Nothing
gaussian.fit.robmixglm <- function(x,y,offset,gh,notrials,EMTol, calcHessian=TRUE, cores, verbose, starting.values=NULL) {
if (!is.null(starting.values)) notrials <- 1
fitonemlreg <- function(y,outliers,x=NULL,offset=NULL,fixed) {
rlreg <- function(xcoef,lpoutlier,sigma2, sigma2out,x,y,offset,prop) {
poutlier <- 1.0/(1+exp(-lpoutlier))
lp <- as.vector(x %*% xcoef)+offset
lp1 <- dnorm(y, mean=lp, sd=sqrt(sigma2), log = TRUE)
lp2 <- dnorm(y, mean=lp, sd=sqrt(sigma2out), log=TRUE)
if (!missing(prop)) {
ll <- prop*cbind(lp1,lp2)
negll <- -sum(apply(ll,1,sum))
} else {
l <- exp(cbind(lp1+log(1-poutlier),lp2+log(poutlier)))
negll <- -sum(log(apply(l,1,sum)))
}
if (is.nan(negll)) negll <- NA
if (!is.finite(negll)) negll <- NA
return(negll)
}
optimrlreg <- function(p,lpoutlier,x,y,offset,prop,fixed) {
p[names(fixed)] <- fixed
return(rlreg(matrix(p[1:(length(p)-2)],ncol=1),lpoutlier,p[length(p)-1],p[length(p)],x,y,offset,prop))
}
tryCatch({
if (is.null(starting.values)) {
robust.gaussian.prefit <- lm(y~x[,colnames(x)!="(Intercept)"],offset=offset,subset=(outliers!=1))
prefit.coef <- coef(robust.gaussian.prefit)
# assume 20% outliers as a starting point
currlpoutlier <- log(0.2/(1-0.2))
currxcoef <- matrix(prefit.coef[1:(length(prefit.coef))],ncol=1)
currxcoef <- ifelse(is.na(currxcoef),0,currxcoef)
currsigma2 <- summary(robust.gaussian.prefit)$sigma^2
currsigma2out <- min(rgamma(1,2,1),5)*summary(robust.gaussian.prefit)$sigma^2
} else {
currxcoef <- matrix(starting.values[1:(length(starting.values)-3)],ncol=1)
currlpoutlier <- starting.values[length(starting.values)-2]
currsigma2 <- starting.values[length(starting.values)]
currsigma2out <- starting.values[length(starting.values)-1]
}
currll <- -1.0e100
nem <- 0
repeat {
nem <- nem+1
# expectation step
currpoutlier <- 1.0/(1+exp(-currlpoutlier))
lp <- as.vector(x %*% currxcoef)+offset
ll1 <- dnorm(y, mean=lp, sd=sqrt(currsigma2), log = TRUE)+log(1-currpoutlier)
ll2 <- dnorm(y, mean=lp, sd=sqrt(currsigma2out),log=TRUE)+log(currpoutlier)
ll <- cbind(ll1,ll2)
prop <- t(apply(ll,1,function(x) {
x <- x-max(x)
x <- ifelse(x==-Inf,-1e100,x)
return(exp(x)/sum(exp(x)))
}))
# calculate outlier proportion
poutlier <- sum(prop[,2])/dim(prop)[1]
currlpoutlier <- log(poutlier/(1-poutlier))
if (is.na(poutlier)) stop()
startvals <- c(currxcoef,currsigma2,currsigma2out)
names(startvals) <- c(dimnames(x)[[2]],"sigma2out","sigma2")
results.nlm <- suppressWarnings(nlminb(startvals,optimrlreg,
lower=c(rep(-Inf,length(currxcoef)),rep(0,2)),
#control=list(trace=1,iter.max=10),
control=list(trace=0,iter.max=5),
lpoutlier=currlpoutlier,
prop=prop,
y=y,x=x,offset=offset,
fixed=fixed))
currxcoef <- matrix(as.numeric(results.nlm$par)[1:(length(results.nlm$par)-2)],ncol=1)
currsigma2 <- as.numeric(results.nlm$par)[length(results.nlm$par)]
currsigma2out <- as.numeric(results.nlm$par)[length(results.nlm$par)-1]
if (currsigma2out < currsigma2) {
temp <- currsigma2out
currsigma2out <- currsigma2
currsigma2 <- temp
}
lastll <- currll
currll <- -rlreg(currxcoef,currlpoutlier,currsigma2,currsigma2out,x,y,offset)
if (verbose) print(sprintf("Likelihood at end of EM step %.4f", currll))
if (abs((lastll-currll)/currll)<EMTol) break()
if (nem >100) break()
}
return(list(ll=currll,start.val=c(currxcoef,currlpoutlier,currsigma2,currsigma2out)))
},
error=function(e) return(list(ll=NA))
)
}
ll.robustgaussian <- function(p){
xcoef <- p[1:(length(p)-3)]
lpoutlier <- p[length(p)-2]
sigma2 <- p[length(p)-1]
sigma2out <- p[length(p)]
poutlier <- 1.0/(1+exp(-lpoutlier))
lp <- as.vector(x %*% xcoef)+offset
ll1 <- dnorm(y, mean=lp, sd=sqrt(sigma2), log = TRUE)+log(1-poutlier)
ll2 <- dnorm(y, mean=lp, sd=sqrt(sigma2out), log = TRUE)+log(poutlier)
ll <- cbind(ll1,ll2)
maxll <- apply(ll,1,max)
negll <- -sum(maxll+log(apply(exp(ll-maxll),1,sum)))
if (is.nan(negll)) negll <- NA
if (!is.finite(negll)) negll <- NA
return(negll)
}
if (!exists(".Random.seed", envir = .GlobalEnv, inherits = FALSE)) runif(1)
seed <- get(".Random.seed", envir = .GlobalEnv, inherits = FALSE)
if (is.null(starting.values)) {
if (cores > 1) {
cl <- parallel::makeCluster(cores)
doParallel::registerDoParallel(cl)
res = foreach(i = 1:notrials,
.options.RNG=seed[1]) %dorng% {
noutliers <- max(1,round(dim(x)[1]*0.2))
outliers <- sample(c(rep(1,noutliers),rep(0,dim(x)[1]-noutliers)),dim(x)[1])
fitonemlreg(y,outliers,x,offset,fixed=NULL)}
parallel::stopCluster(cl)
maxll <- -Inf
nfails <- 0
for (i in 1:notrials) {
if (verbose) cat(c(res[[i]]$ll,res[[i]]$start.val),"\n")
if (is.na(res[[i]]$ll)) nfails <- nfails+1
else {
if (res[[i]]$ll>maxll) {
maxll <- res[[i]]$ll
start.val <- res[[i]]$start.val
}
}
}
if (nfails > 0) warning(sprintf("Failed to obtain starting values for %i starting sets", nfails))
} else {
maxll <- -Inf
nfails <- 0
for (i in 1:notrials) {
noutliers <- max(1,round(dim(x)[1]*0.2))
outliers <- sample(c(rep(1,noutliers),rep(0,dim(x)[1]-noutliers)),dim(x)[1])
if (verbose) print(sprintf("Trial %i", i))
thefit <- fitonemlreg(y,outliers,x,offset,fixed=NULL)
if (verbose) print(sprintf("Likelihood for trial %.4f", thefit$ll))
if (verbose) print(thefit$start.val)
if (is.na(thefit$ll)) nfails <- nfails+1
else {
if (thefit$ll>maxll) {
maxll <- thefit$ll
start.val <- thefit$start.val
}
}
}
if (nfails > 0) warning(sprintf("Failed to obtain starting values for %i starting sets", nfails))
}
} else {
start.val <- starting.values
}
if(is.null(start.val)) stop("Cannot find valid starting values")
thenames <- c(dimnames(x)[[2]],"lpoutlier","sigma2out","sigma2")
names(start.val) <- thenames
parnames(ll.robustgaussian) <- names(start.val)
lower.val <- c(rep(-Inf,length(start.val)-3),-Inf,0,0)
names(lower.val) <- names(start.val)
if(verbose) thecontrol <- list(eval.max=1000,iter.max=1000,eval.max=2000,trace=5)
else thecontrol <- list(eval.max=1000,iter.max=1000,eval.max=2000)
robustgaussian.fit <- mle2(ll.robustgaussian,start=start.val,vecpar=TRUE,
optimizer="user",optimfun=myoptim,
data=list(y=y,x=x,offset=offset),
skip.hessian=TRUE,trace=verbose,
lower=lower.val,
control=thecontrol)
if (calcHessian) {
thecoef <- coef(robustgaussian.fit)
ncoef <- length(thecoef)
if (thecoef[ncoef-1]<1e-4) thecoef[ncoef-1] <- 1e-4
robustgaussian.fit@details$hessian <- optimHess(thecoef,ll.robustgaussian,control=list(ndeps=c(rep(1.0e-5,length(thecoef)))))
robustgaussian.fit@vcov <- ginv(robustgaussian.fit@details$hessian)
}
# robustgaussian.fit@vcov <- myvcov
#if (any(is.nan(sqrt(diag(robustgaussian.fit@vcov))))) warning("Error in calculating standard errors.")
xcoef <- matrix(coef(robustgaussian.fit)[1:(length(coef(robustgaussian.fit))-3)],ncol=1)
lpoutlier <- coef(robustgaussian.fit)[length(coef(robustgaussian.fit))-2]
poutlier <- 1.0/(1+exp(-lpoutlier))
sigma2 <- coef(robustgaussian.fit)[length(coef(robustgaussian.fit))-1]
sigma2out <- coef(robustgaussian.fit)[length(coef(robustgaussian.fit))]
lp <- as.vector(x %*% xcoef)+offset
ll1 <- dnorm(y, mean=lp, sd=sqrt(sigma2),log = TRUE)+log(1-poutlier)
ll2 <- dnorm(y, mean=lp, sd=sqrt(sigma2out),log = TRUE)+log(poutlier)
ll <- cbind(ll1,ll2)
prop <- t(apply(ll,1,function(x) {
x <- x-max(x)
x <- ifelse(x==-Inf,-1e100,x)
return(exp(x)/sum(exp(x)))
}))
coef.names <- c(dimnames(x)[[2]],"Outlier p.","Sigma-sq", "Sigma-sq Out.")
return(list(fit=robustgaussian.fit,prop=prop,logLik=-robustgaussian.fit@min,np=length(coef.names),nobs=dim(x)[1],coef.names=coef.names))
}
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