ise.npEM: Integrated Squared Error for a selected density from npEM...

In mixtools: Tools for Analyzing Finite Mixture Models

Integrated Squared Error for a selected density from npEM output

Description

Computes the integrated squared error for a selected estimated density from npEM output (selected by specifying the component and block number), relative to a true pdf that must be specified by the user. The range for the numerical integration must be specified. This function also returns (by default) a plot of the true and estimated densities.

Usage

ise.npEM(npEMout, component=1, block=1, truepdf, lower=-Inf, 
         upper=Inf, plots = TRUE, ...)

Arguments

npEMout	An object of class npEM such as the output of the npEM function
component, block	Component and block of particular density to analyze from npEMout.
truepdf	an R function taking a numeric first argument and returning a numeric vector of the same length. Returning a non-finite element will generate an error.
lower, upper	the limits of integration. Can be infinite.
plots	logical: Should plots be produced?
...	additional arguments to be passed to truepdf (and that may be mandatory like, e.g., the df = argument of dt). Remember to use argument names not matching those of ise.npRM.

Details

This function calls the wkde (weighted kernel density estimate) function.

Value

Just as for the integrate function, a list of class "integrate" with components

value	the final estimate of the integral.
abs.error	estimate of the modulus of the absolute error.
subdivisions	the number of subintervals produced in the subdivision process.
message	"OK" or a character string giving the error message.
call	the matched call.

References

• Benaglia, T., Chauveau, D., and Hunter, D. R. (2009), An EM-like algorithm for semi- and non-parametric estimation in multivariate mixtures, Journal of Computational and Graphical Statistics, 18, 505-526.

• Benaglia, T., Chauveau, D., Hunter, D. R., and Young, D. (2009), mixtools: An R package for analyzing finite mixture models. Journal of Statistical Software, 32(6):1-29.

See Also

npEM, wkde, integrate

Examples

# Mixture with mv gaussian model
set.seed(100)
m <- 2 # no. of components
r <- 3 # no. of repeated measures (coordinates)
lambda <- c(0.4, 0.6)
# Note:  Need first 2 coordinates conditionally iid due to block structure
mu <- matrix(c(0, 0, 0, 3, 3, 5), m, r, byrow=TRUE) # means 
sigma <- matrix(rep(1, 6), m, r, byrow=TRUE) # stdevs
blockid = c(1,1,2) # block structure of coordinates
n <- 200
x <- rmvnormmix(n, lambda, mu, sigma) # simulated data

# fit the model with "arbitrary" initial centers
centers <- matrix(c(0, 0, 0, 4, 4, 4), 2, 3, byrow=TRUE) 
a <- npEM(x, centers, blockid, eps=1e-8, verb=FALSE)

# Calculate integrated squared error for j=2, b=1:
j <- 2 # component
b <- 1 # block
coords <- a$blockid == b
ise.npEM(a, j, b, dnorm, lower=0, upper=10, plots=TRUE,
         mean=mu[j,coords][1], sd=sigma[j, coords][1])


# The following (lengthy) example recreates the normal multivariate 
# mixture model simulation from Benaglia et al (2009).  
mu <- matrix(c(0, 0, 0, 3, 4, 5), m, r, byrow=TRUE) 
nbrep <- 5  # Benaglia et al use 300 replications

# matrix for storing sums of Integrated Squared Errors 
ISE <- matrix(0,m,r,dimnames=list(Components=1:m, Blocks=1:r)) 

nblabsw <- 0 # no. of label switches
for (mc in 1:nbrep) {
  print(paste("REPETITION", mc))
	x <- rmvnormmix(n,lambda,mu,sigma) # simulated data
  a <- npEM(x, centers, verb=FALSE) #default:
	if (a$lambda[1] > a$lambda[2]) nblabsw <- nblabsw + 1
	for (j in 1:m) {  # for each component
		for (k in 1:r) { # for each coordinate; not assuming iid!
      # dnorm with correct mean, sd is the true density:
      ISE[j,k] <- ISE[j,k] + ise.npEM(a, j, k, dnorm, lower=mu[j,k]-5, 
               upper=mu[j,k]+5, plots=FALSE, mean=mu[j,k], 
               sd=sigma[j,k])$value
    }
  }
	MISE <- ISE/nbrep # Mean ISE
	sqMISE <- sqrt(MISE) # root-mean-integrated-squared error
}
sqMISE

mixtools documentation built on Dec. 5, 2022, 5:23 p.m.