, y, extra = NULL) {
sigma <- eta2theta(eta[, c(TRUE, FALSE)], .lscale , .escale )
Shape <- eta2theta(eta[, c(FALSE, TRUE)], .lshape , .eshape )
Locat <- extra$threshold
okay1 <- all(is.finite(Locat)) &&
all(is.finite(sigma)) && all(0 < sigma) &&
all(is.finite(Shape))
okay.support <-
if (okay1) {
Boundary <- Locat - sigma / Shape
all((y > Locat) &
((Shape < 0 & y < Boundary) | # 20190213 was ||
(Shape >= 0 & y < Inf)))
} else {
TRUE
}
if (!okay.support)
warning("current parameter estimates are at ",
"the boundary of the parameter space. ",
"This model needs attention.")
okay1 && okay.support
}, list( .tolshape0 = tolshape0,
.lscale = lscale, .lshape = lshape,
.escale = escale, .eshape = eshape ))),
deriv = eval(substitute(expression({
M1 <- 2
sigma <- eta2theta(eta[, c(TRUE, FALSE)], .lscale , .escale )
Shape <- eta2theta(eta[, c(FALSE, TRUE)], .lshape , .eshape )
Threshold <- extra$threshold
ystar <- y - Threshold # Operate on ystar
A <- 1 + Shape * ystar / sigma
mytolerance <- .Machine$double.eps
bad <- (A <= mytolerance)
if (any(bad) && any(w[bad] != 0)) {
cat(sum(w[bad],na.rm = TRUE), # "; ignoring them"
"observations violating boundary constraints\n")
flush.console()
}
if (any(is.zero <- (abs(Shape) < .tolshape0 ))) {
}
igpd <- !is.zero & !bad
iexp <- is.zero & !bad
dl.dShape <- dl.dsigma <- rep_len(0, length(y))
dl.dsigma[igpd] <-
((1+Shape[igpd]) * ystar[igpd] / (sigma[igpd] +
Shape[igpd] * ystar[igpd])-1) / sigma[igpd]
dl.dShape[igpd] <- log(A[igpd]) / Shape[igpd]^2 -
(1 + 1 / Shape[igpd]) *
ystar[igpd] / (A[igpd] * sigma[igpd])
dl.dShape[iexp] <- ystar[iexp] *
(0.5 * ystar[iexp] /
sigma[iexp] - 1) / sigma[iexp]
dsigma.deta <- dtheta.deta(sigma, .lscale , earg = .escale )
dShape.deta <- dtheta.deta(Shape, .lshape , earg = .eshape )
myderiv <- c(w) * cbind(dl.dsigma * dsigma.deta,
dl.dShape * dShape.deta)
myderiv[, interleave.VGAM(M, M1 = M1)]
}), list( .tolshape0 = tolshape0,
.lscale = lscale, .lshape = lshape,
.escale = escale, .eshape = eshape ))),
weight = eval(substitute(expression({
ned2l.dscale2 <- 1 / ((1+2*Shape) * sigma^2)
ned2l.dshape2 <- 2 / ((1+2*Shape) * (1+Shape))
ned2l.dshapescale <-
1 / ((1+2*Shape) * (1+Shape) * sigma) # > 0 !
S <- M / M1
wz <- array(c(c(w) * ned2l.dscale2 * dsigma.deta^2,
c(w) * ned2l.dshape2 * dShape.deta^2,
c(w) * ned2l.dshapescale * dsigma.deta *
dShape.deta),
dim = c(n, S, 3))
wz <- arwz2wz(wz, M = M, M1 = M1)
wz
}), list( .lscale = lscale ))))
} # gpd
meplot.default <- function(y, main = "Mean Excess Plot",
xlab = "Threshold", ylab = "Mean Excess", lty = c(2, 1:2),
conf = 0.95, col = c("blue", "black", "blue"),
type = "l", ...) {
if (!is.Numeric(y))
stop("bad input for argument 'y'")
n <- length(y)
sy <- sort(y)
dsy <- rev(sy) # decreasing sequence
me <- rev(cumsum(dsy)) / (n:1) - sy
me2 <- rev(cumsum(dsy^2))
var <- (me2 - (n:1) * (me+sy)^2) / (n:1)
ci <- qnorm((1+conf)/2) * sqrt(abs(var)) / sqrt(n:1)
ci[length(ci)] <- NA
mymat <- cbind(me - ci, me, me + ci)
sy <- sy - sqrt( .Machine$double.eps )
matplot(sy, mymat, main = main,
xlab = xlab, ylab = ylab,
lty = lty, col = col, type = type, ...)
invisible(list(threshold = sy,
meanExcess = me,
plusminus = ci))
}
meplot.vlm <- function(object, ...) {
if (!length(y <- object@y))
stop("y slot is empty")
ans <- meplot(as.numeric(y), ...)
invisible(ans)
}
if (!isGeneric("meplot"))
setGeneric("meplot",
function(object, ...)
standardGeneric("meplot"))
setMethod("meplot", "numeric",
function(object, ...)
meplot.default(y=object, ...))
setMethod("meplot", "vlm",
function(object, ...)
meplot.vlm(object, ...))
guplot.default <-
function(y, main = "Gumbel Plot",
xlab = "Reduced data",
ylab = "Observed data", type = "p", ...) {
if (!is.Numeric(y))
stop("bad input for argument 'y'")
n <- length(y)
sy <- sort(y)
x <- -log(-log(((1:n) - 0.5) / n))
plot(x, sy, main = main, xlab = xlab, ylab = ylab,
type = type, ...)
invisible(list(x = x, y = sy))
}
guplot.vlm <- function(object, ...) {
if (!length(y <- object@y))
stop("y slot is empty")
ans <- guplot(as.numeric(y), ...)
invisible(ans)
}
if (!isGeneric("guplot"))
setGeneric("guplot", function(object, ...)
standardGeneric("guplot"))
setMethod("guplot", "numeric",
function(object, ...)
guplot.default(y=object, ...))
setMethod("guplot", "vlm",
function(object, ...)
guplot.vlm(object, ...))
gumbelff <-
function(llocation = "identitylink",
lscale = "loglink",
iscale = NULL,
R = NA, percentiles = c(95, 99),
zero = "scale", # Was NULL in egumbel()
mpv = FALSE) {
llocat <- as.list(substitute(llocation))
elocat <- link2list(llocat)
llocat <- attr(elocat, "function.name")
lscale <- as.list(substitute(lscale))
escale <- link2list(lscale)
lscale <- attr(escale, "function.name")
if (!is.logical(mpv) || length(mpv) != 1)
stop("bad input for argument 'mpv'")
if (length(percentiles) &&
(!is.Numeric(percentiles, positive = TRUE) ||
max(percentiles) >= 100))
stop("bad input for argument 'percentiles'")
if (length(iscale) && !is.Numeric(iscale, positive = TRUE))
stop("bad input for argument 'iscale'")
new("vglmff",
blurb = c("Gumbel distribution ",
"(multiple responses allowed)\n\n",
"Links: ",
namesof("location", llocat, elocat, tag = TRUE), ", ",
namesof("scale", lscale, escale, tag = TRUE), "\n",
"Mean: location + scale*0.5772..\n",
"Variance: pi^2 * scale^2 / 6"),
constraints = eval(substitute(expression({
constraints <-
cm.zero.VGAM(constraints, x = x, .zero , M = M,
predictors.names = predictors.names,
M1 = 2)
}), list( .zero = zero ))),
infos = eval(substitute(function(...) {
list(M1 = 2,
Q1 = 1,
expected = TRUE,
multipleResponses = TRUE,
parameters.names = c("location", "scale"),
llocation = .llocat ,
lscale = .lscale ,
mpv = .mpv ,
zero = .zero )
}, list( .zero = zero,
.llocat = llocation, .lscale = lscale,
.mpv = mpv ))),
rqresslot = eval(substitute(
function(mu, y, w, eta, extra = NULL) {
M1 <- 2
NOS <- ncol(eta) / M1
Locat <- eta2theta(eta[, c(TRUE, FALSE)], .llocat , .elocat )
Scale <- eta2theta(eta[, c(FALSE, TRUE)], .lscale , .escale )
scrambleseed <- runif(1) # To scramble the seed
qnorm(pgumbel(y, location = Locat, scale = Scale))
}, list( .llocat = llocat, .lscale = lscale,
.elocat = elocat, .escale = escale ))),
initialize = eval(substitute(expression({
temp16 <-
w.y.check(w = w, y = y,
Is.nonnegative.y = FALSE,
Is.integer.y = FALSE,
ncol.w.max = Inf, # Differs from gumbel()!
ncol.y.max = Inf,
out.wy = TRUE,
colsyperw = 1,
maximize = TRUE)
w <- temp16$w
y <- temp16$y
M1 <- extra$M1 <- 2
NOS <- ncoly <- ncol(y)
extra$ncoly <- ncoly
extra$M1 <- M1
M <- M1 * ncoly # Is now true!
mynames1 <- param.names("location", NOS, skip1 = TRUE)
mynames2 <- param.names("scale", NOS, skip1 = TRUE)
predictors.names <- c(
namesof(mynames1, .llocat , .elocat , short = TRUE),
namesof(mynames2, .lscale , .escale , short = TRUE))[
interleave.VGAM(M, M1 = M1)]
extra$R <- .R
extra$mpv <- .mpv
extra$percentiles <- .percentiles
if (!length(etastart)) {
locat.init <-
scale.init <- matrix(NA_real_, n, NOS)
EulerM <- -digamma(1)
for (jay in 1:NOS) { # For each response 'y_jay'... do:
scale.init.jay <- 1.5 *
(0.01 + sqrt(6 * var(y[, jay]))) / pi
if (length( .iscale ))
scale.init.jay <- .iscale # iscale on absolute scale
scale.init[, jay] <- scale.init.jay
locat.init[, jay] <-
(y[, jay] - scale.init[, jay] * EulerM)
} # NOS
etastart <-
cbind(theta2eta(locat.init, .llocat , .elocat ),
theta2eta(scale.init, .lscale , .escale ))
etastart <-
etastart[, interleave.VGAM(M, M1 = M1), drop = FALSE]
}
}),
list( .llocat = llocat, .lscale = lscale,
.elocat = elocat, .escale = escale,
.iscale = iscale,
.R = R, .mpv = mpv, .percentiles = percentiles ))),
linkinv = eval(substitute( function(eta, extra = NULL) {
M1 <- 2
NOS <- ncol(eta) / M1
Locat <- eta2theta(eta[, c(TRUE, FALSE)], .llocat , .elocat )
Scale <- eta2theta(eta[, c(FALSE, TRUE)], .lscale , .escale )
EulerM <- -digamma(1)
pcent <- extra$percentiles
mpv <- extra$mpv
LP <- length(pcent) # may be 0
if (!LP)
return(Locat + Scale * EulerM)
fv <- matrix(NA_real_, nrow(eta), (LP + mpv) * NOS)
dmn2 <- c(if (LP >= 1) paste(as.character(pcent), "%",
sep = "") else NULL,
if (mpv) "MPV" else NULL)
dmn2 <- rep_len(dmn2, ncol(fv))
Rvec <- extra$R
if (1 <= LP) {
icol <- (0:(NOS-1)) * (LP + mpv)
for (ii in 1:LP) {
icol <- icol + 1
use.p <- if (is.Numeric(Rvec))
exp(-Rvec * (1 - pcent[ii] / 100)) else
pcent[ii] / 100
fv[, icol] <- qgumbel(use.p, loc = Locat, scale = Scale)
}
}
if (mpv) {
icol <- (0:(NOS-1)) * (LP + mpv)
icol <- icol + 1 + LP
fv[, icol] <- Locat - Scale * log(log(2))
}
dimnames(fv) <- list(dimnames(eta)[[1]], dmn2)
fv
}, list( .llocat = llocat, .lscale = lscale,
.elocat = elocat, .escale = escale ))),
last = eval(substitute(expression({
temp0303 <- c(rep_len( .llocat , NOS),
rep_len( .lscale , NOS))
names(temp0303) <- c(mynames1, mynames2)
temp0303 <- temp0303[interleave.VGAM(M, M1 = M1)]
misc$link <- temp0303 # Already named
misc$earg <- vector("list", M)
names(misc$earg) <- names(misc$link)
for (ii in 1:NOS) {
misc$earg[[M1*ii-1]] <- .elocat
misc$earg[[M1*ii ]] <- .escale
}
misc$true.mu <- !length( .percentiles )
misc$R <- ( .R )
misc$mpv <- ( .mpv )
misc$percentiles <- .percentiles
}),
list( .llocat = llocat, .lscale = lscale, .mpv = mpv,
.elocat = elocat, .escale = escale,
.R = R, .percentiles = percentiles ))),
loglikelihood = eval(substitute(
function(mu, y, w, residuals = FALSE, eta, extra = NULL,
summation = TRUE) {
M1 <- 2
NOS <- ncol(eta) / M1
Locat <- eta2theta(eta[, c(TRUE, FALSE)], .llocat , .elocat )
Scale <- eta2theta(eta[, c(FALSE, TRUE)], .lscale , .escale )
if (residuals) {
stop("loglikelihood residuals not implemented yet")
} else {
ll.elts <- c(w) *
dgumbel(y, location = Locat, scale = Scale, log = TRUE)
if (summation) {
sum(ll.elts)
} else {
ll.elts
}
}
}, list( .llocat = llocat, .lscale = lscale,
.elocat = elocat, .escale = escale ))),
vfamily = "gumbelff",
validparams =
eval(substitute(function(eta, y, extra = NULL) {
Locat <- eta2theta(eta[, c(TRUE, FALSE)], .llocat , .elocat )
Scale <- eta2theta(eta[, c(FALSE, TRUE)], .lscale , .escale )
okay1 <- all(is.finite(Locat)) &&
all(is.finite(Scale)) && all(0 < Scale)
okay1
}, list( .llocat = llocat, .lscale = lscale,
.elocat = elocat, .escale = escale ))),
deriv = eval(substitute(expression({
M1 <- 2
NOS <- ncol(eta) / M1
Locat <- eta2theta(eta[, c(TRUE, FALSE)], .llocat , .elocat )
Scale <- eta2theta(eta[, c(FALSE, TRUE)], .lscale , .escale )
zedd <- (y - Locat) / Scale
temp2 <- -expm1(-zedd)
dl.dlocat <- temp2 / Scale
dl.dscale <- -1/Scale + temp2 * zedd / Scale
dlocat.deta <- dtheta.deta(Locat, .llocat , .elocat )
dscale.deta <- dtheta.deta(Scale, .lscale , .escale )
ans <- c(w) * cbind(dl.dlocat * dlocat.deta,
dl.dscale * dscale.deta)
ans <- ans[, interleave.VGAM(M, M1 = M1)]
ans
}), list( .llocat = llocat, .lscale = lscale,
.elocat = elocat, .escale = escale ))),
weight = expression({
digamma1 <- digamma(1)
ned2l.dscale2 <- ((2 + digamma1) * digamma1 +
trigamma(1) + 1) / Scale^2
ned2l.dlocat2 <- 1 / Scale^2
ned2l.dlocsca <- -(1 + digamma1) / Scale^2
wz <- array( c(c(w) * ned2l.dlocat2 * dlocat.deta^2,
c(w) * ned2l.dscale2 * dscale.deta^2,
c(w) * ned2l.dlocsca * dlocat.deta *
dscale.deta),
dim = c(n, NOS, 3))
wz <- arwz2wz(wz, M = M, M1 = M1)
wz
}))
} # gumbelff
cens.gumbel <-
function(llocation = "identitylink",
lscale = "loglink",
iscale = NULL,
mean = TRUE, percentiles = NULL,
zero = "scale") {
llocat <- as.list(substitute(llocation))
elocat <- link2list(llocat)
llocat <- attr(elocat, "function.name")
lscale <- as.list(substitute(lscale))
escale <- link2list(lscale)
lscale <- attr(escale, "function.name")
if (!is.logical(mean) || length(mean) != 1)
stop("mean must be a single logical value")
if (!mean && (!is.Numeric(percentiles, positive = TRUE) ||
any(percentiles >= 100)))
stop("valid percentiles values must be given ",
"when mean = FALSE")
new("vglmff",
blurb = c("Censored Gumbel distribution\n\n",
"Links: ",
namesof("location", llocat, elocat, tag = TRUE), ", ",
namesof("scale", lscale, escale, tag = TRUE), "\n",
"Mean: location + scale*0.5772..\n",
"Variance: pi^2 * scale^2 / 6"),
constraints = eval(substitute(expression({
constraints <-
cm.zero.VGAM(constraints, x = x, .zero , M = M,
predictors.names = predictors.names,
M1 = 2)
}), list( .zero = zero ))),
infos = eval(substitute(function(...) {
list(M1 = 2,
Q1 = 1,
expected = TRUE,
multipleResponses = FALSE,
parameters.names = c("location", "scale"),
llocation = .llocat ,
lscale = .lscale ,
percentiles = .percentiles ,
zero = .zero )
}, list( .zero = zero,
.llocat = llocation, .lscale = lscale,
.percentiles = percentiles ))),
initialize = eval(substitute(expression({
y <- cbind(y)
if (ncol(y) > 1)
stop("Use gumbel.block() to handle ",
"multivariate responses")
if (any(y) <= 0)
stop("all response values must be positive")
if (!length(extra$leftcensored))
extra$leftcensored <- rep_len(FALSE, n)
if (!length(extra$rightcensored))
extra$rightcensored <- rep_len(FALSE, n)
if (any(extra$rightcensored & extra$leftcensored))
stop("some observations are both right and ",
"left censored!")
predictors.names <-
c(namesof("location", .llocat, .elocat , tag = FALSE),
namesof("scale", .lscale , .escale , tag = FALSE))
if (!length(etastart)) {
sca.init <- if (is.Numeric( .iscale , positive = TRUE))
.iscale else 1.1 * sqrt(var(y) * 6 ) / pi
sca.init <- rep_len(sca.init, n)
EulerM <- -digamma(1)
loc.init <- (y - sca.init * EulerM)
loc.init[loc.init <= 0] = min(y)
etastart <-
cbind(theta2eta(loc.init, .llocat , earg = .elocat ),
theta2eta(sca.init, .lscale , earg = .escale ))
}
}), list( .lscale = lscale, .iscale = iscale,
.llocat = llocat,
.elocat = elocat, .escale = escale ))),
linkinv = eval(substitute( function(eta, extra = NULL) {
loc <- eta2theta(eta[, 1], .llocat)
sc <- eta2theta(eta[, 2], .lscale)
EulerM <- -digamma(1)
if (.mean) loc + sc * EulerM else {
LP <- length(.percentiles) # 0 if NULL
mu <- matrix(NA_real_, nrow(eta), LP)
for (ii in 1:LP) {
ci <- -log( .percentiles[ii] / 100)
mu[, ii] <- loc - sc * log(ci)
}
dmn2 <- paste(as.character(.percentiles), "%", sep = "")
dimnames(mu) <- list(dimnames(eta)[[1]], dmn2)
mu
}
}, list( .lscale = lscale, .percentiles = percentiles,
.llocat = llocat,
.elocat = elocat, .escale = escale ,
.mean=mean ))),
last = eval(substitute(expression({
misc$link <- c(location= .llocat, scale = .lscale)
misc$earg <- list(location= .elocat, scale= .escale )
misc$true.mu <- .mean # if F then
misc$percentiles = .percentiles
}), list( .lscale = lscale, .mean=mean,
.llocat = llocat,
.elocat = elocat, .escale = escale ,
.percentiles = percentiles ))),
loglikelihood = eval(substitute(
function(mu, y, w, residuals = FALSE, eta, extra = NULL,
summation = TRUE) {
loc <- eta2theta(eta[, 1], .llocat , earg = .elocat )
sc <- eta2theta(eta[, 2], .lscale , earg = .escale )
zedd <- (y-loc) / sc
cenL <- extra$leftcensored
cenU <- extra$rightcensored
cen0 <- !cenL & !cenU # uncensored obsns
Fy <- exp(-exp(-zedd))
ell1 <- -log(sc[cen0]) - zedd[cen0] - exp(-zedd[cen0])
ell2 <- log(Fy[cenL])
ell3 <- log1p(-Fy[cenU])
if (residuals) stop("loglikelihood residuals not ",
"implemented yet") else
sum(w[cen0] * ell1) +
sum(w[cenL] * ell2) + sum(w[cenU] * ell3)
}, list( .lscale = lscale,
.llocat = llocat,
.elocat = elocat, .escale = escale ))),
vfamily = "cens.gumbel",
deriv = eval(substitute(expression({
cenL <- extra$leftcensored
cenU <- extra$rightcensored
cen0 <- !cenL & !cenU # uncensored obsns
loc <- eta2theta(eta[, 1], .llocat, earg = .elocat )
sc <- eta2theta(eta[, 2], .lscale , earg = .escale )
zedd <- (y-loc) / sc
temp2 <- -expm1(-zedd)
dl.dloc <- temp2 / sc
dl.dsc <- -1/sc + temp2 * zedd / sc
dloc.deta <- dtheta.deta(loc, .llocat, earg = .elocat )
dsc.deta <- dtheta.deta(sc, .lscale , earg = .escale )
ezedd <- exp(-zedd)
Fy <- exp(-ezedd)
dFy.dloc <- -ezedd * Fy / sc
dFy.dsc <- zedd * dFy.dloc # -zedd * exp(-zedd) * Fy / sc
if (any(cenL)) {
dl.dloc[cenL] <- -ezedd[cenL] / sc[cenL]
dl.dsc[cenL] <- -zedd[cenL] * ezedd[cenL] / sc[cenL]
}
if (any(cenU)) {
dl.dloc[cenU] <- -dFy.dloc[cenU] / (1-Fy[cenU])
dl.dsc[cenU] <- -dFy.dsc[cenU] / (1-Fy[cenU])
}
c(w) * cbind(dl.dloc * dloc.deta,
dl.dsc * dsc.deta)
}), list( .lscale = lscale,
.llocat = llocat,
.elocat = elocat, .escale = escale ))),
weight = expression({
A1 <- ifelse(cenL, Fy, 0)
A3 <- ifelse(cenU, 1-Fy, 0)
A2 <- 1 - A1 - A3 # Middle; uncensored
digamma1 <- digamma(1)
ed2l.dsc2 <- ((2 + digamma1)*digamma1 +
trigamma(1) + 1) / sc^2
ed2l.dloc2 <- 1 / sc^2
ed2l.dlocsc <- -(1 + digamma1) / sc^2
wz <- matrix(NA_real_, n, dimm(M = 2))
wz[, iam(1, 1, M)] <- A2 * ed2l.dloc2 * dloc.deta^2
wz[, iam(2, 2, M)] <- A2 * ed2l.dsc2 * dsc.deta^2
wz[, iam(1, 2, M)] <- A2 * ed2l.dlocsc * dloc.deta *
dsc.deta
d2l.dloc2 <- -ezedd / sc^2
d2l.dsc2 <- (2 - zedd) * zedd * ezedd / sc^2
d2l.dlocsc <- (1 - zedd) * ezedd / sc^2
wz[, iam(1, 1, M)] <- wz[, iam(1, 1, M)] -
A1^2 * d2l.dloc2 * dloc.deta^2
wz[, iam(2, 2, M)] <-
wz[, iam(2, 2, M)] - A1^2 * d2l.dsc2 * dsc.deta^2
wz[, iam(1, 2, M)] <-
wz[, iam(1, 2, M)] - A1^2 * d2l.dlocsc *
dloc.deta * dsc.deta
d2Fy.dloc2 <- dFy.dloc * dl.dloc + Fy * d2l.dloc2
d2Fy.dsc2 <- dFy.dsc * dl.dsc + Fy * d2l.dsc2
d2Fy.dlocsc <- dFy.dsc * dl.dloc + Fy * d2l.dlocsc
d2l.dloc2 <- -((1 - Fy) * d2Fy.dloc2 -
dFy.dloc^2) / (1 - Fy)^2
d2l.dsc2 <- -((1 - Fy) * d2Fy.dsc2 -
dFy.dsc^2) / (1 - Fy)^2
d2l.dlocsc <- -((1-Fy) * d2Fy.dlocsc -
dFy.dloc * dFy.dsc) / (1 - Fy)^2
wz[, iam(1, 1, M)] <-
wz[, iam(1, 1, M)] - A3^2 * d2l.dloc2 * dloc.deta^2
wz[, iam(2, 2, M)] <-
wz[, iam(2, 2, M)] - A3^2 * d2l.dsc2 * dsc.deta^2
wz[, iam(1, 2, M)] <-
wz[, iam(1, 2, M)] - A3^2 * d2l.dlocsc *
dloc.deta * dsc.deta
c(w) * wz
}))
}
dfrechet <-
function(x, location = 0, scale = 1, shape, log = FALSE) {
if (!is.logical(log.arg <- log) || length(log) != 1)
stop("bad input for argument 'log'")
rm(log)
L <- max(length(x), length(scale),
length(shape), length(location))
if (length(x) != L) x <- rep_len(x, L)
if (length(scale) != L) scale <- rep_len(scale, L)
if (length(shape) != L) shape <- rep_len(shape, L)
if (length(location) != L) location <- rep_len(location, L)
logdensity <- rep_len(log(0), L)
xok <- (x > location)
rzedd <- scale / (x - location)
logdensity[xok] <- log(shape[xok]) -
(rzedd[xok]^shape[xok]) +
(shape[xok]+1) * log(rzedd[xok]) - log(scale[xok])
logdensity[shape <= 0] <- NaN
logdensity[scale <= 0] <- NaN
if (log.arg) logdensity else exp(logdensity)
} # dfrechet
pfrechet <-
function(q, location = 0, scale = 1, shape,
lower.tail = TRUE, log.p = FALSE) {
if (!is.logical(lower.tail) || length(lower.tail ) != 1)
stop("bad input for argument 'lower.tail'")
if (!is.logical(log.p) || length(log.p) != 1)
stop("bad input for argument 'log.p'")
rzedd <- scale / (q - location)
if (lower.tail) {
if (log.p) {
ans <- -(rzedd^shape)
ans[q <= location] <- -Inf
} else {
ans <- exp(-(rzedd^shape))
ans[q <= location] <- 0
}
} else {
if (log.p) {
ans <- log(-expm1(-(rzedd^shape)))
ans[q <= location] <- 0
} else {
ans <- -expm1(-(rzedd^shape))
ans[q <= location] <- 1
}
}
ans
} # pfrechet
qfrechet <- function(p, location = 0, scale = 1, shape,
lower.tail = TRUE, log.p = FALSE) {
if (!is.logical(lower.tail) || length(lower.tail ) != 1)
stop("bad input for argument 'lower.tail'")
if (!is.logical(log.p) || length(log.p) != 1)
stop("bad input for argument 'log.p'")
if (lower.tail) {
if (log.p) {
ln.p <- p
ans <- location + scale * (-ln.p)^(-1 / shape)
ans[ln.p > 0] <- NaN
} else {
ans <- location + scale * (-log(p))^(-1 / shape)
ans[p < 0] <- NaN
ans[p == 0] <- location
ans[p == 1] <- Inf
ans[p > 1] <- NaN
}
} else {
if (log.p) {
ln.p <- p
ans <- location +
scale * (-log(-expm1(ln.p)))^(-1 / shape)
ans[ln.p > 0] <- NaN
} else {
ans <- location + scale * (-log1p(-p))^(-1 / shape)
ans[p < 0] <- NaN
ans[p == 0] <- Inf
ans[p == 1] <- location
ans[p > 1] <- NaN
}
}
ans
} # qfrechet
rfrechet <- function(n, location = 0, scale = 1, shape) {
if (!is.Numeric(scale, positive = TRUE))
stop("scale must be positive")
if (!is.Numeric(shape, positive = TRUE))
stop("shape must be positive")
location + scale * (-log(runif(n)))^(-1/shape)
}
frechet.control <- function(save.weights = TRUE, ...) {
list(save.weights = save.weights)
}
frechet <-
function(location = 0,
lscale = "loglink",
lshape = logofflink(offset = -2),
iscale = NULL, ishape = NULL,
nsimEIM = 250,
zero = NULL) {
if (!is.Numeric(location))
stop("bad input for argument 'location'")
lscale <- as.list(substitute(lscale))
escale <- link2list(lscale)
lscale <- attr(escale, "function.name")
lshape <- as.list(substitute(lshape))
eshape <- link2list(lshape)
lshape <- attr(eshape, "function.name")
stopifnot(nsimEIM > 10,
length(nsimEIM) == 1, nsimEIM == round(nsimEIM))
new("vglmff",
blurb = c("2-parameter Frechet distribution\n",
"Links: ",
namesof("scale", link = lscale, escale ), ", ",
namesof("shape", link = lshape, eshape )),
constraints = eval(substitute(expression({
constraints <-
cm.zero.VGAM(constraints, x = x, .zero , M = M,
predictors.names = predictors.names,
M1 = 2)
}), list( .zero = zero ))),
infos = eval(substitute(function(...) {
list(M1 = 2,
Q1 = 1,
expected = TRUE,
multipleResponses = FALSE,
parameters.names = c("scale", "shape"),
lscale = .lscale ,
lshape = .lshape ,
nsimEIM = .nsimEIM ,
zero = .zero )
}, list( .zero = zero,
.lscale = lscale,
.lshape = lshape,
.nsimEIM = nsimEIM ))),
rqresslot = eval(substitute(
function(mu, y, w, eta, extra = NULL) {
loctn <- extra$location
Scale <- eta2theta(eta[, 1], .lscale , earg = .escale )
shape <- eta2theta(eta[, 2], .lshape , earg = .eshape )
scrambleseed <- runif(1) # To scramble the seed
qnorm(pfrechet(y, location = loctn, scale = Scale,
shape = shape))
}, list( .lscale = lscale, .lshape = lshape,
.escale = escale, .eshape = eshape ))),
initialize = eval(substitute(expression({
temp5 <-
w.y.check(w = w, y = y,
ncol.w.max = 1,
ncol.y.max = 1,
out.wy = TRUE,
colsyperw = 1,
maximize = TRUE)
w <- temp5$w
y <- temp5$y
predictors.names <-
c(namesof("scale", .lscale , .escale , short = TRUE),
namesof("shape", .lshape , .eshape , short = TRUE))
extra$location <- rep_len( .location , n) # stored here
if (!length(etastart)) {
locinit = extra$location
if (any(y <= locinit))
stop("initial values for 'location' are out of range")
frech.aux <- function(shapeval, y, x, w, extraargs) {
myprobs <- c(0.25, 0.5, 0.75)
myobsns <- quantile(y, probs = myprobs)
myquant <- (-log(myprobs))^(-1/shapeval)
myfit <- lsfit(x = myquant, y = myobsns,
intercept = TRUE)
sum(myfit$resid^2)
}
shape.grid <- c(100, 70, 40, 20, 12, 8, 4, 2, 1.5)
shape.grid <- c(1 / shape.grid, 1, shape.grid)
try.this <- grid.search(shape.grid, objfun = frech.aux,
y = y, x = x, w = w,
maximize = FALSE,
abs.arg = TRUE)
shape.init <- if (length( .ishape ))
rep_len( .ishape , n) else {
rep_len(try.this , n) # variance exists if shape > 2
}
myprobs <- c(0.25, 0.5, 0.75)
myobsns <- quantile(y, probs = myprobs)
myquant <- (-log(myprobs))^(-1/shape.init[1])
myfit <- lsfit(x = myquant, y = myobsns)
Scale.init <- if (length( .iscale ))
rep_len( .iscale , n) else {
if (all(shape.init > 1)) {
myfit$coef[2]
} else {
rep_len(1.0, n)
}
}
etastart <-
cbind(theta2eta(Scale.init, .lscale , earg = .escale ),
theta2eta(shape.init, .lshape , earg = .eshape ))
}
}), list( .lscale = lscale, .lshape = lshape,
.escale = escale, .eshape = eshape,
.iscale = iscale, .ishape = ishape,
.location = location ))),
linkinv = eval(substitute(function(eta, extra = NULL) {
loc <- extra$location
Scale <- eta2theta(eta[, 1], .lscale , earg = .escale )
shape <- eta2theta(eta[, 2], .lshape , earg = .eshape )
ans <- rep_len(NA_real_, length(shape))
ok <- shape > 1
ans[ok] <- loc[ok] + Scale[ok] * gamma(1 - 1/shape[ok])
ans
}, list( .lscale = lscale, .lshape = lshape,
.escale = escale, .eshape = eshape ))),
last = eval(substitute(expression({
misc$links <- c("scale" = .lscale , "shape" = .lshape )
misc$earg <- list("scale" = .escale , "shape" = .eshape )
misc$nsimEIM <- .nsimEIM
}), list( .lscale = lscale, .lshape = lshape,
.escale = escale, .eshape = eshape,
.nsimEIM = nsimEIM ))),
loglikelihood = eval(substitute(
function(mu, y, w, residuals = FALSE, eta, extra = NULL,
summation = TRUE) {
loctn <- extra$location
Scale <- eta2theta(eta[, 1], .lscale , earg = .escale )
shape <- eta2theta(eta[, 2], .lshape , earg = .eshape )
if (residuals) {
stop("loglikelihood residuals not implemented yet")
} else {
ll.elts <- c(w) *
dfrechet(y, location = loctn, scale = Scale,
shape = shape, log = TRUE)
if (summation) {
sum(ll.elts)
} else {
ll.elts
}
}
}, list( .lscale = lscale, .lshape = lshape,
.escale = escale, .eshape = eshape ))),
vfamily = c("frechet", "vextremes"),
deriv = eval(substitute(expression({
loctn <- extra$location
Scale <- eta2theta(eta[, 1], .lscale , earg = .escale )
shape <- eta2theta(eta[, 2], .lshape , earg = .eshape )
rzedd <- Scale / (y - loctn) # reciprocial of zedd
dl.dloctn <- (shape + 1) / (y - loctn) -
(shape / (y - loctn)) * (rzedd)^shape
dl.dScale <- shape * (1 - rzedd^shape) / Scale
dl.dshape <- 1 / shape + log(rzedd) * (1 - rzedd^shape)
dthetas.detas <- cbind(
dScale.deta <- dtheta.deta(Scale, .lscale , .escale ),
dShape.deta <- dtheta.deta(shape, .lshape , .eshape ))
c(w) * cbind(dl.dScale,
dl.dshape) * dthetas.detas
}), list( .lscale = lscale, .lshape = lshape,
.escale = escale, .eshape = eshape ))),
weight = eval(substitute(expression({
run.varcov <- 0
ind1 <- iam(NA, NA, M = M, both = TRUE, diag = TRUE)
if (length( .nsimEIM )) {
for (ii in 1:( .nsimEIM )) {
ysim <- rfrechet(n, loc = loctn,
scale = Scale, shape = shape)
rzedd <- Scale / (ysim - loctn) # == 1/zedd
dl.dloctn <- (shape + 1) / (ysim - loctn) -
(shape / (ysim - loctn)) * (rzedd)^shape
dl.dScale <- shape * (1 - rzedd^shape) / Scale
dl.dshape <- 1 / shape +
log(rzedd) * (1 - rzedd^shape)
rm(ysim)
temp3 <- cbind(dl.dScale, dl.dshape)
run.varcov <- run.varcov +
temp3[, ind1$row.index] *
temp3[, ind1$col.index]
}
run.varcov <- run.varcov / .nsimEIM
wz = if (intercept.only)
matrix(colMeans(run.varcov),
n, ncol(run.varcov), byrow = TRUE) else
run.varcov
wz = c(w) * wz * dthetas.detas[, ind1$row.index] *
dthetas.detas[, ind1$col.index]
} else {
stop("argument 'nsimEIM' must be numeric")
}
wz
}), list( .nsimEIM = nsimEIM ))))
} # frechet
rec.normal.control <- function(save.weights = TRUE, ...) {
list(save.weights = save.weights)
}
rec.normal <-
function(lmean = "identitylink", lsd = "loglink",
imean = NULL, isd = NULL, imethod = 1,
zero = NULL) {
lmean <- as.list(substitute(lmean))
emean <- link2list(lmean)
lmean <- attr(emean, "function.name")
lsdev <- as.list(substitute(lsd))
esdev <- link2list(lsdev)
lsdev <- attr(esdev, "function.name")
isdev <- isd
if (!is.Numeric(imethod, length.arg = 1,
integer.valued = TRUE, positive = TRUE) ||
imethod > 3.5)
stop("argument 'imethod' must be 1 or 2 or 3")
new("vglmff",
blurb = c("Upper record values from a univariate normal ",
"distribution\n\n",
"Links: ",
namesof("mean", lmean, emean, tag = TRUE), "; ",
namesof("sd", lsdev, esdev, tag = TRUE), "\n",
"Variance: sd^2"),
constraints = eval(substitute(expression({
constraints <-
cm.zero.VGAM(constraints, x = x, .zero , M = M,
predictors.names = predictors.names,
M1 = 2)
}), list( .zero = zero ))),
infos = eval(substitute(function(...) {
list(M1 = 2,
Q1 = 1,
expected = FALSE,
hadof = FALSE, # BFGS ==> hdeff() does not work.
multipleResponses = FALSE,
parameters.names = c("mean", "sd"),
lmean = .lmean ,
lsd = .lsd ,
imethod = .imethod ,
zero = .zero )
}, list( .zero = zero,
.lmean = lmean,
.lsd = lsd,
.imethod = imethod ))),
initialize = eval(substitute(expression({
predictors.names <-
c(namesof("mean", .lmean, earg = .emean , tag = FALSE),
namesof("sd", .lsdev, earg = .esdev , tag = FALSE))
if (ncol(y <- cbind(y)) != 1)
stop("response must be a vector or a 1-column matrix")
if (any(diff(y) <= 0))
stop("response must have increasingly larger ",
"and larger values")
if (any(w != 1))
warning("weights should have unit values only")
if (!length(etastart)) {
mean.init <- if (length( .imean ))
rep_len( .imean , n) else {
if ( .lmean == "loglink")
pmax(1/1024, min(y)) else min(y)
}
sd.init <- if (length( .isdev))
rep_len( .isdev , n) else {
if (.imethod == 1) 1*(sd(c(y))) else
if (.imethod == 2) 5*(sd(c(y))) else
.5*(sd(c(y)))
}
etastart <-
cbind(theta2eta(rep_len(mean.init, n), .lmean , .emean ),
theta2eta(rep_len(sd.init, n), .lsdev , .esdev ))
}
}), list( .lmean = lmean, .lsdev = lsdev,
.emean = emean, .esdev = esdev,
.imean = imean, .isdev = isdev,
.imethod = imethod ))),
linkinv = eval(substitute(function(eta, extra = NULL) {
eta2theta(eta[, 1], .lmean, .emean )
}, list( .lmean = lmean, .emean = emean ))),
last = eval(substitute(expression({
misc$link <- c("mu" = .lmean , "sd" = .lsdev )
misc$earg <- list("mu" = .emean , "sd" = .esdev )
}), list( .lmean = lmean, .lsdev = lsdev,
.emean = emean, .esdev = esdev ))),
loglikelihood = eval(substitute(
function(mu, y, w, residuals = FALSE, eta, extra = NULL,
summation = TRUE) {
sdev <- eta2theta(eta[, 2], .lsdev )
if (residuals) {
stop("loglikelihood residuals not implemented yet")
} else {
zedd <- (y - mu) / sdev
NN <- nrow(eta)
if (summation) {
sum(w * (-log(sdev) - 0.5 * zedd^2)) -
sum(w[-NN] * pnorm(zedd[-NN], lower.tail = FALSE,
log.p = TRUE))
} else {
stop("cannot handle 'summation = FALSE' yet")
}
}
}, list( .lsdev = lsdev, .esdev = esdev ))),
vfamily = c("rec.normal"),
deriv = eval(substitute(expression({
NN <- nrow(eta)
mymu <- eta2theta(eta[, 1], .lmean )
sdev <- eta2theta(eta[, 2], .lsdev )
zedd <- (y - mymu) / sdev
temp200 <- dnorm(zedd) / (1-pnorm(zedd))
dl.dmu <- (zedd - temp200) / sdev
dl.dmu[NN] <- zedd[NN] / sdev[NN]
dl.dsd <- (-1 + zedd^2 - zedd * temp200) / sdev
dl.dsd[NN] <- (-1 + zedd[NN]^2) / sdev[NN]
dmu.deta <- dtheta.deta(mymu, .lmean, .emean )
dsd.deta <- dtheta.deta(sdev, .lsdev, .esdev )
if (iter == 1) {
etanew <- eta
} else {
derivold <- derivnew
etaold <- etanew
etanew <- eta
}
derivnew <- c(w) * cbind(dl.dmu * dmu.deta,
dl.dsd * dsd.deta)
derivnew
}), list( .lmean = lmean, .lsdev = lsdev,
.emean = emean, .esdev = esdev ))),
weight = expression({
if (iter == 1) {
wznew <- cbind(matrix(w, n, M),
matrix(0, n, dimm(M)-M))
} else {
wzold <- wznew
wznew <- qnupdate(w = w, wzold = wzold,
dderiv = (derivold - derivnew),
deta = etanew-etaold, trace = trace,
M = M) # weights incorporated in args
}
wznew
}))
} # rec.normal
rec.exp1.control <- function(save.weights = TRUE, ...) {
list(save.weights = save.weights)
}
rec.exp1 <-
function(lrate = "loglink", irate = NULL, imethod = 1) {
lrate <- as.list(substitute(lrate))
erate <- link2list(lrate)
lrate <- attr(erate, "function.name")
if (!is.Numeric(imethod, length.arg = 1,
integer.valued = TRUE, positive = TRUE) ||
imethod > 3.5)
stop("argument 'imethod' must be 1 or 2 or 3")
new("vglmff",
blurb = c("Upper record values from a ",
"1-parameter exponential distribution\n\n",
"Links: ",
namesof("rate", lrate, earg = erate, tag = TRUE), "\n",
"Variance: 1/rate^2"),
initialize = eval(substitute(expression({
predictors.names <-
c(namesof("rate", .lrate , earg = .erate , tag = FALSE))
if (ncol(y <- cbind(y)) != 1)
stop("response must be a vector or a one-column matrix")
if (any(diff(y) <= 0))
stop("response must have increasingly larger",
" and larger values")
if (any(w != 1))
warning("weights should have unit values only")
if (!length(etastart)) {
rate.init <- if (length( .irate ))
rep_len( .irate , n) else {
init.rate <-
if (.imethod == 1) length(y) / y[length(y), 1] else
if (.imethod == 2) 1/mean(y) else 1/median(y)
if (.lrate == "loglink") pmax(1/1024, init.rate) else
init.rate
}
etastart <-
cbind(theta2eta(rep_len(rate.init, n), .lrate , .erate ))
}
}), list( .lrate = lrate,
.erate = erate,
.irate = irate, .imethod = imethod ))),
linkinv = eval(substitute(function(eta, extra = NULL) {
eta2theta(eta, .lrate , .erate )
}, list( .lrate = lrate, .erate = erate ))),
last = eval(substitute(expression({
misc$link <- c("rate" = .lrate)
misc$earg <- list("rate" = .erate)
misc$expected = TRUE
}), list( .lrate = lrate, .erate = erate ))),
loglikelihood = eval(substitute(
function(mu, y, w, residuals = FALSE, eta, extra = NULL,
summation = TRUE) {
rate <- eta2theta(eta, .lrate , .erate )
if (residuals) {
stop("loglikelihood residuals not implemented yet")
} else {
NN <- length(eta)
y <- cbind(y)
if (summation) {
sum(w * log(rate)) - w[NN] * rate[NN] * y[NN, 1]
} else {
stop("cannot handle 'summation = FALSE' yet")
}
}
}, list( .lrate = lrate, .erate = erate ))),
vfamily = c("rec.exp1"),
deriv = eval(substitute(expression({
NN <- length(eta)
rate <- c(eta2theta(eta, .lrate , .erate ))
dl.drate <- 1 / rate
dl.drate[NN] <- 1/ rate[NN] - y[NN, 1]
drate.deta <- dtheta.deta(rate, .lrate , .erate )
c(w) * cbind(dl.drate * drate.deta)
}), list( .lrate = lrate, .erate = erate ))),
weight = expression({
ed2l.drate2 <- 1 / rate^2
wz <- drate.deta^2 * ed2l.drate2
c(w) * wz
}))
} # rec.exp1
dpois.points <- function(x, lambda, ostatistic,
dimension = 2, log = FALSE) {
if (!is.logical(log.arg <- log) || length(log) != 1)
stop("bad input for argument 'log'")
rm(log)
L <- max(length(x), length(lambda),
length(ostatistic), length(dimension))
if (length(x) != L)
x <- rep_len(x, L)
if (length(lambda) != L)
lambda <- rep_len(lambda, L)
if (length(ostatistic) != L)
ostatistic <- rep_len(ostatistic, L)
if (length(dimension) != L)
dimension <- rep_len(dimension, L)
if (!all(dimension %in% c(2, 3)))
stop("argument 'dimension' must have values 2 and/or 3")
ans2 <- log(2) + ostatistic * log(pi * lambda) -
lgamma(ostatistic) + (2 * ostatistic - 1) * log(x) -
lambda * pi * x^2
ans2[x < 0 | is.infinite(x)] <- log(0) # 20141209 KaiH
ans3 <- log(3) + ostatistic * log(4 * pi * lambda / 3) -
lgamma(ostatistic) + (3 * ostatistic - 1) * log(x) -
(4/3) * lambda * pi * x^3
ans3[x < 0 | is.infinite(x)] <- log(0) # 20141209 KaiH
ans <- ifelse(dimension == 2, ans2, ans3)
if (log.arg) ans else exp(ans)
}
poisson.points <-
function(ostatistic, dimension = 2,
link = "loglink",
idensity = NULL, imethod = 1) {
if (!is.Numeric(ostatistic,
length.arg = 1,
positive = TRUE))
stop("argument 'ostatistic' must be a single ",
"positive integer")
if (!is.Numeric(dimension, positive = TRUE,
length.arg = 1, integer.valued = TRUE) ||
dimension > 3)
stop("argument 'dimension' must be 2 or 3")
link <- as.list(substitute(link))
earg <- link2list(link)
link <- attr(earg, "function.name")
if (!is.Numeric(imethod, length.arg = 1,
positive = TRUE, integer.valued = TRUE) ||
imethod > 2.5)
stop("argument 'imethod' must be 1 or 2")
if (length(idensity) &&
!is.Numeric(idensity, positive = TRUE))
stop("bad input for argument 'idensity'")
new("vglmff",
blurb = c(if (dimension == 2)
"Poisson-points-on-a-plane distances distribution\n" else
"Poisson-points-on-a-volume distances distribution\n",
"Link: ",
namesof("density", link, earg = earg), "\n\n",
if (dimension == 2)
"Mean: gamma(s+0.5) / (gamma(s) * sqrt(density * pi))" else
"Mean: gamma(s+1/3) / (gamma(s) * (4*density*pi/3)^(1/3))"),
infos = eval(substitute(function(...) {
list(M1 = 1,
Q1 = 1,
expected = TRUE,
multipleResponses = FALSE,
parameters.names = c("density"),
link = .link )
}, list( .link = link ))),
initialize = eval(substitute(expression({
if (NCOL(y) != 1)
stop("response must be a vector or a 1-column matrix")
if (any(y <= 0))
stop("response must contain positive values only")
predictors.names <-
namesof("density", .link, earg = .earg , tag = FALSE)
if (!length(etastart)) {
use.this <- if ( .imethod == 1) median(y) + 1/8 else
weighted.mean(y,w)
if ( .dimension == 2) {
myratio <- exp(lgamma( .ostatistic + 0.5) -
lgamma( .ostatistic ))
density.init <- if (is.Numeric( .idensity ))
rep_len( .idensity , n) else
rep_len(myratio^2 / (pi * use.this^2), n)
etastart <- theta2eta(density.init, .link , .earg )
} else {
myratio <- exp(lgamma( .ostatistic + 1/3) -
lgamma( .ostatistic ))
density.init <- if (is.Numeric( .idensity ))
rep_len( .idensity , n) else
rep_len(3 * myratio^3 / (4 * pi * use.this^3), n)
etastart <- theta2eta(density.init, .link , .earg )
}
}
}), list( .link = link, .earg = earg,
.ostatistic = ostatistic,
.dimension = dimension, .imethod = imethod,
.idensity = idensity ))),
linkinv = eval(substitute(function(eta, extra = NULL) {
density <- eta2theta(eta, .link, earg = .earg)
if ( .dimension == 2) {
myratio <- exp(lgamma( .ostatistic + 0.5) -
lgamma( .ostatistic ))
myratio / sqrt(density * pi)
} else {
myratio <- exp(lgamma( .ostatistic + 1/3) -
lgamma( .ostatistic ))
myratio / (4 * density * pi/3)^(1/3)
}
}, list( .link = link, .earg = earg,
.ostatistic = ostatistic,
.dimension = dimension ))),
last = eval(substitute(expression({
misc$link <- c("density" = .link )
misc$earg <- list("density" = .earg )
misc$ostatistic <- .ostatistic
misc$dimension <- .dimension
}), list( .link = link, .earg = earg,
.ostatistic = ostatistic,
.dimension = dimension ))),
loglikelihood = eval(substitute(
function(mu, y, w, residuals = FALSE, eta,
extra = NULL,
summation = TRUE) {
density <- eta2theta(eta, .link, earg = .earg)
if (residuals) {
stop("loglikelihood residuals not implemented yet")
} else {
ll.elts <- c(w) *
dpois.points(y, lambda = density,
ostatistic = .ostatistic ,
dimension = .dimension , log = TRUE)
if (summation) {
sum(ll.elts)
} else {
ll.elts
}
}
}, list( .link = link, .earg = earg,
.ostatistic = ostatistic,
.dimension = dimension ))),
vfamily = c("poisson.points"),
deriv = eval(substitute(expression({
density <- eta2theta(eta, .link, earg = .earg)
dl.ddensity <- if ( .dimension == 2) {
.ostatistic / density - pi * y^2
} else {
.ostatistic / density - (4/3) * pi * y^3
}
ddensity.deta <- dtheta.deta(density, .link , .earg )
c(w) * dl.ddensity * ddensity.deta
}), list( .link = link, .earg = earg,
.ostatistic = ostatistic,
.dimension = dimension ))),
weight = eval(substitute(expression({
ned2l.ddensity2 <- .ostatistic / density^2
wz <- ddensity.deta^2 * ned2l.ddensity2
c(w) * wz
}), list( .link = link, .earg = earg,
.ostatistic = ostatistic,
.dimension = dimension ))))
} # poisson.points
gumbel1 <-
function(llocation = "identitylink",
iscale = 1, # The *actual* value
zero = NULL) {
llocat <- as.list(substitute(llocation))
elocat <- link2list(llocat)
llocat <- attr(elocat, "function.name")
if (length(iscale) && !is.Numeric(iscale, positive = TRUE))
stop("bad input for argument 'iscale'")
if (any(iscale != 1))
stop("bad 'iscale'")
new("vglmff",
blurb = c("Gumbel distribution for extreme ",
"value regression\n",
"Links: ",
namesof("location", llocat, earg = elocat )),
constraints = eval(substitute(expression({
constraints <-
cm.zero.VGAM(constraints, x = x, .zero , M = M,
predictors.names = predictors.names,
M1 = 1)
}), list( .zero = zero ))),
infos = eval(substitute(function(...) {
list(M1 = 1,
Q1 = 1,
expected = TRUE,
multipleResponses = FALSE,
parameters.names = c("location"),
llocation = .llocat ,
iscale = .iscale ,
zero = .zero )
},
list( .zero = zero,
.llocat = llocation, .iscale = iscale ))),
rqresslot = eval(substitute(
function(mu, y, w, eta, extra = NULL) {
eta <- cbind(eta)
loc <- eta2theta(eta[, 1], .llocat , earg = .elocat )
sigma <- ( .iscale )
scrambleseed <- runif(1) # To scramble the seed
qnorm(pgumbel(y, location = loc, scale = sigma))
}, list( .llocat = llocat, .iscale = iscale,
.elocat = elocat ))),
initialize = eval(substitute(expression({
predictors.names <-
c(namesof("location", .llocat , .elocat , short = TRUE))
y <- as.matrix(y)
if (ncol(y) > 1)
stop("only vector y allowed")
w <- as.matrix(w)
if (ncol(w) != 1)
stop("the 'weights' argument must be a vector or ",
"1-column matrix")
r.vec <- rowSums(cbind(!is.na(y)))
if (any(r.vec == 0))
stop("There is at least one row of the response ",
"containing all NAs")
sc.init <- ( .iscale )
sc.init <- rep_len(sc.init, n)
EulerM <- -digamma(1)
loc.init <- (y - sc.init * EulerM)
loc.init[loc.init <= 0] <- min(y)
if (!length(etastart)) {
etastart <-
cbind(theta2eta(loc.init, .llocat , .elocat ))
}
}), list( .llocat = llocat,
.elocat = elocat, .iscale = iscale ))),
linkinv = eval(substitute(function(eta, extra = NULL) {
eta <- cbind(eta)
loc <- eta2theta(eta[, 1], .llocat , earg = .elocat )
sigma <- ( .iscale )
EulerM <- -digamma(1)
mu <- loc + sigma * EulerM
mu
}, list( .llocat = llocat, .iscale = iscale,
.elocat = elocat ))),
last = eval(substitute(expression({
misc$links <- c(location = .llocat )
misc$earg <- list(location = .elocat )
}), list( .llocat = llocat, .iscale = iscale,
.elocat = elocat ))),
vfamily = c("gumbel1", "vextremes"),
loglikelihood = eval(substitute(
function(mu, y, w, residuals = FALSE, eta, extra = NULL,
summation = TRUE) {
eta <- cbind(eta)
loc <- eta2theta(eta[, 1], .llocat , earg = .elocat )
sigma <- ( .iscale )
ans <- -(y - loc) - exp( -(y - loc) / sigma )
if (residuals) {
stop("loglikelihood residuals not implemented yet")
} else {
ll.elts <- c(w) * ans
if (summation) {
sum(ll.elts)
} else {
ll.elts
}
}
}, list( .llocat = llocat, .iscale = iscale,
.elocat = elocat ))),
deriv = eval(substitute(expression({
eta <- cbind(eta)
locat <- eta2theta(eta[, 1], .llocat , earg = .elocat )
sigma <- ( .iscale )
dlocat.deta <- dtheta.deta(locat, .llocat , .elocat )
dl.dlocat <- 1 - exp(-y + locat)
c(w) * cbind(dl.dlocat * dlocat.deta)
}),
list( .llocat = llocat, .iscale = iscale,
.elocat = elocat ))),
weight = eval(substitute(expression({
wz <- exp(-y + locat) * dlocat.deta^2
c(w) * wz
}), list( .iscale = iscale ))))
} # gumbel1
dhurea <- function(x, shape, log = FALSE) {
if (!is.logical(log.arg <- log) || length(log) != 1)
stop("bad input for argument 'log'")
rm(log)
L <- max(length(x), length(shape))
if (length(x) != L) x <- rep_len(x, L)
if (length(shape) != L) shape <- rep_len(shape, L)
logdensity <- rep_len(log(0), L)
xok <- (0 <= x) & (x <= 1)
logdensity[xok] <- -0.5 * log(2 * pi) +
log(0.25 * shape[xok]) -
log(x[xok]) - 2 * log1p(-x[xok]) - (2 +
(shape[xok])^2 * logitlink(x[xok]))^2 / (
8 * (shape[xok])^2)
logdensity[shape <= 0] <- NaN
if (log.arg) logdensity else exp(logdensity)
} # dhurea
hurea <-
function(lshape = "loglink", zero = NULL,
nrfs = 1,
gshape = exp(3 * ppoints(5) - 1),
parallel = FALSE
) {
stopifnot(is.Numeric(nrfs, length.arg = 1),
0 <= nrfs && nrfs <= 1)
lshape <- as.list(substitute(lshape)) # orig
eshape <- link2list(lshape)
lshape <- attr(eshape, "function.name")
new("vglmff",
blurb = c("Husler-Reiss angular surface distribution\n",
"f(y; shape) = complicated!, ",
"0 < y < 1, 0 < shape < Inf\n",
"Link: ",
namesof("shape", lshape, earg = eshape)),
constraints = eval(substitute(expression({
constraints <- cm.VGAM(matrix(1, M, 1), x = x,
bool = .parallel ,
constraints, apply.int = FALSE)
constraints <- cm.zero.VGAM(constraints, x = x, .zero ,
M = M, M1 = 1,
predictors.names = predictors.names)
}), list( .parallel = parallel,
.zero = zero ))),
infos = eval(substitute(function(...) {
list(M1 = 1,
Q1 = 1,
dpqrfun = "hurea",
expected = TRUE,
multipleResponses = TRUE,
nrfs = .nrfs ,
parallel = .parallel ,
parameters.names = "shape",
zero = .zero )
}, list( .parallel = parallel,
.nrfs = nrfs,
.zero = zero ))),
initialize = eval(substitute(expression({
temp5 <-
w.y.check(w = w, y = y,
Is.positive.y = TRUE,
Is.integer.y = FALSE,
ncol.w.max = Inf,
ncol.y.max = Inf,
out.wy = TRUE,
colsyperw = 1,
maximize = TRUE)
w <- temp5$w
y <- temp5$y
if (any(y >= 1))
stop("response must be in (0, 1)")
ncoly <- ncol(y)
M1 <- 1
M <- M1 * ncoly
extra$ncoly <- ncoly
extra$colnames.y <- colnames(y)
extra$M1 <- M1
mynames1 <- param.names("shape", ncoly, skip1 = TRUE)
predictors.names <-
namesof(mynames1, .lshape , .eshape , tag = FALSE)
if (!length(etastart)) {
shape.init <- matrix(0, nrow(x), ncoly)
gshape <- ( .gshape )
hurea.Loglikfun <- function(shape, y, x = NULL,
w, extraargs = NULL) {
sum(c(w) * dhurea(x = y, shape = shape, log = TRUE))
}
for (jay in 1:ncoly) {
shape.init[, jay] <-
grid.search(gshape,
objfun = hurea.Loglikfun,
y = y[, jay], w = w[, jay])
}
etastart <- theta2eta(shape.init, .lshape , .eshape )
}
}),
list( .lshape = lshape, .gshape = gshape,
.eshape = eshape
))),
linkinv = eval(substitute(function(eta, extra = NULL) {
shape <- eta2theta(eta, .lshape , earg = .eshape )
fv <- shape
fv
}, list( .lshape = lshape, .eshape = eshape ))),
last = eval(substitute(expression({
misc$earg <- vector("list", M)
names(misc$earg) <- mynames1
for (ilocal in 1:ncoly) {
misc$earg[[ilocal]] <- ( .eshape )
}
misc$link <- rep_len( .lshape , ncoly)
names(misc$link) <- mynames1
}), list( .lshape = lshape, .eshape = eshape ))),
loglikelihood = eval(substitute(
function(mu, y, w, residuals = FALSE, eta,
extra = NULL,
summation = TRUE) {
shape <- eta2theta(eta, .lshape , earg = .eshape )
if (residuals) {
stop("loglikelihood residuals not implemented yet")
} else {
ll.elts <- c(w) * dhurea(y, shape = shape, log = TRUE)
if (summation) {
sum(ll.elts)
} else {
ll.elts
}
}
}, list( .lshape = lshape, .eshape = eshape ))),
vfamily = c("hurea"),
validparams =
eval(substitute(function(eta, y, extra = NULL) {
shape <- eta2theta(eta, .lshape , earg = .eshape )
okay1 <- all(is.finite(shape)) && all(0 < shape)
okay1
}, list( .lshape = lshape, .eshape = eshape ))),
simslot = eval(substitute(
function(object, nsim) {
pwts <- if (length(pwts <- object@prior.weights) > 0)
pwts else weights(object, type = "prior")
if (any(pwts != 1))
warning("ignoring prior weights")
eta <- predict(object)
shape <- eta2theta(eta, .lshape , earg = .eshape )
stop("rhurea() has not been written")
}, list( .lshape = lshape, .eshape = eshape ))),
deriv = eval(substitute(expression({
shape <- eta2theta(eta, .lshape , earg = .eshape )
dshape.deta <- dtheta.deta(shape, .lshape , .eshape )
dl.dshape <- 1 / shape + 1 / shape^3 -
0.25 * shape * (logitlink(y))^2
c(w) * dl.dshape * dshape.deta
}), list( .lshape = lshape, .eshape = eshape ))),
weight = eval(substitute(expression({
ned2l.dshape2 <- if ( .nrfs > 0)
2 * (1 + 2 / shape^2) / shape^2 else 0
if ( .nrfs < 1)
d2shape.deta2 <- d2theta.deta2(shape, .lshape, .eshape )
d2l.dshape2 <- if ( .nrfs < 1)
(1 + 3 / shape^2) / shape^2 +
0.25 * (logitlink(y))^2 else 0
wz <- if ( .nrfs > 0) # FS
c(w) * .nrfs * ned2l.dshape2 * dshape.deta^2 else 0
if ( .nrfs < 1) # Add on NR
wz <- wz + c(w) * (1 - .nrfs ) *
(d2l.dshape2 * dshape.deta^2 +
dl.dshape * d2shape.deta2)
wz
}),
list( .lshape = lshape, .eshape = eshape,
.nrfs = nrfs ))))
} # hurea
Try the VGAM package in your browser
Any scripts or data that you put into this service are public.
VGAM documentation built on Sept. 18, 2024, 9:09 a.m.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Defines functions hurea dhurea gumbel1 poisson.points dpois.points rec.exp1 rec.exp1.control rec.normal rec.normal.control frechet frechet.control rfrechet qfrechet pfrechet dfrechet cens.gumbel gumbelff guplot.vlm guplot.default meplot.vlm meplot.default gpd qgpd pgpd dgpd rgpd gumbel pgumbel qgumbel dgumbel rgumbel gevff dgammadx gev qgev pgev dgev rgev
Documented in cens.gumbel dfrechet dgev dgpd dgumbel dhurea dpois.points frechet gev gevff gpd gumbel gumbelff guplot.default guplot.vlm hurea meplot.default meplot.vlm pfrechet pgev pgpd pgumbel poisson.points qfrechet qgev qgpd qgumbel rec.exp1 rec.exp1.control rec.normal rec.normal.control rfrechet rgev rgpd rgumbel
# These functions are
# Copyright (C) 1998-2024 T.W. Yee, University of Auckland.
# All rights reserved.
rgev <- function(n, location = 0, scale = 1, shape = 0) {
use.n <- if ((length.n <- length(n)) > 1) length.n else
if (!is.Numeric(n, integer.valued = TRUE,
length.arg = 1, positive = TRUE))
stop("bad input for argument 'n'") else n
if (!is.Numeric(location))
stop("bad input for argument argument 'location'")
if (!is.Numeric(shape))
stop("bad input for argument argument 'shape'")
ans <- numeric(use.n)
if (length(shape) != use.n)
shape <- rep_len(shape, use.n)
if (length(location) != use.n)
location <- rep_len(location, use.n)
if (length(scale) != use.n)
scale <- rep_len(scale, use.n)
scase <- abs(shape) < sqrt( .Machine$double.eps )
nscase <- sum(scase)
if (use.n - nscase)
ans[!scase] <- location[!scase] + scale[!scase] *
((-log(runif(use.n - nscase)))^(-shape[!scase]) -
1) / shape[!scase]
if (nscase)
ans[scase] <- rgumbel(nscase, location = location[scase],
scale = scale[scase])
ans[scale <= 0] <- NaN
ans
}
dgev <-
function(x, location = 0, scale = 1, shape = 0, log = FALSE,
tolshape0 = sqrt( .Machine$double.eps )) {
oobounds.log <- -Inf # 20160412; No longer an argument.
if (!is.logical(log.arg <- log) || length(log) != 1)
stop("bad input for argument 'log'")
rm(log)
if (!is.Numeric(tolshape0, length.arg = 1, positive = TRUE))
stop("bad input for argument 'tolshape0'")
use.n <- max(length(x), length(location), length(scale),
length(shape))
if (length(shape) != use.n)
shape <- rep_len(shape, use.n)
if (length(location) != use.n)
location <- rep_len(location, use.n)
if (length(scale) != use.n)
scale <- rep_len(scale, use.n)
if (length(x) != use.n)
x <- rep_len(x, use.n)
logdensity <- rep_len(log(0), use.n)
scase <- (abs(shape) < tolshape0)
nscase <- sum(scase)
if (use.n - nscase) {
zedd <- 1 + shape * (x - location) / scale
xok <- (!scase) & (zedd > 0)
logdensity[xok] <-
-log(scale[xok]) - zedd[xok]^(-1/shape[xok]) -
(1 + 1/shape[xok]) * log(zedd[xok])
outofbounds <- (!scase) & (zedd <= 0)
if (any(outofbounds)) {
logdensity[outofbounds] <- oobounds.log
no.oob <- sum(outofbounds)
}
}
if (nscase) {
logdensity[scase] <- dgumbel(x[scase], log = TRUE,
location = location[scase],
scale = scale[scase])
}
logdensity[scale <= 0] <- NaN
logdensity[is.infinite(x)] <- log(0) # 20141209 KaiH
if (log.arg) logdensity else exp(logdensity)
}
pgev <- function(q, location = 0, scale = 1, shape = 0,
lower.tail = TRUE, log.p = FALSE) {
if (!is.logical(lower.tail) || length(lower.tail ) != 1)
stop("bad input for argument 'lower.tail'")
if (!is.logical(log.arg <- log.p) || length(log.p) != 1)
stop("bad input for argument 'log.p'")
use.n <- max(length(q), length(location),
length(scale), length(shape))
if (length(shape) != use.n)
shape <- rep_len(shape, use.n)
if (length(location) != use.n)
location <- rep_len(location, use.n)
if (length(scale) != use.n)
scale <- rep_len(scale, use.n)
if (length(q) != use.n)
q <- rep_len(q, use.n)
scase0 <- abs(shape) < sqrt( .Machine$double.eps )
zedd <- (q - location) / scale
use.zedd <- pmax(0, 1 + shape * zedd)
if (lower.tail) {
if (log.p) {
ans <- -use.zedd^(-1 / shape)
} else {
ans <- exp(-use.zedd^(-1 / shape))
}
} else {
if (log.p) {
ans <- log(-expm1(-use.zedd^(-1 / shape)))
} else {
ans <- -expm1(-use.zedd^(-1 / shape))
}
}
if (any(scase0)) {
ans[scase0] <- pgumbel(q[scase0],
location = location[scase0],
scale = scale[scase0],
lower.tail = lower.tail,
log.p = log.p)
}
ans[scale <= 0] <- NaN
ans
}
qgev <- function(p, location = 0, scale = 1, shape = 0,
lower.tail = TRUE, log.p = FALSE) {
if (!is.logical(log.p) || length(log.p) != 1)
stop("bad input for argument 'log.p'")
use.n <- max(length(p), length(location),
length(scale), length(shape))
if (length(shape) != use.n)
shape <- rep_len(shape, use.n)
if (length(location) != use.n)
location <- rep_len(location, use.n)
if (length(scale) != use.n)
scale <- rep_len(scale, use.n)
if (length(p) != use.n)
p <- rep_len(p, use.n)
scase0 <- abs(shape) < sqrt( .Machine$double.eps )
if (lower.tail) {
if (log.p) {
ln.p <- p
ans <- location + scale * ((-ln.p)^(-shape) - 1) / shape
ans[ln.p > 0] <- NaN
} else {
ans <- location + scale * ((-log(p))^(-shape) - 1) / shape
ans[p == 1] <- Inf
ans[p > 1] <- NaN
}
} else {
if (log.p) {
ln.p <- p
ans <- location + scale *
((-log1p(-exp(ln.p)))^(-shape) - 1) / shape
ans[ln.p > 0] <- NaN
} else {
ans <- location +
scale * ((-log1p(-p))^(-shape) - 1) / shape
ans[p == 1] <- Inf
ans[p > 1] <- NaN
ans[p < 0] <- NaN
}
}
if (any(scase0))
ans[scase0] <- qgumbel(p[scase0],
location = location[scase0],
scale = scale[scase0],
lower.tail = lower.tail,
log.p = log.p)
ans[scale <= 0] <- NaN
ans
}
gev <-
function(
llocation = "identitylink",
lscale = "loglink",
lshape = logofflink(offset = 0.5),
percentiles = c(95, 99),
ilocation = NULL,
iscale = NULL, ishape = NULL,
imethod = 1,
gprobs.y = (1:9)/10, # 20160713; grid for locat.init
gscale.mux = exp((-5:5)/6), # exp(-5:5),
gshape = (-5:5) / 11 + 0.01, # c(-0.45, 0.45),
iprobs.y = NULL,
tolshape0 = 0.001,
type.fitted = c("percentiles", "mean"),
zero = c("scale", "shape")) {
ilocat <- ilocation
type.fitted <- match.arg(type.fitted,
c("percentiles", "mean"))[1]
llocat <- as.list(substitute(llocation))
elocat <- link2list(llocat)
llocat <- attr(elocat, "function.name")
lscale <- as.list(substitute(lscale))
escale <- link2list(lscale)
lscale <- attr(escale, "function.name")
lshape <- as.list(substitute(lshape))
eshape <- link2list(lshape)
lshape <- attr(eshape, "function.name")
if (length(iscale) &&
!is.Numeric(iscale, positive = TRUE))
stop("bad input for argument 'iscale'")
if (length(percentiles) &&
(!is.Numeric(percentiles, positive = TRUE) ||
max(percentiles) >= 100))
stop("bad input for argument 'percentiles'")
if (!is.Numeric(imethod, length.arg = 1,
positive = TRUE, integer.valued = TRUE) ||
imethod > 2.5)
stop("argument 'imethod' must be 1 or 2")
if (length(ishape) && !is.Numeric(ishape))
stop("bad input for argument 'ishape'")
if (!is.Numeric(tolshape0, length.arg = 1, positive = TRUE) ||
tolshape0 > 0.1)
stop("bad input for argument 'tolshape0'")
new("vglmff",
blurb = c("Generalized extreme value distribution\n",
"Links: ",
namesof("location", llocat, earg = elocat), ", ",
namesof("scale", lscale, earg = escale), ", ",
namesof("shape", lshape, earg = eshape)),
constraints = eval(substitute(expression({
constraints <-
cm.zero.VGAM(constraints, x = x, .zero , M = M,
predictors.names = predictors.names,
M1 = 3)
}), list( .zero = zero ))),
infos = eval(substitute(function(...) {
list(M1 = 3,
Q1 = 1,
expected = TRUE,
multipleResponses = FALSE,
parameters.names = c("location", "scale", "shape"),
llocation = .llocat ,
lscale = .lscale ,
lshape = .lshape ,
tolshape0 = .tolshape0,
type.fitted = .type.fitted ,
zero = .zero )
},
list( .zero = zero,
.llocat = llocation, .lscale = lscale,
.lshape = lshape, .tolshape0 = tolshape0,
.type.fitted = type.fitted ))),
rqresslot = eval(substitute(
function(mu, y, w, eta, extra = NULL) {
Locat <- eta2theta(eta[, 1], .llocat , .elocat )
sigma <- eta2theta(eta[, 2], .lscale , .escale )
shape <- eta2theta(eta[, 3], .lshape , .eshape )
scrambleseed <- runif(1) # To scramble the seed
qnorm(pgev(y, location = Locat, scale = sigma,
shape = shape))
},
list( .llocat = llocat, .lscale = lscale, .lshape = lshape,
.elocat = elocat, .escale = escale, .eshape = eshape
))),
initialize = eval(substitute(expression({
temp16 <-
w.y.check(w = w, y = y,
Is.nonnegative.y = FALSE,
Is.integer.y = FALSE,
ncol.w.max = 1, # Inf,
ncol.y.max = Inf,
out.wy = TRUE,
colsyperw = NULL, # Ignore this argument
maximize = TRUE)
w <- temp16$w
y <- temp16$y
M1 <- extra$M1 <- 3
ncoly <- ncol(y)
extra$ncoly <- ncoly
extra$type.fitted <- .type.fitted
extra$colnames.y <- colnames(y)
extra$percentiles <- .percentiles
extra$M1 <- M1
mynames1 <- "location"
mynames2 <- "scale"
mynames3 <- "shape"
predictors.names <- c(
namesof(mynames1, .llocat , .elocat , short = TRUE),
namesof(mynames2, .lscale , .escale , short = TRUE),
namesof(mynames3, .lshape , .eshape , short = TRUE))
if (ncol(y) > 1)
y <- -t(apply(-y, 1, sort, na.last = TRUE))
r.vec <- rowSums(cbind(!is.na(y)))
if (any(r.vec == 0))
stop("A row contains all missing values")
NOS.proxy <- 1
gprobs.y <- .gprobs.y
ilocat <- .ilocat # Default is NULL
if (length(ilocat))
ilocat <- matrix(ilocat, n, NOS.proxy, byrow = TRUE)
if (!length(etastart)) {
locat.init <-
shape.init <-
scale.init <- matrix(NA_real_, n, NOS.proxy)
if (length( .iprobs.y ))
gprobs.y <- .iprobs.y
gscale.mux <- .gscale.mux # On a relative scale
gshape <- .gshape
for (jay in 1:NOS.proxy) { # For each response 'y_jay':
scale.init.jay <- sd(y[, 1]) * sqrt(6) / pi # Based
scale.init.jay <- gscale.mux * scale.init.jay
if (length( .iscale )) # iscale on an absolute scale
scale.init.jay <- ( .iscale )
if (length( .ishape ))
gshape <- .ishape # ishape is on an absolute scale
locat.init.jay <- if ( .imethod == 1) {
quantile(y[, jay], probs = gprobs.y) # + 1/16
} else {
weighted.mean(y[, jay], w = w[, 1])
}
if (length(ilocat))
locat.init.jay <- ilocat[, jay]
gev.Loglikfun3 <- function(shapeval,
locatval, scaleval,
y, x, w, extraargs) {
sum(c(w) * dgev(x = y,
locat = locatval,
scale = scaleval,
shape = shapeval, log = TRUE),
na.rm = TRUE)
}
try.this <-
grid.search3(gshape,
locat.init.jay, scale.init.jay,
objfun = gev.Loglikfun3,
y = y[, 1], w = w[, jay],
ret.objfun = TRUE, # Last value is \ell
extraargs = NULL)
shape.init[, jay] <- try.this["Value1" ]
locat.init[, jay] <- try.this["Value2" ]
scale.init[, jay] <- try.this["Value3" ]
} # for (jay ...)
etastart <-
cbind(theta2eta(locat.init, .llocat , .elocat ),
theta2eta(scale.init, .lscale , .escale ),
theta2eta(shape.init, .lshape , .eshape ))
}
}),
list(
.llocat = llocat, .lscale = lscale, .lshape = lshape,
.elocat = elocat, .escale = escale, .eshape = eshape,
.ilocat = ilocat, .ishape = ishape, .iscale = iscale,
.gprobs.y = gprobs.y, .gscale.mux = gscale.mux,
.iprobs.y = iprobs.y,
.gshape = gshape, .type.fitted = type.fitted,
.percentiles = percentiles,
.imethod = imethod ))),
linkinv = eval(substitute(function(eta, extra = NULL) {
NOS <- ncol(eta) / c(M1 = 3)
Locat <- eta2theta(eta[, 1], .llocat , .elocat )
sigma <- eta2theta(eta[, 2], .lscale , .escale )
shape <- eta2theta(eta[, 3], .lshape , .eshape )
type.fitted <-
if (length(extra$type.fitted)) {
extra$type.fitted
} else {
warning("cannot find 'type.fitted'. ",
"Returning 'percentiles'.")
"percentiles"
}
type.fitted <- match.arg(type.fitted,
c("percentiles", "mean"))[1]
pcent <- extra$percentiles
LP <- length(pcent)
if (type.fitted == "percentiles" &&
LP > 0) { # Upward compatibility:
fv <- matrix(NA_real_, nrow(eta), LP)
for (ii in 1:LP) {
fv[, ii] <- qgev(pcent[ii] /100, loc = Locat,
scale = sigma,
shape = shape)
}
fv <- label.cols.y(fv, colnames.y = extra$colnames.y,
NOS = NOS, percentiles = pcent,
one.on.one = FALSE)
} else {
is.zero <- (abs(shape) < .tolshape0 )
EulerM <- -digamma(1)
fv <- Locat + sigma * EulerM # When shape = 0, is Gumbel
fv[!is.zero] <- Locat[!is.zero] + sigma[!is.zero] *
(gamma(1 - shape[!is.zero]) - 1) / shape[!is.zero]
fv[shape >= 1] <- NA # Mean exists only if shape < 1.
fv <- label.cols.y(fv, colnames.y = extra$colnames.y,
NOS = NOS)
}
fv
}, list( .llocat = llocat, .lscale = lscale, .lshape = lshape,
.elocat = elocat, .escale = escale, .eshape = eshape,
.tolshape0 = tolshape0 ))),
last = eval(substitute(expression({
misc$earg <- vector("list", M)
names(misc$earg) <- c(mynames1, mynames2, mynames3)
misc$earg[[1]] <- .elocat
misc$earg[[2]] <- .escale
misc$earg[[3]] <- .eshape
misc$link <- c( .llocat , .lscale , .lshape )
names(misc$link) <- c(mynames1, mynames2, mynames3)
misc$true.mu <- !length( .percentiles )
misc$percentiles <- .percentiles
if (ncol(y) == 1)
y <- as.vector(y)
if (any(shape < -0.5))
warning("some values of the shape parameter ",
"are less than -0.5")
}),
list(
.llocat = llocat, .lscale = lscale, .lshape = lshape,
.elocat = elocat, .escale = escale, .eshape = eshape,
.percentiles = percentiles ))),
loglikelihood = eval(substitute(
function(mu, y, w, residuals = FALSE, eta, extra = NULL) {
Locat <- eta2theta(eta[, 1], .llocat , .elocat )
sigma <- eta2theta(eta[, 2], .lscale , .escale )
shape <- eta2theta(eta[, 3], .lshape , .eshape )
if (residuals) {
stop("loglikelihood residuals not implemented yet")
} else {
new.answer <-
sum(c(w) *
dgev(x = y, location = Locat, scale = sigma,
shape = shape, tolshape0 = .tolshape0 ,
log = TRUE), na.rm = TRUE)
new.answer
}
},
list( .llocat = llocat, .lscale = lscale, .lshape = lshape,
.elocat = elocat, .escale = escale, .eshape = eshape,
.tolshape0 = tolshape0 ))),
vfamily = c("gev", "vextremes"),
validparams =
eval(substitute(function(eta, y, extra = NULL) {
Locat <- eta2theta(eta[, c(TRUE, FALSE, FALSE)],
.llocat , .elocat )
sigma <- eta2theta(eta[, c(FALSE, TRUE, FALSE)],
.lscale , .escale )
shape <- eta2theta(eta[, c(FALSE, FALSE, TRUE)],
.lshape , .eshape )
okay1 <- all(is.finite(Locat)) &&
all(is.finite(sigma)) && all(0 < sigma) &&
all(is.finite(shape))
okay.support <-
if (okay1) {
Boundary <- Locat - sigma / shape
all((shape == 0) | # was || 20190213
(shape < 0 & y < Boundary) | # was || 20190213
(shape > 0 & y > Boundary))
} else {
TRUE
}
if (!okay.support)
warning("current parameter estimates are at the ",
"boundary of the parameter space. ",
"Try fitting a Gumbel model instead.")
okay1 && okay.support
},
list( .llocat = llocat, .lscale = lscale, .lshape = lshape,
.elocat = elocat, .escale = escale, .eshape = eshape
))),
deriv = eval(substitute(expression({
M1 <- 3
r.vec <- rowSums(cbind(!is.na(y)))
Locat <- eta2theta(eta[, 1], .llocat , .elocat )
sigma <- eta2theta(eta[, 2], .lscale , .escale )
shape <- eta2theta(eta[, 3], .lshape , .eshape )
dmu.deta <- dtheta.deta(Locat, .llocat , .elocat )
dsi.deta <- dtheta.deta(sigma, .lscale , .escale )
dxi.deta <- dtheta.deta(shape, .lshape , .eshape )
is.zero <- (abs(shape) < .tolshape0 )
ii <- 1:nrow(eta)
zedd <- (y - Locat) / sigma
A <- 1 + shape * zedd
dA.dxi <- zedd # matrix
dA.dmu <- -shape/sigma # vector
dA.dsigma <- -shape * zedd / sigma # matrix
pow <- 1 + 1 / shape
A1 <- A[cbind(ii, r.vec)]
AAr1 <- dA.dmu/(shape * A1^pow) -
pow * rowSums(cbind(dA.dmu/A), na.rm = TRUE)
AAr2 <- dA.dsigma[cbind(ii,r.vec)] / (shape * A1^pow) -
pow * rowSums(cbind(dA.dsigma/A), na.rm = TRUE)
AAr3 <- 1/(shape * A1^pow) -
pow * rowSums(cbind(dA.dsigma/A), na.rm = TRUE)
dl.dmu <- AAr1
dl.dsi <- AAr2 - r.vec/sigma
dl.dxi <- rowSums(cbind(log(A)), na.rm = TRUE)/shape^2 -
pow * rowSums(cbind(dA.dxi/A), na.rm = TRUE) -
(log(A1) / shape^2 -
dA.dxi[cbind(ii, r.vec)] / (shape*A1)) * A1^(-1/shape)
if (any(is.zero)) {
zorro <- c(zedd[cbind(1:n, r.vec)])
zorro <- zorro[is.zero]
ezm1 <- -expm1(-zorro) # 1 - exp(-zorro)
dl.dmu[is.zero] <- ezm1 / sigma[is.zero]
dl.dsi[is.zero] <- (zorro * ezm1 - 1) / sigma[is.zero]
dl.dxi[is.zero] <- zorro * (ezm1 * zorro / 2 - 1)
}
ansmat <-
c(w) * cbind(dl.dmu * dmu.deta,
dl.dsi * dsi.deta,
dl.dxi * dxi.deta)
ansmat
}),
list( .llocat = llocat, .lscale = lscale, .lshape = lshape,
.elocat = elocat, .escale = escale, .eshape = eshape,
.tolshape0 = tolshape0 ))),
weight = eval(substitute(expression({
kay <- -shape
dd <- digamma(r.vec - kay + 1)
ddd <- digamma(r.vec + 1) # Unnecessarily
temp13 <- -kay * dd + (kay^2 - kay + 1) / (1 - kay)
temp33 <- 1 - 2 * kay * ddd +
kay^2 * (1 + trigamma(r.vec + 1) + ddd^2)
temp23 <- -kay * dd + (1 + (1-kay)^2) / (1-kay)
GR.gev <- function(jay, ri, kay)
gamma(ri - jay * kay + 1) / gamma(ri)
tmp2 <- (1 - kay)^2 * GR.gev(2, r.vec, kay) # Latter is GR2
tmp1 <- (1 - 2*kay) * GR.gev(1, r.vec, kay) # Latter is GR1
k0 <- (1 - 2*kay)
k1 <- k0 * kay
k2 <- k1 * kay
k3 <- k2 * kay # kay^3 * (1-2*kay)
wz <- matrix(NA_real_, n, 6)
wz[, iam(1, 1, M)] <- tmp2 / (sigma^2 * k0)
wz[, iam(1, 2, M)] <- (tmp2 - tmp1) / (sigma^2 * k1)
wz[, iam(1, 3, M)] <- (tmp1 * temp13 - tmp2) / (sigma * k2)
wz[, iam(2, 2, M)] <- (r.vec*k0 - 2*tmp1 +
tmp2) / (sigma^2 * k2)
wz[, iam(2, 3, M)] <- (r.vec*k1*ddd + tmp1 *
temp23 - tmp2 -
r.vec*k0) / (sigma * k3)
wz[, iam(3, 3, M)] <- (2*tmp1*(-temp13) + tmp2 +
r.vec*k0*temp33) / (k3*kay)
if (any(is.zero)) {
if (ncol(y) > 1)
stop("cannot handle shape == 0 with a ",
"multivariate response")
EulerM <- -digamma(1)
wz[is.zero, iam(2, 2, M)] <-
(pi^2 / 6 + (1 - EulerM)^2) / sigma[is.zero]^2
wz[is.zero, iam(3, 3, M)] <- 2.4236
wz[is.zero, iam(1, 2, M)] <-
(digamma(2) + 2 * (EulerM - 1)) / sigma[is.zero]^2
wz[is.zero, iam(1, 3, M)] <-
-(trigamma(1) / 2 + digamma(1) *
(digamma(1)/2 + 1))/sigma[is.zero]
wz[is.zero, iam(2, 3, M)] <-
(-dgammadx(2, 3)/6 +
dgammadx(1, 1) +
2*dgammadx(1, 2) +
2*dgammadx(1, 3) / 3) / sigma[is.zero]
if (FALSE ) {
wz[, iam(1, 2, M)] <- 2 * r.vec / sigma^2
wz[, iam(2, 2, M)] <-
-4 * r.vec * digamma(r.vec + 1) +
2 * r.vec + (4 * dgammadx(r.vec + 1,
deriv.arg = 1) -
3 * dgammadx(r.vec + 1, # Not checked
deriv.arg = 2)) / gamma(r.vec)
}
}
wz[, iam(1, 1, M)] <- wz[, iam(1, 1, M)] * dmu.deta^2
wz[, iam(2, 2, M)] <- wz[, iam(2, 2, M)] * dsi.deta^2
wz[, iam(3, 3, M)] <- wz[, iam(3, 3, M)] * dxi.deta^2
wz[, iam(1, 2, M)] <- wz[, iam(1, 2, M)] * dmu.deta *
dsi.deta
wz[, iam(1, 3, M)] <- wz[, iam(1, 3, M)] * dmu.deta *
(-dxi.deta)
wz[, iam(2, 3, M)] <- wz[, iam(2, 3, M)] * dsi.deta *
(-dxi.deta)
c(w) * wz
}),
list( .llocat = llocat, .lscale = lscale, .lshape = lshape,
.elocat = elocat, .escale = escale, .eshape = eshape
))))
}
dgammadx <- function(x, deriv.arg = 1) {
if (deriv.arg == 0) {
gamma(x)
} else if (deriv.arg == 1) {
digamma(x) * gamma(x)
} else if (deriv.arg == 2) {
gamma(x) * (trigamma(x) + digamma(x)^2)
} else if (deriv.arg == 3) {
gamma(x) * (psigamma(x, deriv = 2) +
2 * digamma(x) * trigamma(x)) +
Recall(x, deriv.arg = 1) * (trigamma(x) + digamma(x)^2)
} else if (deriv.arg == 4) {
Recall(x, deriv.arg = 2) * (trigamma(x) + digamma(x)^2) +
2 * Recall(x, deriv.arg = 1) * (psigamma(x, deriv = 2) +
2*digamma(x) * trigamma(x)) +
gamma(x) * (psigamma(x, deriv = 3) + 2*trigamma(x)^2 +
2 * digamma(x) * psigamma(x, deriv = 2))
} else {
stop("cannot handle 'deriv' > 4")
}
}
gevff <-
function(
llocation = "identitylink",
lscale = "loglink",
lshape = logofflink(offset = 0.5),
percentiles = c(95, 99),
ilocation = NULL, iscale = NULL, ishape = NULL,
imethod = 1,
gprobs.y = (1:9)/10, # 20160713; grid for
gscale.mux = exp((-5:5)/6), # exp(-5:5),
gshape = (-5:5) / 11 + 0.01, # c(-0.45, 0.45),
iprobs.y = NULL,
tolshape0 = 0.001,
type.fitted = c("percentiles", "mean"),
zero = c("scale", "shape")) {
ilocat <- ilocation
if (length(iscale) && !is.Numeric(iscale, positive = TRUE))
stop("bad input for argument 'iscale'")
type.fitted <- match.arg(type.fitted,
c("percentiles", "mean"))[1]
llocat <- as.list(substitute(llocation))
elocat <- link2list(llocat)
llocat <- attr(elocat, "function.name")
lscale <- as.list(substitute(lscale))
escale <- link2list(lscale)
lscale <- attr(escale, "function.name")
lshape <- as.list(substitute(lshape))
eshape <- link2list(lshape)
lshape <- attr(eshape, "function.name")
if (length(percentiles) &&
(!is.Numeric(percentiles, positive = TRUE) ||
max(percentiles) >= 100))
stop("bad input for argument 'percentiles'")
if (!is.Numeric(imethod, length.arg = 1,
positive = TRUE, integer.valued = TRUE) ||
imethod > 2.5)
stop("argument 'imethod' must be 1 or 2")
if (length(ishape) && !is.Numeric(ishape))
stop("bad input for argument 'ishape'")
if (!is.Numeric(tolshape0, length.arg = 1,
positive = TRUE) ||
tolshape0 > 0.1)
stop("bad input for argument 'tolshape0'")
new("vglmff",
blurb = c("Generalized extreme value distribution\n",
"Links: ",
namesof("location", link = llocat, elocat), ", ",
namesof("scale", link = lscale, escale), ", ",
namesof("shape", link = lshape, eshape)),
constraints = eval(substitute(expression({
constraints <- cm.zero.VGAM(constraints, x = x,
.zero , M = M, M1 = 3,
predictors.names = predictors.names)
}), list( .zero = zero ))),
infos = eval(substitute(function(...) {
list(M1 = 3,
Q1 = 1,
expected = TRUE,
multipleResponses = FALSE,
parameters.names = c("location", "scale", "shape"),
llocation = .llocat ,
lscale = .lscale ,
lshape = .lshape ,
type.fitted = .type.fitted ,
percentiles = .percentiles ,
zero = .zero )
},
list( .zero = zero, .lshape = lshape,
.llocat = llocation, .lscale = lscale,
.type.fitted = type.fitted,
.percentiles = percentiles ))),
rqresslot = eval(substitute(
function(mu, y, w, eta, extra = NULL) {
M1 <- 3
NOS <- ncol(eta) / M1
Locat <- eta2theta(eta[, c(TRUE, FALSE, FALSE)],
.llocat , earg = .elocat )
Scale <- eta2theta(eta[, c(FALSE, TRUE, FALSE)],
.lscale , earg = .escale )
shape <- eta2theta(eta[, c(FALSE, FALSE, TRUE)],
.lshape , earg = .eshape )
scrambleseed <- runif(1) # To scramble the seed
qnorm(pgev(y, location = Locat, scale = Scale,
shape = shape))
},
list( .llocat = llocat, .lscale = lscale, .lshape = lshape,
.elocat = elocat, .escale = escale, .eshape = eshape
))),
initialize = eval(substitute(expression({
temp16 <-
w.y.check(w = w, y = y,
Is.nonnegative.y = FALSE,
Is.integer.y = FALSE,
ncol.w.max = Inf, # Differs from [e]gev()!
ncol.y.max = Inf,
out.wy = TRUE,
colsyperw = 1,
maximize = TRUE)
w <- temp16$w
y <- temp16$y
M1 <- extra$M1 <- 3
NOS <- ncoly <- ncol(y)
extra$ncoly <- ncoly
extra$type.fitted <- .type.fitted
extra$colnames.y <- colnames(y)
extra$percentiles <- .percentiles
extra$M1 <- M1
M <- M1 * ncoly # Is now true!
mynames1 <- param.names("location", NOS, skip1 = TRUE)
mynames2 <- param.names("scale", NOS, skip1 = TRUE)
mynames3 <- param.names("shape", NOS, skip1 = TRUE)
predictors.names <- c(
namesof(mynames1, .llocat , .elocat , short = TRUE),
namesof(mynames2, .lscale , .escale , short = TRUE),
namesof(mynames3, .lshape , .eshape , short = TRUE))[
interleave.VGAM(M, M1 = M1)]
gprobs.y <- .gprobs.y
ilocat <- .ilocat # Default is NULL
if (length(ilocat))
ilocat <- matrix(ilocat, n, NOS, byrow = TRUE)
if (!length(etastart)) {
if ( .lshape == "extlogitlink" && length( .ishape ) &&
(any( .ishape <= eshape$min | .ishape >= eshape$max)))
stop("bad input for argument 'eshape'")
locat.init <-
shape.init <-
scale.init <- matrix(NA_real_, n, NOS)
if (length( .iprobs.y ))
gprobs.y <- .iprobs.y
gscale.mux <- .gscale.mux # gscale.mux on relative scale
gshape <- .gshape
for (jay in 1:NOS) { # For each response 'y_jay'... do:
scale.init.jay <- sd(y[, jay]) * sqrt(6) / pi
scale.init.jay <- gscale.mux * scale.init.jay
if (length( .iscale ))
scale.init.jay <- .iscale # iscale on absolute scale
if (length( .ishape ))
gshape <- .ishape # ishape is on an absolute scale
locat.init.jay <- if ( .imethod == 1) {
quantile(y[, jay], probs = gprobs.y) # + 1/16
} else {
weighted.mean(y[, jay], w = w[, jay])
}
if (length(ilocat))
locat.init.jay <- ilocat[, jay]
gevff.Loglikfun3 <-
function(shapeval, locatval, scaleval,
y, x, w, extraargs) {
sum(c(w) * dgev(x = y,
locat = locatval,
scale = scaleval,
shape = shapeval, log = TRUE),
na.rm = TRUE)
}
try.this <-
grid.search3(gshape, locat.init.jay, scale.init.jay,
objfun = gevff.Loglikfun3,
y = y[, jay], w = w[, jay],
ret.objfun = TRUE, # Last value is \ell
extraargs = NULL)
shape.init[, jay] <- try.this["Value1" ]
locat.init[, jay] <- try.this["Value2" ]
scale.init[, jay] <- try.this["Value3" ]
} # for (jay ...)
etastart <-
cbind(theta2eta(locat.init, .llocat , earg = .elocat ),
theta2eta(scale.init, .lscale , earg = .escale ),
theta2eta(shape.init, .lshape , earg = .eshape ))
etastart <-
etastart[, interleave.VGAM(M, M1 = M1), drop = FALSE]
}
}),
list( .llocat = llocat, .lscale = lscale, .lshape = lshape,
.elocat = elocat, .escale = escale, .eshape = eshape,
.ilocat = ilocat, .iscale = iscale, .ishape = ishape,
.gshape = gshape,
.gprobs.y = gprobs.y, .gscale.mux = gscale.mux,
.iprobs.y = iprobs.y,
.percentiles = percentiles, .tolshape0 = tolshape0,
.imethod = imethod, .type.fitted = type.fitted ))),
linkinv = eval(substitute(function(eta, extra = NULL) {
NOS <- ncol(eta) / c(M1 = 3)
Locat <- eta2theta(eta[, c(TRUE, FALSE, FALSE)],
.llocat , earg = .elocat )
Scale <- eta2theta(eta[, c(FALSE, TRUE, FALSE)],
.lscale , earg = .escale )
shape <- eta2theta(eta[, c(FALSE, FALSE, TRUE)],
.lshape , earg = .eshape )
type.fitted <-
if (length(extra$type.fitted)) {
extra$type.fitted
} else {
warning("cannot find 'type.fitted'. Returning",
" 'percentiles'.")
"percentiles"
}
type.fitted <- match.arg(type.fitted,
c("percentiles", "mean"))[1]
pcent <- extra$percentiles
LP <- length(pcent)
if (type.fitted == "percentiles" &&
LP > 0) { # Upward compatibility:
fv <- matrix(NA_real_, nrow(eta), LP * NOS)
icol <- (0:(NOS-1)) * LP
for (ii in 1:LP) {
icol <- icol + 1
fv[, icol] <- qgev(pcent[ii] / 100, loc = Locat,
scale = Scale,
shape = shape)
}
fv <- label.cols.y(fv, colnames.y = extra$colnames.y,
NOS = NOS, percentiles = pcent,
one.on.one = FALSE)
} else {
is.zero <- (abs(shape) < .tolshape0 )
EulerM <- -digamma(1)
fv <- Locat + Scale * EulerM # If shape==0 its Gumbel
fv[!is.zero] <- Locat[!is.zero] + Scale[!is.zero] *
(gamma(1 - shape[!is.zero]) - 1) / shape[!is.zero]
fv[shape >= 1] <- NA # Mean exists only if shape < 1.
fv <- label.cols.y(fv, colnames.y = extra$colnames.y,
NOS = NOS)
}
fv
},
list( .llocat = llocat, .lscale = lscale, .lshape = lshape,
.elocat = elocat, .escale = escale, .eshape = eshape,
.tolshape0 = tolshape0 ))),
last = eval(substitute(expression({
temp0303 <- c(rep_len( .llocat , NOS),
rep_len( .lscale , NOS),
rep_len( .lshape , NOS))
names(temp0303) <- c(mynames1, mynames2, mynames3)
temp0303 <- temp0303[interleave.VGAM(M, M1 = M1)]
misc$link <- temp0303 # Already named
misc$earg <- vector("list", M)
names(misc$earg) <- names(misc$link)
for (ii in 1:NOS) {
misc$earg[[M1*ii-2]] <- .elocat
misc$earg[[M1*ii-1]] <- .escale
misc$earg[[M1*ii ]] <- .eshape
}
misc$true.mu <- !length( .percentiles )
misc$percentiles <- .percentiles
misc$tolshape0 <- .tolshape0
if (any(shape < -0.5))
warning("some values of the shape parameter are < -0.5")
}),
list( .llocat = llocat, .lscale = lscale, .lshape = lshape,
.elocat = elocat, .escale = escale, .eshape = eshape,
.tolshape0 = tolshape0,
.percentiles = percentiles ))),
loglikelihood = eval(substitute(
function(mu, y, w, residuals = FALSE, eta, extra = NULL,
summation = TRUE) {
M1 <- 3
NOS <- ncol(eta) / M1
Locat <- eta2theta(eta[, c(TRUE, FALSE, FALSE)],
.llocat , earg = .elocat )
Scale <- eta2theta(eta[, c(FALSE, TRUE, FALSE)],
.lscale , earg = .escale )
shape <- eta2theta(eta[, c(FALSE, FALSE, TRUE)],
.lshape , earg = .eshape )
if (residuals) {
stop("loglikelihood residuals not implemented yet")
} else {
ll.elts <- c(w) *
dgev(y, location = Locat, scale = Scale,
shape = shape, tolshape0 = .tolshape0 ,
log = TRUE)
if (summation) {
sum(ll.elts)
} else {
ll.elts
}
}
},
list( .llocat = llocat, .lscale = lscale, .lshape = lshape,
.elocat = elocat, .escale = escale, .eshape = eshape,
.tolshape0 = tolshape0 ))),
vfamily = c("gevff", "vextremes"),
validparams =
eval(substitute(function(eta, y, extra = NULL) {
Locat <- eta2theta(eta[, c(TRUE, FALSE, FALSE)],
.llocat , .elocat )
Scale <- eta2theta(eta[, c(FALSE, TRUE, FALSE)],
.lscale , .escale )
shape <- eta2theta(eta[, c(FALSE, FALSE, TRUE)],
.lshape , .eshape )
okay1 <- all(is.finite(Locat)) &&
all(is.finite(Scale)) && all(Scale > 0) &&
all(is.finite(shape))
okay.support <-
if (okay1) {
Boundary <- Locat - Scale / shape
all((shape == 0) | # 20190213 was ||
(shape < 0 & y < Boundary) | # 20190213 was ||
(shape > 0 & y > Boundary))
} else {
TRUE
}
if (!okay.support)
warning("current parameter estimates are at the ",
" boundary of the parameter space. ",
"Try fitting a Gumbel model instead.")
okay1 && okay.support
},
list( .llocat = llocat, .lscale = lscale, .lshape = lshape,
.elocat = elocat, .escale = escale, .eshape = eshape,
.tolshape0 = tolshape0 ))),
deriv = eval(substitute(expression({
M1 <- 3
NOS <- ncol(eta) / M1
Locat <- eta2theta(eta[, c(TRUE, FALSE, FALSE)],
.llocat , earg = .elocat )
Scale <- eta2theta(eta[, c(FALSE, TRUE, FALSE)],
.lscale , earg = .escale )
shape <- eta2theta(eta[, c(FALSE, FALSE, TRUE)],
.lshape , earg = .eshape )
is.zero <- (abs(shape) < .tolshape0 )
zedd <- (y - Locat) / Scale
A <- 1 + shape * zedd
dA.dlocat <- -shape / Scale
dA.dshape <- zedd
dA.dScale <- -shape * zedd / Scale
pow <- 1 + 1/shape
if (any(bad <- A <= 0, na.rm = TRUE))
stop(sum(bad, na.rm = TRUE), " observations ",
"violating boundary constraints in '@deriv'")
AA <- 1 / (shape * A^pow)- pow / A
dl.dlocat <- dA.dlocat * AA
dl.dscale <- dA.dScale * AA - 1/Scale
dl.dshape <- log(A)/shape^2 - pow * dA.dshape / A -
(log(A)/shape^2 - dA.dshape / (shape*A)) * A^(-1/shape)
if (any(is.zero)) {
omez <- -expm1(-zedd[is.zero])
zedd0 <- zedd[is.zero]
dl.dlocat[is.zero] <- omez / Scale[is.zero]
dl.dscale[is.zero] <- (zedd0 * omez - 1) / Scale[is.zero]
dl.dshape[is.zero] <- zedd0 * (omez * zedd0 / 2 - 1)
}
dlocat.deta <- dtheta.deta(Locat, .llocat , .elocat )
dscale.deta <- dtheta.deta(Scale, .lscale , .escale )
dshape.deta <- dtheta.deta(shape, .lshape , .eshape )
ans <- c(w) * cbind(dl.dlocat * dlocat.deta,
dl.dscale * dscale.deta,
dl.dshape * dshape.deta)
ans <- ans[, interleave.VGAM(M, M1 = M1)]
ans
}),
list( .llocat = llocat, .lscale = lscale, .lshape = lshape,
.elocat = elocat, .escale = escale, .eshape = eshape,
.tolshape0 = tolshape0 ))),
weight = eval(substitute(expression({
EulerM <- -digamma(1)
bad <- A <= 0
if (any(bad, na.rm = TRUE))
stop(sum(bad, na.rm = TRUE), " observations violating",
" boundary constraints in '@weight'")
shape[abs(shape + 0.5) < .tolshape0 ] <- -0.499
temp100 <- gamma(2 + shape)
pp <- (1 + shape)^2 * gamma(1 + 2*shape)
qq <- temp100 * (digamma(1 + shape) + (1 + shape)/shape)
ned2l.dlocat2 <- pp / Scale^2
ned2l.dscale2 <- (1 - 2*temp100 + pp) / (Scale * shape)^2
ned2l.dshape2 <- (pi^2 / 6 + (1 - EulerM + 1/shape)^2 -
(2*qq - pp/shape)/shape) / shape^2
ned2l.dlocsca <- -(pp - temp100) / (Scale^2 * shape)
ned2l.dscasha <- -(1 - EulerM + (1 - temp100)/shape - qq +
pp/shape) / (Scale * shape^2)
ned2l.dlocsha <- -(qq - pp/shape) / (Scale * shape)
if (any(is.zero)) {
ned2l.dscale2[is.zero] <-
(pi^2 / 6 + (1 - EulerM)^2) / Scale[is.zero]^2
ned2l.dshape2[is.zero] <- 2.4236
ned2l.dlocsca[is.zero] <- (digamma(2) +
2*(EulerM - 1)) / Scale[is.zero]^2
ned2l.dscasha[is.zero] <- -(-dgammadx(2, 3) / 6 +
dgammadx(1, 1) +
2*dgammadx(1, 2) +
2*dgammadx(1, 3) / 3) / Scale[is.zero]
ned2l.dlocsha[is.zero] <- (trigamma(1) / 2 +
digamma(1)*
(digamma(1) / 2 + 1)) / Scale[is.zero]
}
wz <-
array(c(c(w) * ned2l.dlocat2 * dlocat.deta^2,
c(w) * ned2l.dscale2 * dscale.deta^2,
c(w) * ned2l.dshape2 * dshape.deta^2,
c(w) * ned2l.dlocsca * dlocat.deta * dscale.deta,
c(w) * ned2l.dscasha * dscale.deta * dshape.deta,
c(w) * ned2l.dlocsha * dlocat.deta * dshape.deta),
dim = c(n, NOS, 6))
wz <- arwz2wz(wz, M = M, M1 = M1)
wz
}),
list( .eshape = eshape, .tolshape0 = tolshape0 ))))
} # gevff
rgumbel <- function(n, location = 0, scale = 1) {
answer <- location - scale * log(-log(runif(n)))
answer[scale <= 0] <- NaN
answer
}
dgumbel <- function(x, location = 0, scale = 1, log = FALSE) {
if (!is.logical(log.arg <- log) || length(log) != 1)
stop("bad input for argument 'log'")
rm(log)
zedd <- (x - location) / scale
logdensity <- -zedd - exp(-zedd) - log(scale)
logdensity[is.infinite(x)] <- log(0) # 20141209 KaiH
if (log.arg) logdensity else exp(logdensity)
}
qgumbel <- function(p, location = 0, scale = 1,
lower.tail = TRUE, log.p = FALSE) {
if (!is.logical(lower.tail) || length(lower.tail ) != 1)
stop("bad input for argument 'lower.tail'")
if (!is.logical(log.p) || length(log.p) != 1)
stop("bad input for argument 'log.p'")
if (lower.tail) {
if (log.p) {
ln.p <- p
ans <- location - scale * log(-ln.p)
} else {
ans <- location - scale * log(-log(p))
ans[p == 0] <- -Inf
ans[p == 1] <- Inf
}
} else {
if (log.p) {
ln.p <- p
ans <- location - scale * log(-log(-expm1(ln.p)))
ans[ln.p > 0] <- NaN
} else {
ans <- location - scale * log(-log1p(-p))
ans[p == 0] <- Inf
ans[p == 1] <- -Inf
}
}
ans[scale <= 0] <- NaN
ans
}
pgumbel <- function(q, location = 0, scale = 1,
lower.tail = TRUE, log.p = FALSE) {
if (!is.logical(lower.tail) || length(lower.tail ) != 1)
stop("bad input for argument 'lower.tail'")
if (!is.logical(log.p) || length(log.p) != 1)
stop("bad input for argument 'log.p'")
if (lower.tail) {
if (log.p) {
ans <- -exp(-(q - location) / scale)
ans[q <= -Inf] <- -Inf
ans[q == Inf] <- 0
} else {
ans <- exp(-exp(-(q - location) / scale))
ans[q <= -Inf] <- 0
ans[q == Inf] <- 1
}
} else {
if (log.p) {
ans <- log(-expm1(-exp(-(q - location) / scale)))
ans[q <= -Inf] <- 0
ans[q == Inf] <- -Inf
} else {
ans <- -expm1(-exp(-(q - location) / scale))
ans[q <= -Inf] <- 1
ans[q == Inf] <- 0
}
}
ans[scale <= 0] <- NaN
ans
}
gumbel <-
function(llocation = "identitylink",
lscale = "loglink",
iscale = NULL,
R = NA, percentiles = c(95, 99),
mpv = FALSE, zero = NULL) {
llocat <- as.list(substitute(llocation))
elocat <- link2list(llocat)
llocat <- attr(elocat, "function.name")
lscale <- as.list(substitute(lscale))
escale <- link2list(lscale)
lscale <- attr(escale, "function.name")
if (!is.logical(mpv) || length(mpv) != 1)
stop("bad input for argument 'mpv'")
if (length(percentiles) &&
(!is.Numeric(percentiles, positive = TRUE) ||
max(percentiles) >= 100))
stop("bad input for argument 'percentiles'")
if (length(iscale) && !is.Numeric(iscale, positive = TRUE))
stop("bad input for argument 'iscale'")
new("vglmff",
blurb = c("Gumbel distribution for extreme ",
"value regression\n",
"Links: ",
namesof("location", llocat, earg = elocat ), ", ",
namesof("scale", lscale, earg = escale )),
constraints = eval(substitute(expression({
constraints <-
cm.zero.VGAM(constraints, x = x, .zero , M = M,
predictors.names = predictors.names,
M1 = 2)
}), list( .zero = zero ))),
infos = eval(substitute(function(...) {
list(M1 = 2,
Q1 = 1,
expected = TRUE,
multipleResponses = FALSE,
parameters.names = c("location", "scale"),
llocation = .llocat ,
lscale = .lscale ,
mpv = .mpv ,
zero = .zero )
}, list( .zero = zero,
.llocat = llocation, .lscale = lscale,
.mpv = mpv ))),
rqresslot = eval(substitute(
function(mu, y, w, eta, extra = NULL) {
loc <- eta2theta(eta[, 1], .llocat, earg = .elocat )
sigma <- eta2theta(eta[, 2], .lscale , earg = .escale )
scrambleseed <- runif(1) # To scramble the seed
qnorm(pgumbel(y, location = Locat, scale = Scale))
}, list( .llocat = llocat, .lscale = lscale,
.elocat = elocat, .escale = escale ))),
initialize = eval(substitute(expression({
predictors.names <-
c(namesof("location", .llocat , .elocat , short = TRUE),
namesof("scale", .lscale , .escale , short = TRUE))
y <- as.matrix(y)
if (ncol(y) > 1)
y <- -t(apply(-y, 1, sort, na.last = TRUE))
w <- as.matrix(w)
if (ncol(w) != 1)
stop("the 'weights' argument must be a vector or ",
"1-column matrix")
r.vec <- rowSums(cbind(!is.na(y)))
if (any(r.vec == 0))
stop("There is at least one row of the response ",
"containing all NAs")
if (ncol(y) > 1) {
yiri <- y[cbind(1:nrow(y), r.vec)]
sc.init <- if (is.Numeric( .iscale, positive = TRUE))
.iscale else {3 * (rowMeans(y, na.rm = TRUE) - yiri)}
sc.init <- rep_len(sc.init, nrow(y))
sc.init[sc.init <= 0.0001] <- 1 # Used to be .iscale
loc.init <- yiri + sc.init * log(r.vec)
} else {
sc.init <- if (is.Numeric( .iscale, positive = TRUE))
.iscale else 1.1 * (0.01 + sqrt(6 * var(y))) / pi
sc.init <- rep_len(sc.init, n)
EulerM <- -digamma(1)
loc.init <- (y - sc.init * EulerM)
loc.init[loc.init <= 0] <- min(y)
}
extra$R <- .R
extra$mpv <- .mpv
extra$percentiles <- .percentiles
if (!length(etastart)) {
etastart <-
cbind(theta2eta(loc.init, .llocat , earg = .elocat ),
theta2eta( sc.init, .lscale , earg = .escale ))
}
}), list( .llocat = llocat, .lscale = lscale,
.elocat = elocat, .escale = escale,
.iscale = iscale,
.R = R, .mpv = mpv, .percentiles = percentiles ))),
linkinv = eval(substitute(function(eta, extra = NULL) {
loc <- eta2theta(eta[, 1], .llocat , earg = .elocat )
sigma <- eta2theta(eta[, 2], .lscale , earg = .escale )
pcent <- extra$percentiles
LP <- length(pcent) # may be 0
if (LP > 0) {
mpv <- extra$mpv
mu <- matrix(NA_real_, nrow(eta), LP + mpv) # LP may be 0
Rvec <- extra$R
for (ii in 1:LP) {
ci <- if (is.Numeric(Rvec))
Rvec * (1 - pcent[ii] / 100) else
-log(pcent[ii] / 100)
mu[, ii] <- loc - sigma * log(ci)
}
if (mpv)
mu[, ncol(mu)] <- loc - sigma * log(log(2))
dmn2 <- paste(as.character(pcent), "%", sep = "")
if (mpv)
dmn2 <- c(dmn2, "MPV")
dimnames(mu) <- list(dimnames(eta)[[1]], dmn2)
} else {
EulerM <- -digamma(1)
mu <- loc + sigma * EulerM
}
mu
}, list( .llocat = llocat, .lscale = lscale,
.elocat = elocat, .escale = escale ))),
last = eval(substitute(expression({
misc$links <- c(location = .llocat , scale = .lscale )
misc$earg <- list(location = .elocat , scale = .escale )
misc$R <- .R
misc$mpv <- .mpv
misc$true.mu <- !length( .percentiles ) # @fitted not
misc$percentiles <- .percentiles
}), list( .llocat = llocat, .lscale = lscale,
.elocat = elocat, .escale = escale,
.percentiles = percentiles,
.mpv = mpv, .R = R ))),
vfamily = c("gumbel", "vextremes"),
loglikelihood = eval(substitute(
function(mu, y, w, residuals = FALSE, eta, extra = NULL,
summation = TRUE) {
loc <- eta2theta(eta[, 1], .llocat, earg = .elocat )
sigma <- eta2theta(eta[, 2], .lscale , earg = .escale )
r.vec <- rowSums(cbind(!is.na(y)))
yiri <- y[cbind(1:nrow(y), r.vec)]
ans <- -r.vec * log(sigma) - exp( -(yiri-loc)/sigma )
max.r.vec <- max(r.vec)
for (jay in 1:max.r.vec) {
index <- (jay <= r.vec)
ans[index] <- ans[index] -
(y[index,jay] - loc[index]) / sigma[index]
}
if (residuals) {
stop("loglikelihood residuals not implemented yet")
} else {
ll.elts <- c(w) * ans
if (summation) {
sum(ll.elts)
} else {
ll.elts
}
}
}, list( .llocat = llocat, .lscale = lscale,
.elocat = elocat, .escale = escale ))),
deriv = eval(substitute(expression({
locat <- eta2theta(eta[, 1], .llocat , earg = .elocat )
sigma <- eta2theta(eta[, 2], .lscale , earg = .escale )
r.vec <- rowSums(cbind(!is.na(y)))
yiri <- y[cbind(1:nrow(y), r.vec)]
yi.bar <- rowMeans(y, na.rm = TRUE)
temp2 <- (yiri - locat) / sigma
term2 <- exp(-temp2)
dlocat.deta <- dtheta.deta(locat, .llocat , .elocat )
dsigma.deta <- dtheta.deta(sigma, .lscale , .escale )
dl.dlocat <- (r.vec - term2) / sigma
dl.dsigma <- (rowSums((y - locat) / sigma, na.rm = TRUE) -
r.vec - temp2 * term2) / sigma
c(w) * cbind(dl.dlocat * dlocat.deta,
dl.dsigma * dsigma.deta)
}), list( .llocat = llocat, .lscale = lscale,
.elocat = elocat, .escale = escale ))),
weight = eval(substitute(expression({
temp6 <- digamma(r.vec) # , integer = T
temp5 <- digamma(1:max(r.vec)) # , integer=T
temp5 <- matrix(temp5, n, max(r.vec), byrow = TRUE)
temp5[col(temp5) > r.vec] <- 0
temp5 <- temp5 %*% rep(1, ncol(temp5))
wz <- matrix(NA_real_, n, dimm(M = 2)) # 3=dimm(M = 2)
wz[, iam(1, 1, M)] <- r.vec / sigma^2
wz[, iam(2, 1, M)] <- -(1 + r.vec * temp6) / sigma^2
wz[, iam(2, 2, M)] <- (2 * (r.vec + 1) * temp6 +
r.vec * (trigamma(r.vec) +
temp6^2) + 2 - r.vec - 2 * temp5) / sigma^2
wz[, iam(1, 1, M)] <- wz[, iam(1, 1, M)] * dlocat.deta^2
wz[, iam(2, 1, M)] <- wz[, iam(2, 1, M)] * dsigma.deta *
dlocat.deta
wz[, iam(2, 2, M)] <- wz[, iam(2, 2, M)] * dsigma.deta^2
c(w) * wz
}), list( .lscale = lscale ))))
} # gumbel
rgpd <- function(n, location = 0, scale = 1, shape = 0) {
use.n <- if ((length.n <- length(n)) > 1) length.n else
if (!is.Numeric(n, integer.valued = TRUE,
length.arg = 1, positive = TRUE))
stop("bad input for argument 'n'") else n
if (!is.Numeric(location))
stop("bad input for argument 'location'")
if (!is.Numeric(shape))
stop("bad input for argument 'shape'")
ans <- numeric(use.n)
if (length(shape) != use.n)
shape <- rep_len(shape, use.n)
if (length(location) != use.n)
location <- rep_len(location, use.n)
if (length(scale) != use.n)
scale <- rep_len(scale, use.n)
scase <- abs(shape) < sqrt( .Machine$double.eps )
nscase <- sum(scase)
if (use.n - nscase)
ans[!scase] <- location[!scase] +
scale[!scase] *
((runif(use.n - nscase))^(-shape[!scase]) -
1) / shape[!scase]
if (nscase)
ans[scase] <- location[scase] -
scale[scase] * log(runif(nscase))
ans[scale <= 0] <- NaN
ans
}
dgpd <-
function(x, location = 0, scale = 1, shape = 0,
log = FALSE,
tolshape0 = sqrt( .Machine$double.eps )) {
if (!is.logical(log.arg <- log) || length(log) != 1)
stop("bad input for argument 'log'")
rm(log)
oobounds.log <- -Inf
if (!is.Numeric(tolshape0, length.arg = 1, positive = TRUE))
stop("bad input for argument 'tolshape0'")
L <- max(length(x), length(location),
length(scale), length(shape))
if (length(shape) != L) shape <- rep_len(shape, L)
if (length(location) != L) location <- rep_len(location, L)
if (length(scale) != L) scale <- rep_len(scale, L)
if (length(x) != L) x <- rep_len(x, L)
logdensity <- rep_len(log(0), L)
scase <- abs(shape) < tolshape0
nscase <- sum(scase)
if (L - nscase) {
zedd <- (x-location) / scale
xok <- (!scase) & (zedd > 0) & (1 + shape*zedd > 0)
logdensity[xok] <-
-(1 + 1/shape[xok])*log1p(shape[xok]*zedd[xok]) -
log(scale[xok])
outofbounds <- (!scase) & ((zedd <= 0) |
(1 + shape*zedd <= 0))
if (any(outofbounds)) {
logdensity[outofbounds] <- oobounds.log
}
}
if (nscase) {
xok <- scase & (x > location)
logdensity[xok] <- -(x[xok] - location[xok]) / scale[xok] -
log(scale[xok])
outofbounds <- scase & (x <= location)
if (any(outofbounds)) {
logdensity[outofbounds] <- oobounds.log
}
}
logdensity[scale <= 0] <- NaN
if (log.arg) logdensity else exp(logdensity)
} # dgpd
pgpd <- function(q, location = 0, scale = 1, shape = 0,
lower.tail = TRUE, log.p = FALSE) {
if (!is.logical(lower.tail) || length(lower.tail ) != 1)
stop("bad input for argument 'lower.tail'")
if (!is.logical(log.p) || length(log.p) != 1)
stop("bad input for argument 'log.p'")
use.n <- max(length(q), length(location), length(scale),
length(shape))
ans <- numeric(use.n)
if (length(shape) != use.n)
shape <- rep_len(shape, use.n)
if (length(location) != use.n)
location <- rep_len(location, use.n)
if (length(scale) != use.n)
scale <- rep_len(scale, use.n)
if (length(q) != use.n)
q <- rep_len(q, use.n)
zedd <- (q - location) / scale
use.zedd <- pmax(zedd, 0)
scase0 <- abs(shape) < sqrt( .Machine$double.eps )
nscase0 <- sum(scase0)
if (use.n - nscase0) {
ans <- 1 - pmax(1 + shape * use.zedd, 0)^(-1/shape)
}
if (nscase0) {
pos <- (zedd >= 0)
ind9 <- ( pos & scase0)
ans[ind9] <- -expm1(-use.zedd[ind9])
ind9 <- (!pos & scase0)
ans[ind9] <- 0
}
ans[scale <= 0] <- NaN
if (lower.tail) {
if (log.p) log(ans) else ans
} else {
if (log.p) log1p(-ans) else 1-ans
}
} # dgpd
qgpd <- function(p, location = 0, scale = 1, shape = 0,
lower.tail = TRUE, log.p = FALSE) {
if (!is.logical(lower.tail) || length(lower.tail ) != 1)
stop("bad input for argument 'lower.tail'")
if (!is.logical(log.arg <- log.p) || length(log.p) != 1)
stop("bad input for argument 'log.p'")
rm(log.p)
if (lower.tail) {
if (log.arg) p <- exp(p)
} else {
p <- if (log.arg) -expm1(p) else 1 - p
}
use.n <- max(length(p), length(location),
length(scale), length(shape))
ans <- numeric(use.n)
if (length(shape) != use.n)
shape <- rep_len(shape, use.n)
if (length(location) != use.n)
location <- rep_len(location, use.n)
if (length(scale) != use.n)
scale <- rep_len(scale, use.n)
if (length(p) != use.n)
p <- rep_len(p, use.n)
scase <- abs(shape) < sqrt( .Machine$double.eps )
nscase <- sum(scase)
if (use.n - nscase) {
ans[!scase] <- location[!scase] + scale[!scase] *
((1-p[!scase])^(-shape[!scase]) - 1) / shape[!scase]
}
if (nscase) {
ans[scase] <- location[scase] -
scale[scase] * log1p(-p[scase])
}
ans[p < 0] <- NaN
ans[p > 1] <- NaN
ans[(p == 0)] <- location[p == 0]
ans[(p == 1) & (shape >= 0)] <- Inf
ind5 <- (p == 1) & (shape < 0)
ans[ind5] <- location[ind5] - scale[ind5] / shape[ind5]
ans[scale <= 0] <- NaN
ans
} # qgpd
gpd <-
function(threshold = 0,
lscale = "loglink",
lshape = logofflink(offset = 0.5),
percentiles = c(90, 95),
iscale = NULL,
ishape = NULL,
tolshape0 = 0.001,
type.fitted = c("percentiles", "mean"),
imethod = 1,
zero = "shape") {
type.fitted <- match.arg(type.fitted,
c("percentiles", "mean"))[1]
lscale <- as.list(substitute(lscale))
escale <- link2list(lscale)
lscale <- attr(escale, "function.name")
lshape <- as.list(substitute(lshape))
eshape <- link2list(lshape)
lshape <- attr(eshape, "function.name")
if (!is.Numeric(threshold))
stop("bad input for argument 'threshold'")
if (!is.Numeric(imethod, length.arg = 1,
positive = TRUE, integer.valued = TRUE) ||
imethod > 2.5)
stop("argument 'imethod' must be 1 or 2")
if (length(percentiles) &&
(!is.Numeric(percentiles, positive = TRUE) ||
max(percentiles) >= 100))
stop("bad input for argument 'percentiles'")
if (!is.Numeric(tolshape0, length.arg = 1,
positive = TRUE) ||
tolshape0 > 0.1)
stop("bad input for argument 'tolshape0'")
new("vglmff",
blurb = c("Generalized Pareto distribution\n",
"Links: ",
namesof("scale", link = lscale, earg = escale),
", ",
namesof("shape", link = lshape, earg = eshape)),
constraints = eval(substitute(expression({
constraints <-
cm.zero.VGAM(constraints, x = x, .zero , M = M,
predictors.names = predictors.names,
M1 = 2)
}), list( .zero = zero ))),
infos = eval(substitute(function(...) {
list(M1 = 2,
Q1 = 1,
expected = TRUE,
multipleResponses = TRUE,
parameters.names = c("scale", "shape"),
lscale = .lscale ,
lshape = .lshape ,
type.fitted = .type.fitted ,
zero = .zero )
}, list( .zero = zero, .type.fitted = type.fitted,
.lscale = lscale, .lshape = lshape ))),
rqresslot = eval(substitute(
function(mu, y, w, eta, extra = NULL) {
sigma <- eta2theta(eta[, c(TRUE, FALSE)], .lscale , .escale )
Shape <- eta2theta(eta[, c(FALSE, TRUE)], .lshape , .eshape )
Threshold <- extra$threshold
scrambleseed <- runif(1) # To scramble the seed
qnorm(pgpd(y, location = Threshold, scale = sigma,
shape = Shape))
}, list(
.escale = escale, .eshape = eshape,
.lscale = lscale, .lshape = lshape ))),
initialize = eval(substitute(expression({
temp5 <-
w.y.check(w = w, y = y,
ncol.w.max = Inf,
ncol.y.max = Inf,
out.wy = TRUE,
colsyperw = 1,
maximize = TRUE)
w <- temp5$w
y <- temp5$y
ncoly <- ncol(y)
M1 <- 2
extra$ncoly <- ncoly
extra$M1 <- M1
M <- M1 * ncoly
y.names <- dimnames(y)[[2]]
if (length(y.names) != ncoly)
y.names <- paste("Y", 1:ncoly, sep = "")
extra$y.names <- y.names
extra$type.fitted <- .type.fitted
extra$percentiles <- .percentiles
extra$colnames.y <- colnames(y)
Threshold <- if (is.Numeric( .threshold ))
.threshold else 0
Threshold <- matrix(Threshold, n, ncoly, byrow = TRUE)
if (is.Numeric( .threshold )) {
orig.y <- y
}
ystar <- as.matrix(y - Threshold) # Operate on ystar
if (min(ystar, na.rm = TRUE) < 0)
stop("some response values, after subtracting ",
"argument 'threshold', are negative. ",
"Maybe argument 'subset' should be used. ",
"A threshold value no more than ",
min(orig.y, na.rm = TRUE), " is needed.")
extra$threshold <- Threshold
mynames1 <- param.names("scale", ncoly, skip1 = TRUE)
mynames2 <- param.names("shape", ncoly, skip1 = TRUE)
predictors.names <-
c(namesof(mynames1, .lscale , .escale , tag = FALSE),
namesof(mynames2, .lshape , .eshape , tag = FALSE))[
interleave.VGAM(M, M1 = M1)]
if (!length(etastart)) {
meany <- colSums(ystar * w) / colSums(w)
vary <- apply(ystar, 2, var)
mediany <- apply(ystar, 2, median)
init.xii <- if (length( .ishape )) .ishape else {
if ( .imethod == 1)
-0.5 * (meany^2 / vary - 1) else
0.5 * (1 - mediany^2 / vary)
}
init.sig <- if (length( .iscale )) .iscale else {
if (.imethod == 1)
0.5 * meany * (meany^2 / vary + 1) else
abs(1 - init.xii) * mediany
}
init.xii <- matrix(init.xii, n, ncoly, byrow = TRUE)
init.sig <- matrix(init.sig, n, ncoly, byrow = TRUE)
init.sig[init.sig <= 0.0] <- 0.01 # sigma > 0
init.xii[init.xii <= -0.5] <- -0.40 # FS works if xi > -0.5
init.xii[init.xii >= 1.0] <- 0.9 # Mean/var exists if xi<1/0.5
if ( .lshape == "loglink")
init.xii[init.xii <= 0.0] <- 0.05
etastart <-
cbind(theta2eta(init.sig, .lscale , earg = .escale ),
theta2eta(init.xii, .lshape , earg = .eshape ))[,
interleave.VGAM(M, M1 = M1)]
}
}),
list( .lscale = lscale, .lshape = lshape,
.iscale = iscale, .ishape = ishape,
.escale = escale, .eshape = eshape,
.percentiles = percentiles,
.threshold = threshold, .type.fitted = type.fitted,
.imethod = imethod ))),
linkinv = eval(substitute(function(eta, extra = NULL) {
sigma <- eta2theta(eta[, c(TRUE, FALSE)], .lscale , .escale )
shape <- eta2theta(eta[, c(FALSE, TRUE)], .lshape , .eshape )
if (!is.matrix(sigma))
sigma <- as.matrix(sigma)
if (!is.matrix(shape))
shape <- as.matrix(shape)
type.fitted <-
if (length(extra$type.fitted)) {
extra$type.fitted
} else {
warning("cannot find 'type.fitted'. ",
"Returning 'percentiles'.")
"percentiles"
}
type.fitted <- match.arg(type.fitted,
c("percentiles", "mean"))[1]
M1 <- 2
NOS <- ncol(eta) / M1
pcent <- extra$percentiles # Post-20140912
LP <- length(pcent) # NULL means LP == 0 & the
ncoly <- ncol(eta) / M1
if (!length(y.names <- extra$y.names))
y.names <- paste("Y", 1:ncoly, sep = "")
Threshold <- extra$threshold
if (type.fitted == "percentiles" &&
LP > 0) { # Upward compatibility:
do.one <- function(yvec, shape, scale,
threshold,
percentiles = c(90, 95),
y.name = NULL,
tolshape0 = 0.001) {
is.zero <- (abs(shape) < tolshape0 ) # A matrix
LP <- length(percentiles)
fv <- matrix(NA_real_, length(shape), LP)
is.zero <- (abs(shape) < tolshape0)
for (ii in 1:LP) {
temp <- 1 - percentiles[ii] / 100
fv[!is.zero, ii] <- threshold[!is.zero] +
(temp^(-shape[!is.zero]) - 1) *
scale[!is.zero] / shape[!is.zero]
fv[ is.zero, ii] <- threshold[is.zero]-scale[is.zero] *
log(temp)
}
post.name <- paste0(as.character(percentiles), "%")
dimnames(fv) <-
list(dimnames(shape)[[1]],
if (is.null(y.name))
post.name else
paste(y.name, post.name, sep = " "))
fv
} # do.one
fv <- matrix(-1, nrow(sigma), LP * ncoly)
for (jlocal in 1:ncoly) {
block.mat.fv <-
do.one(yvec = y[, jlocal],
shape = shape[, jlocal],
scale = sigma[, jlocal],
threshold = Threshold[, jlocal],
percentiles = pcent,
y.name = if (ncoly > 1)
y.names[jlocal] else NULL,
tolshape0 = .tolshape0 )
fv[, (jlocal - 1) * LP + (1:LP)] <- block.mat.fv
}
fv <- label.cols.y(fv, colnames.y = extra$colnames.y,
NOS = NOS, percentiles = pcent,
one.on.one = FALSE)
} else {
fv <- Threshold + sigma / (1 - shape)
fv[shape >= 1] <- Inf # Mean exists only if shape < 1.
fv <- label.cols.y(fv, colnames.y = extra$colnames.y,
NOS = NOS)
}
fv
},
list( .lscale = lscale, .lshape = lshape,
.escale = escale, .eshape = eshape,
.threshold = threshold,
.tolshape0 = tolshape0 ))),
last = eval(substitute(expression({
M1 <- extra$M1
misc$link <- c(rep_len( .lscale , ncoly),
rep_len( .lshape , ncoly))[
interleave.VGAM(M, M1 = M1)]
temp.names <- c(mynames1, mynames2)[
interleave.VGAM(M, M1 = M1)]
names(misc$link) <- temp.names
misc$earg <- vector("list", M)
names(misc$earg) <- temp.names
for (ii in 1:ncoly) {
misc$earg[[M1*ii-1]] <- .escale
misc$earg[[M1*ii ]] <- .eshape
}
misc$true.mu <- FALSE # @fitted is not a true mu
misc$percentiles <- .percentiles
misc$tolshape0 <- .tolshape0
if (any(Shape < -0.5))
warning("some values of the shape parameter are < -0.5")
}),
list( .lscale = lscale, .lshape = lshape,
.escale = escale, .eshape = eshape,
.threshold = threshold,
.tolshape0 = tolshape0,
.percentiles = percentiles ))),
loglikelihood = eval(substitute(
function(mu, y, w, residuals = FALSE, eta, extra = NULL,
summation = TRUE) {
sigma <- eta2theta(eta[, c(TRUE, FALSE)], .lscale , .escale )
Shape <- eta2theta(eta[, c(FALSE, TRUE)], .lshape , .eshape )
Threshold <- extra$threshold
if (residuals) {
stop("loglikelihood residuals not implemented yet")
} else {
ll.elts <-
c(w) * dgpd(y, location = Threshold, scale = sigma,
shape = Shape, tolshape0 = .tolshape0 ,
log = TRUE)
if (summation) {
sum(ll.elts)
} else {
ll.elts
}
}
}, list( .tolshape0 = tolshape0,
.escale = escale, .eshape = eshape,
.lscale = lscale, .lshape = lshape ))),
vfamily = c("gpd", "vextremes"),
validparams =
eval(substitute(function(eta, y, extra = NULL) {
sigma <- eta2theta(eta[, c(TRUE, FALSE)], .lscale , .escale )
Shape <- eta2theta(eta[, c(FALSE, TRUE)], .lshape , .eshape )
Locat <- extra$threshold
okay1 <- all(is.finite(Locat)) &&
all(is.finite(sigma)) && all(0 < sigma) &&
all(is.finite(Shape))
okay.support <-
if (okay1) {
Boundary <- Locat - sigma / Shape
all((y > Locat) &
((Shape < 0 & y < Boundary) | # 20190213 was ||
(Shape >= 0 & y < Inf)))
} else {
TRUE
}
if (!okay.support)
warning("current parameter estimates are at ",
"the boundary of the parameter space. ",
"This model needs attention.")
okay1 && okay.support
}, list( .tolshape0 = tolshape0,
.lscale = lscale, .lshape = lshape,
.escale = escale, .eshape = eshape ))),
deriv = eval(substitute(expression({
M1 <- 2
sigma <- eta2theta(eta[, c(TRUE, FALSE)], .lscale , .escale )
Shape <- eta2theta(eta[, c(FALSE, TRUE)], .lshape , .eshape )
Threshold <- extra$threshold
ystar <- y - Threshold # Operate on ystar
A <- 1 + Shape * ystar / sigma
mytolerance <- .Machine$double.eps
bad <- (A <= mytolerance)
if (any(bad) && any(w[bad] != 0)) {
cat(sum(w[bad],na.rm = TRUE), # "; ignoring them"
"observations violating boundary constraints\n")
flush.console()
}
if (any(is.zero <- (abs(Shape) < .tolshape0 ))) {
}
igpd <- !is.zero & !bad
iexp <- is.zero & !bad
dl.dShape <- dl.dsigma <- rep_len(0, length(y))
dl.dsigma[igpd] <-
((1+Shape[igpd]) * ystar[igpd] / (sigma[igpd] +
Shape[igpd] * ystar[igpd])-1) / sigma[igpd]
dl.dShape[igpd] <- log(A[igpd]) / Shape[igpd]^2 -
(1 + 1 / Shape[igpd]) *
ystar[igpd] / (A[igpd] * sigma[igpd])
dl.dShape[iexp] <- ystar[iexp] *
(0.5 * ystar[iexp] /
sigma[iexp] - 1) / sigma[iexp]
dsigma.deta <- dtheta.deta(sigma, .lscale , earg = .escale )
dShape.deta <- dtheta.deta(Shape, .lshape , earg = .eshape )
myderiv <- c(w) * cbind(dl.dsigma * dsigma.deta,
dl.dShape * dShape.deta)
myderiv[, interleave.VGAM(M, M1 = M1)]
}), list( .tolshape0 = tolshape0,
.lscale = lscale, .lshape = lshape,
.escale = escale, .eshape = eshape ))),
weight = eval(substitute(expression({
ned2l.dscale2 <- 1 / ((1+2*Shape) * sigma^2)
ned2l.dshape2 <- 2 / ((1+2*Shape) * (1+Shape))
ned2l.dshapescale <-
1 / ((1+2*Shape) * (1+Shape) * sigma) # > 0 !
S <- M / M1
wz <- array(c(c(w) * ned2l.dscale2 * dsigma.deta^2,
c(w) * ned2l.dshape2 * dShape.deta^2,
c(w) * ned2l.dshapescale * dsigma.deta *
dShape.deta),
dim = c(n, S, 3))
wz <- arwz2wz(wz, M = M, M1 = M1)
wz
}), list( .lscale = lscale ))))
} # gpd
meplot.default <- function(y, main = "Mean Excess Plot",
xlab = "Threshold", ylab = "Mean Excess", lty = c(2, 1:2),
conf = 0.95, col = c("blue", "black", "blue"),
type = "l", ...) {
if (!is.Numeric(y))
stop("bad input for argument 'y'")
n <- length(y)
sy <- sort(y)
dsy <- rev(sy) # decreasing sequence
me <- rev(cumsum(dsy)) / (n:1) - sy
me2 <- rev(cumsum(dsy^2))
var <- (me2 - (n:1) * (me+sy)^2) / (n:1)
ci <- qnorm((1+conf)/2) * sqrt(abs(var)) / sqrt(n:1)
ci[length(ci)] <- NA
mymat <- cbind(me - ci, me, me + ci)
sy <- sy - sqrt( .Machine$double.eps )
matplot(sy, mymat, main = main,
xlab = xlab, ylab = ylab,
lty = lty, col = col, type = type, ...)
invisible(list(threshold = sy,
meanExcess = me,
plusminus = ci))
}
meplot.vlm <- function(object, ...) {
if (!length(y <- object@y))
stop("y slot is empty")
ans <- meplot(as.numeric(y), ...)
invisible(ans)
}
if (!isGeneric("meplot"))
setGeneric("meplot",
function(object, ...)
standardGeneric("meplot"))
setMethod("meplot", "numeric",
function(object, ...)
meplot.default(y=object, ...))
setMethod("meplot", "vlm",
function(object, ...)
meplot.vlm(object, ...))
guplot.default <-
function(y, main = "Gumbel Plot",
xlab = "Reduced data",
ylab = "Observed data", type = "p", ...) {
if (!is.Numeric(y))
stop("bad input for argument 'y'")
n <- length(y)
sy <- sort(y)
x <- -log(-log(((1:n) - 0.5) / n))
plot(x, sy, main = main, xlab = xlab, ylab = ylab,
type = type, ...)
invisible(list(x = x, y = sy))
}
guplot.vlm <- function(object, ...) {
if (!length(y <- object@y))
stop("y slot is empty")
ans <- guplot(as.numeric(y), ...)
invisible(ans)
}
if (!isGeneric("guplot"))
setGeneric("guplot", function(object, ...)
standardGeneric("guplot"))
setMethod("guplot", "numeric",
function(object, ...)
guplot.default(y=object, ...))
setMethod("guplot", "vlm",
function(object, ...)
guplot.vlm(object, ...))
gumbelff <-
function(llocation = "identitylink",
lscale = "loglink",
iscale = NULL,
R = NA, percentiles = c(95, 99),
zero = "scale", # Was NULL in egumbel()
mpv = FALSE) {
llocat <- as.list(substitute(llocation))
elocat <- link2list(llocat)
llocat <- attr(elocat, "function.name")
lscale <- as.list(substitute(lscale))
escale <- link2list(lscale)
lscale <- attr(escale, "function.name")
if (!is.logical(mpv) || length(mpv) != 1)
stop("bad input for argument 'mpv'")
if (length(percentiles) &&
(!is.Numeric(percentiles, positive = TRUE) ||
max(percentiles) >= 100))
stop("bad input for argument 'percentiles'")
if (length(iscale) && !is.Numeric(iscale, positive = TRUE))
stop("bad input for argument 'iscale'")
new("vglmff",
blurb = c("Gumbel distribution ",
"(multiple responses allowed)\n\n",
"Links: ",
namesof("location", llocat, elocat, tag = TRUE), ", ",
namesof("scale", lscale, escale, tag = TRUE), "\n",
"Mean: location + scale*0.5772..\n",
"Variance: pi^2 * scale^2 / 6"),
constraints = eval(substitute(expression({
constraints <-
cm.zero.VGAM(constraints, x = x, .zero , M = M,
predictors.names = predictors.names,
M1 = 2)
}), list( .zero = zero ))),
infos = eval(substitute(function(...) {
list(M1 = 2,
Q1 = 1,
expected = TRUE,
multipleResponses = TRUE,
parameters.names = c("location", "scale"),
llocation = .llocat ,
lscale = .lscale ,
mpv = .mpv ,
zero = .zero )
}, list( .zero = zero,
.llocat = llocation, .lscale = lscale,
.mpv = mpv ))),
rqresslot = eval(substitute(
function(mu, y, w, eta, extra = NULL) {
M1 <- 2
NOS <- ncol(eta) / M1
Locat <- eta2theta(eta[, c(TRUE, FALSE)], .llocat , .elocat )
Scale <- eta2theta(eta[, c(FALSE, TRUE)], .lscale , .escale )
scrambleseed <- runif(1) # To scramble the seed
qnorm(pgumbel(y, location = Locat, scale = Scale))
}, list( .llocat = llocat, .lscale = lscale,
.elocat = elocat, .escale = escale ))),
initialize = eval(substitute(expression({
temp16 <-
w.y.check(w = w, y = y,
Is.nonnegative.y = FALSE,
Is.integer.y = FALSE,
ncol.w.max = Inf, # Differs from gumbel()!
ncol.y.max = Inf,
out.wy = TRUE,
colsyperw = 1,
maximize = TRUE)
w <- temp16$w
y <- temp16$y
M1 <- extra$M1 <- 2
NOS <- ncoly <- ncol(y)
extra$ncoly <- ncoly
extra$M1 <- M1
M <- M1 * ncoly # Is now true!
mynames1 <- param.names("location", NOS, skip1 = TRUE)
mynames2 <- param.names("scale", NOS, skip1 = TRUE)
predictors.names <- c(
namesof(mynames1, .llocat , .elocat , short = TRUE),
namesof(mynames2, .lscale , .escale , short = TRUE))[
interleave.VGAM(M, M1 = M1)]
extra$R <- .R
extra$mpv <- .mpv
extra$percentiles <- .percentiles
if (!length(etastart)) {
locat.init <-
scale.init <- matrix(NA_real_, n, NOS)
EulerM <- -digamma(1)
for (jay in 1:NOS) { # For each response 'y_jay'... do:
scale.init.jay <- 1.5 *
(0.01 + sqrt(6 * var(y[, jay]))) / pi
if (length( .iscale ))
scale.init.jay <- .iscale # iscale on absolute scale
scale.init[, jay] <- scale.init.jay
locat.init[, jay] <-
(y[, jay] - scale.init[, jay] * EulerM)
} # NOS
etastart <-
cbind(theta2eta(locat.init, .llocat , .elocat ),
theta2eta(scale.init, .lscale , .escale ))
etastart <-
etastart[, interleave.VGAM(M, M1 = M1), drop = FALSE]
}
}),
list( .llocat = llocat, .lscale = lscale,
.elocat = elocat, .escale = escale,
.iscale = iscale,
.R = R, .mpv = mpv, .percentiles = percentiles ))),
linkinv = eval(substitute( function(eta, extra = NULL) {
M1 <- 2
NOS <- ncol(eta) / M1
Locat <- eta2theta(eta[, c(TRUE, FALSE)], .llocat , .elocat )
Scale <- eta2theta(eta[, c(FALSE, TRUE)], .lscale , .escale )
EulerM <- -digamma(1)
pcent <- extra$percentiles
mpv <- extra$mpv
LP <- length(pcent) # may be 0
if (!LP)
return(Locat + Scale * EulerM)
fv <- matrix(NA_real_, nrow(eta), (LP + mpv) * NOS)
dmn2 <- c(if (LP >= 1) paste(as.character(pcent), "%",
sep = "") else NULL,
if (mpv) "MPV" else NULL)
dmn2 <- rep_len(dmn2, ncol(fv))
Rvec <- extra$R
if (1 <= LP) {
icol <- (0:(NOS-1)) * (LP + mpv)
for (ii in 1:LP) {
icol <- icol + 1
use.p <- if (is.Numeric(Rvec))
exp(-Rvec * (1 - pcent[ii] / 100)) else
pcent[ii] / 100
fv[, icol] <- qgumbel(use.p, loc = Locat, scale = Scale)
}
}
if (mpv) {
icol <- (0:(NOS-1)) * (LP + mpv)
icol <- icol + 1 + LP
fv[, icol] <- Locat - Scale * log(log(2))
}
dimnames(fv) <- list(dimnames(eta)[[1]], dmn2)
fv
}, list( .llocat = llocat, .lscale = lscale,
.elocat = elocat, .escale = escale ))),
last = eval(substitute(expression({
temp0303 <- c(rep_len( .llocat , NOS),
rep_len( .lscale , NOS))
names(temp0303) <- c(mynames1, mynames2)
temp0303 <- temp0303[interleave.VGAM(M, M1 = M1)]
misc$link <- temp0303 # Already named
misc$earg <- vector("list", M)
names(misc$earg) <- names(misc$link)
for (ii in 1:NOS) {
misc$earg[[M1*ii-1]] <- .elocat
misc$earg[[M1*ii ]] <- .escale
}
misc$true.mu <- !length( .percentiles )
misc$R <- ( .R )
misc$mpv <- ( .mpv )
misc$percentiles <- .percentiles
}),
list( .llocat = llocat, .lscale = lscale, .mpv = mpv,
.elocat = elocat, .escale = escale,
.R = R, .percentiles = percentiles ))),
loglikelihood = eval(substitute(
function(mu, y, w, residuals = FALSE, eta, extra = NULL,
summation = TRUE) {
M1 <- 2
NOS <- ncol(eta) / M1
Locat <- eta2theta(eta[, c(TRUE, FALSE)], .llocat , .elocat )
Scale <- eta2theta(eta[, c(FALSE, TRUE)], .lscale , .escale )
if (residuals) {
stop("loglikelihood residuals not implemented yet")
} else {
ll.elts <- c(w) *
dgumbel(y, location = Locat, scale = Scale, log = TRUE)
if (summation) {
sum(ll.elts)
} else {
ll.elts
}
}
}, list( .llocat = llocat, .lscale = lscale,
.elocat = elocat, .escale = escale ))),
vfamily = "gumbelff",
validparams =
eval(substitute(function(eta, y, extra = NULL) {
Locat <- eta2theta(eta[, c(TRUE, FALSE)], .llocat , .elocat )
Scale <- eta2theta(eta[, c(FALSE, TRUE)], .lscale , .escale )
okay1 <- all(is.finite(Locat)) &&
all(is.finite(Scale)) && all(0 < Scale)
okay1
}, list( .llocat = llocat, .lscale = lscale,
.elocat = elocat, .escale = escale ))),
deriv = eval(substitute(expression({
M1 <- 2
NOS <- ncol(eta) / M1
Locat <- eta2theta(eta[, c(TRUE, FALSE)], .llocat , .elocat )
Scale <- eta2theta(eta[, c(FALSE, TRUE)], .lscale , .escale )
zedd <- (y - Locat) / Scale
temp2 <- -expm1(-zedd)
dl.dlocat <- temp2 / Scale
dl.dscale <- -1/Scale + temp2 * zedd / Scale
dlocat.deta <- dtheta.deta(Locat, .llocat , .elocat )
dscale.deta <- dtheta.deta(Scale, .lscale , .escale )
ans <- c(w) * cbind(dl.dlocat * dlocat.deta,
dl.dscale * dscale.deta)
ans <- ans[, interleave.VGAM(M, M1 = M1)]
ans
}), list( .llocat = llocat, .lscale = lscale,
.elocat = elocat, .escale = escale ))),
weight = expression({
digamma1 <- digamma(1)
ned2l.dscale2 <- ((2 + digamma1) * digamma1 +
trigamma(1) + 1) / Scale^2
ned2l.dlocat2 <- 1 / Scale^2
ned2l.dlocsca <- -(1 + digamma1) / Scale^2
wz <- array( c(c(w) * ned2l.dlocat2 * dlocat.deta^2,
c(w) * ned2l.dscale2 * dscale.deta^2,
c(w) * ned2l.dlocsca * dlocat.deta *
dscale.deta),
dim = c(n, NOS, 3))
wz <- arwz2wz(wz, M = M, M1 = M1)
wz
}))
} # gumbelff
cens.gumbel <-
function(llocation = "identitylink",
lscale = "loglink",
iscale = NULL,
mean = TRUE, percentiles = NULL,
zero = "scale") {
llocat <- as.list(substitute(llocation))
elocat <- link2list(llocat)
llocat <- attr(elocat, "function.name")
lscale <- as.list(substitute(lscale))
escale <- link2list(lscale)
lscale <- attr(escale, "function.name")
if (!is.logical(mean) || length(mean) != 1)
stop("mean must be a single logical value")
if (!mean && (!is.Numeric(percentiles, positive = TRUE) ||
any(percentiles >= 100)))
stop("valid percentiles values must be given ",
"when mean = FALSE")
new("vglmff",
blurb = c("Censored Gumbel distribution\n\n",
"Links: ",
namesof("location", llocat, elocat, tag = TRUE), ", ",
namesof("scale", lscale, escale, tag = TRUE), "\n",
"Mean: location + scale*0.5772..\n",
"Variance: pi^2 * scale^2 / 6"),
constraints = eval(substitute(expression({
constraints <-
cm.zero.VGAM(constraints, x = x, .zero , M = M,
predictors.names = predictors.names,
M1 = 2)
}), list( .zero = zero ))),
infos = eval(substitute(function(...) {
list(M1 = 2,
Q1 = 1,
expected = TRUE,
multipleResponses = FALSE,
parameters.names = c("location", "scale"),
llocation = .llocat ,
lscale = .lscale ,
percentiles = .percentiles ,
zero = .zero )
}, list( .zero = zero,
.llocat = llocation, .lscale = lscale,
.percentiles = percentiles ))),
initialize = eval(substitute(expression({
y <- cbind(y)
if (ncol(y) > 1)
stop("Use gumbel.block() to handle ",
"multivariate responses")
if (any(y) <= 0)
stop("all response values must be positive")
if (!length(extra$leftcensored))
extra$leftcensored <- rep_len(FALSE, n)
if (!length(extra$rightcensored))
extra$rightcensored <- rep_len(FALSE, n)
if (any(extra$rightcensored & extra$leftcensored))
stop("some observations are both right and ",
"left censored!")
predictors.names <-
c(namesof("location", .llocat, .elocat , tag = FALSE),
namesof("scale", .lscale , .escale , tag = FALSE))
if (!length(etastart)) {
sca.init <- if (is.Numeric( .iscale , positive = TRUE))
.iscale else 1.1 * sqrt(var(y) * 6 ) / pi
sca.init <- rep_len(sca.init, n)
EulerM <- -digamma(1)
loc.init <- (y - sca.init * EulerM)
loc.init[loc.init <= 0] = min(y)
etastart <-
cbind(theta2eta(loc.init, .llocat , earg = .elocat ),
theta2eta(sca.init, .lscale , earg = .escale ))
}
}), list( .lscale = lscale, .iscale = iscale,
.llocat = llocat,
.elocat = elocat, .escale = escale ))),
linkinv = eval(substitute( function(eta, extra = NULL) {
loc <- eta2theta(eta[, 1], .llocat)
sc <- eta2theta(eta[, 2], .lscale)
EulerM <- -digamma(1)
if (.mean) loc + sc * EulerM else {
LP <- length(.percentiles) # 0 if NULL
mu <- matrix(NA_real_, nrow(eta), LP)
for (ii in 1:LP) {
ci <- -log( .percentiles[ii] / 100)
mu[, ii] <- loc - sc * log(ci)
}
dmn2 <- paste(as.character(.percentiles), "%", sep = "")
dimnames(mu) <- list(dimnames(eta)[[1]], dmn2)
mu
}
}, list( .lscale = lscale, .percentiles = percentiles,
.llocat = llocat,
.elocat = elocat, .escale = escale ,
.mean=mean ))),
last = eval(substitute(expression({
misc$link <- c(location= .llocat, scale = .lscale)
misc$earg <- list(location= .elocat, scale= .escale )
misc$true.mu <- .mean # if F then
misc$percentiles = .percentiles
}), list( .lscale = lscale, .mean=mean,
.llocat = llocat,
.elocat = elocat, .escale = escale ,
.percentiles = percentiles ))),
loglikelihood = eval(substitute(
function(mu, y, w, residuals = FALSE, eta, extra = NULL,
summation = TRUE) {
loc <- eta2theta(eta[, 1], .llocat , earg = .elocat )
sc <- eta2theta(eta[, 2], .lscale , earg = .escale )
zedd <- (y-loc) / sc
cenL <- extra$leftcensored
cenU <- extra$rightcensored
cen0 <- !cenL & !cenU # uncensored obsns
Fy <- exp(-exp(-zedd))
ell1 <- -log(sc[cen0]) - zedd[cen0] - exp(-zedd[cen0])
ell2 <- log(Fy[cenL])
ell3 <- log1p(-Fy[cenU])
if (residuals) stop("loglikelihood residuals not ",
"implemented yet") else
sum(w[cen0] * ell1) +
sum(w[cenL] * ell2) + sum(w[cenU] * ell3)
}, list( .lscale = lscale,
.llocat = llocat,
.elocat = elocat, .escale = escale ))),
vfamily = "cens.gumbel",
deriv = eval(substitute(expression({
cenL <- extra$leftcensored
cenU <- extra$rightcensored
cen0 <- !cenL & !cenU # uncensored obsns
loc <- eta2theta(eta[, 1], .llocat, earg = .elocat )
sc <- eta2theta(eta[, 2], .lscale , earg = .escale )
zedd <- (y-loc) / sc
temp2 <- -expm1(-zedd)
dl.dloc <- temp2 / sc
dl.dsc <- -1/sc + temp2 * zedd / sc
dloc.deta <- dtheta.deta(loc, .llocat, earg = .elocat )
dsc.deta <- dtheta.deta(sc, .lscale , earg = .escale )
ezedd <- exp(-zedd)
Fy <- exp(-ezedd)
dFy.dloc <- -ezedd * Fy / sc
dFy.dsc <- zedd * dFy.dloc # -zedd * exp(-zedd) * Fy / sc
if (any(cenL)) {
dl.dloc[cenL] <- -ezedd[cenL] / sc[cenL]
dl.dsc[cenL] <- -zedd[cenL] * ezedd[cenL] / sc[cenL]
}
if (any(cenU)) {
dl.dloc[cenU] <- -dFy.dloc[cenU] / (1-Fy[cenU])
dl.dsc[cenU] <- -dFy.dsc[cenU] / (1-Fy[cenU])
}
c(w) * cbind(dl.dloc * dloc.deta,
dl.dsc * dsc.deta)
}), list( .lscale = lscale,
.llocat = llocat,
.elocat = elocat, .escale = escale ))),
weight = expression({
A1 <- ifelse(cenL, Fy, 0)
A3 <- ifelse(cenU, 1-Fy, 0)
A2 <- 1 - A1 - A3 # Middle; uncensored
digamma1 <- digamma(1)
ed2l.dsc2 <- ((2 + digamma1)*digamma1 +
trigamma(1) + 1) / sc^2
ed2l.dloc2 <- 1 / sc^2
ed2l.dlocsc <- -(1 + digamma1) / sc^2
wz <- matrix(NA_real_, n, dimm(M = 2))
wz[, iam(1, 1, M)] <- A2 * ed2l.dloc2 * dloc.deta^2
wz[, iam(2, 2, M)] <- A2 * ed2l.dsc2 * dsc.deta^2
wz[, iam(1, 2, M)] <- A2 * ed2l.dlocsc * dloc.deta *
dsc.deta
d2l.dloc2 <- -ezedd / sc^2
d2l.dsc2 <- (2 - zedd) * zedd * ezedd / sc^2
d2l.dlocsc <- (1 - zedd) * ezedd / sc^2
wz[, iam(1, 1, M)] <- wz[, iam(1, 1, M)] -
A1^2 * d2l.dloc2 * dloc.deta^2
wz[, iam(2, 2, M)] <-
wz[, iam(2, 2, M)] - A1^2 * d2l.dsc2 * dsc.deta^2
wz[, iam(1, 2, M)] <-
wz[, iam(1, 2, M)] - A1^2 * d2l.dlocsc *
dloc.deta * dsc.deta
d2Fy.dloc2 <- dFy.dloc * dl.dloc + Fy * d2l.dloc2
d2Fy.dsc2 <- dFy.dsc * dl.dsc + Fy * d2l.dsc2
d2Fy.dlocsc <- dFy.dsc * dl.dloc + Fy * d2l.dlocsc
d2l.dloc2 <- -((1 - Fy) * d2Fy.dloc2 -
dFy.dloc^2) / (1 - Fy)^2
d2l.dsc2 <- -((1 - Fy) * d2Fy.dsc2 -
dFy.dsc^2) / (1 - Fy)^2
d2l.dlocsc <- -((1-Fy) * d2Fy.dlocsc -
dFy.dloc * dFy.dsc) / (1 - Fy)^2
wz[, iam(1, 1, M)] <-
wz[, iam(1, 1, M)] - A3^2 * d2l.dloc2 * dloc.deta^2
wz[, iam(2, 2, M)] <-
wz[, iam(2, 2, M)] - A3^2 * d2l.dsc2 * dsc.deta^2
wz[, iam(1, 2, M)] <-
wz[, iam(1, 2, M)] - A3^2 * d2l.dlocsc *
dloc.deta * dsc.deta
c(w) * wz
}))
}
dfrechet <-
function(x, location = 0, scale = 1, shape, log = FALSE) {
if (!is.logical(log.arg <- log) || length(log) != 1)
stop("bad input for argument 'log'")
rm(log)
L <- max(length(x), length(scale),
length(shape), length(location))
if (length(x) != L) x <- rep_len(x, L)
if (length(scale) != L) scale <- rep_len(scale, L)
if (length(shape) != L) shape <- rep_len(shape, L)
if (length(location) != L) location <- rep_len(location, L)
logdensity <- rep_len(log(0), L)
xok <- (x > location)
rzedd <- scale / (x - location)
logdensity[xok] <- log(shape[xok]) -
(rzedd[xok]^shape[xok]) +
(shape[xok]+1) * log(rzedd[xok]) - log(scale[xok])
logdensity[shape <= 0] <- NaN
logdensity[scale <= 0] <- NaN
if (log.arg) logdensity else exp(logdensity)
} # dfrechet
pfrechet <-
function(q, location = 0, scale = 1, shape,
lower.tail = TRUE, log.p = FALSE) {
if (!is.logical(lower.tail) || length(lower.tail ) != 1)
stop("bad input for argument 'lower.tail'")
if (!is.logical(log.p) || length(log.p) != 1)
stop("bad input for argument 'log.p'")
rzedd <- scale / (q - location)
if (lower.tail) {
if (log.p) {
ans <- -(rzedd^shape)
ans[q <= location] <- -Inf
} else {
ans <- exp(-(rzedd^shape))
ans[q <= location] <- 0
}
} else {
if (log.p) {
ans <- log(-expm1(-(rzedd^shape)))
ans[q <= location] <- 0
} else {
ans <- -expm1(-(rzedd^shape))
ans[q <= location] <- 1
}
}
ans
} # pfrechet
qfrechet <- function(p, location = 0, scale = 1, shape,
lower.tail = TRUE, log.p = FALSE) {
if (!is.logical(lower.tail) || length(lower.tail ) != 1)
stop("bad input for argument 'lower.tail'")
if (!is.logical(log.p) || length(log.p) != 1)
stop("bad input for argument 'log.p'")
if (lower.tail) {
if (log.p) {
ln.p <- p
ans <- location + scale * (-ln.p)^(-1 / shape)
ans[ln.p > 0] <- NaN
} else {
ans <- location + scale * (-log(p))^(-1 / shape)
ans[p < 0] <- NaN
ans[p == 0] <- location
ans[p == 1] <- Inf
ans[p > 1] <- NaN
}
} else {
if (log.p) {
ln.p <- p
ans <- location +
scale * (-log(-expm1(ln.p)))^(-1 / shape)
ans[ln.p > 0] <- NaN
} else {
ans <- location + scale * (-log1p(-p))^(-1 / shape)
ans[p < 0] <- NaN
ans[p == 0] <- Inf
ans[p == 1] <- location
ans[p > 1] <- NaN
}
}
ans
} # qfrechet
rfrechet <- function(n, location = 0, scale = 1, shape) {
if (!is.Numeric(scale, positive = TRUE))
stop("scale must be positive")
if (!is.Numeric(shape, positive = TRUE))
stop("shape must be positive")
location + scale * (-log(runif(n)))^(-1/shape)
}
frechet.control <- function(save.weights = TRUE, ...) {
list(save.weights = save.weights)
}
frechet <-
function(location = 0,
lscale = "loglink",
lshape = logofflink(offset = -2),
iscale = NULL, ishape = NULL,
nsimEIM = 250,
zero = NULL) {
if (!is.Numeric(location))
stop("bad input for argument 'location'")
lscale <- as.list(substitute(lscale))
escale <- link2list(lscale)
lscale <- attr(escale, "function.name")
lshape <- as.list(substitute(lshape))
eshape <- link2list(lshape)
lshape <- attr(eshape, "function.name")
stopifnot(nsimEIM > 10,
length(nsimEIM) == 1, nsimEIM == round(nsimEIM))
new("vglmff",
blurb = c("2-parameter Frechet distribution\n",
"Links: ",
namesof("scale", link = lscale, escale ), ", ",
namesof("shape", link = lshape, eshape )),
constraints = eval(substitute(expression({
constraints <-
cm.zero.VGAM(constraints, x = x, .zero , M = M,
predictors.names = predictors.names,
M1 = 2)
}), list( .zero = zero ))),
infos = eval(substitute(function(...) {
list(M1 = 2,
Q1 = 1,
expected = TRUE,
multipleResponses = FALSE,
parameters.names = c("scale", "shape"),
lscale = .lscale ,
lshape = .lshape ,
nsimEIM = .nsimEIM ,
zero = .zero )
}, list( .zero = zero,
.lscale = lscale,
.lshape = lshape,
.nsimEIM = nsimEIM ))),
rqresslot = eval(substitute(
function(mu, y, w, eta, extra = NULL) {
loctn <- extra$location
Scale <- eta2theta(eta[, 1], .lscale , earg = .escale )
shape <- eta2theta(eta[, 2], .lshape , earg = .eshape )
scrambleseed <- runif(1) # To scramble the seed
qnorm(pfrechet(y, location = loctn, scale = Scale,
shape = shape))
}, list( .lscale = lscale, .lshape = lshape,
.escale = escale, .eshape = eshape ))),
initialize = eval(substitute(expression({
temp5 <-
w.y.check(w = w, y = y,
ncol.w.max = 1,
ncol.y.max = 1,
out.wy = TRUE,
colsyperw = 1,
maximize = TRUE)
w <- temp5$w
y <- temp5$y
predictors.names <-
c(namesof("scale", .lscale , .escale , short = TRUE),
namesof("shape", .lshape , .eshape , short = TRUE))
extra$location <- rep_len( .location , n) # stored here
if (!length(etastart)) {
locinit = extra$location
if (any(y <= locinit))
stop("initial values for 'location' are out of range")
frech.aux <- function(shapeval, y, x, w, extraargs) {
myprobs <- c(0.25, 0.5, 0.75)
myobsns <- quantile(y, probs = myprobs)
myquant <- (-log(myprobs))^(-1/shapeval)
myfit <- lsfit(x = myquant, y = myobsns,
intercept = TRUE)
sum(myfit$resid^2)
}
shape.grid <- c(100, 70, 40, 20, 12, 8, 4, 2, 1.5)
shape.grid <- c(1 / shape.grid, 1, shape.grid)
try.this <- grid.search(shape.grid, objfun = frech.aux,
y = y, x = x, w = w,
maximize = FALSE,
abs.arg = TRUE)
shape.init <- if (length( .ishape ))
rep_len( .ishape , n) else {
rep_len(try.this , n) # variance exists if shape > 2
}
myprobs <- c(0.25, 0.5, 0.75)
myobsns <- quantile(y, probs = myprobs)
myquant <- (-log(myprobs))^(-1/shape.init[1])
myfit <- lsfit(x = myquant, y = myobsns)
Scale.init <- if (length( .iscale ))
rep_len( .iscale , n) else {
if (all(shape.init > 1)) {
myfit$coef[2]
} else {
rep_len(1.0, n)
}
}
etastart <-
cbind(theta2eta(Scale.init, .lscale , earg = .escale ),
theta2eta(shape.init, .lshape , earg = .eshape ))
}
}), list( .lscale = lscale, .lshape = lshape,
.escale = escale, .eshape = eshape,
.iscale = iscale, .ishape = ishape,
.location = location ))),
linkinv = eval(substitute(function(eta, extra = NULL) {
loc <- extra$location
Scale <- eta2theta(eta[, 1], .lscale , earg = .escale )
shape <- eta2theta(eta[, 2], .lshape , earg = .eshape )
ans <- rep_len(NA_real_, length(shape))
ok <- shape > 1
ans[ok] <- loc[ok] + Scale[ok] * gamma(1 - 1/shape[ok])
ans
}, list( .lscale = lscale, .lshape = lshape,
.escale = escale, .eshape = eshape ))),
last = eval(substitute(expression({
misc$links <- c("scale" = .lscale , "shape" = .lshape )
misc$earg <- list("scale" = .escale , "shape" = .eshape )
misc$nsimEIM <- .nsimEIM
}), list( .lscale = lscale, .lshape = lshape,
.escale = escale, .eshape = eshape,
.nsimEIM = nsimEIM ))),
loglikelihood = eval(substitute(
function(mu, y, w, residuals = FALSE, eta, extra = NULL,
summation = TRUE) {
loctn <- extra$location
Scale <- eta2theta(eta[, 1], .lscale , earg = .escale )
shape <- eta2theta(eta[, 2], .lshape , earg = .eshape )
if (residuals) {
stop("loglikelihood residuals not implemented yet")
} else {
ll.elts <- c(w) *
dfrechet(y, location = loctn, scale = Scale,
shape = shape, log = TRUE)
if (summation) {
sum(ll.elts)
} else {
ll.elts
}
}
}, list( .lscale = lscale, .lshape = lshape,
.escale = escale, .eshape = eshape ))),
vfamily = c("frechet", "vextremes"),
deriv = eval(substitute(expression({
loctn <- extra$location
Scale <- eta2theta(eta[, 1], .lscale , earg = .escale )
shape <- eta2theta(eta[, 2], .lshape , earg = .eshape )
rzedd <- Scale / (y - loctn) # reciprocial of zedd
dl.dloctn <- (shape + 1) / (y - loctn) -
(shape / (y - loctn)) * (rzedd)^shape
dl.dScale <- shape * (1 - rzedd^shape) / Scale
dl.dshape <- 1 / shape + log(rzedd) * (1 - rzedd^shape)
dthetas.detas <- cbind(
dScale.deta <- dtheta.deta(Scale, .lscale , .escale ),
dShape.deta <- dtheta.deta(shape, .lshape , .eshape ))
c(w) * cbind(dl.dScale,
dl.dshape) * dthetas.detas
}), list( .lscale = lscale, .lshape = lshape,
.escale = escale, .eshape = eshape ))),
weight = eval(substitute(expression({
run.varcov <- 0
ind1 <- iam(NA, NA, M = M, both = TRUE, diag = TRUE)
if (length( .nsimEIM )) {
for (ii in 1:( .nsimEIM )) {
ysim <- rfrechet(n, loc = loctn,
scale = Scale, shape = shape)
rzedd <- Scale / (ysim - loctn) # == 1/zedd
dl.dloctn <- (shape + 1) / (ysim - loctn) -
(shape / (ysim - loctn)) * (rzedd)^shape
dl.dScale <- shape * (1 - rzedd^shape) / Scale
dl.dshape <- 1 / shape +
log(rzedd) * (1 - rzedd^shape)
rm(ysim)
temp3 <- cbind(dl.dScale, dl.dshape)
run.varcov <- run.varcov +
temp3[, ind1$row.index] *
temp3[, ind1$col.index]
}
run.varcov <- run.varcov / .nsimEIM
wz = if (intercept.only)
matrix(colMeans(run.varcov),
n, ncol(run.varcov), byrow = TRUE) else
run.varcov
wz = c(w) * wz * dthetas.detas[, ind1$row.index] *
dthetas.detas[, ind1$col.index]
} else {
stop("argument 'nsimEIM' must be numeric")
}
wz
}), list( .nsimEIM = nsimEIM ))))
} # frechet
rec.normal.control <- function(save.weights = TRUE, ...) {
list(save.weights = save.weights)
}
rec.normal <-
function(lmean = "identitylink", lsd = "loglink",
imean = NULL, isd = NULL, imethod = 1,
zero = NULL) {
lmean <- as.list(substitute(lmean))
emean <- link2list(lmean)
lmean <- attr(emean, "function.name")
lsdev <- as.list(substitute(lsd))
esdev <- link2list(lsdev)
lsdev <- attr(esdev, "function.name")
isdev <- isd
if (!is.Numeric(imethod, length.arg = 1,
integer.valued = TRUE, positive = TRUE) ||
imethod > 3.5)
stop("argument 'imethod' must be 1 or 2 or 3")
new("vglmff",
blurb = c("Upper record values from a univariate normal ",
"distribution\n\n",
"Links: ",
namesof("mean", lmean, emean, tag = TRUE), "; ",
namesof("sd", lsdev, esdev, tag = TRUE), "\n",
"Variance: sd^2"),
constraints = eval(substitute(expression({
constraints <-
cm.zero.VGAM(constraints, x = x, .zero , M = M,
predictors.names = predictors.names,
M1 = 2)
}), list( .zero = zero ))),
infos = eval(substitute(function(...) {
list(M1 = 2,
Q1 = 1,
expected = FALSE,
hadof = FALSE, # BFGS ==> hdeff() does not work.
multipleResponses = FALSE,
parameters.names = c("mean", "sd"),
lmean = .lmean ,
lsd = .lsd ,
imethod = .imethod ,
zero = .zero )
}, list( .zero = zero,
.lmean = lmean,
.lsd = lsd,
.imethod = imethod ))),
initialize = eval(substitute(expression({
predictors.names <-
c(namesof("mean", .lmean, earg = .emean , tag = FALSE),
namesof("sd", .lsdev, earg = .esdev , tag = FALSE))
if (ncol(y <- cbind(y)) != 1)
stop("response must be a vector or a 1-column matrix")
if (any(diff(y) <= 0))
stop("response must have increasingly larger ",
"and larger values")
if (any(w != 1))
warning("weights should have unit values only")
if (!length(etastart)) {
mean.init <- if (length( .imean ))
rep_len( .imean , n) else {
if ( .lmean == "loglink")
pmax(1/1024, min(y)) else min(y)
}
sd.init <- if (length( .isdev))
rep_len( .isdev , n) else {
if (.imethod == 1) 1*(sd(c(y))) else
if (.imethod == 2) 5*(sd(c(y))) else
.5*(sd(c(y)))
}
etastart <-
cbind(theta2eta(rep_len(mean.init, n), .lmean , .emean ),
theta2eta(rep_len(sd.init, n), .lsdev , .esdev ))
}
}), list( .lmean = lmean, .lsdev = lsdev,
.emean = emean, .esdev = esdev,
.imean = imean, .isdev = isdev,
.imethod = imethod ))),
linkinv = eval(substitute(function(eta, extra = NULL) {
eta2theta(eta[, 1], .lmean, .emean )
}, list( .lmean = lmean, .emean = emean ))),
last = eval(substitute(expression({
misc$link <- c("mu" = .lmean , "sd" = .lsdev )
misc$earg <- list("mu" = .emean , "sd" = .esdev )
}), list( .lmean = lmean, .lsdev = lsdev,
.emean = emean, .esdev = esdev ))),
loglikelihood = eval(substitute(
function(mu, y, w, residuals = FALSE, eta, extra = NULL,
summation = TRUE) {
sdev <- eta2theta(eta[, 2], .lsdev )
if (residuals) {
stop("loglikelihood residuals not implemented yet")
} else {
zedd <- (y - mu) / sdev
NN <- nrow(eta)
if (summation) {
sum(w * (-log(sdev) - 0.5 * zedd^2)) -
sum(w[-NN] * pnorm(zedd[-NN], lower.tail = FALSE,
log.p = TRUE))
} else {
stop("cannot handle 'summation = FALSE' yet")
}
}
}, list( .lsdev = lsdev, .esdev = esdev ))),
vfamily = c("rec.normal"),
deriv = eval(substitute(expression({
NN <- nrow(eta)
mymu <- eta2theta(eta[, 1], .lmean )
sdev <- eta2theta(eta[, 2], .lsdev )
zedd <- (y - mymu) / sdev
temp200 <- dnorm(zedd) / (1-pnorm(zedd))
dl.dmu <- (zedd - temp200) / sdev
dl.dmu[NN] <- zedd[NN] / sdev[NN]
dl.dsd <- (-1 + zedd^2 - zedd * temp200) / sdev
dl.dsd[NN] <- (-1 + zedd[NN]^2) / sdev[NN]
dmu.deta <- dtheta.deta(mymu, .lmean, .emean )
dsd.deta <- dtheta.deta(sdev, .lsdev, .esdev )
if (iter == 1) {
etanew <- eta
} else {
derivold <- derivnew
etaold <- etanew
etanew <- eta
}
derivnew <- c(w) * cbind(dl.dmu * dmu.deta,
dl.dsd * dsd.deta)
derivnew
}), list( .lmean = lmean, .lsdev = lsdev,
.emean = emean, .esdev = esdev ))),
weight = expression({
if (iter == 1) {
wznew <- cbind(matrix(w, n, M),
matrix(0, n, dimm(M)-M))
} else {
wzold <- wznew
wznew <- qnupdate(w = w, wzold = wzold,
dderiv = (derivold - derivnew),
deta = etanew-etaold, trace = trace,
M = M) # weights incorporated in args
}
wznew
}))
} # rec.normal
rec.exp1.control <- function(save.weights = TRUE, ...) {
list(save.weights = save.weights)
}
rec.exp1 <-
function(lrate = "loglink", irate = NULL, imethod = 1) {
lrate <- as.list(substitute(lrate))
erate <- link2list(lrate)
lrate <- attr(erate, "function.name")
if (!is.Numeric(imethod, length.arg = 1,
integer.valued = TRUE, positive = TRUE) ||
imethod > 3.5)
stop("argument 'imethod' must be 1 or 2 or 3")
new("vglmff",
blurb = c("Upper record values from a ",
"1-parameter exponential distribution\n\n",
"Links: ",
namesof("rate", lrate, earg = erate, tag = TRUE), "\n",
"Variance: 1/rate^2"),
initialize = eval(substitute(expression({
predictors.names <-
c(namesof("rate", .lrate , earg = .erate , tag = FALSE))
if (ncol(y <- cbind(y)) != 1)
stop("response must be a vector or a one-column matrix")
if (any(diff(y) <= 0))
stop("response must have increasingly larger",
" and larger values")
if (any(w != 1))
warning("weights should have unit values only")
if (!length(etastart)) {
rate.init <- if (length( .irate ))
rep_len( .irate , n) else {
init.rate <-
if (.imethod == 1) length(y) / y[length(y), 1] else
if (.imethod == 2) 1/mean(y) else 1/median(y)
if (.lrate == "loglink") pmax(1/1024, init.rate) else
init.rate
}
etastart <-
cbind(theta2eta(rep_len(rate.init, n), .lrate , .erate ))
}
}), list( .lrate = lrate,
.erate = erate,
.irate = irate, .imethod = imethod ))),
linkinv = eval(substitute(function(eta, extra = NULL) {
eta2theta(eta, .lrate , .erate )
}, list( .lrate = lrate, .erate = erate ))),
last = eval(substitute(expression({
misc$link <- c("rate" = .lrate)
misc$earg <- list("rate" = .erate)
misc$expected = TRUE
}), list( .lrate = lrate, .erate = erate ))),
loglikelihood = eval(substitute(
function(mu, y, w, residuals = FALSE, eta, extra = NULL,
summation = TRUE) {
rate <- eta2theta(eta, .lrate , .erate )
if (residuals) {
stop("loglikelihood residuals not implemented yet")
} else {
NN <- length(eta)
y <- cbind(y)
if (summation) {
sum(w * log(rate)) - w[NN] * rate[NN] * y[NN, 1]
} else {
stop("cannot handle 'summation = FALSE' yet")
}
}
}, list( .lrate = lrate, .erate = erate ))),
vfamily = c("rec.exp1"),
deriv = eval(substitute(expression({
NN <- length(eta)
rate <- c(eta2theta(eta, .lrate , .erate ))
dl.drate <- 1 / rate
dl.drate[NN] <- 1/ rate[NN] - y[NN, 1]
drate.deta <- dtheta.deta(rate, .lrate , .erate )
c(w) * cbind(dl.drate * drate.deta)
}), list( .lrate = lrate, .erate = erate ))),
weight = expression({
ed2l.drate2 <- 1 / rate^2
wz <- drate.deta^2 * ed2l.drate2
c(w) * wz
}))
} # rec.exp1
dpois.points <- function(x, lambda, ostatistic,
dimension = 2, log = FALSE) {
if (!is.logical(log.arg <- log) || length(log) != 1)
stop("bad input for argument 'log'")
rm(log)
L <- max(length(x), length(lambda),
length(ostatistic), length(dimension))
if (length(x) != L)
x <- rep_len(x, L)
if (length(lambda) != L)
lambda <- rep_len(lambda, L)
if (length(ostatistic) != L)
ostatistic <- rep_len(ostatistic, L)
if (length(dimension) != L)
dimension <- rep_len(dimension, L)
if (!all(dimension %in% c(2, 3)))
stop("argument 'dimension' must have values 2 and/or 3")
ans2 <- log(2) + ostatistic * log(pi * lambda) -
lgamma(ostatistic) + (2 * ostatistic - 1) * log(x) -
lambda * pi * x^2
ans2[x < 0 | is.infinite(x)] <- log(0) # 20141209 KaiH
ans3 <- log(3) + ostatistic * log(4 * pi * lambda / 3) -
lgamma(ostatistic) + (3 * ostatistic - 1) * log(x) -
(4/3) * lambda * pi * x^3
ans3[x < 0 | is.infinite(x)] <- log(0) # 20141209 KaiH
ans <- ifelse(dimension == 2, ans2, ans3)
if (log.arg) ans else exp(ans)
}
poisson.points <-
function(ostatistic, dimension = 2,
link = "loglink",
idensity = NULL, imethod = 1) {
if (!is.Numeric(ostatistic,
length.arg = 1,
positive = TRUE))
stop("argument 'ostatistic' must be a single ",
"positive integer")
if (!is.Numeric(dimension, positive = TRUE,
length.arg = 1, integer.valued = TRUE) ||
dimension > 3)
stop("argument 'dimension' must be 2 or 3")
link <- as.list(substitute(link))
earg <- link2list(link)
link <- attr(earg, "function.name")
if (!is.Numeric(imethod, length.arg = 1,
positive = TRUE, integer.valued = TRUE) ||
imethod > 2.5)
stop("argument 'imethod' must be 1 or 2")
if (length(idensity) &&
!is.Numeric(idensity, positive = TRUE))
stop("bad input for argument 'idensity'")
new("vglmff",
blurb = c(if (dimension == 2)
"Poisson-points-on-a-plane distances distribution\n" else
"Poisson-points-on-a-volume distances distribution\n",
"Link: ",
namesof("density", link, earg = earg), "\n\n",
if (dimension == 2)
"Mean: gamma(s+0.5) / (gamma(s) * sqrt(density * pi))" else
"Mean: gamma(s+1/3) / (gamma(s) * (4*density*pi/3)^(1/3))"),
infos = eval(substitute(function(...) {
list(M1 = 1,
Q1 = 1,
expected = TRUE,
multipleResponses = FALSE,
parameters.names = c("density"),
link = .link )
}, list( .link = link ))),
initialize = eval(substitute(expression({
if (NCOL(y) != 1)
stop("response must be a vector or a 1-column matrix")
if (any(y <= 0))
stop("response must contain positive values only")
predictors.names <-
namesof("density", .link, earg = .earg , tag = FALSE)
if (!length(etastart)) {
use.this <- if ( .imethod == 1) median(y) + 1/8 else
weighted.mean(y,w)
if ( .dimension == 2) {
myratio <- exp(lgamma( .ostatistic + 0.5) -
lgamma( .ostatistic ))
density.init <- if (is.Numeric( .idensity ))
rep_len( .idensity , n) else
rep_len(myratio^2 / (pi * use.this^2), n)
etastart <- theta2eta(density.init, .link , .earg )
} else {
myratio <- exp(lgamma( .ostatistic + 1/3) -
lgamma( .ostatistic ))
density.init <- if (is.Numeric( .idensity ))
rep_len( .idensity , n) else
rep_len(3 * myratio^3 / (4 * pi * use.this^3), n)
etastart <- theta2eta(density.init, .link , .earg )
}
}
}), list( .link = link, .earg = earg,
.ostatistic = ostatistic,
.dimension = dimension, .imethod = imethod,
.idensity = idensity ))),
linkinv = eval(substitute(function(eta, extra = NULL) {
density <- eta2theta(eta, .link, earg = .earg)
if ( .dimension == 2) {
myratio <- exp(lgamma( .ostatistic + 0.5) -
lgamma( .ostatistic ))
myratio / sqrt(density * pi)
} else {
myratio <- exp(lgamma( .ostatistic + 1/3) -
lgamma( .ostatistic ))
myratio / (4 * density * pi/3)^(1/3)
}
}, list( .link = link, .earg = earg,
.ostatistic = ostatistic,
.dimension = dimension ))),
last = eval(substitute(expression({
misc$link <- c("density" = .link )
misc$earg <- list("density" = .earg )
misc$ostatistic <- .ostatistic
misc$dimension <- .dimension
}), list( .link = link, .earg = earg,
.ostatistic = ostatistic,
.dimension = dimension ))),
loglikelihood = eval(substitute(
function(mu, y, w, residuals = FALSE, eta,
extra = NULL,
summation = TRUE) {
density <- eta2theta(eta, .link, earg = .earg)
if (residuals) {
stop("loglikelihood residuals not implemented yet")
} else {
ll.elts <- c(w) *
dpois.points(y, lambda = density,
ostatistic = .ostatistic ,
dimension = .dimension , log = TRUE)
if (summation) {
sum(ll.elts)
} else {
ll.elts
}
}
}, list( .link = link, .earg = earg,
.ostatistic = ostatistic,
.dimension = dimension ))),
vfamily = c("poisson.points"),
deriv = eval(substitute(expression({
density <- eta2theta(eta, .link, earg = .earg)
dl.ddensity <- if ( .dimension == 2) {
.ostatistic / density - pi * y^2
} else {
.ostatistic / density - (4/3) * pi * y^3
}
ddensity.deta <- dtheta.deta(density, .link , .earg )
c(w) * dl.ddensity * ddensity.deta
}), list( .link = link, .earg = earg,
.ostatistic = ostatistic,
.dimension = dimension ))),
weight = eval(substitute(expression({
ned2l.ddensity2 <- .ostatistic / density^2
wz <- ddensity.deta^2 * ned2l.ddensity2
c(w) * wz
}), list( .link = link, .earg = earg,
.ostatistic = ostatistic,
.dimension = dimension ))))
} # poisson.points
gumbel1 <-
function(llocation = "identitylink",
iscale = 1, # The *actual* value
zero = NULL) {
llocat <- as.list(substitute(llocation))
elocat <- link2list(llocat)
llocat <- attr(elocat, "function.name")
if (length(iscale) && !is.Numeric(iscale, positive = TRUE))
stop("bad input for argument 'iscale'")
if (any(iscale != 1))
stop("bad 'iscale'")
new("vglmff",
blurb = c("Gumbel distribution for extreme ",
"value regression\n",
"Links: ",
namesof("location", llocat, earg = elocat )),
constraints = eval(substitute(expression({
constraints <-
cm.zero.VGAM(constraints, x = x, .zero , M = M,
predictors.names = predictors.names,
M1 = 1)
}), list( .zero = zero ))),
infos = eval(substitute(function(...) {
list(M1 = 1,
Q1 = 1,
expected = TRUE,
multipleResponses = FALSE,
parameters.names = c("location"),
llocation = .llocat ,
iscale = .iscale ,
zero = .zero )
},
list( .zero = zero,
.llocat = llocation, .iscale = iscale ))),
rqresslot = eval(substitute(
function(mu, y, w, eta, extra = NULL) {
eta <- cbind(eta)
loc <- eta2theta(eta[, 1], .llocat , earg = .elocat )
sigma <- ( .iscale )
scrambleseed <- runif(1) # To scramble the seed
qnorm(pgumbel(y, location = loc, scale = sigma))
}, list( .llocat = llocat, .iscale = iscale,
.elocat = elocat ))),
initialize = eval(substitute(expression({
predictors.names <-
c(namesof("location", .llocat , .elocat , short = TRUE))
y <- as.matrix(y)
if (ncol(y) > 1)
stop("only vector y allowed")
w <- as.matrix(w)
if (ncol(w) != 1)
stop("the 'weights' argument must be a vector or ",
"1-column matrix")
r.vec <- rowSums(cbind(!is.na(y)))
if (any(r.vec == 0))
stop("There is at least one row of the response ",
"containing all NAs")
sc.init <- ( .iscale )
sc.init <- rep_len(sc.init, n)
EulerM <- -digamma(1)
loc.init <- (y - sc.init * EulerM)
loc.init[loc.init <= 0] <- min(y)
if (!length(etastart)) {
etastart <-
cbind(theta2eta(loc.init, .llocat , .elocat ))
}
}), list( .llocat = llocat,
.elocat = elocat, .iscale = iscale ))),
linkinv = eval(substitute(function(eta, extra = NULL) {
eta <- cbind(eta)
loc <- eta2theta(eta[, 1], .llocat , earg = .elocat )
sigma <- ( .iscale )
EulerM <- -digamma(1)
mu <- loc + sigma * EulerM
mu
}, list( .llocat = llocat, .iscale = iscale,
.elocat = elocat ))),
last = eval(substitute(expression({
misc$links <- c(location = .llocat )
misc$earg <- list(location = .elocat )
}), list( .llocat = llocat, .iscale = iscale,
.elocat = elocat ))),
vfamily = c("gumbel1", "vextremes"),
loglikelihood = eval(substitute(
function(mu, y, w, residuals = FALSE, eta, extra = NULL,
summation = TRUE) {
eta <- cbind(eta)
loc <- eta2theta(eta[, 1], .llocat , earg = .elocat )
sigma <- ( .iscale )
ans <- -(y - loc) - exp( -(y - loc) / sigma )
if (residuals) {
stop("loglikelihood residuals not implemented yet")
} else {
ll.elts <- c(w) * ans
if (summation) {
sum(ll.elts)
} else {
ll.elts
}
}
}, list( .llocat = llocat, .iscale = iscale,
.elocat = elocat ))),
deriv = eval(substitute(expression({
eta <- cbind(eta)
locat <- eta2theta(eta[, 1], .llocat , earg = .elocat )
sigma <- ( .iscale )
dlocat.deta <- dtheta.deta(locat, .llocat , .elocat )
dl.dlocat <- 1 - exp(-y + locat)
c(w) * cbind(dl.dlocat * dlocat.deta)
}),
list( .llocat = llocat, .iscale = iscale,
.elocat = elocat ))),
weight = eval(substitute(expression({
wz <- exp(-y + locat) * dlocat.deta^2
c(w) * wz
}), list( .iscale = iscale ))))
} # gumbel1
dhurea <- function(x, shape, log = FALSE) {
if (!is.logical(log.arg <- log) || length(log) != 1)
stop("bad input for argument 'log'")
rm(log)
L <- max(length(x), length(shape))
if (length(x) != L) x <- rep_len(x, L)
if (length(shape) != L) shape <- rep_len(shape, L)
logdensity <- rep_len(log(0), L)
xok <- (0 <= x) & (x <= 1)
logdensity[xok] <- -0.5 * log(2 * pi) +
log(0.25 * shape[xok]) -
log(x[xok]) - 2 * log1p(-x[xok]) - (2 +
(shape[xok])^2 * logitlink(x[xok]))^2 / (
8 * (shape[xok])^2)
logdensity[shape <= 0] <- NaN
if (log.arg) logdensity else exp(logdensity)
} # dhurea
hurea <-
function(lshape = "loglink", zero = NULL,
nrfs = 1,
gshape = exp(3 * ppoints(5) - 1),
parallel = FALSE
) {
stopifnot(is.Numeric(nrfs, length.arg = 1),
0 <= nrfs && nrfs <= 1)
lshape <- as.list(substitute(lshape)) # orig
eshape <- link2list(lshape)
lshape <- attr(eshape, "function.name")
new("vglmff",
blurb = c("Husler-Reiss angular surface distribution\n",
"f(y; shape) = complicated!, ",
"0 < y < 1, 0 < shape < Inf\n",
"Link: ",
namesof("shape", lshape, earg = eshape)),
constraints = eval(substitute(expression({
constraints <- cm.VGAM(matrix(1, M, 1), x = x,
bool = .parallel ,
constraints, apply.int = FALSE)
constraints <- cm.zero.VGAM(constraints, x = x, .zero ,
M = M, M1 = 1,
predictors.names = predictors.names)
}), list( .parallel = parallel,
.zero = zero ))),
infos = eval(substitute(function(...) {
list(M1 = 1,
Q1 = 1,
dpqrfun = "hurea",
expected = TRUE,
multipleResponses = TRUE,
nrfs = .nrfs ,
parallel = .parallel ,
parameters.names = "shape",
zero = .zero )
}, list( .parallel = parallel,
.nrfs = nrfs,
.zero = zero ))),
initialize = eval(substitute(expression({
temp5 <-
w.y.check(w = w, y = y,
Is.positive.y = TRUE,
Is.integer.y = FALSE,
ncol.w.max = Inf,
ncol.y.max = Inf,
out.wy = TRUE,
colsyperw = 1,
maximize = TRUE)
w <- temp5$w
y <- temp5$y
if (any(y >= 1))
stop("response must be in (0, 1)")
ncoly <- ncol(y)
M1 <- 1
M <- M1 * ncoly
extra$ncoly <- ncoly
extra$colnames.y <- colnames(y)
extra$M1 <- M1
mynames1 <- param.names("shape", ncoly, skip1 = TRUE)
predictors.names <-
namesof(mynames1, .lshape , .eshape , tag = FALSE)
if (!length(etastart)) {
shape.init <- matrix(0, nrow(x), ncoly)
gshape <- ( .gshape )
hurea.Loglikfun <- function(shape, y, x = NULL,
w, extraargs = NULL) {
sum(c(w) * dhurea(x = y, shape = shape, log = TRUE))
}
for (jay in 1:ncoly) {
shape.init[, jay] <-
grid.search(gshape,
objfun = hurea.Loglikfun,
y = y[, jay], w = w[, jay])
}
etastart <- theta2eta(shape.init, .lshape , .eshape )
}
}),
list( .lshape = lshape, .gshape = gshape,
.eshape = eshape
))),
linkinv = eval(substitute(function(eta, extra = NULL) {
shape <- eta2theta(eta, .lshape , earg = .eshape )
fv <- shape
fv
}, list( .lshape = lshape, .eshape = eshape ))),
last = eval(substitute(expression({
misc$earg <- vector("list", M)
names(misc$earg) <- mynames1
for (ilocal in 1:ncoly) {
misc$earg[[ilocal]] <- ( .eshape )
}
misc$link <- rep_len( .lshape , ncoly)
names(misc$link) <- mynames1
}), list( .lshape = lshape, .eshape = eshape ))),
loglikelihood = eval(substitute(
function(mu, y, w, residuals = FALSE, eta,
extra = NULL,
summation = TRUE) {
shape <- eta2theta(eta, .lshape , earg = .eshape )
if (residuals) {
stop("loglikelihood residuals not implemented yet")
} else {
ll.elts <- c(w) * dhurea(y, shape = shape, log = TRUE)
if (summation) {
sum(ll.elts)
} else {
ll.elts
}
}
}, list( .lshape = lshape, .eshape = eshape ))),
vfamily = c("hurea"),
validparams =
eval(substitute(function(eta, y, extra = NULL) {
shape <- eta2theta(eta, .lshape , earg = .eshape )
okay1 <- all(is.finite(shape)) && all(0 < shape)
okay1
}, list( .lshape = lshape, .eshape = eshape ))),
simslot = eval(substitute(
function(object, nsim) {
pwts <- if (length(pwts <- object@prior.weights) > 0)
pwts else weights(object, type = "prior")
if (any(pwts != 1))
warning("ignoring prior weights")
eta <- predict(object)
shape <- eta2theta(eta, .lshape , earg = .eshape )
stop("rhurea() has not been written")
}, list( .lshape = lshape, .eshape = eshape ))),
deriv = eval(substitute(expression({
shape <- eta2theta(eta, .lshape , earg = .eshape )
dshape.deta <- dtheta.deta(shape, .lshape , .eshape )
dl.dshape <- 1 / shape + 1 / shape^3 -
0.25 * shape * (logitlink(y))^2
c(w) * dl.dshape * dshape.deta
}), list( .lshape = lshape, .eshape = eshape ))),
weight = eval(substitute(expression({
ned2l.dshape2 <- if ( .nrfs > 0)
2 * (1 + 2 / shape^2) / shape^2 else 0
if ( .nrfs < 1)
d2shape.deta2 <- d2theta.deta2(shape, .lshape, .eshape )
d2l.dshape2 <- if ( .nrfs < 1)
(1 + 3 / shape^2) / shape^2 +
0.25 * (logitlink(y))^2 else 0
wz <- if ( .nrfs > 0) # FS
c(w) * .nrfs * ned2l.dshape2 * dshape.deta^2 else 0
if ( .nrfs < 1) # Add on NR
wz <- wz + c(w) * (1 - .nrfs ) *
(d2l.dshape2 * dshape.deta^2 +
dl.dshape * d2shape.deta2)
wz
}),
list( .lshape = lshape, .eshape = eshape,
.nrfs = nrfs ))))
} # hurea
Try the VGAM package in your browser
Any scripts or data that you put into this service are public.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.