Nothing
mvma.hybrid <- function(ys, vars, data, method = "reml", tol = 1E-10){
if(missing(ys)) stop("the argument ys is missing.")
if(missing(vars)) stop("the argument vars is missing.")
if(!missing(data)){
ys <- eval(substitute(ys), data, parent.frame())
vars <- eval(substitute(vars), data, parent.frame())
}
if(method != "ml" & method != "reml") stop("method must be either reml or ml.")
ys <- as.matrix(ys)
vars <- as.matrix(vars)
n <- dim(ys)[1]
p <- dim(ys)[2]
if(p < 2) stop("please directly use the univariate model.")
idx.na <- numeric(0)
for(i in 1:n){
if(all(is.na(ys[i,]))) idx.na <- c(idx.na, i)
}
if(length(idx.na) > 0){
ys <- ys[-idx.na,]
vars <- vars[-idx.na,]
n <- dim(ys)[1]
}
idx.obs <- vector("list", n)
X <- vector("list", n)
ys.tilde <- vector("list", n)
vars.tilde <- vector("list", n)
for(i in 1:n){
idx.obs[[i]] <- which(!is.na(ys[i,]))
X[[i]] <- diag(p)[idx.obs[[i]],]
if(length(idx.obs[[i]]) == 1) X[[i]] <- matrix(X[[i]], nrow = 1, ncol = p)
ys.tilde[[i]] <- ys[i, idx.obs[[i]]]
vars.tilde[[i]] <- vars[i, idx.obs[[i]]]
}
target <- function(x){
mu <- x[1:p]
tau2 <- x[(p + 1):(2*p)]
thetas <- matrix(NA, nrow = p - 1, ncol = p - 1)
for(i in 1:(p - 1)){
for(j in 1:i){
if(i == j) thetas[i, j] <- x[2*p + (i - 1)*i/2 + j]
if(i != j) thetas[i, j] <- thetas[j, i] <- x[2*p + (i - 1)*i/2 + j]
}
}
# Cholesky decomposition: all theta's are between 0 and pi
L <- matrix(0, nrow = p, ncol = p)
L[1, 1] <- 1
for(i in 2:p){
for(j in 1:i){
if(j == 1) L[i, j] <- cos(thetas[i - 1, 1])
if(j >= 2 & j <= i - 1) L[i, j] <- prod(sin(thetas[i - 1, 1:(j - 1)]))*cos(thetas[i - 1, j])
if(j == i) L[i, j] <- prod(sin(thetas[i - 1, 1:(i - 1)]))
}
}
R <- L%*%t(L)
out1 <- 0
out2 <- matrix(0, p, p)
for(i in 1:n){
var.temp <- vars.tilde[[i]] + tau2[idx.obs[[i]]]
y.temp <- ys.tilde[[i]]
y_mu_D_half <- (y.temp - mu[idx.obs[[i]]])*sqrt(1/var.temp)
y_mu_D_half <- as.matrix(y_mu_D_half)
logdet <- determinant(as.matrix(R[idx.obs[[i]], idx.obs[[i]]]), logarithm = TRUE)
if(logdet$sign <= 0) logdet <- -Inf else logdet <- logdet$modulus
temp <- logdet+ sum(log(var.temp)) + as.numeric(t(y_mu_D_half)%*%solve(R[idx.obs[[i]], idx.obs[[i]]])%*%y_mu_D_half)
out1 <- out1 + temp
if(method == "reml"){
if(length(idx.obs[[i]]) == 1){
var.temp <- as.numeric(var.temp)
out2 <- out2 + t(X[[i]])%*%X[[i]]/var.temp
}else{
half.inv <- as.matrix(diag(1/sqrt(var.temp)))
out2 <- out2 + t(X[[i]])%*%half.inv%*%solve(R[idx.obs[[i]], idx.obs[[i]]])%*%half.inv%*%X[[i]]
}
}
}
if(method == "ml") out <- as.numeric(out1)
if(method == "reml"){
logdet2 <- determinant(as.matrix(out2), logarithm = TRUE)
if(logdet2$sign <= 0) logdet2 <- -Inf else logdet2 <- logdet2$modulus
out <- out1 + logdet2
}
return(out)
}
pi <- 3.1415926
optim.out <- optim(par = c(rep(0, p), rep(1, p), rep(pi/2, (p - 1)*p/2)), fn = target,
lower = c(rep(-Inf, p), rep(10^(-6), p), rep(0 + 0.01, (p - 1)*p/2)),
upper = c(rep(Inf, p), rep(Inf, p), rep(pi - 0.01, (p - 1)*p/2)),
method = "L-BFGS-B", control = list(factr = tol))
pars <- optim.out$par
mu.est <- pars[1:p]
tau2.est <- pars[(p + 1):(2*p)]
thetas.est <- matrix(NA, nrow = p - 1, ncol = p - 1)
for(i in 1:(p - 1)){
for(j in 1:i){
if(i == j) thetas.est[i, j] <- pars[2*p + (i - 1)*i/2 + j]
if(i != j) thetas.est[i, j] <- thetas.est[j, i] <- pars[2*p + (i - 1)*i/2 + j]
}
}
L.est <- matrix(0, nrow = p, ncol = p)
L.est[1, 1] <- 1
for(i in 2:p){
for(j in 1:i){
if(j == 1) L.est[i, j] <- cos(thetas.est[i - 1, 1])
if(j >= 2 & j <= i - 1) L.est[i, j] <- prod(sin(thetas.est[i - 1, 1:(j - 1)]))*cos(thetas.est[i - 1, j])
if(j == i) L.est[i, j] <- prod(sin(thetas.est[i - 1, 1:(i - 1)]))
}
}
mar.R <- L.est%*%t(L.est)
temp <- matrix(0, p, p)
for(i in 1:n){
var.temp <- vars.tilde[[i]] + tau2.est[idx.obs[[i]]]
if(length(idx.obs[[i]]) == 1){
var.temp <- as.numeric(var.temp)
temp <- temp + t(X[[i]])%*%X[[i]]/var.temp
}else{
half.inv <- as.matrix(diag(1/sqrt(var.temp)))
temp <- temp + t(X[[i]])%*%half.inv%*%solve(mar.R[idx.obs[[i]], idx.obs[[i]]])%*%half.inv%*%X[[i]]
}
}
mu.cov <- solve(temp)
out <- list(mu.est = mu.est, tau2.est = tau2.est, mar.R = mar.R, mu.cov = mu.cov, method = paste("Random-effects model using ", method, sep =""))
return(out)
}
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