Nothing
### leverage2.R ---
##----------------------------------------------------------------------
## Author: Brice Ozenne
## Created: feb 19 2018 (17:58)
## Version:
## Last-Updated: jan 17 2022 (11:56)
## By: Brice Ozenne
## Update #: 177
##----------------------------------------------------------------------
##
### Commentary:
##
### Change Log:
##----------------------------------------------------------------------
##
### Code:
## * documentation - leverage2
#' @title Leverage With Small Sample Correction.
#' @description Extract leverage values from a latent variable model, with small sample correction.
#' @name leverage2
#'
#' @param object a \code{lvmfit} or \code{lvmfit2} object (i.e. output of \code{lava::estimate} or \code{lavaSearch2::estimate2}).
#' @param format [character] Use \code{"wide"} to return the residuals in the wide format (one row relative to each sample).
#' Otherwise use \code{"long"} to return the residuals in the long format.
#' @param ssc [character] method used to correct the small sample bias of the variance coefficients: no correction (code{"none"}/\code{FALSE}/\code{NA}),
#' correct the first order bias in the residual variance (\code{"residual"}), or correct the first order bias in the estimated coefficients \code{"cox"}).
#' Only relevant when using a \code{lvmfit} object.
#' @param ... additional argument passed to \code{estimate2} when using a \code{lvmfit} object.
#'
#' @details The leverage are defined as the partial derivative of the fitted values with respect to the observations.
#' \deqn{
#' leverage_i = \frac{\partial \hat{Y}_i}{\partial Y_i}
#' }
#' See Wei et al. (1998). \cr \cr
#'
#' When argument object is a \code{lvmfit} object, the method first calls \code{estimate2} and then extract the leverage.
#'
#' @seealso \code{\link{estimate2}} to obtain \code{lvmfit2} objects.
#'
#' @return a matrix containing the leverage relative to each sample (in rows)
#' and each endogenous variable (in column).
#'
#' @references Bo-Cheng Wei et al., Generalized Leverage and its applications (1998), Scandinavian Journal of Statistics 25:1:25-37.
#'
#' @examples
#' #### simulate data ####
#' set.seed(10)
#' m <- lvm(Y1~eta,Y2~eta,Y3~eta)
#' latent(m) <- ~eta
#' d <- lava::sim(m,20, latent = FALSE)
#'
#' #### latent variable models ####
#' e.lvm <- estimate(m, data = d)
#' leverage2(e.lvm)
#'
#' @concept estimator
#' @keywords smallSampleCorrection
#'
#' @export
`leverage2` <-
function(object, format, ssc, ...) UseMethod("leverage2")
## * leverage2.lvmfit
#' @rdname leverage2
#' @export
leverage2.lvmfit <- function(object, format = "wide", ssc = lava.options()$ssc, ...){
return(leverage2(estimate2(object, ssc = ssc, ...), format = format))
}
## * leverage2.lvmfit2
#' @rdname leverage2
#' @export
leverage2.lvmfit2 <- function(object, format = "wide", ...){
dots <- list(...)
if(length(dots)>0){
warning("Argument(s) \'",paste(names(dots),collapse="\' \'"),"\' not used by ",match.call()[1],". \n")
}
format <- match.arg(format, choices = c("long","wide"))
if(format == "wide"){
return(object$sCorrect$leverage)
}else if(format == "long"){
endogenous <- colnames(object$sCorrect$leverage)
n.endogenous <- length(endogenous)
outW <- data.frame(cluster = 1:NROW(object$sCorrect$leverage), object$sCorrect$leverage)
outL <- stats::na.omit(stats::reshape(outW,
idvar = "id",
direction = "long",
varying = list(endogenous),
timevar = "endogenous",
v.names = "leverage"))
rownames(outL) <- NULL
outL$endogenous <- factor(outL$endogenous, levels = 1:n.endogenous, labels = endogenous)
reorder <- match(interaction(object$sCorrect$old2new.order$XXclusterXX.old,object$sCorrect$old2new.order$XXendogenousXX.old),
interaction(outL$cluster,outL$endogenous))
return(outL[reorder,])
}
}
## * .leverage2
.leverage2 <- function(Omega, epsilon, dmu, dOmega, vcov.param,
name.pattern, missing.pattern, unique.pattern,
endogenous, n.endogenous, param, param.mean, param.var, n.cluster){
n.pattern <- NROW(unique.pattern)
n.param <- length(param)
leverage <- matrix(NA, nrow = n.cluster, ncol = n.endogenous,
dimnames = list(NULL, endogenous))
if(length(param.mean)==0){
leverage[] <- 0
return(leverage)
}
if(is.null(vcov.param)){
stop("Cannot compute the leverage values without the variance-covariance matrix of the coefficients. \n")
}
scoreY <- array(0, dim = c(n.cluster, n.endogenous, n.param),
dimnames = list(NULL, endogenous, param))
for(iP in 1:n.pattern){ ## iP <- 1
iIndex <- missing.pattern[[iP]]
iY <- which(unique.pattern[iP,]==1)
iOmega <- Omega[iY,iY,drop=FALSE]
iOmegaM1 <- chol2inv(chol(iOmega))
iOmegaM1.epsilon <- epsilon[iIndex,iY,drop=FALSE] %*% iOmegaM1
## derivative of the score regarding Y
for(iParam in param){
if(iParam %in% param.mean){
if(length(iY)>1){
scoreY[iIndex,iY,iParam] <- scoreY[iIndex,iY,iParam] + t(dmu[iParam,iY,iIndex]) %*% iOmegaM1
}else{
scoreY[iIndex,iY,iParam] <- scoreY[iIndex,iY,iParam] + dmu[iParam,iY,iIndex] * iOmegaM1[1,1]
}
}
if(iParam %in% param.var){
scoreY[iIndex,iY,iParam] <- scoreY[iIndex,iY,iParam] + 2 * iOmegaM1.epsilon %*% dOmega[[iParam]][iY,iY,drop=FALSE] %*% iOmegaM1
}
}
## leverage
for(iiY in iY){ ## iiY <- iY[2]
if(length(param.mean)==1){
leverage[iIndex,iiY] <- dmu[param.mean,iiY,iIndex] * (scoreY[iIndex,iiY,] %*% vcov.param)[,param.mean]
}else if(n.param==1){
leverage[iIndex,iiY] <- dmu[param.mean,iiY,iIndex] * vcov.param * scoreY[iIndex,iiY,]
} else{
leverage[iIndex,iiY] <- rowSums(t(dmu[param.mean,iiY,iIndex]) * (scoreY[iIndex,iiY,] %*% vcov.param)[,param.mean,drop=FALSE] )
}
## dmu2 <- matrix(0, nrow = n.param, ncol = length(iIndex), dimnames = list(param,NULL))
## dmu2[param.mean,] <- dmu[param.mean,iiY,iIndex]
## diag( t(dmu2) %*% vcov.param %*% t(scoreY[iIndex,iiY,]) )
}
}
return(leverage)
}
##----------------------------------------------------------------------
### leverage2.R ends here
Any scripts or data that you put into this service are public.
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.