R/bootStateSpace-pb-ssm-lin-sde-fixed-fork-dot.R

In bootStateSpace: Bootstrap for State Space Models

.PBSSMLinSDEFixedFork <- function(R,
                                  path,
                                  prefix,
                                  n,
                                  time,
                                  delta_t,
                                  mu0,
                                  sigma0_l,
                                  iota,
                                  phi,
                                  sigma_l,
                                  nu,
                                  lambda,
                                  theta_l,
                                  type,
                                  covariates,
                                  gamma,
                                  kappa,
                                  mu0_fixed,
                                  sigma0_fixed,
                                  optimization_flag,
                                  hessian_flag,
                                  verbose,
                                  weight_flag,
                                  debug_flag,
                                  perturb_flag,
                                  xtol_rel,
                                  stopval,
                                  ftol_rel,
                                  ftol_abs,
                                  maxeval,
                                  maxtime,
                                  ncores,
                                  seed) {
  if (ncores > R) {
    ncores <- R
  }
  if (!is.null(seed)) {
    set.seed(seed)
  }
  prep <- .PBSSMLinSDEFixedPrepDynr(
    mu0 = mu0,
    sigma0_l = sigma0_l,
    iota = iota,
    phi = phi,
    sigma_l = sigma_l,
    nu = nu,
    lambda = lambda,
    theta_l = theta_l,
    mu0_fixed = mu0_fixed,
    sigma0_fixed = sigma0_fixed
  )
  if (interactive()) {
    message(
      "\nGenerating data...\n"
    )
  }
  parallel::mclapply(
    X = seq_len(R),
    FUN = .PBSSMLinSDEFixedData,
    path = path,
    prefix = prefix,
    n = n,
    time = time,
    delta_t = delta_t,
    mu0 = mu0,
    sigma0_l = sigma0_l,
    iota = iota,
    phi = phi,
    sigma_l = sigma_l,
    nu = nu,
    lambda = lambda,
    theta_l = theta_l,
    type = type,
    covariates = covariates,
    gamma = gamma,
    kappa = kappa,
    mc.cores = ncores
  )
  if (interactive()) {
    message(
      "Model fitting...\n"
    )
  }
  parallel::mclapply(
    X = seq_len(R),
    FUN = .PBFitDynr,
    path = path,
    prefix = prefix,
    dynr_initial = prep$dynr_initial,
    dynr_measurement = prep$dynr_measurement,
    dynr_noise = prep$dynr_noise,
    dynr_dynamics = prep$dynr_dynamics,
    optimization_flag = optimization_flag,
    hessian_flag = hessian_flag,
    verbose = verbose,
    weight_flag = weight_flag,
    debug_flag = debug_flag,
    perturb_flag = perturb_flag,
    xtol_rel = xtol_rel,
    stopval = stopval,
    ftol_rel = ftol_rel,
    ftol_abs = ftol_abs,
    maxeval = maxeval,
    maxtime = maxtime,
    mc.cores = ncores
  )
  thetahatstar <- parallel::mclapply(
    X = seq_len(R),
    FUN = .PBCoefDynr,
    path = path,
    prefix = prefix,
    mc.cores = ncores
  )
  list(
    prep = prep,
    thetahatstar = thetahatstar
  )
}