tests/testthat/test-evm.R

context("evm")

test_that("evm behaves as it should", {
  skip_on_cran()
  skip_on_travis()
  tol <- 0.01

  ###################################################################
  # 1.3 Reproduce loglik, parameter estimates and covariance on page 85
  #    of Coles. Will not be exact because fitting routines differ:
  #    gpd works with phi=log(sigma). Can only reproduce cell [2,2]
  #    of covariance.

  cparas <- c(7.44, 0.184)
  cse <- c(0.958432, 0.101151)

  ccov <- matrix(c(.9188, -.0655, -.0655, .0102), nrow=2)
  cloglik <- -485.1

  mod <- evm(rain, th=30, penalty="none")
  mod.coef <- coef(mod)

  mod.coef[1] <- exp(mod.coef[1])
  names(mod.coef) <- c("sigma", "xi")

  mod.loglik <- mod$loglik
  mod.cov22 <- mod$cov[2, 2]

  # equals function checks for names. is_equivalent_to doesn't, but doesn't take
  # a tolerance argument.
  names(cparas) <- names(cse) <- names(mod$se) <- c("sigma", "xi")

  expect_that(cparas, equals(mod.coef, tolerance=tol),
                     label="gpd: parameter ests page 85 Coles")
  expect_that(cse[2], equals(mod$se[2], tolerance=tol),
                     label="gpd: standard errors page 85 Coles")
  expect_that(ccov[2, 2], equals(mod$cov[2,2], tolerance=tol),
                     label="gpd: Covariance page 85 Coles")
  expect_that(cloglik, equals(mod.loglik, tolerance=tol),
                     label="gpd: loglik page 85 Coles")

  ###################################################################
  #   Logical checks on the effect of Gaussian penalization. The smaller the
  #    variance, the more the parameter should be drawn towards the
  #    mean.

  # 2.1 Tests for xi being drawn to 0

  gp1 <- list(c(0, 0), diag(c(10^4, .25)))
  gp2 <- list(c(0, 0), diag(c(10^4, .05)))

  mod1 <- evm(rain, th=30, priorParameters=gp1, penalty="gaussian")
  mod2 <- evm(rain, th=30, priorParameters=gp2, penalty="gaussian")

  expect_that(coef(mod)[2]>coef(mod1)[2], is_true(),
            label="gpd: Gaussian penalization xi being drawn to 0")
  expect_that(coef(mod1)[2]>coef(mod2)[2], is_true(),
            label="gpd: Gaussian penalization xi being drawn to 0")

  # 2.2 Tests for phi being drawn to 0

  gp3 <- list(c(0, 0), diag(c(1, 10^4)))
  gp4 <- list(c(0, 0), diag(c(.1, 10^4)))

  mod3 <- evm(rain, th=30, priorParameters=gp3, penalty="gaussian")
  mod4 <- evm(rain, th=30, priorParameters=gp4, penalty="gaussian")

  expect_that(coef(mod)[1]>coef(mod3)[1], is_true(),
            label="gpd: Gaussian penalization phi being drawn to 0")
  expect_that(coef(mod3)[1]>coef(mod4)[1], is_true(),
            label="gpd: Gaussian penalization phi being drawn to 0")

  # 2.3 Tests for xi being drawn to 1
  gp5 <- list(c(0, 1), diag(c(10^4, .25)))
  gp6 <- list(c(0, 1), diag(c(10^4, .05)))

  mod5 <- evm(rain, th=30, priorParameters=gp5, penalty="gaussian")
  mod6 <- evm(rain, th=30, priorParameters=gp6, penalty="gaussian")

  expect_that(1-coef(mod)[2]>1-coef(mod5)[2], is_true(),
            label="gpd: Gaussian penalization xi being drawn to 1")
  expect_that(1-coef(mod1)[2]>1-coef(mod6)[2], is_true(),
            label="gpd: Gaussian penalization xi being drawn to 1")

  # 2.4 Tests for phi being drawn to 4 (greater than mle for phi)

  gp7 <- list(c(4, 0), diag(c(1, 10^4)))
  gp8 <- list(c(4, 0), diag(c(.1, 10^4)))

  mod7 <- evm(rain, th=30, priorParameters=gp7, penalty="gaussian")
  mod8 <- evm(rain, th=30, priorParameters=gp8, penalty="gaussian")

  expect_that(4-coef(mod)[1]>4-coef(mod7)[1], is_true(),
            label="gpd: Gaussian penalization phi being drawn to 4")
  expect_that(4-coef(mod3)[1]>4-coef(mod8)[1], is_true(),
            label="gpd: Gaussian penalization phi being drawn to 4")

  ###################################################################
  #   Logical checks on the effect of penalization using lasso or L1 penalization.
  #   The smaller the variance, the more the parameter should be drawn towards the
  #    mean.

  # 2a.1 Tests for xi being drawn to 0

  gp1 <- list(c(0, 0), solve(diag(c(10^4, .25))))
  gp2 <- list(c(0, 0), solve(diag(c(10^4, .05))))

  mod1 <- evm(rain, th=30, priorParameters=gp1, penalty="lasso")
  mod2 <- evm(rain, th=30, priorParameters=gp2, penalty="lasso")

  expect_that(coef(mod)[2]>coef(mod1)[2], is_true(),
            label="gpd: lasso penalization xi being drawn to 0")
  expect_that(coef(mod1)[2]>coef(mod2)[2], is_true(),
            label="gpd: lasso penalization xi being drawn to 0")

  # 2a.2 Tests for phi being drawn to 0

  gp3 <- list(c(0, 0), solve(diag(c(1, 10^4))))
  gp4 <- list(c(0, 0), solve(diag(c(.1, 10^4))))

  mod3 <- evm(rain, th=30, priorParameters=gp3, penalty="lasso")
  mod4 <- evm(rain, th=30, priorParameters=gp4, penalty="lasso")

  expect_that(coef(mod)[1]>coef(mod3)[1], is_true(),
            label="gpd: lasso penalization phi being drawn to 0")
  expect_that(coef(mod3)[1]>coef(mod4)[1], is_true(),
            label="gpd: lasso penalization phi being drawn to 0")

  # 2a.3 Tests for xi being drawn to 1
  gp5 <- list(c(0, 1), solve(diag(c(10^4, .25))))
  gp6 <- list(c(0, 1), solve(diag(c(10^4, .05))))

  mod5 <- evm(rain, th=30, priorParameters=gp5, penalty="lasso")
  mod6 <- evm(rain, th=30, priorParameters=gp6, penalty="lasso")

  expect_that(1-coef(mod)[2]>1-coef(mod5)[2], is_true(),
            label="gpd: lasso penalization xi being drawn to 1")
  expect_that(1-coef(mod1)[2]>1-coef(mod6)[2], is_true(),
            label="gpd: lasso penalization xi being drawn to 1")

  # 2a.4 Tests for phi being drawn to 4 (greater than mle for phi)

  gp7 <- list(c(4, 0), solve(diag(c(1, 10^4))))
  gp8 <- list(c(4, 0), solve(diag(c(.1, 10^4))))

  mod7 <- evm(rain, th=30, priorParameters=gp7, penalty="lasso")
  mod8 <- evm(rain, th=30, priorParameters=gp8, penalty="lasso")

  expect_that(4-coef(mod)[1]>4-coef(mod7)[1], is_true(),
            label="gpd: lasso penalization phi being drawn to 4")
  expect_that(4-coef(mod3)[1]>4-coef(mod8)[1], is_true(),
            label="gpd: lasso penalization phi being drawn to 4")

  ########################################################
  # Tests on including covariates. Once more, gpd.fit in ismev
  # works with sigma inside the optimizer, so we need to tolerate
  # some differences and standard errors might be a bit out.

  # 3.0 Reproduce Coles, page 119. Reported log-likelihood is -484.6.

  rtime <- (1:length(rain))/1000
  d <- data.frame(rainfall = rain, time=rtime)

  mod <- evm(rainfall, th=30, data=d, phi= ~ time, penalty="none")

  expect_that(-484.6, equals(mod$loglik, tolerance=tol),
                     label="gpd: loglik Coles page 119")

  ####################################################################
  # 3.1 Use liver data, compare with ismev.
  #     These are not necessarily sensible models!
  #     Start with phi alone.

  mod <- evm(ALT.M, qu=.7, data=liver,
             phi = ~ ALT.B + dose, xi = ~1,
             penalty="none", cov="observed")

  m <- model.matrix(~ ALT.B + dose, liver)

  ismod <- texmex:::.ismev.gpd.fit(liver$ALT.M,
                                   threshold=quantile(liver$ALT.M, .7),
                                   ydat = m, sigl=2:ncol(m),
                                   siglink=exp, show=FALSE)

  expect_that(ismod$mle, equals(unname(coef(mod)), tolerance=tol),
                     label="gpd: covariates in phi only, point ests")

  # SEs for phi will not be same as for sigma, but we can test xi
  expect_that(ismod$se[length(ismod$se)],
              equals(mod$se[length(mod$se)], tolerance=tol),
                     label="gpd: covariates in phi only, standard errors")

  ######################################################################
  # 3.2 Test xi alone.
  mod <- evm(log(ALT.M / ALT.B), qu=.7, data=liver,
             phi = ~1, xi = ~ ALT.B + dose,
             penalty="none")

  m <- model.matrix(~ ALT.B + dose, liver)

  ismod <- texmex:::.ismev.gpd.fit(log(liver$ALT.M / liver$ALT.B),
                                   threshold=quantile(log(liver$ALT.M / liver$ALT.B), .7),
                                   ydat = m, shl=2:ncol(m), show=FALSE)
  mco <- coef(mod)
  mco[1] <- exp(mco[1])

  expect_that(ismod$mle, equals(unname(mco), tolerance=tol),
                     label="gpd: covariates in xi only: point ests")
  # SEs for phi will not be same as for sigma, but we can test xi
  expect_that(ismod$se[-1], equals(mod$se[-1], tolerance = tol),
                     label="gpd: covariates in xi only: standard errors")

  ######################################################################
  # 3.3 Test phi & xi simultaneously. Use simulated data.

  set.seed(25111970)

  makeDataGpd <- function(a,b,n=500,u=10)
    # lengths of a and b should divide n exactly
    # returns data set size 2n made up of uniform variates (size n) below threshold u and
    # gpd (size n) with scale parameter exp(a) and shape b above threshold u
  {
    gpd <- rgpd(n,exp(a),b,u=u)
    unif <- runif(n,u-10,u)
    as.data.frame(cbind(a=a,b=b,y=c(gpd,unif)))
  }

  mya <- seq(0.1,1,len=10)
  myb <- rep(c(-0.2,0.2),each=5)
  data <- makeDataGpd(mya,myb)
  m <- model.matrix(~ a+b, data)

  mod <- evm(y,qu=0.7,data=data,phi=~a,xi=~b,penalty="none")
  ismod <- texmex:::.ismev.gpd.fit(data$y,
                                   threshold=quantile(data$y,0.7),
                                   ydat=m,shl=3,sigl=2,
                                   siglink=exp,
                                   show=FALSE)

  expect_that(ismod$mle, equals(unname(coef(mod)), tolerance = tol),
                     label="gpd: covariates in phi and xi: point ests")
  expect_that(ismod$se, equals(sqrt(diag(mod$cov)), tolerance = tol),
                     label="gpd: covariates in phi and xi: std errs")

  ####################################################################
  # Check that using priors gives expected behaviour when covariates are included.

  # 2.1 Tests for xi being drawn to 0

  myb <- rep(c(0.5,1.5),each=5)
  data <- makeDataGpd(a=1,b=myb,n=3000)

  gp1 <- list(c(0, 0, 0), diag(c(10^4, 0.25, 0.25)))
  gp2 <- list(c(0, 0, 0), diag(c(10^4, 0.25, 0.01)))

  mod0 <- evm(y,qu=0.6,data=data,phi=~1,xi=~b,penalty="none")
  mod1 <- evm(y,qu=0.6,data=data,phi=~1,xi=~b,priorParameters=gp1)
  mod2 <- evm(y,qu=0.6,data=data,phi=~1,xi=~b,priorParameters=gp2)

  expect_that(all(abs(coef(mod0)[2:3])>abs(coef(mod1)[2:3])), is_true(),
            label="gpd: with covariates, xi drawn to zero")
  expect_that(abs(coef(mod1)[3])>abs(coef(mod2)[3]), is_true(),
            label="gpd: with covariates, xi drawn to zero")

  # 2.2 Tests for phi being drawn to 0

  # HS. Changed a to mya due to scoping problems in S+. The issue is very general
  # and affects (for example) lm(~a, data, method="model.frame"), so it's kind of
  # by design.
  mya <- seq(0.1,1,len=10)
  data <- makeDataGpd(-3 + mya,b=-0.1,n=3000)
  data$a <- rep(mya, len=nrow(data))

  gp4 <- list(c(0, 0, 0), diag(c(1, 1, 10^4)))
  gp5 <- list(c(0, 0, 0), diag(c(0.1, 0.1, 10^4)))

  mod3 <- evm(y,qu=0.6,data=data,phi=~a,xi=~1,penalty="none")
  mod4 <- evm(y,qu=0.6,data=data,phi=~a,xi=~1,priorParameters=gp4)
  mod5 <- evm(y,qu=0.6,data=data,phi=~a,xi=~1,priorParameters=gp5)

  expect_that(all(abs(coef(mod3)[1:2])>abs(coef(mod4)[1:2])), is_true(),
            label="gpd: with covariates, phi being drawn to 0")
  expect_that(all(abs(coef(mod4)[1:2])>abs(coef(mod5)[1:2])), is_true(),
            label="gpd: with covariates, phi being drawn to 0")

  # 2.3 Tests for xi being drawn to 2
  myb <- rep(c(-0.5,0.5),each=5)
  data <- makeDataGpd(a=1,b=myb,n=3000)

  gp7 <- list(c(0, 2, 2), diag(c(10^4, 0.25, 0.25)))
  gp8 <- list(c(0, 2, 2), diag(c(10^4, 0.05, 0.05)))

  mod6 <- evm(y,qu=0.6,data=data,phi=~1,xi=~b,penalty="none")
  mod7 <- evm(y,qu=0.6,data=data,phi=~1,xi=~b,priorParameters=gp7)
  mod8 <- evm(y,qu=0.6,data=data,phi=~1,xi=~b,priorParameters=gp8)

  expect_that(all(abs(2-coef(mod6)[2:3])>abs(2-coef(mod7)[2:3])), is_true(),
            label="gpd: with covariates, xi drawn to 2")
  expect_that(all(abs(2-coef(mod7)[2:3])>abs(2-coef(mod8)[2:3])), is_true(),
            label="gpd: with covariates, xi drawn to 2")

  # 2.4 Tests for phi being drawn to 4

  mya <- seq(0.1,1,len=10)
  data <- makeDataGpd(2 + mya,b=-0.1,n=3000)
  data$a <- rep(mya, len=nrow(data))

  gp10 <- list(c(0, 4, 0), diag(c(10^4, 1,   10^4)))
  gp11 <- list(c(0, 4, 0), diag(c(10^4, 0.1, 10^4)))

  mod9 <- evm(y,qu=0.6,data=data,phi=~a,xi=~1,penalty="none")
  mod10 <- evm(y,qu=0.6,data=data,phi=~a,xi=~1,priorParameters=gp10)
  mod11 <- evm(y,qu=0.6,data=data,phi=~a,xi=~1,priorParameters=gp11)

  expect_that(abs(4-coef(mod9)[2])>abs(4-coef(mod10)[2]), is_true(),
            label="gpd: with covariates, phi drawn to 4")
  expect_that(abs(4-coef(mod10)[2])>abs(4-coef(mod11)[2]), is_true(),
            label="gpd: with covariates, phi drawn to 4")

  #*************************************************************
  # 4.1. Test reproducibility
  set.seed(20101110)
  save.seed <- .Random.seed

  set.seed(save.seed)
  bmod <- evm(ALT.M, data=liver,
              th=quantile(liver$ALT.M, .7),
              iter=1000, thin=1, verbose=FALSE, method="sim")

  set.seed(save.seed)
  bmod2 <- evm(ALT.M, data=liver,
               th=quantile(liver$ALT.M, .7),
               iter=1000, thin=1, verbose=FALSE, method="sim")

  expect_that(bmod$param, equals(bmod2$param),
                     label="gpd: test simulation reproducibility 1")

  set.seed(bmod$seed)
  bmod3 <- evm(ALT.M, data=liver,
               th=quantile(liver$ALT.M, .7),
               iter=1000, thin=1, verbose=FALSE, method="sim")
  expect_that(bmod$param, equals(bmod3$param),
                     label="gpd: test simulation reproducibility 2")

  #*************************************************************
  # 4.2. Logical test of burn-in

  expect_that(nrow(bmod$chains)-bmod$burn, equals(nrow(bmod$param)),
                     label="gpd: Logical test of burn-in 1")

  iter <- sample(500:1000,1)
  burn <- sample(50,1)
  bmod2 <- evm(ALT.M, data=liver, th=quantile(liver$ALT.M, .7),
               iter=iter, burn=burn, thin=1, verbose=FALSE, method="sim")

  expect_that(iter-burn, equals(nrow(bmod2$param)),
                     label="gpd: Logical test of burn-in 2")

  #*************************************************************
  # 4.3. Logical test of thinning

  thin <- 0.5
  iter <- 1000
  bmod <- evm(ALT.M, data=liver, th=quantile(liver$ALT.M, .7),
              iter=iter, thin = thin,verbose=FALSE, method="sim")

  expect_that((nrow(bmod$chains)-bmod$burn)*thin, equals(nrow(bmod$param)),
                     label="gpd: Logical test of thinning 1")

  thin <- 2
  iter <- 1000
  bmod <- evm(ALT.M, data=liver, th=quantile(liver$ALT.M, .7),
              iter=iter, thin = thin, verbose=FALSE, method="sim")

  expect_that((nrow(bmod$chains)-bmod$burn)/thin, equals(nrow(bmod$param)),
                     label="gpd: Logical test of thinning 1")

  #*************************************************************
  # 5.1. Test of gev family: point estimates and cov matrices
  coles <- c(3.87, .198, -.050) # From page 59 of Coles
  mOpt <- evm(SeaLevel, data=portpirie, family=gev, penalty="none")
  mSim <- evm(SeaLevel, data=portpirie, family=gev, method="sim",trace=100000)
  coOpt <- coef(mOpt)
  coSim <- coef(mSim)
  coOpt[2] <- exp(coOpt[2])
  coSim[2] <- exp(coSim[2])
  # check point estimates
  expect_that(coles, equals(unname(coOpt), tolerance=tol),
                     label="gev: optimisation, parameter ests page 59 Coles")
  expect_that(coles, equals(unname(coSim), tolerance=tol),
                     label="gev: simulation, parameter ests page 59 Coles")

  # Check non-sigma elements of covariance
  coles <- matrix(c(.000780, -.00107,
                    -.00107, .00965), ncol=2)
  coOpt <- mOpt$cov[c(1,3), c(1,3)]
  coSim <- cov(mSim$param)[c(1,3), c(1,3)]
  expect_that(coles, equals(coOpt, tolerance=tol),
                     label="gev: optimisation, covariance page 59 coles")
  expect_that(coles, equals(coSim, tolerance=tol),
                     label="gev: simulation, covariance page 59 coles")
  mcOpt <- max(abs(coles - coOpt))
  mcSim <- max(abs(coles - coSim))
  expect_that(0, equals(mcOpt, tolerance=tol),
              label="gev:optimisation,maxabscovariance")
  expect_that(0, equals(mcSim, tolerance=tol),
              label="gev:simulation,maxabscovariance")

  # Check log-likelihood
  coles <- 4.34
  co <- mOpt$loglik
  expect_that(coles, equals(co, tolerance=tol),
                     label="gev: optimisation, loglik page 59 coles")

  ###################################################################
  # 5.2   GEV - Logical checks on the effect of Gaussian penalization. The smaller the
  #    variance, the more the parameter should be drawn towards the
  #    mean.

  # Tests for xi being drawn to 0

  gp1 <- list(c(0, 0, 0), diag(c(10^4, 10^4, .25)))
  gp2 <- list(c(0, 0, 0), diag(c(10^4, 10^4, .05)))

  mod1 <- evm(SeaLevel, data=portpirie, family=gev, priorParameters=gp1)
  mod2 <- evm(SeaLevel, data=portpirie, family=gev, priorParameters=gp2)

  expect_that(abs(coef(mOpt)[3])>abs(coef(mod1)[3]), is_true(),
            label="gev: Gaussian penalization xi being drawn to 0")
  expect_that(abs(coef(mOpt)[3])>abs(coef(mod2)[3]), is_true(),
            label="gev: Gaussian penalization xi being drawn to 0")
  expect_that(abs(coef(mod1)[3])>abs(coef(mod2)[3]), is_true(),
            label="gev: Gaussian penalization xi being drawn to 0")

  # Tests for phi being drawn to 0

  gp3 <- list(c(0, 0, 0), diag(c(10^4, 1, 10^4)))
  gp4 <- list(c(0, 0, 0), diag(c(10^4, .1, 10^4)))

  mod3 <- evm(SeaLevel, data=portpirie, family=gev, priorParameters=gp3)
  mod4 <- evm(SeaLevel, data=portpirie, family=gev, priorParameters=gp4)

  expect_that(abs(coef(mOpt)[2])>abs(coef(mod3)[2]), is_true(),
            label="gev: Gaussian penalization phi being drawn to 0")
  expect_that(abs(coef(mOpt)[2])>abs(coef(mod4)[2]), is_true(),
            label="gev: Gaussian penalization phi being drawn to 0")
  expect_that(abs(coef(mod3)[2])>abs(coef(mod4)[2]), is_true(),
            label="gev: Gaussian penalization phi being drawn to 0")

  # Tests for xi being drawn to 1
  gp5 <- list(c(0, 0, 1), diag(c(10^4, 10^4, .25)))
  gp6 <- list(c(0, 0, 1), diag(c(10^4, 10^4, .05)))

  mod5 <- evm(SeaLevel, data=portpirie, family=gev, priorParameters=gp5)
  mod6 <- evm(SeaLevel, data=portpirie, family=gev, priorParameters=gp6)

  expect_that(abs(1-coef(mOpt)[3])>abs(1-coef(mod5)[3]), is_true(),
            label="gev: Gaussian penalization xi being drawn to 1")
  expect_that(abs(1-coef(mOpt)[3])>abs(1-coef(mod6)[3]), is_true(),
            label="gev: Gaussian penalization xi being drawn to 1")
  expect_that(abs(1-coef(mod5)[3])>abs(1-coef(mod6)[3]), is_true(),
            label="gev: Gaussian penalization xi being drawn to 1")

  # Tests for phi being drawn to 0.5 (greater than mle for phi)

  gp7 <- list(c(0, 0.5, 0), diag(c(10^4, 1, 10^4)))
  gp8 <- list(c(0, 0.5, 0), diag(c(10^4, .1, 10^4)))

  mod7 <- evm(SeaLevel, data=portpirie, family=gev, priorParameters=gp7)
  mod8 <- evm(SeaLevel, data=portpirie, family=gev, priorParameters=gp8)

  expect_that(abs(.5-coef(mOpt)[2])>abs(.5-coef(mod7)[2]), is_true(),
            label="gpd: Gaussian penalization phi being drawn to .5")
  expect_that(abs(.5-coef(mOpt)[2])>abs(.5-coef(mod8)[2]), is_true(),
            label="gpd: Gaussian penalization phi being drawn to .5")

  # test above but with lasso penalty

  mod9 <- evm(SeaLevel, data=portpirie, family=gev, priorParameters=gp7,penalty="lasso")
  mod10 <- evm(SeaLevel, data=portpirie, family=gev, priorParameters=gp8,penalty="lasso")

  expect_that(abs(.5-coef(mOpt)[2])>abs(.5-coef(mod9)[2]), is_true(),
            label="gpd: Gaussian lasso penalization phi being drawn to .5")
  expect_that(abs(.5-coef(mOpt)[2])>abs(.5-coef(mod10)[2]), is_true(),
            label="gpd: Gaussian lasso penalization phi being drawn to .5")

  ###################################################################
  # 5.3  GEV - covariates in mu, phi and xi separately, use gev.fit from ismev package

  set.seed(20130614)
  makeDataGev <- function(u=0,a,b,n=500)
    # lengths of a and b should divide n exactly
    # returns data set size n distributed as GEV variates location parameter u,
    # scale parameter exp(a) and shape b
  {
    gev <- rgev(n,mu=u,exp(a),b)
    as.data.frame(cbind(u=u,a=a,b=b,y=gev))
  }

  myu <- rnorm(10)
  mya <- seq(0.1,1,len=10)
  myb <- rep(c(-0.2,0.2),each=5)

  data <- list(makeDataGev(myu,2,-0.1),
               makeDataGev(3,mya,-0.1),
               makeDataGev(3,2,myb))

  start1 <- c(0,1,2,-0.1)
  g1.fit <- texmex:::.ismev.gev.fit(xdat=data[[1]]$y,ydat=data[[1]],mul=1, siglink=exp,show=FALSE,muinit=start1[1:2])
  g2.fit <- texmex:::.ismev.gev.fit(xdat=data[[2]]$y,ydat=data[[2]],sigl=2,siglink=exp,show=FALSE)
  # siginit specified in call below. Otherwise, it converges to a bad location (as judged by looking at
  # the likelihood from each fit)
  g3.fit <- texmex:::.ismev.gev.fit(xdat=data[[3]]$y,ydat=data[[3]],shl=3,siglink=exp, siginit=2, show=FALSE)

  t1.fit <- evm(y,mu=~u, family=gev,data=data[[1]],start=start1)
  t2.fit <- evm(y,phi=~a,family=gev,data=data[[2]])
  t3.fit <- evm(y,xi=~b, family=gev,data=data[[3]])

  expect_that(g1.fit$mle, equals(unname(coef(t1.fit)), tolerance=tol), label="gev:covariatesinmupointest")
  expect_that(g2.fit$mle, equals(unname(coef(t2.fit)), tolerance=tol), label="gev:covariatesinphipointest")
  expect_that(g3.fit$mle, equals(unname(coef(t3.fit)), tolerance=tol), label="gev:covariatesinxipointest")

  expect_that(g1.fit$nllh, equals(-t1.fit$loglik, tolerance=tol), label="gev:covariatesinmu,log-lik")
  expect_that(g2.fit$nllh, equals(-t2.fit$loglik, tolerance=tol), label="gev:covariatesinphi,log-lik")
  expect_that(g3.fit$nllh, equals(-t3.fit$loglik, tolerance=tol), label="gev:covariatesinxi,log-lik")

  expect_that(g1.fit$cov, equals(t1.fit$cov, tolerance=tol), label="gev:covariatesinmu,cov")
  expect_that(g2.fit$cov, equals(t2.fit$cov, tolerance=tol), label="gev:covariatesinphi,cov")
  expect_that(g3.fit$cov, equals(t3.fit$cov, tolerance=tol), label="gev:covariatesinxi,cov")

  ######################################################################
  # 5.4 GEV - Test mu phi & xi simultaneously. Use simulated data.

  set.seed(25111970)

  data <- makeDataGev(5+2*myu,2-0.5*mya,0.1+2*myb)
  data$u <- myu
  data$a <- mya
  data$b <- myb

  mod <- evm(y,data=data,mu=~u,phi=~a,xi=~b,penalty="none",family=gev,start=c(5,2,2,-0.1,0,2))
  ismod <- texmex:::.ismev.gev.fit(data$y,
                                   ydat=data,mul=1,shl=3,sigl=2,
                                   siglink=exp,
                                   show=FALSE,muinit=c(5,2),siginit=c(2,-0.1),shinit=c(0,2))

  expect_that(ismod$mle, equals(unname(coef(mod)), tolerance=tol), label="gev:covariatesinmuphiandxi:pointests")
  expect_that(ismod$se, equals(sqrt(diag(mod$cov)), tolerance=tol), label="gev:covariatesinmuphiandxi:stderrs")

  ####################################################################
  # 5.5 GEV:  Check that using priors gives expected behaviour when covariates are included.

  # Tests for xi being drawn to 0

  myb <- rep(c(-0.1,0.1),each=5)
  data <- makeDataGev(u=0,a=1,b=-0.5+myb,n=3000)
  data$b <- myb

  gp1 <- list(c(0, 0, 0, 0), diag(c(10^4, 10^4, 0.25, 0.25)))
  gp2 <- list(c(0, 0, 0, 0), diag(c(10^4, 10^4, 0.25, 0.01)))

  mod0 <- evm(y,family=gev,data=data,xi=~b,penalty="none")
  mod1 <- evm(y,family=gev,data=data,xi=~b,priorParameters=gp1)
  mod2 <- evm(y,family=gev,data=data,xi=~b,priorParameters=gp2)

  expect_that(all(abs(coef(mod0)[3:4])>abs(coef(mod1)[3:4])), is_true(),
            label="gev: with covariates, xi drawn to zero")
  expect_that(abs(coef(mod1)[4])>abs(coef(mod2)[4]), is_true(),
            label="gev: with covariates, xi drawn to zero")

  # Tests for phi being drawn to 0

  mya <- seq(0.1,1,len=10)
  data <- makeDataGev(u=0,a=-3 + mya,b=-0.1,n=3000)
  data$a <- rep(mya, len=nrow(data))

  gp4 <- list(c(0, 0, 0, 0), diag(c(10^4, 1, 1, 10^4)))
  gp5 <- list(c(0, 0, 0, 0), diag(c(10^4, 0.1, 0.1, 10^4)))

  mod3 <- evm(y,family=gev,data=data,phi=~a,penalty="none")
  mod4 <- evm(y,family=gev,data=data,phi=~a,priorParameters=gp4)
  mod5 <- evm(y,family=gev,data=data,phi=~a,priorParameters=gp5)

  expect_that(all(abs(coef(mod3)[2:3])>abs(coef(mod4)[2:3])), is_true(),
            label="gev: with covariates, phi being drawn to 0")
  expect_that(all(abs(coef(mod4)[2:3])>abs(coef(mod5)[2:3])), is_true(),
            label="gev: with covariates, phi being drawn to 0")

  # Tests for xi being drawn to 2
  myb <- rep(c(-0.1,0.1),each=5)
  data <- makeDataGev(u=0,a=1,b=myb,n=3000)

  gp7 <- list(c(0, 0, 1, 1), diag(c(10^4, 10^4, 0.25, 0.25)))
  gp8 <- list(c(0, 0, 1, 1), diag(c(10^4, 10^4, 0.05, 0.05)))

  mod6 <- evm(y,family=gev,data=data,xi=~b,penalty="none")
  mod7 <- evm(y,family=gev,data=data,xi=~b,priorParameters=gp7)
  mod8 <- evm(y,family=gev,data=data,xi=~b,priorParameters=gp8)

  expect_that(all(abs(1-coef(mod6)[3:4])>abs(1-coef(mod7)[3:4])), is_true(),
            label="gev: with covariates, xi drawn to 1")
  expect_that(all(abs(1-coef(mod7)[3:4])>abs(1-coef(mod8)[3:4])), is_true(),
            label="gev: with covariates, xi drawn to 1")

  # Tests for mu being drawn to 4

  myu <- seq(0.1,1,len=10)
  data <- makeDataGev(2 + myu,a=1,b=-0.1,n=3000)
  data$u <- rep(myu, len=nrow(data))

  gp10 <- list(c(4, 0, 0, 0), diag(c(1,   10^4, 10^4, 10^4)))
  gp11 <- list(c(4, 0, 0, 0), diag(c(0.1, 10^4, 10^4, 10^4)))

  mod9 <-  evm(y,family=gev,data=data,mu=~u,penalty="none")
  mod10 <- evm(y,family=gev,data=data,mu=~u,priorParameters=gp10)
  mod11 <- evm(y,family=gev,data=data,mu=~u,priorParameters=gp11)

  expect_that(abs(4-coef(mod9)[1])>abs(4-coef(mod10)[1]), is_true(),
            label="gev: with covariates, mu drawn to 4")
  expect_that(abs(4-coef(mod10)[1])>abs(4-coef(mod11)[1]), is_true(),
            label="gev: with covariates, mu drawn to 4")
}
)

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texmex documentation built on May 29, 2017, 6:42 p.m.