likelihoodConfidenceInterval: Likelihood ratio based confidence intervals

In twostageTE: Two-Stage Threshold Estimation

Description

This is an internal function not meant to be called directly. Inverts the likelihood ratio statistic to form confidence intervals.

Usage

likelihoodConfidenceInterval(explanatory, response, Y_0, level = NA)

Arguments

explanatory	Explanatory sample points
response	Observed responses at the explanatory sample points
Y_0	Threshold of interest
level	Desired confidence level for the confidence interval

Value

Returns a list with

estimate	Threshold estimate
lower	Lower bound of the confidence interval
upper	Upper bound of the confidence interval
sigmaSq	Estimate of variance
deriv_d0	Value of NA since this is not estimated.

Author(s)

Shawn Mankad

Examples

X=runif(25, 0,1)
Y=X^2+rnorm(n=length(X), sd=0.1)
oneStage_LR=likelihoodConfidenceInterval(X, Y, 0.25, 0.95)

## The function is currently defined as
function (explanatory, response, Y_0, level = NA) 
{
    if (is.na(level)) 
        level = 0.95
    RVforLR_realizations <- NULL; rm(RVforLR_realizations); # Dummy to trick R CMD check 
    data("RVforLR_realizations", envir =environment())
    D = quantile(RVforLR_realizations, level)
    n = length(response)
    ind = order(explanatory, decreasing=FALSE)
    if (sum(diff(ind) < 0) != 0) {
	explanatory = explanatory[ind]
	response = response[ind]
    }
    fit = threshold_estimate_ir(explanatory, response, Y_0)
    sigmaSq = estimateSigmaSq(explanatory, response)$sigmaSq
    likelihoodRatio <- function(explanatory, response, X_0, Y_0, 
        sigmaSq) {
        logLikelihood <- function(Y, Y_hat) {
            -1/(2 * sigmaSq) * sum((Y - Y_hat)^2)
        }
        unconstrainedLikelihood <- function(explanatory, response) {
            fit = pava(explanatory, response)
            tmp = logLikelihood(fit$response_obs, fit$y)
            return(list(x = fit$x, y_hat = fit$y, y = fit$response_obs, 
                logLikelihood = tmp))
        }
        constrainedLikelihood <- function(explanatory, response, 
            X_0, Y_0) {
            fit = pava(explanatory, response, X_0, Y_0)
            tmp = logLikelihood(fit$response_obs, fit$y)
            return(list(x = fit$x, y_hat = fit$y, y = fit$response_obs, 
                logLikelihood = tmp))
        }
        unconst = unconstrainedLikelihood(explanatory, response)
        const = constrainedLikelihood(explanatory, response, 
            X_0, Y_0)
        return(unconst$logLikelihood - const$logLikelihood)
    }
    i = fit$index + 1
    lrt_tmp = 0
    while (lrt_tmp < D && i < n) {
        lrt_tmp = likelihoodRatio(explanatory, response, explanatory[i], 
            Y_0, sigmaSq)
        i = i + 1
    }
    right = explanatory[min(i, n)]
    i = fit$index - 1
    lrt_tmp = 0
    while (lrt_tmp < D && i > 1) {
        lrt_tmp = likelihoodRatio(explanatory, response, explanatory[i], 
            Y_0, sigmaSq)
        i = i - 1
    }
    left = explanatory[max(i, 1)]
    return(list(estimate = fit$threshold_estimate_explanatory, 
        lower = left, upper = right, sigmaSq = sigmaSq, deriv_d0 = NA))
  }

twostageTE documentation built on May 1, 2019, 9:18 p.m.