tests/single.index.R

## donttest single.index.Rd examples

require(mgcv)

si <- function(theta,y,x,z,opt=TRUE,k=10,fx=FALSE) {
## Fit single index model using gam call, given theta (defines alpha). 
## Return ML if opt==TRUE and fitted gam with theta added otherwise.
## Suitable for calling from 'optim' to find optimal theta/alpha.
  alpha <- c(1,theta) ## constrained alpha defined using free theta
  kk <- sqrt(sum(alpha^2))
  alpha <- alpha/kk  ## so now ||alpha||=1
  a <- x%*%alpha     ## argument of smooth
  b <- gam(y~s(a,fx=fx,k=k)+s(z),family=poisson,method="ML") ## fit model
  if (opt) return(b$gcv.ubre) else {
    b$alpha <- alpha  ## add alpha
    J <- outer(alpha,-theta/kk^2) ## compute Jacobian
    for (j in 1:length(theta)) J[j+1,j] <- J[j+1,j] + 1/kk
    b$J <- J ## dalpha_i/dtheta_j 
    return(b)
  }
} ## si

## simulate some data from a single index model...

set.seed(1)
f2 <- function(x) 0.2 * x^11 * (10 * (1 - x))^6 + 10 * 
            (10 * x)^3 * (1 - x)^10
n <- 200;m <- 3
x <- matrix(runif(n*m),n,m) ## the covariates for the single index part
z <- runif(n) ## another covariate
alpha <- c(1,-1,.5); alpha <- alpha/sqrt(sum(alpha^2))
eta <- as.numeric(f2((x%*%alpha+.41)/1.4)+1+z^2*2)/4
mu <- exp(eta)
y <- rpois(n,mu) ## Poi response 

## now fit to the simulated data...


th0 <- c(-.8,.4) ## close to truth for speed
## get initial theta, using no penalization...
f0 <- nlm(si,th0,y=y,x=x,z=z,fx=TRUE,k=5)
## now get theta/alpha with smoothing parameter selection...
f1 <- nlm(si,f0$estimate,y=y,x=x,z=z,hessian=TRUE,k=10)
theta.est <-f1$estimate 

## Alternative using 'optim'... 

th0 <- rep(0,m-1) 
## get initial theta, using no penalization...
f0 <- optim(th0,si,y=y,x=x,z=z,fx=TRUE,k=5)
## now get theta/alpha with smoothing parameter selection...
f1 <- optim(f0$par,si,y=y,x=x,z=z,hessian=TRUE,k=10)
theta.est <-f1$par 

## extract and examine fitted model...

b <- si(theta.est,y,x,z,opt=FALSE) ## extract best fit model
plot(b,pages=1)
b
b$alpha 
## get sd for alpha...
Vt <- b$J%*%solve(f1$hessian,t(b$J))
diag(Vt)^.5

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mgcv documentation built on Oct. 26, 2018, 5:05 p.m.