simuExperiment: Perform simulation experiments

In GeoBosh/mixAR: Mixture Autoregressive Models

Perform simulation experiments

Description

Perform simulation experiments

Usage

simuExperiment(model, simu, est, N = 100, use_true = FALSE,
               raw = FALSE, init_name = "init", keep = identity,
               summary_fun = .fsummary, ...)

Arguments

model	the model, see 'Details'.
simu	arguments for the simulation function, a list, see 'Details'.
est	arguments for the estimation function, a list, see 'Details'.
N	number of simulations.
use_true	if TRUE, use also the "true" coefficients as initial values, see 'Details'.
raw	if TRUE, include the list of estimated models in the returned value.
init_name	name of the argument of the estimation function which specifies the initial values for estimation, not always used, see ‘Details’.
keep	what values to keep from each simulation run, a function, see 'Details'.
summary_fun	A function to apply at the end of the experiment to obtain a summary, see 'Details'.
...	additional arguments to pass on to the summary function. NOTE: this may change.

Details

Argument model specifies the underlying model and is not always needed, see the examples. Argument simu specifies how to simulate the data. Argument est specifies the estimation procedure. Argument N specifies the number of simulation runs. The remaining arguments control details of the simulations, mostly what is returned.

Basically, simuExperiment does N simulation-estimation runs. The keep function is applied to the value obtained from each run. The results from keep are assembled in a list (these are the 'raw' results). Finally, the summary function (argument summary_fun) is applied to the raw list.

simu and est are lists with two elements: fun and args. fun is a function or the name of a function. args is a list of arguments to that function. The first argument of the estimation function, est$fun, is the simulated data. This argument is inserted by simuExperiment and should not be put in est$args.

The value returned by the summary function is the main part of the result. If raw = TRUE, then the raw list is returned, as well. Further fields may be made possible through additional arguments but 'Summary' and 'Raw' are guaranteed to be as described here.

simuExperiment uses init_name only if use_true is TRUE to arrange a call of the estimation function with initial value model. Obviously, simuExperiment does not know how (or if) the estimation function does with its arguments.

The function specified by argument keep is called with one argument when use_true is FALSE and two arguments otherwise.

Value

A list with one or more elements, depending on the arguments.

Summary	a summary of the experiment, by default sample means and standard deviations of the estimates.
Raw	A list of the estimated models.

Author(s)

Georgi N. Boshnakov

Examples

## explore dist. of the mean of a random sample of length 5.
## (only illustration, such simple cases hardly need simuExperiment)
sim1 <- list(fun="rnorm", args = list(n=5, mean=3, sd = 2))
est1 <- list(fun=mean, args = list())

# a basic report function
fsum1 <-  function(x){ wrk <- do.call("c",x)
                       c(n = length(wrk), mean = mean(wrk), sd = sd(wrk))}

a1 <- simuExperiment(TRUE, simu = sim1, est = est1, N = 1000, summary_fun = fsum1)

# explore also the dist. of the sample s.d.
est2 <- est1
est2$fun <- function(x) c(xbar = mean(x), s = sd(x))

a2  <- simuExperiment(TRUE, simu = sim1, est = est2, N = 1000)

# keep the raw sample means and s.d.'s for further use
a2a <- simuExperiment(TRUE, simu = sim1, est = est2, N = 1000, raw = TRUE)
a2a$Summary

# replicate a2a$Summary
s5 <- sapply(a2a$Raw, identity)
apply(s5, 1, mean)
apply(s5, 1, sd)

hist(s5[1,], prob=TRUE)
lines(density(s5[1,]))
curve(dnorm(x, mean(s5[1,]), sd(s5[1,])), add = TRUE, col = "red")

mixAR:::.fsummary(a2a$Raw)
mixAR:::.fsummary(a2a$Raw, merge = TRUE)

GeoBosh/mixAR documentation built on Oct. 28, 2024, 7:01 p.m.