R/CopulaCLM.r
In KironmoyDas/KD-STAT0035-GMupdate: Generalised Joint Regression Modelling
Defines functions
CopulaCLM
Documented in
CopulaCLM
CopulaCLM <- function(formula, data = list(), weights = NULL, subset = NULL,
Model = "B", BivD = "N", margins = c("probit","N"),
dof = 3, gamlssfit = FALSE,
fp = FALSE, hess = TRUE, infl.fac = 1, theta.fx = NULL,
rinit = 1, rmax = 100, iterlimsp = 50, tolsp = 1e-07,
gc.l = FALSE, parscale, extra.regI = "t", intf = FALSE, knots = NULL,
drop.unused.levels = TRUE, ind.ord = FALSE,
min.dn = 1e-40, min.pr = 1e-16, max.pr = 0.999999){
##########################################################################################
# Model set up and starting values
##########################################################################################
##### Model set up #####
i.rho <- sp <- qu.mag <- n.sel <- y1.y2 <- y1.cy2 <- cy1.y2 <- cy1.cy2 <- cy <- cy1 <- inde <- y2m <- K1 <- NULL
end <- X3.d2 <- X4.d2 <- X5.d2 <- X6.d2 <- X7.d2 <- X8.d2 <- l.sp3 <- l.sp4 <- l.sp5 <- l.sp6 <- l.sp7 <- l.sp8 <- i.rho <- 0
gam1 <- gam2 <- gam3 <- gam4 <- gam5 <- gam6 <- gam7 <- gam8 <- gamlss2 <- dof.st <- NULL
gamlss2 <- NULL
Sl.sf <- NULL
sp.method <- "perf"
sp1 <- sp2 <- c.gam2 <- X2s <- X3s <- NULL
sp3 <- gp3 <- gam3 <- X3 <- NULL
sp4 <- gp4 <- gam4 <- X4 <- NULL
sp5 <- gp5 <- gam5 <- X5 <- NULL
sp6 <- gp6 <- gam6 <- X6 <- NULL
sp7 <- gp7 <- gam7 <- X7 <- NULL
sp8 <- gp8 <- gam8 <- X8 <- NULL
log.sig2 <- log.nu <- NULL
BivD2 <- c("C0C90", "C0C270", "C180C90", "C180C270",
"J0J90", "J0J270", "J180J90", "J180J270",
"G0G90", "G0G270", "G180G90", "G180G270",
"GAL0GAL90", "GAL0GAL270", "GAL180GAL90", "GAL180GAL270") # 13:16
opc <- c("N", "C0", "C90", "C180", "C270",
"J0", "J90", "J180", "J270",
"G0", "G90", "G180", "G270", "F", "AMH", "FGM", "T", "PL", "HO","GAL0", "GAL90", "GAL180", "GAL270") # family for GAL is 62:65
scc <- c("C0" , "C180","GAL0" , "GAL180", "J0" , "J180", "G0","G180",BivD2)
sccn <- c("C90", "C270", "GAL90", "GAL270","J90", "J270", "G90", "G270")
mb <- c("B", "BSS", "BPO", "BPO0")
m2 <- c("N", "GU", "rGU", "LO", "LN", "WEI", "iG", "GA", "BE", "FISK","GP","GPII","GPo")
m3 <- c("DAGUM", "SM","TW")
m1d <- c("PO", "ZTP")
m2d <- c("NBI", "NBII", "PIG","DGP","DGPII")
bl <- c("probit", "logit", "cloglog") # , "cauchit")
M <- list(m1d = m1d, m2 = m2, m2d = m2d, m3 = m3, BivD = BivD,
opc = opc, extra.regI = extra.regI, margins = margins, bl = bl, intf = intf,
theta.fx = theta.fx, Model = Model, mb = mb, BivD2 = BivD2, dof = dof)
surv.flex <- FALSE
ct <- data.frame(c(opc), c(1:14,55,56,57,60,61,62:65))
cta <- data.frame(c(opc), c(1,3,23,13,33,6,26,16,36,4,24,14,34,5,55,56,2,60,61,62:65))
if(BivD %in% BivD2){
if(BivD %in% BivD2[1 : 4 ]) BivDt <- "C0"
if(BivD %in% BivD2[5 : 12]) BivDt <- "J0"
if(BivD %in% BivD2[13 :16]) BivDt <- "C0" # useful for ass dep function but we calculate it differently, so ok like this
nC <- ct[which( ct[, 1] == BivDt), 2]
nCa <- cta[which(cta[, 1] == BivDt), 2]
}
if(!(BivD %in% BivD2)){
nC <- ct[which( ct[, 1] == BivD), 2]
nCa <- cta[which(cta[, 1] == BivD), 2]
}
# nCa not important for GAL as we do not use VineCopula
##################################################
if(!is.list(formula)) stop("You must specify a list of equations.")
M$l.flist <- l.flist <- length(formula)
pream.wm(formula, margins, M, l.flist, type = "ord")
form.check(formula, l.flist)
##################################################
cl <- match.call()
mf <- match.call(expand.dots = FALSE)
pred.varR <- pred.var(formula, l.flist)
v1 <- pred.varR$v1
v2 <- pred.varR$v2
pred.n <- pred.varR$pred.n
fake.formula <- paste(v1[1], "~", paste(pred.n, collapse = " + "))
environment(fake.formula) <- environment(formula[[1]])
mf$formula <- fake.formula
mf$min.dn <- mf$min.pr <- mf$max.pr <- mf$ordinal <- mf$knots <- mf$dof <- mf$intf <- mf$theta.fx <- mf$Model <- mf$BivD <- mf$margins <- mf$fp <- mf$hess <- mf$infl.fac <- mf$rinit <- mf$rmax <- mf$iterlimsp <- mf$tolsp <- mf$gc.l <- mf$parscale <- mf$extra.regI <- mf$gamlssfit <- NULL
mf$drop.unused.levels <- drop.unused.levels
mf$ind.ord <- NULL
#if(Model=="BSS") mf$na.action <- na.pass
mf[[1]] <- as.name("model.frame")
data <- eval(mf, parent.frame())
if(gc.l == TRUE) gc()
#if(Model=="BSS"){
#
#data[is.na(data[, v1[1]]), v1[1]] <- 0
#indS <- data[, v1[1]]
#indS[is.na(indS)] <- 0
#indS <- as.logical(indS)
#data[indS == FALSE, v2[1]] <- 0
#data <- na.omit(data)
#
#}
if(!("(weights)" %in% names(data))){
weights <- rep(1,dim(data)[1])
data$weights <- weights
names(data)[length(names(data))] <- "(weights)"
} else weights <- data[,"(weights)"]
formula.eq1 <- formula[[1]]
formula.eq2 <- formula[[2]]
if(Model == "B"){
if(v1[1] %in% v2[-1]) end <- 1
if(v2[1] %in% v1[-1]) end <- 2
}
##### Equation 1 #####
# 1) bisogna fare in modo che l'intercetta nn venga rimossa
# 2)
gam1.false <- eval(substitute(gam(formula.eq1, gamma = infl.fac, weights = weights,
data = data, knots = knots, fit = FALSE, drop.unused.levels = drop.unused.levels), list(weights = weights)))
y1.false <- gam1.false$y
X1.false <- gam1.false$X
K1 <- resp.CLM(y1.false)
if(dim(X1.false)[2] == 1 & all(X1.false == 1)) stop("The equation for the ordinal renspose must include at least one regressor alongside the intercept.")
M$K1 <- K1 # K1 computed and added to M
gam1 <- eval(substitute(gam(formula.eq1, family = ocat(R = K1), gamma = infl.fac, weights = weights,
data = data, knots = knots, drop.unused.levels = drop.unused.levels), list(weights = weights)))
X1 <- model.matrix(gam1); if(all(X1[, 1] == 1)) X1 <- as.matrix(X1[, -1])
X1.d2 <- dim(X1)[2]
l.sp1 <- length(gam1$sp)
if(l.sp1 != 0) sp1 <- gam1$sp
y1 <- gam1$y
n <- length(y1)
gp1 <- K1 + gam1$nsdf - 2 # cut-points are added (K1 - 1) and the intercept removed (- 1)
inde <- rep(TRUE, n)
##### Equation 2: B and continuous response #####
if(Model=="B" && !(margins[2] %in% bl)){
form.eq12R <- form.eq12(formula.eq2, data, v2, margins[2], m1d, m2d)
formula.eq2 <- form.eq12R$formula.eq1
formula.eq2r <- form.eq12R$formula.eq1r
y2 <- form.eq12R$y1
y2.test <- form.eq12R$y1.test
y2m <- form.eq12R$y1m
gam2 <- eval(substitute(gam(formula.eq2, gamma = infl.fac, weights = weights, data = data, knots = knots, drop.unused.levels = drop.unused.levels), list(weights = weights)))
gam2$formula <- formula.eq2r
names(gam2$model)[1] <- as.character(formula.eq2r[2])
y2 <- y2.test
if(margins[2] %in% c("LN")) y2 <- log(y2)
X2 <- model.matrix(gam2)
X2.d2 <- dim(X2)[2]
l.sp2 <- length(gam2$sp) ; if(l.sp2 != 0) sp2 <- gam2$sp
#cy <- 1 - y1
}
gp2 <- gam2$nsdf
##### Starting values for cut points #####
# N.B. the intercept is removed from the coefficient's vector
if(names(gam1$coefficients)[1] == "(Intercept)"){
gam1.int <- gam1$coefficients[1]
gam1$coefficients <- gam1$coefficients[-1]
}
c1 <- gam1$family$getTheta(TRUE) - gam1.int
c1.ti <- rep(0, K1 - 1)
c1.ti[1] <- c1[1] ; for(i in 2 : (K1 - 1)) {c1.ti[i] <- sqrt(c1[i] - c1[i - 1])}
n.num <- seq(1, K1 - 1)
names(c1.ti) <- paste(paste("c1", n.num, sep = ""), "star", sep = ".")
##### Starting values for dependence parameter #####
if(is.null(theta.fx)){
if(Model == "B"){
res1 <- residuals(gam1)
res2 <- residuals(gam2)
ass.s <- cor(res1, res2, method = "kendall")
ass.s <- sign(ass.s) * ifelse(abs(ass.s) > 0.9, 0.9, abs(ass.s))
}
i.rho <- ass.dp(ass.s, BivD, scc, sccn, nCa)
}
names(i.rho) <- "theta.star"
##### Starting values for whole parameter vector #####
if(margins[1] %in% bl && margins[2] %in% c(m2)){
start.snR <- startsn(margins[2], y2)
log.sig2 <- start.snR$log.sig2.1; names(log.sig2) <- "sigma.star"
#if(margins[2] %in% c(m3 )){ log.nu <- start.snR$log.nu.1; names(log.nu) <- "nu.star"}
if(margins[2] %in% c(m2)) start.v <- c(c1.ti, gam1$coefficients, gam2$coefficients, log.sig2, i.rho)
#if(margins[2] %in% m3 ) start.v <- c(c1.ti, gam1$coefficients, gam2$coefficients, log.sig2, log.nu, i.rho)
}
##################################################
if(l.flist > 2){
vo <- list(gam1 = gam1, gam2 = gam2, i.rho = i.rho, log.sig2 = log.sig2, log.nu = log.nu, n = n, drop.unused.levels = drop.unused.levels)
overall.svGR <- overall.svG(formula, data, ngc = 2, margins, M, vo, gam1, gam2, type = "biv", inde = inde, c.gam2 = c.gam2, knots = knots)
start.v = c(c1.ti, overall.svGR$start.v) # cut points added
X3 = overall.svGR$X3; X4 = overall.svGR$X4; X5 = overall.svGR$X5
X6 = overall.svGR$X6; X7 = overall.svGR$X7; X8 = overall.svGR$X8
X3.d2 = overall.svGR$X3.d2; X4.d2 = overall.svGR$X4.d2; X5.d2 = overall.svGR$X5.d2
X6.d2 = overall.svGR$X6.d2; X7.d2 = overall.svGR$X7.d2; X8.d2 = overall.svGR$X8.d2
gp3 = overall.svGR$gp3; gp4 = overall.svGR$gp4; gp5 = overall.svGR$gp5
gp6 = overall.svGR$gp6; gp7 = overall.svGR$gp7; gp8 = overall.svGR$gp8
gam3 = overall.svGR$gam3; gam4 = overall.svGR$gam4; gam5 = overall.svGR$gam5
gam6 = overall.svGR$gam6; gam7 = overall.svGR$gam7; gam8 = overall.svGR$gam8
l.sp3 = overall.svGR$l.sp3; l.sp4 = overall.svGR$l.sp4; l.sp5 = overall.svGR$l.sp5
l.sp6 = overall.svGR$l.sp6; l.sp7 = overall.svGR$l.sp7; l.sp8 = overall.svGR$l.sp8
sp3 = overall.svGR$sp3; sp4 = overall.svGR$sp4; sp5 = overall.svGR$sp5
sp6 = overall.svGR$sp6; sp7 = overall.svGR$sp7; sp8 = overall.svGR$sp8
X3s = overall.svGR$X3s; X4s = overall.svGR$X4s
}
##################################################
GAM <- list(gam1 = gam1, gam2 = gam2, gam3 = gam3, gam4 = gam4,
gam5 = gam5, gam6 = gam6, gam7 = gam7, gam8 = gam8)
if((l.sp1 != 0 || l.sp2 != 0 || l.sp3 != 0 || l.sp4 != 0 ||
l.sp5 != 0 || l.sp6 != 0 || l.sp7 != 0 || l.sp8 != 0 ) && fp == FALSE){
L.GAM <- list(l.gam1 = length(gam1$coefficients), l.gam2 = length(gam2$coefficients), l.gam3 = length(gam3$coefficients), l.gam4 = length(gam4$coefficients),
l.gam5 = length(gam5$coefficients), l.gam6 = length(gam6$coefficients), l.gam7 = length(gam7$coefficients), l.gam8 = length(gam8$coefficients) )
L.SP <- list(l.sp1 = l.sp1, l.sp2 = l.sp2, l.sp3 = l.sp3, l.sp4 = l.sp4,
l.sp5 = l.sp5, l.sp6 = l.sp6, l.sp7 = l.sp7, l.sp8 = l.sp8 )
sp <- c(sp1, sp2, sp3, sp4, sp5, sp6, sp7, sp8)
qu.mag <- S.m(GAM, L.SP, L.GAM, K1 = K1)
}
##################################################
if(missing(parscale)) parscale <- 1
respvec <- list(y1 = y1 ,
y2 = y2 ,
y1.y2 = y1.y2 ,
y1.cy2 = y1.cy2 ,
cy1.y2 = cy1.y2 ,
cy1.cy2 = cy1.cy2,
cy1 = cy1 ,
cy = cy , univ = 0)
sel <- model.matrix(~ as.factor(y1) - 1)
sel.p <- as.matrix(sel[, 3 : K1])
sel.m <- as.matrix(sel[, 2 : (K1 - 1)])
sel.p[, (K1 - 2)] <- as.matrix(sel[, K1])
sel.m[, (K1 - 2)] <- as.matrix(sel[, (K1 - 1)])
sel.mm <- sel.pm <- matrix(nrow = n, ncol = K1 - 3, 0)
if( K1 > 3 ){
for (l in 1:(K1 - 3)) {sel.pm [, l] <- rowSums(sel.p[, l : (K1 - 2)])} ; sel.p[, 1 : (K1 - 3)] <- sel.pm
for (l in 1:(K1 - 3)) {sel.mm [, l] <- rowSums(sel.m[, l : (K1 - 2)])} ; sel.m[, 1 : (K1 - 3)] <- sel.mm
}
c1 <- rep(0, K1 - 1)
D11 <- rowSums(sel[, 1 : (K1 - 1)])
D12 <- rowSums(sel[, 2 : K1])
my.env <- new.env()
my.env$signind <- 1
lsgam1 <- length(gam1$smooth)
lsgam2 <- length(gam2$smooth)
lsgam3 <- length(gam3$smooth)
lsgam4 <- length(gam4$smooth)
lsgam5 <- length(gam5$smooth)
lsgam6 <- length(gam6$smooth)
lsgam7 <- length(gam7$smooth)
lsgam8 <- length(gam8$smooth)
VC <- list(lsgam1 = lsgam1, robust = FALSE, sel = sel, sel.p = sel.p, sel.m = sel.m, sel.mm = sel.mm, sel.pm = sel.pm, c1 = c1, D11 = D11, D12 = D12,
lsgam2 = lsgam2, Sl.sf = Sl.sf, sp.method = sp.method,
lsgam3 = lsgam3,
lsgam4 = lsgam4,
lsgam5 = lsgam5,
lsgam6 = lsgam6,
lsgam7 = lsgam7,
lsgam8 = lsgam8,
K1 = K1, # added for CopulaCLM
X1 = X1, inde = inde, my.env = my.env,
X2 = X2,
X3 = X3,
X4 = X4,
X5 = X5,
X6 = X6,
X7 = X7,
X8 = X8,
X1.d2 = X1.d2,
X2.d2 = X2.d2,
X3.d2 = X3.d2,
X4.d2 = X4.d2,
X5.d2 = X5.d2,
X6.d2 = X6.d2,
X7.d2 = X7.d2,
X8.d2 = X8.d2,
gp1 = gp1,
gp2 = gp2,
gp3 = gp3,
gp4 = gp4,
gp5 = gp5,
gp6 = gp6,
gp7 = gp7,
gp8 = gp8,
l.sp1 = l.sp1,
l.sp2 = l.sp2,
l.sp3 = l.sp3,
l.sp4 = l.sp4,
l.sp5 = l.sp5,
l.sp6 = l.sp6,
l.sp7 = l.sp7,
l.sp8 = l.sp8,
infl.fac = infl.fac,
weights = weights,
fp = fp, univ.gamls = FALSE,
hess = hess, nCa = nCa,
Model = Model, gamlssfit = gamlssfit,
end = end,
BivD = BivD, dof.st = log(dof - 2), dof = dof,
nC = nC, gc.l = gc.l, n = n, extra.regI = extra.regI,
parscale = parscale, margins = margins,
Cont = "NO", ccss = "no", m2 = m2, m3 = m3, m2d = m2d, m1d = m1d, m3d = NULL, bl = bl,
X2s = X2s, X3s = X3s, triv = FALSE, y2m = y2m,
theta.fx = theta.fx, i.rho = i.rho,
BivD2 = BivD2, cta = cta, ct = ct, zerov = -10, surv.flex = surv.flex, gp2.inf = NULL,
informative = "no", sp.fixed = NULL,
zero.tol = 1e-02,
min.dn = min.dn, min.pr = min.pr, max.pr = max.pr) # original n only needed in SemiParBIV.fit
if(gc.l == TRUE) gc()
##################################################
if(gamlssfit == TRUE && !(margins[2] %in% bl)){
form.gamlR <- form.gaml(formula, l.flist, M, type = "biv")
gamlss2 <- eval(substitute(gamlss(form.gamlR$formula.gamlss2, data = data, weights = weights, subset = subset,
margin = margins[2], infl.fac = infl.fac,
rinit = rinit, rmax = rmax, iterlimsp = iterlimsp, tolsp = tolsp,
gc.l = gc.l, parscale = 1, extra.regI = extra.regI, drop.unused.levels = drop.unused.levels), list(weights = weights)))
# Updated starting values
MM <- M; MM$BivD <- "N" # this is for T case, dof is never estimated...
SP <- list(sp1 = sp1, sp2 = sp2, sp3 = sp3, sp4 = sp4, sp5 = sp5, sp6 = sp6, sp7 = sp7, sp8 = sp8)
gamls.upsvR <- gamls.upsv(gamlss1 = NULL, gamlss2, margins, MM, l.flist, nstv = NULL, VC, GAM, SP, type = "biv")
sp <- gamls.upsvR$sp
start.v <- c(c1.ti, gamls.upsvR$start.v) # cut points added
}
##########################################################################################
# Model estimation
##########################################################################################
func.opt <- func.OPT(margins, M, type = "biv")
##############################
# Independence model
if (ind.ord == "TRUE") {
VC$ind.ord <- TRUE
VC$BivD <- "J0" # This is just used to fool the fitting procedure: no matter which copula is used in the independence model
VC$nCa <- cta[which(cta[, 1] == VC$BivD), 2]
if (is.null(VC$X3)) {
drop.ind <- VC$K1 + VC$X1.d2 + VC$X2.d2 + 1
} else {
drop.ind <- (VC$K1 + VC$X1.d2 + VC$X2.d2 + VC$X3.d2):(VC$K1 + VC$X1.d2 + VC$X2.d2 + VC$X3.d2 + VC$X4.d2 - 1)
}
VC$drop.ind <- drop.ind
start.v <- start.v[-drop.ind]
w.off <- which(qu.mag$off > length(start.v))
if (length(w.off) > 0) {
qu.mag$rank <- qu.mag$rank[-w.off]
qu.mag$off <- qu.mag$off [-w.off]
qu.mag$Ss <- qu.mag$Ss [-w.off]
sp <- sp[-w.off]
l.spvec <- c(VC$l.sp1, VC$l.sp2, VC$l.sp3, VC$l.sp4, VC$l.sp5, VC$l.sp6, VC$l.sp7, VC$l.sp8)
l.spvec[length(formula) : length(l.spvec)] <- rep(0) #l.spvec[w.off : length(l.spvec)] <- rep(0) # The equation for theta is the last input in formula.
VC$l.sp1 <- l.spvec[1]
VC$l.sp2 <- l.spvec[2]
VC$l.sp3 <- l.spvec[3]
VC$l.sp4 <- l.spvec[4]
VC$l.sp5 <- l.spvec[5]
VC$l.sp6 <- l.spvec[6]
VC$l.sp7 <- l.spvec[7]
VC$l.sp8 <- l.spvec[8]
}
} else {
VC$ind.ord <- FALSE
}
##########################################################################################
CopulaCLMFit <- SemiParBIV.fit(func.opt = func.opt, start.v = start.v,
rinit = rinit, rmax = rmax, iterlim = 100, iterlimsp = iterlimsp, tolsp = tolsp,
respvec = respvec, VC = VC, sp = sp, qu.mag = qu.mag)
# Cut points are transformed back and added to the parameter vector
infty <- 1e+25
c1.ti <- CopulaCLMFit$fit$argument[1 : (K1 - 1)]
c1 <- rep(0, K1 - 1) ; c1[1] <- c1.ti[1] ; for (i in 2 : (K1 - 1)) c1[i] <- c1[i - 1] + c1.ti[i]^2
c1 <- sign(c1) * pmin(10000 * infty, abs(c1))
CopulaCLMFit$fit$argument[1 : (K1 - 1)] <- c1
names(CopulaCLMFit$fit$argument)[1 : (K1 - 1)] <- paste("c1", n.num, sep = "")
##########################################################################################
# Post estimation
##########################################################################################
CopulaCLMFit.p <- SemiParBIV.fit.post(SemiParFit = CopulaCLMFit, Model = Model, VC = VC, GAM)
CopulaCLMFit <- CopulaCLMFit.p$SemiParFit # useful for SS models, eta2 calculatons etc.
y2.m <- y2
if(margins[2] == "LN") y2.m <- exp(y2)
##################################################
if(gc.l == TRUE) gc()
##################################################
cov.c(CopulaCLMFit)
##################################################
gam1$call$data <- gam2$call$data <- gam3$call$data <- gam4$call$data <-
gam5$call$data <- gam6$call$data <- gam7$call$data <- gam8$call$data <- cl$data
##################################################
# Bit below useful for AT calculations when end is continuous
if(!(Model == "B" && !(margins[2] %in% bl) && end == 2)) {dataset <- NULL; rm(data)} else {attr(data, "terms") <- NULL; dataset <- data; rm(data)}
L <- list(fit = CopulaCLMFit$fit, dataset = dataset, formula = formula, CopulaCLMFit = CopulaCLMFit, robust = FALSE,
gam1 = gam1, gam2 = gam2, gam3 = gam3, gam4 = gam4, gam5 = gam5, gam6 = gam6,
gam7 = gam7, gam8 = gam8,
coefficients = CopulaCLMFit$fit$argument, coef.t = NULL, iterlimsp = iterlimsp,
weights = weights,
sp = CopulaCLMFit.p$sp, iter.sp = CopulaCLMFit$iter.sp,
l.sp1 = l.sp1, l.sp2 = l.sp2, l.sp3 = l.sp3,
l.sp4 = l.sp4, l.sp5 = l.sp5, l.sp6 = l.sp6,
l.sp7 = l.sp7, l.sp8 = l.sp8, bl = bl,
fp = fp,
iter.if = CopulaCLMFit$iter.if, iter.inner = CopulaCLMFit$iter.inner,
theta = CopulaCLMFit.p$theta,
theta.a = CopulaCLMFit.p$theta.a,
OR = CopulaCLMFit.p$OR,
GM = CopulaCLMFit.p$GM,
n = n, n.sel = n.sel,
K1 = K1,
X1 = X1, X2 = X2, X3 = X3, X1.d2 = X1.d2, X2.d2 = X2.d2, X3.d2 = X3.d2,
X4 = X4, X5 = X5, X6 = X6, X7 = X7, X8 = X8, X4.d2 = X4.d2, X5.d2 = X5.d2,
X6.d2 = X6.d2, X7.d2 = X7.d2, X8.d2 = X8.d2,
He = CopulaCLMFit.p$He, HeSh = CopulaCLMFit.p$HeSh, Vb = CopulaCLMFit.p$Vb, Ve = CopulaCLMFit.p$Ve,
F = CopulaCLMFit.p$F, F1 = CopulaCLMFit.p$F1,
t.edf = CopulaCLMFit.p$t.edf, edf = CopulaCLMFit.p$edf,
edf11 = CopulaCLMFit.p$edf11,
edf1 = CopulaCLMFit.p$edf1, edf2 = CopulaCLMFit.p$edf2, edf3 = CopulaCLMFit.p$edf3,
edf4 = CopulaCLMFit.p$edf4, edf5 = CopulaCLMFit.p$edf5, edf6 = CopulaCLMFit.p$edf6,
edf7 = CopulaCLMFit.p$edf7, edf8 = CopulaCLMFit.p$edf8,
edf1.1 = CopulaCLMFit.p$edf1.1, edf1.2 = CopulaCLMFit.p$edf1.2, edf1.3 = CopulaCLMFit.p$edf1.3,
edf1.4 = CopulaCLMFit.p$edf1.4, edf1.5 = CopulaCLMFit.p$edf1.5, edf1.6 = CopulaCLMFit.p$edf1.6,
edf1.7 = CopulaCLMFit.p$edf1.7, edf1.8 = CopulaCLMFit.p$edf1.8,
R = CopulaCLMFit.p$R,
bs.mgfit = CopulaCLMFit$bs.mgfit, conv.sp = CopulaCLMFit$conv.sp,
wor.c = CopulaCLMFit$wor.c,
p11 = CopulaCLMFit$fit$p11, p10 = CopulaCLMFit$fit$p10, p01 = CopulaCLMFit$fit$p01, p00 = CopulaCLMFit$fit$p00,
p1 = CopulaCLMFit$fit$p1, p2 = CopulaCLMFit$fit$p2,
eta1 = CopulaCLMFit$fit$eta1, eta2 = CopulaCLMFit$fit$eta2, etad = CopulaCLMFit$fit$etad,
etas = CopulaCLMFit$fit$etas, etan = CopulaCLMFit$fit$etan,
y1 = y1, y2 = y2.m,
BivD = BivD, margins = margins,
logLik = CopulaCLMFit.p$logLik,
nC = nC, hess = hess,
respvec = respvec, inde = inde,
qu.mag = qu.mag, sigma = CopulaCLMFit.p$sigma, sigma.a = CopulaCLMFit.p$sigma.a,
sigma2 = CopulaCLMFit.p$sigma2, sigma2.a = CopulaCLMFit.p$sigma2.a,
nu = CopulaCLMFit.p$nu, nu.a = CopulaCLMFit.p$nu.a, Vb.t = CopulaCLMFit.p$Vb.t,
gp1 = gp1, gp2 = gp2, gp3 = gp3, gp4 = gp4, gp5 = gp5, gp6 = gp6, gp7 = gp7, gp8 = gp8,
X2s = X2s, X3s = X3s, p1n = CopulaCLMFit.p$p1n , p2n = CopulaCLMFit.p$p2n,
VC = VC, Model = Model, magpp = CopulaCLMFit$magpp,
gamlssfit = gamlssfit, Cont = "NO", tau = CopulaCLMFit.p$tau,
tau.a = CopulaCLMFit.p$tau.a, l.flist = l.flist, v1 = v1, v2 = v2, triv = FALSE, univar.gamlss = FALSE,
gamlss = gamlss2, BivD2 = BivD2, dof = dof, dof.a = dof, call = cl,
surv = FALSE, surv.flex = surv.flex, ordinal = TRUE, drop.unused.levels = drop.unused.levels)
if(BivD %in% BivD2){
L$teta1 <- CopulaCLMFit$fit$teta1
L$teta.ind1 <- CopulaCLMFit$fit$teta.ind1
L$teta2 <- CopulaCLMFit$fit$teta2
L$teta.ind2 <- CopulaCLMFit$fit$teta.ind2
L$Cop1 <- CopulaCLMFit$fit$Cop1
L$Cop2 <- CopulaCLMFit$fit$Cop2
}
class(L) <- c("CopulaCLM", "SemiParBIV", "gjrm")
L
}
KironmoyDas/KD-STAT0035-GMupdate documentation built on Feb. 15, 2021, 12:17 a.m.
R Package Documentation
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Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Defines functions CopulaCLM
Documented in CopulaCLM
CopulaCLM <- function(formula, data = list(), weights = NULL, subset = NULL,
Model = "B", BivD = "N", margins = c("probit","N"),
dof = 3, gamlssfit = FALSE,
fp = FALSE, hess = TRUE, infl.fac = 1, theta.fx = NULL,
rinit = 1, rmax = 100, iterlimsp = 50, tolsp = 1e-07,
gc.l = FALSE, parscale, extra.regI = "t", intf = FALSE, knots = NULL,
drop.unused.levels = TRUE, ind.ord = FALSE,
min.dn = 1e-40, min.pr = 1e-16, max.pr = 0.999999){
##########################################################################################
# Model set up and starting values
##########################################################################################
##### Model set up #####
i.rho <- sp <- qu.mag <- n.sel <- y1.y2 <- y1.cy2 <- cy1.y2 <- cy1.cy2 <- cy <- cy1 <- inde <- y2m <- K1 <- NULL
end <- X3.d2 <- X4.d2 <- X5.d2 <- X6.d2 <- X7.d2 <- X8.d2 <- l.sp3 <- l.sp4 <- l.sp5 <- l.sp6 <- l.sp7 <- l.sp8 <- i.rho <- 0
gam1 <- gam2 <- gam3 <- gam4 <- gam5 <- gam6 <- gam7 <- gam8 <- gamlss2 <- dof.st <- NULL
gamlss2 <- NULL
Sl.sf <- NULL
sp.method <- "perf"
sp1 <- sp2 <- c.gam2 <- X2s <- X3s <- NULL
sp3 <- gp3 <- gam3 <- X3 <- NULL
sp4 <- gp4 <- gam4 <- X4 <- NULL
sp5 <- gp5 <- gam5 <- X5 <- NULL
sp6 <- gp6 <- gam6 <- X6 <- NULL
sp7 <- gp7 <- gam7 <- X7 <- NULL
sp8 <- gp8 <- gam8 <- X8 <- NULL
log.sig2 <- log.nu <- NULL
BivD2 <- c("C0C90", "C0C270", "C180C90", "C180C270",
"J0J90", "J0J270", "J180J90", "J180J270",
"G0G90", "G0G270", "G180G90", "G180G270",
"GAL0GAL90", "GAL0GAL270", "GAL180GAL90", "GAL180GAL270") # 13:16
opc <- c("N", "C0", "C90", "C180", "C270",
"J0", "J90", "J180", "J270",
"G0", "G90", "G180", "G270", "F", "AMH", "FGM", "T", "PL", "HO","GAL0", "GAL90", "GAL180", "GAL270") # family for GAL is 62:65
scc <- c("C0" , "C180","GAL0" , "GAL180", "J0" , "J180", "G0","G180",BivD2)
sccn <- c("C90", "C270", "GAL90", "GAL270","J90", "J270", "G90", "G270")
mb <- c("B", "BSS", "BPO", "BPO0")
m2 <- c("N", "GU", "rGU", "LO", "LN", "WEI", "iG", "GA", "BE", "FISK","GP","GPII","GPo")
m3 <- c("DAGUM", "SM","TW")
m1d <- c("PO", "ZTP")
m2d <- c("NBI", "NBII", "PIG","DGP","DGPII")
bl <- c("probit", "logit", "cloglog") # , "cauchit")
M <- list(m1d = m1d, m2 = m2, m2d = m2d, m3 = m3, BivD = BivD,
opc = opc, extra.regI = extra.regI, margins = margins, bl = bl, intf = intf,
theta.fx = theta.fx, Model = Model, mb = mb, BivD2 = BivD2, dof = dof)
surv.flex <- FALSE
ct <- data.frame(c(opc), c(1:14,55,56,57,60,61,62:65))
cta <- data.frame(c(opc), c(1,3,23,13,33,6,26,16,36,4,24,14,34,5,55,56,2,60,61,62:65))
if(BivD %in% BivD2){
if(BivD %in% BivD2[1 : 4 ]) BivDt <- "C0"
if(BivD %in% BivD2[5 : 12]) BivDt <- "J0"
if(BivD %in% BivD2[13 :16]) BivDt <- "C0" # useful for ass dep function but we calculate it differently, so ok like this
nC <- ct[which( ct[, 1] == BivDt), 2]
nCa <- cta[which(cta[, 1] == BivDt), 2]
}
if(!(BivD %in% BivD2)){
nC <- ct[which( ct[, 1] == BivD), 2]
nCa <- cta[which(cta[, 1] == BivD), 2]
}
# nCa not important for GAL as we do not use VineCopula
##################################################
if(!is.list(formula)) stop("You must specify a list of equations.")
M$l.flist <- l.flist <- length(formula)
pream.wm(formula, margins, M, l.flist, type = "ord")
form.check(formula, l.flist)
##################################################
cl <- match.call()
mf <- match.call(expand.dots = FALSE)
pred.varR <- pred.var(formula, l.flist)
v1 <- pred.varR$v1
v2 <- pred.varR$v2
pred.n <- pred.varR$pred.n
fake.formula <- paste(v1[1], "~", paste(pred.n, collapse = " + "))
environment(fake.formula) <- environment(formula[[1]])
mf$formula <- fake.formula
mf$min.dn <- mf$min.pr <- mf$max.pr <- mf$ordinal <- mf$knots <- mf$dof <- mf$intf <- mf$theta.fx <- mf$Model <- mf$BivD <- mf$margins <- mf$fp <- mf$hess <- mf$infl.fac <- mf$rinit <- mf$rmax <- mf$iterlimsp <- mf$tolsp <- mf$gc.l <- mf$parscale <- mf$extra.regI <- mf$gamlssfit <- NULL
mf$drop.unused.levels <- drop.unused.levels
mf$ind.ord <- NULL
#if(Model=="BSS") mf$na.action <- na.pass
mf[[1]] <- as.name("model.frame")
data <- eval(mf, parent.frame())
if(gc.l == TRUE) gc()
#if(Model=="BSS"){
#
#data[is.na(data[, v1[1]]), v1[1]] <- 0
#indS <- data[, v1[1]]
#indS[is.na(indS)] <- 0
#indS <- as.logical(indS)
#data[indS == FALSE, v2[1]] <- 0
#data <- na.omit(data)
#
#}
if(!("(weights)" %in% names(data))){
weights <- rep(1,dim(data)[1])
data$weights <- weights
names(data)[length(names(data))] <- "(weights)"
} else weights <- data[,"(weights)"]
formula.eq1 <- formula[[1]]
formula.eq2 <- formula[[2]]
if(Model == "B"){
if(v1[1] %in% v2[-1]) end <- 1
if(v2[1] %in% v1[-1]) end <- 2
}
##### Equation 1 #####
# 1) bisogna fare in modo che l'intercetta nn venga rimossa
# 2)
gam1.false <- eval(substitute(gam(formula.eq1, gamma = infl.fac, weights = weights,
data = data, knots = knots, fit = FALSE, drop.unused.levels = drop.unused.levels), list(weights = weights)))
y1.false <- gam1.false$y
X1.false <- gam1.false$X
K1 <- resp.CLM(y1.false)
if(dim(X1.false)[2] == 1 & all(X1.false == 1)) stop("The equation for the ordinal renspose must include at least one regressor alongside the intercept.")
M$K1 <- K1 # K1 computed and added to M
gam1 <- eval(substitute(gam(formula.eq1, family = ocat(R = K1), gamma = infl.fac, weights = weights,
data = data, knots = knots, drop.unused.levels = drop.unused.levels), list(weights = weights)))
X1 <- model.matrix(gam1); if(all(X1[, 1] == 1)) X1 <- as.matrix(X1[, -1])
X1.d2 <- dim(X1)[2]
l.sp1 <- length(gam1$sp)
if(l.sp1 != 0) sp1 <- gam1$sp
y1 <- gam1$y
n <- length(y1)
gp1 <- K1 + gam1$nsdf - 2 # cut-points are added (K1 - 1) and the intercept removed (- 1)
inde <- rep(TRUE, n)
##### Equation 2: B and continuous response #####
if(Model=="B" && !(margins[2] %in% bl)){
form.eq12R <- form.eq12(formula.eq2, data, v2, margins[2], m1d, m2d)
formula.eq2 <- form.eq12R$formula.eq1
formula.eq2r <- form.eq12R$formula.eq1r
y2 <- form.eq12R$y1
y2.test <- form.eq12R$y1.test
y2m <- form.eq12R$y1m
gam2 <- eval(substitute(gam(formula.eq2, gamma = infl.fac, weights = weights, data = data, knots = knots, drop.unused.levels = drop.unused.levels), list(weights = weights)))
gam2$formula <- formula.eq2r
names(gam2$model)[1] <- as.character(formula.eq2r[2])
y2 <- y2.test
if(margins[2] %in% c("LN")) y2 <- log(y2)
X2 <- model.matrix(gam2)
X2.d2 <- dim(X2)[2]
l.sp2 <- length(gam2$sp) ; if(l.sp2 != 0) sp2 <- gam2$sp
#cy <- 1 - y1
}
gp2 <- gam2$nsdf
##### Starting values for cut points #####
# N.B. the intercept is removed from the coefficient's vector
if(names(gam1$coefficients)[1] == "(Intercept)"){
gam1.int <- gam1$coefficients[1]
gam1$coefficients <- gam1$coefficients[-1]
}
c1 <- gam1$family$getTheta(TRUE) - gam1.int
c1.ti <- rep(0, K1 - 1)
c1.ti[1] <- c1[1] ; for(i in 2 : (K1 - 1)) {c1.ti[i] <- sqrt(c1[i] - c1[i - 1])}
n.num <- seq(1, K1 - 1)
names(c1.ti) <- paste(paste("c1", n.num, sep = ""), "star", sep = ".")
##### Starting values for dependence parameter #####
if(is.null(theta.fx)){
if(Model == "B"){
res1 <- residuals(gam1)
res2 <- residuals(gam2)
ass.s <- cor(res1, res2, method = "kendall")
ass.s <- sign(ass.s) * ifelse(abs(ass.s) > 0.9, 0.9, abs(ass.s))
}
i.rho <- ass.dp(ass.s, BivD, scc, sccn, nCa)
}
names(i.rho) <- "theta.star"
##### Starting values for whole parameter vector #####
if(margins[1] %in% bl && margins[2] %in% c(m2)){
start.snR <- startsn(margins[2], y2)
log.sig2 <- start.snR$log.sig2.1; names(log.sig2) <- "sigma.star"
#if(margins[2] %in% c(m3 )){ log.nu <- start.snR$log.nu.1; names(log.nu) <- "nu.star"}
if(margins[2] %in% c(m2)) start.v <- c(c1.ti, gam1$coefficients, gam2$coefficients, log.sig2, i.rho)
#if(margins[2] %in% m3 ) start.v <- c(c1.ti, gam1$coefficients, gam2$coefficients, log.sig2, log.nu, i.rho)
}
##################################################
if(l.flist > 2){
vo <- list(gam1 = gam1, gam2 = gam2, i.rho = i.rho, log.sig2 = log.sig2, log.nu = log.nu, n = n, drop.unused.levels = drop.unused.levels)
overall.svGR <- overall.svG(formula, data, ngc = 2, margins, M, vo, gam1, gam2, type = "biv", inde = inde, c.gam2 = c.gam2, knots = knots)
start.v = c(c1.ti, overall.svGR$start.v) # cut points added
X3 = overall.svGR$X3; X4 = overall.svGR$X4; X5 = overall.svGR$X5
X6 = overall.svGR$X6; X7 = overall.svGR$X7; X8 = overall.svGR$X8
X3.d2 = overall.svGR$X3.d2; X4.d2 = overall.svGR$X4.d2; X5.d2 = overall.svGR$X5.d2
X6.d2 = overall.svGR$X6.d2; X7.d2 = overall.svGR$X7.d2; X8.d2 = overall.svGR$X8.d2
gp3 = overall.svGR$gp3; gp4 = overall.svGR$gp4; gp5 = overall.svGR$gp5
gp6 = overall.svGR$gp6; gp7 = overall.svGR$gp7; gp8 = overall.svGR$gp8
gam3 = overall.svGR$gam3; gam4 = overall.svGR$gam4; gam5 = overall.svGR$gam5
gam6 = overall.svGR$gam6; gam7 = overall.svGR$gam7; gam8 = overall.svGR$gam8
l.sp3 = overall.svGR$l.sp3; l.sp4 = overall.svGR$l.sp4; l.sp5 = overall.svGR$l.sp5
l.sp6 = overall.svGR$l.sp6; l.sp7 = overall.svGR$l.sp7; l.sp8 = overall.svGR$l.sp8
sp3 = overall.svGR$sp3; sp4 = overall.svGR$sp4; sp5 = overall.svGR$sp5
sp6 = overall.svGR$sp6; sp7 = overall.svGR$sp7; sp8 = overall.svGR$sp8
X3s = overall.svGR$X3s; X4s = overall.svGR$X4s
}
##################################################
GAM <- list(gam1 = gam1, gam2 = gam2, gam3 = gam3, gam4 = gam4,
gam5 = gam5, gam6 = gam6, gam7 = gam7, gam8 = gam8)
if((l.sp1 != 0 || l.sp2 != 0 || l.sp3 != 0 || l.sp4 != 0 ||
l.sp5 != 0 || l.sp6 != 0 || l.sp7 != 0 || l.sp8 != 0 ) && fp == FALSE){
L.GAM <- list(l.gam1 = length(gam1$coefficients), l.gam2 = length(gam2$coefficients), l.gam3 = length(gam3$coefficients), l.gam4 = length(gam4$coefficients),
l.gam5 = length(gam5$coefficients), l.gam6 = length(gam6$coefficients), l.gam7 = length(gam7$coefficients), l.gam8 = length(gam8$coefficients) )
L.SP <- list(l.sp1 = l.sp1, l.sp2 = l.sp2, l.sp3 = l.sp3, l.sp4 = l.sp4,
l.sp5 = l.sp5, l.sp6 = l.sp6, l.sp7 = l.sp7, l.sp8 = l.sp8 )
sp <- c(sp1, sp2, sp3, sp4, sp5, sp6, sp7, sp8)
qu.mag <- S.m(GAM, L.SP, L.GAM, K1 = K1)
}
##################################################
if(missing(parscale)) parscale <- 1
respvec <- list(y1 = y1 ,
y2 = y2 ,
y1.y2 = y1.y2 ,
y1.cy2 = y1.cy2 ,
cy1.y2 = cy1.y2 ,
cy1.cy2 = cy1.cy2,
cy1 = cy1 ,
cy = cy , univ = 0)
sel <- model.matrix(~ as.factor(y1) - 1)
sel.p <- as.matrix(sel[, 3 : K1])
sel.m <- as.matrix(sel[, 2 : (K1 - 1)])
sel.p[, (K1 - 2)] <- as.matrix(sel[, K1])
sel.m[, (K1 - 2)] <- as.matrix(sel[, (K1 - 1)])
sel.mm <- sel.pm <- matrix(nrow = n, ncol = K1 - 3, 0)
if( K1 > 3 ){
for (l in 1:(K1 - 3)) {sel.pm [, l] <- rowSums(sel.p[, l : (K1 - 2)])} ; sel.p[, 1 : (K1 - 3)] <- sel.pm
for (l in 1:(K1 - 3)) {sel.mm [, l] <- rowSums(sel.m[, l : (K1 - 2)])} ; sel.m[, 1 : (K1 - 3)] <- sel.mm
}
c1 <- rep(0, K1 - 1)
D11 <- rowSums(sel[, 1 : (K1 - 1)])
D12 <- rowSums(sel[, 2 : K1])
my.env <- new.env()
my.env$signind <- 1
lsgam1 <- length(gam1$smooth)
lsgam2 <- length(gam2$smooth)
lsgam3 <- length(gam3$smooth)
lsgam4 <- length(gam4$smooth)
lsgam5 <- length(gam5$smooth)
lsgam6 <- length(gam6$smooth)
lsgam7 <- length(gam7$smooth)
lsgam8 <- length(gam8$smooth)
VC <- list(lsgam1 = lsgam1, robust = FALSE, sel = sel, sel.p = sel.p, sel.m = sel.m, sel.mm = sel.mm, sel.pm = sel.pm, c1 = c1, D11 = D11, D12 = D12,
lsgam2 = lsgam2, Sl.sf = Sl.sf, sp.method = sp.method,
lsgam3 = lsgam3,
lsgam4 = lsgam4,
lsgam5 = lsgam5,
lsgam6 = lsgam6,
lsgam7 = lsgam7,
lsgam8 = lsgam8,
K1 = K1, # added for CopulaCLM
X1 = X1, inde = inde, my.env = my.env,
X2 = X2,
X3 = X3,
X4 = X4,
X5 = X5,
X6 = X6,
X7 = X7,
X8 = X8,
X1.d2 = X1.d2,
X2.d2 = X2.d2,
X3.d2 = X3.d2,
X4.d2 = X4.d2,
X5.d2 = X5.d2,
X6.d2 = X6.d2,
X7.d2 = X7.d2,
X8.d2 = X8.d2,
gp1 = gp1,
gp2 = gp2,
gp3 = gp3,
gp4 = gp4,
gp5 = gp5,
gp6 = gp6,
gp7 = gp7,
gp8 = gp8,
l.sp1 = l.sp1,
l.sp2 = l.sp2,
l.sp3 = l.sp3,
l.sp4 = l.sp4,
l.sp5 = l.sp5,
l.sp6 = l.sp6,
l.sp7 = l.sp7,
l.sp8 = l.sp8,
infl.fac = infl.fac,
weights = weights,
fp = fp, univ.gamls = FALSE,
hess = hess, nCa = nCa,
Model = Model, gamlssfit = gamlssfit,
end = end,
BivD = BivD, dof.st = log(dof - 2), dof = dof,
nC = nC, gc.l = gc.l, n = n, extra.regI = extra.regI,
parscale = parscale, margins = margins,
Cont = "NO", ccss = "no", m2 = m2, m3 = m3, m2d = m2d, m1d = m1d, m3d = NULL, bl = bl,
X2s = X2s, X3s = X3s, triv = FALSE, y2m = y2m,
theta.fx = theta.fx, i.rho = i.rho,
BivD2 = BivD2, cta = cta, ct = ct, zerov = -10, surv.flex = surv.flex, gp2.inf = NULL,
informative = "no", sp.fixed = NULL,
zero.tol = 1e-02,
min.dn = min.dn, min.pr = min.pr, max.pr = max.pr) # original n only needed in SemiParBIV.fit
if(gc.l == TRUE) gc()
##################################################
if(gamlssfit == TRUE && !(margins[2] %in% bl)){
form.gamlR <- form.gaml(formula, l.flist, M, type = "biv")
gamlss2 <- eval(substitute(gamlss(form.gamlR$formula.gamlss2, data = data, weights = weights, subset = subset,
margin = margins[2], infl.fac = infl.fac,
rinit = rinit, rmax = rmax, iterlimsp = iterlimsp, tolsp = tolsp,
gc.l = gc.l, parscale = 1, extra.regI = extra.regI, drop.unused.levels = drop.unused.levels), list(weights = weights)))
# Updated starting values
MM <- M; MM$BivD <- "N" # this is for T case, dof is never estimated...
SP <- list(sp1 = sp1, sp2 = sp2, sp3 = sp3, sp4 = sp4, sp5 = sp5, sp6 = sp6, sp7 = sp7, sp8 = sp8)
gamls.upsvR <- gamls.upsv(gamlss1 = NULL, gamlss2, margins, MM, l.flist, nstv = NULL, VC, GAM, SP, type = "biv")
sp <- gamls.upsvR$sp
start.v <- c(c1.ti, gamls.upsvR$start.v) # cut points added
}
##########################################################################################
# Model estimation
##########################################################################################
func.opt <- func.OPT(margins, M, type = "biv")
##############################
# Independence model
if (ind.ord == "TRUE") {
VC$ind.ord <- TRUE
VC$BivD <- "J0" # This is just used to fool the fitting procedure: no matter which copula is used in the independence model
VC$nCa <- cta[which(cta[, 1] == VC$BivD), 2]
if (is.null(VC$X3)) {
drop.ind <- VC$K1 + VC$X1.d2 + VC$X2.d2 + 1
} else {
drop.ind <- (VC$K1 + VC$X1.d2 + VC$X2.d2 + VC$X3.d2):(VC$K1 + VC$X1.d2 + VC$X2.d2 + VC$X3.d2 + VC$X4.d2 - 1)
}
VC$drop.ind <- drop.ind
start.v <- start.v[-drop.ind]
w.off <- which(qu.mag$off > length(start.v))
if (length(w.off) > 0) {
qu.mag$rank <- qu.mag$rank[-w.off]
qu.mag$off <- qu.mag$off [-w.off]
qu.mag$Ss <- qu.mag$Ss [-w.off]
sp <- sp[-w.off]
l.spvec <- c(VC$l.sp1, VC$l.sp2, VC$l.sp3, VC$l.sp4, VC$l.sp5, VC$l.sp6, VC$l.sp7, VC$l.sp8)
l.spvec[length(formula) : length(l.spvec)] <- rep(0) #l.spvec[w.off : length(l.spvec)] <- rep(0) # The equation for theta is the last input in formula.
VC$l.sp1 <- l.spvec[1]
VC$l.sp2 <- l.spvec[2]
VC$l.sp3 <- l.spvec[3]
VC$l.sp4 <- l.spvec[4]
VC$l.sp5 <- l.spvec[5]
VC$l.sp6 <- l.spvec[6]
VC$l.sp7 <- l.spvec[7]
VC$l.sp8 <- l.spvec[8]
}
} else {
VC$ind.ord <- FALSE
}
##########################################################################################
CopulaCLMFit <- SemiParBIV.fit(func.opt = func.opt, start.v = start.v,
rinit = rinit, rmax = rmax, iterlim = 100, iterlimsp = iterlimsp, tolsp = tolsp,
respvec = respvec, VC = VC, sp = sp, qu.mag = qu.mag)
# Cut points are transformed back and added to the parameter vector
infty <- 1e+25
c1.ti <- CopulaCLMFit$fit$argument[1 : (K1 - 1)]
c1 <- rep(0, K1 - 1) ; c1[1] <- c1.ti[1] ; for (i in 2 : (K1 - 1)) c1[i] <- c1[i - 1] + c1.ti[i]^2
c1 <- sign(c1) * pmin(10000 * infty, abs(c1))
CopulaCLMFit$fit$argument[1 : (K1 - 1)] <- c1
names(CopulaCLMFit$fit$argument)[1 : (K1 - 1)] <- paste("c1", n.num, sep = "")
##########################################################################################
# Post estimation
##########################################################################################
CopulaCLMFit.p <- SemiParBIV.fit.post(SemiParFit = CopulaCLMFit, Model = Model, VC = VC, GAM)
CopulaCLMFit <- CopulaCLMFit.p$SemiParFit # useful for SS models, eta2 calculatons etc.
y2.m <- y2
if(margins[2] == "LN") y2.m <- exp(y2)
##################################################
if(gc.l == TRUE) gc()
##################################################
cov.c(CopulaCLMFit)
##################################################
gam1$call$data <- gam2$call$data <- gam3$call$data <- gam4$call$data <-
gam5$call$data <- gam6$call$data <- gam7$call$data <- gam8$call$data <- cl$data
##################################################
# Bit below useful for AT calculations when end is continuous
if(!(Model == "B" && !(margins[2] %in% bl) && end == 2)) {dataset <- NULL; rm(data)} else {attr(data, "terms") <- NULL; dataset <- data; rm(data)}
L <- list(fit = CopulaCLMFit$fit, dataset = dataset, formula = formula, CopulaCLMFit = CopulaCLMFit, robust = FALSE,
gam1 = gam1, gam2 = gam2, gam3 = gam3, gam4 = gam4, gam5 = gam5, gam6 = gam6,
gam7 = gam7, gam8 = gam8,
coefficients = CopulaCLMFit$fit$argument, coef.t = NULL, iterlimsp = iterlimsp,
weights = weights,
sp = CopulaCLMFit.p$sp, iter.sp = CopulaCLMFit$iter.sp,
l.sp1 = l.sp1, l.sp2 = l.sp2, l.sp3 = l.sp3,
l.sp4 = l.sp4, l.sp5 = l.sp5, l.sp6 = l.sp6,
l.sp7 = l.sp7, l.sp8 = l.sp8, bl = bl,
fp = fp,
iter.if = CopulaCLMFit$iter.if, iter.inner = CopulaCLMFit$iter.inner,
theta = CopulaCLMFit.p$theta,
theta.a = CopulaCLMFit.p$theta.a,
OR = CopulaCLMFit.p$OR,
GM = CopulaCLMFit.p$GM,
n = n, n.sel = n.sel,
K1 = K1,
X1 = X1, X2 = X2, X3 = X3, X1.d2 = X1.d2, X2.d2 = X2.d2, X3.d2 = X3.d2,
X4 = X4, X5 = X5, X6 = X6, X7 = X7, X8 = X8, X4.d2 = X4.d2, X5.d2 = X5.d2,
X6.d2 = X6.d2, X7.d2 = X7.d2, X8.d2 = X8.d2,
He = CopulaCLMFit.p$He, HeSh = CopulaCLMFit.p$HeSh, Vb = CopulaCLMFit.p$Vb, Ve = CopulaCLMFit.p$Ve,
F = CopulaCLMFit.p$F, F1 = CopulaCLMFit.p$F1,
t.edf = CopulaCLMFit.p$t.edf, edf = CopulaCLMFit.p$edf,
edf11 = CopulaCLMFit.p$edf11,
edf1 = CopulaCLMFit.p$edf1, edf2 = CopulaCLMFit.p$edf2, edf3 = CopulaCLMFit.p$edf3,
edf4 = CopulaCLMFit.p$edf4, edf5 = CopulaCLMFit.p$edf5, edf6 = CopulaCLMFit.p$edf6,
edf7 = CopulaCLMFit.p$edf7, edf8 = CopulaCLMFit.p$edf8,
edf1.1 = CopulaCLMFit.p$edf1.1, edf1.2 = CopulaCLMFit.p$edf1.2, edf1.3 = CopulaCLMFit.p$edf1.3,
edf1.4 = CopulaCLMFit.p$edf1.4, edf1.5 = CopulaCLMFit.p$edf1.5, edf1.6 = CopulaCLMFit.p$edf1.6,
edf1.7 = CopulaCLMFit.p$edf1.7, edf1.8 = CopulaCLMFit.p$edf1.8,
R = CopulaCLMFit.p$R,
bs.mgfit = CopulaCLMFit$bs.mgfit, conv.sp = CopulaCLMFit$conv.sp,
wor.c = CopulaCLMFit$wor.c,
p11 = CopulaCLMFit$fit$p11, p10 = CopulaCLMFit$fit$p10, p01 = CopulaCLMFit$fit$p01, p00 = CopulaCLMFit$fit$p00,
p1 = CopulaCLMFit$fit$p1, p2 = CopulaCLMFit$fit$p2,
eta1 = CopulaCLMFit$fit$eta1, eta2 = CopulaCLMFit$fit$eta2, etad = CopulaCLMFit$fit$etad,
etas = CopulaCLMFit$fit$etas, etan = CopulaCLMFit$fit$etan,
y1 = y1, y2 = y2.m,
BivD = BivD, margins = margins,
logLik = CopulaCLMFit.p$logLik,
nC = nC, hess = hess,
respvec = respvec, inde = inde,
qu.mag = qu.mag, sigma = CopulaCLMFit.p$sigma, sigma.a = CopulaCLMFit.p$sigma.a,
sigma2 = CopulaCLMFit.p$sigma2, sigma2.a = CopulaCLMFit.p$sigma2.a,
nu = CopulaCLMFit.p$nu, nu.a = CopulaCLMFit.p$nu.a, Vb.t = CopulaCLMFit.p$Vb.t,
gp1 = gp1, gp2 = gp2, gp3 = gp3, gp4 = gp4, gp5 = gp5, gp6 = gp6, gp7 = gp7, gp8 = gp8,
X2s = X2s, X3s = X3s, p1n = CopulaCLMFit.p$p1n , p2n = CopulaCLMFit.p$p2n,
VC = VC, Model = Model, magpp = CopulaCLMFit$magpp,
gamlssfit = gamlssfit, Cont = "NO", tau = CopulaCLMFit.p$tau,
tau.a = CopulaCLMFit.p$tau.a, l.flist = l.flist, v1 = v1, v2 = v2, triv = FALSE, univar.gamlss = FALSE,
gamlss = gamlss2, BivD2 = BivD2, dof = dof, dof.a = dof, call = cl,
surv = FALSE, surv.flex = surv.flex, ordinal = TRUE, drop.unused.levels = drop.unused.levels)
if(BivD %in% BivD2){
L$teta1 <- CopulaCLMFit$fit$teta1
L$teta.ind1 <- CopulaCLMFit$fit$teta.ind1
L$teta2 <- CopulaCLMFit$fit$teta2
L$teta.ind2 <- CopulaCLMFit$fit$teta.ind2
L$Cop1 <- CopulaCLMFit$fit$Cop1
L$Cop2 <- CopulaCLMFit$fit$Cop2
}
class(L) <- c("CopulaCLM", "SemiParBIV", "gjrm")
L
}
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