Nothing
Dvine <- function(data,K=8,lambda=100,order.Dvine=TRUE,pen=1,base="Bernstein",m=2,cores=NULL,q=2) {
registerDoParallel(cores=cores)
doMC<-TRUE
mcoptions <- list(preschedule=FALSE)
if(!is.matrix(data)) data <- as.matrix(data)
U <- data
S <- seq(1:(dim(U)[2]))
N <- dim(U)[1]
k <- 1
Dvine <- list()
SSi <- list()
#order options
#pairwise AIC-order in the first level
help.env <- new.env()
assign("doMC",doMC,help.env)
assign("S",S,help.env)
assign("U",U,help.env)
assign("lambda",lambda,help.env)
assign("K",K,help.env)
assign("base",base,help.env)
assign("m",m,help.env)
assign("q",q,help.env)
if(base=="Bernstein") ddb <- K+1
if(base=="B-spline" & q==2) ddb <- K+q-1
if(base=="B-spline" & q==1) ddb <- K+q-2
Index.basis.D <- matrix(NA,ddb^2,2)
Index.basis.D[,1] <- rep(seq(1,ddb),ddb)
Index.basis.D[,2] <- sort(Index.basis.D[,1])
if(order.Dvine) {
assign("order.stat","cAIC",help.env)
order.Dvine(help.env)
U <- U[,get("order",help.env)]
}
else {
assign("order",seq(1,length(S)),help.env)
}
for ( i in 1:length(S))
{
vine.knot <- list(j1=S[i],j2=NULL,D=NULL,v=NULL, U = U[,S[i]] )
SSi <- append(SSi, list(vine.knot))
}
Dvine <- append(Dvine, list(SSi))
rm(SSi)
level <- 1
log.like <- AIC <- cAIC <- 0
if(order.Dvine) {
pairs.fit <- get("pairs.fit",help.env)
pairs.new <- get("pairs.new",help.env)
Dvine <- append(Dvine, list(foreach(i=2:length(S),.combine=list,.multicombine=TRUE,.options.multicore=mcoptions) %dopar% {
index.j1 <- i-1 #pairs.fit[i-1,1]
index.j2 <- i #pairs.fit[i-1,2]
for(kk in 1:dim(pairs.new)[1]) {
if(all(pairs.new[kk,]==pairs.fit[i-1,])) model.l <- get("fit.level1",help.env)[[kk]]
}
#vine.knot <- list(j1=index.j1,j2=index.j2,D=NULL,v=get("ck.val",model.l),U=U[,c(index.j1,index.j2)],log.like = get("log.like",model.l), AIC=get("AIC",model.l),cAIC=get("cAIC",model.l),lambda=get("lambda",model.l))
vine.knot <- list(j1=index.j1,j2=index.j2,D=NULL,v=get("ck.val",model.l),U=U[,c(i-1,i)],log.like = get("log.like",model.l), AIC=get("AIC",model.l),cAIC=get("cAIC",model.l),lambda=get("lambda",model.l))
}))
level <- 2
SS <- Dvine[[level]]
nSS <- length(SS)
while (nSS>1)
{
SSi <- list()
for (i in 2:nSS)
{
S1 <- c(SS[[i-1]]$j1, SS[[i-1]]$j2,SS[[i-1]]$D)
S2 <- c(SS[[i]]$j1, SS[[i]]$j2,SS[[i]]$D)
index1 <- rep(TRUE,length(S1))
index2 <- rep(TRUE,length(S2))
S3 <- c()
for (j in 1:length(S1))
{
indexi <- S1[j]==S2
if (sum(indexi)>0)
{
S3 <- c(S3, S1[j])
index1[j] <- FALSE
index2[indexi] <- FALSE
}
}
if(!is.null(S3)) S3 <- sort(S3)
S1 <- S1[index1]
S2 <- S2[index2]
vine.knot <- list(j1=S1,j2=S2,D=S3,v=NULL, U = NULL, log.like = NULL, AIC = NULL)
SSi <- append(SSi, list(vine.knot))
}
Dvine <- append(Dvine, list(SSi))
level <- level + 1
SS <- Dvine[[level]]
nSS <- length(SS)
}
level <- 2
}
if(!order.Dvine) {
SS <- Dvine[[level]]
nSS <- length(SS)
while (nSS>1)
{
SSi <- list()
for (i in 2:nSS)
{
S1 <- c(SS[[i-1]]$j1, SS[[i-1]]$j2,SS[[i-1]]$D)
S2 <- c(SS[[i]]$j1, SS[[i]]$j2,SS[[i]]$D)
index1 <- rep(TRUE,length(S1))
index2 <- rep(TRUE,length(S2))
S3 <- c()
for (j in 1:length(S1))
{
indexi <- S1[j]==S2
if (sum(indexi)>0)
{
S3 <- c(S3, S1[j])
index1[j] <- FALSE
index2[indexi] <- FALSE
}
}
if(!is.null(S3)) S3 <- sort(S3)
S1 <- S1[index1]
S2 <- S2[index2]
vine.knot <- list(j1=S1,j2=S2,D=S3,v=NULL, U = NULL, log.like = NULL, AIC = NULL)
SSi <- append(SSi, list(vine.knot))
}
Dvine <- append(Dvine, list(SSi))
level <- level + 1
SS <- Dvine[[level]]
nSS <- length(SS)
}
level <- 2
Tree.l <- Dvine[[level]]
if(!doMC) {
Tree.l.temp <- foreach(i=1:length(Tree.l),.combine=list,.multicombine=TRUE) %do% {
index.j1 <- Tree.l[[i]]$j1
index.j2 <- Tree.l[[i]]$j2
model.l <- paircopula(U[,c(index.j1,index.j2)],K=K,lambda=lambda,pen=pen,base=base,m=m,q=q)
list(j1=index.j1,j2=index.j2,D=NULL,v=get("ck.val",model.l),U=U[,c(index.j1,index.j2)],log.like = get("log.like",model.l),AIC=get("AIC",model.l),cAIC=get("cAIC",model.l),lambda=get("lambda",model.l))
}
}
if(doMC) {
Tree.l.temp <- foreach(i=1:length(Tree.l),.combine=list,.multicombine=TRUE,.options.multicore=mcoptions) %dopar% {
index.j1 <- Tree.l[[i]]$j1
index.j2 <- Tree.l[[i]]$j2
model.l <- paircopula(U[,c(index.j1,index.j2)],K=K,lambda=lambda,pen=pen,base=base,m=m,q=q)
list(j1=index.j1,j2=index.j2,D=NULL,v=get("ck.val",model.l),U=U[,c(index.j1,index.j2)],log.like = get("log.like",model.l),AIC=get("AIC",model.l),cAIC=get("cAIC",model.l),lambda=get("lambda",model.l))
}
}
Dvine[[level]] <- Tree.l.temp
}
if(level<length(S)) {
for(i in 1:length(Dvine[[level]])) {
log.like <- log.like+Dvine[[level]][[i]]$log.like
AIC <- AIC+Dvine[[level]][[i]]$AIC
cAIC <- cAIC+Dvine[[level]][[i]]$cAIC
}
}
else {
log.like <- log.like+Dvine[[level]]$log.like
AIC <- AIC+Dvine[[level]]$AIC
cAIC <- cAIC+Dvine[[level]]$cAIC
Tree.l.temp <- list(Dvine[[level]])
}
if(doMC) {
for(level in 3:length(S)) {
Tree.l <- Dvine[[level]] # current tree in vine
Tree.l1 <- Dvine[[level-1]] # previous tree in vine, one level up
t.length <- length(Tree.l)
Tree.l.temp <- foreach(i=1:t.length,.combine=list,.multicombine=TRUE,.options.multicore=mcoptions) %dopar% {
UU <- c()
index <- list(c(Tree.l[[i]]$j1,Tree.l[[i]]$D),c(Tree.l[[i]]$j2,Tree.l[[i]]$D)) # list of involved indices in current knot, i.e {j1,D} and {j2,D}
for(j in 1:2) # Loop over both index sets, i.e. {j1,D} and {j2,D}
{
indexi <- sort(index[[j]])
index.ancestor <- c()
for (ml in 1:length(Tree.l1))
{
index.ancestor <- c(index.ancestor, all(indexi==sort(c(Tree.l1[[ml]]$j1,Tree.l1[[ml]]$j2,Tree.l1[[ml]]$D))))
}
ancestor.knot <- Tree.l1[index.ancestor][[1]] # Ancestor knot of j-th Element in Index set, i.e. knot with indices {j1,D} for j=1 and {j2,D} for j=2, respectively.
if(j==1) UU <-cbind(UU,cond.cop(ancestor.knot$U,coef=ancestor.knot$v,K=K,diff="u2",Index.basis.D,base=base,q=q))
if(j==2) UU <-cbind(UU,cond.cop(ancestor.knot$U,coef=ancestor.knot$v,K=K,diff="u1",Index.basis.D,base=base,q=q))
}
model.l <- paircopula(UU,K=K,lambda=lambda,pen=pen,base=base,m=m,q=q)
list(j1=Tree.l[[i]]$j1,j2=Tree.l[[i]]$j2,D=Tree.l[[i]]$D,U=UU,v=get("ck.val",model.l),log.like = get("log.like",model.l),AIC=get("AIC",model.l),cAIC=get("cAIC",model.l),lambda=get("lambda",model.l))
}
if(level<length(S)) {
for(i in 1:length(Tree.l.temp)) {
log.like <- log.like+Tree.l.temp[[i]]$log.like
AIC <- AIC+Tree.l.temp[[i]]$AIC
cAIC <- cAIC+Tree.l.temp[[i]]$cAIC
}
}
else {
log.like <- log.like+Tree.l.temp$log.like
AIC <- AIC+Tree.l.temp$AIC
cAIC <- cAIC+Tree.l.temp$cAIC
Tree.l.temp <- list(Tree.l.temp)
}
Dvine[[level]] <- Tree.l.temp
}
}
if(!doMC) {
for(level in 3:length(S)) {
Tree.l <- Dvine[[level]] # current tree in vine
Tree.l1 <- Dvine[[level-1]] # previous tree in vine, one level up
t.length <- length(Tree.l)
Tree.l.temp <- list()
for(i in 1:t.length) {
UU <- c()
index <- list(c(Tree.l[[i]]$j1,Tree.l[[i]]$D),c(Tree.l[[i]]$j2,Tree.l[[i]]$D)) # list of involved indices in current knot, i.e {j1,D} and {j2,D}
for(j in 1:2) # Loop over both index sets, i.e. {j1,D} and {j2,D}
{
indexi <- index[[j]]
index.ancestor <- c()
for (ml in 1:length(Tree.l1))
{
index.ancestor <- c(index.ancestor, all( sort(indexi)==sort(c(Tree.l1[[ml]]$j1,Tree.l1[[ml]]$j2,Tree.l1[[ml]]$D))))
}
ancestor.knot <- Tree.l1[index.ancestor][[1]] # Ancestor knot of j-th Element in Index set, i.e. knot with indices {j1,D}
# for j=1 and {j2,D} for j=2, respectively.
if(j==1) UU <-cbind(UU,cond.cop(ancestor.knot$U,coef=ancestor.knot$v,K=K,diff="u2",Index.basis.D,base=base,q=q))
if(j==2) UU <-cbind(UU,cond.cop(ancestor.knot$U,coef=ancestor.knot$v,K=K,diff="u1",Index.basis.D,base=base,q=q))
}
model.l <- paircopula(UU,K=K,lambda=lambda,pen=pen,base=base,m=m,q=q)
Tree.l.temp[[i]] <- list(j1=Tree.l[[i]]$j1,j2=Tree.l[[i]]$j2,D=Tree.l[[i]]$D,U=UU,v=get("ck.val",model.l),log.like = get("log.like",model.l),AIC=get("AIC",model.l),cAIC=get("cAIC",model.l),lambda=get("lambda",model.l))
}
if(level<length(S)) {
for(i in 1:length(Tree.l.temp)) {
log.like <- log.like+Tree.l.temp[[i]]$log.like
AIC <- AIC+Tree.l.temp[[i]]$AIC
cAIC <- cAIC+Tree.l.temp[[i]]$cAIC
}
}
else {
log.like <- log.like+Tree.l.temp[[i]]$log.like
AIC <- AIC+Tree.l.temp[[i]]$AIC
cAIC <- cAIC+Tree.l.temp[[i]]$cAIC
}
Dvine[[level]] <- Tree.l.temp
}
}
class(Dvine) <- "penDvine"
return(list(Dvine=Dvine,log.like=log.like,AIC=AIC,cAIC=cAIC,K=K,order=get("order",help.env),S=S,N=N,base=base))
}
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