R/bprobgHsDiscr2.r
In KironmoyDas/KD-STAT0035-GMupdate: Generalised Joint Regression Modelling
Defines functions
bprobgHsDiscr2
Documented in
bprobgHsDiscr2
bprobgHsDiscr2 <- function(params, respvec, VC, ps, AT = FALSE){
p1 <- p2 <- pdf1 <- pdf2 <- c.copula.be2 <- c.copula.be1 <- c.copula2.be1be2 <- NA
eta1 <- VC$X1%*%params[1:VC$X1.d2]
eta2 <- VC$X2%*%params[(VC$X1.d2+1):(VC$X1.d2+VC$X2.d2)]
etad <- etas <- l.ln <- NULL
if(is.null(VC$X3)){
sigma2.st <- etas <- params[(VC$X1.d2 + VC$X2.d2 + 1)]
teta.st <- etad <- params[(VC$X1.d2 + VC$X2.d2 + 2)]
}
if(!is.null(VC$X3)){
sigma2.st <- etas <- VC$X3%*%params[(VC$X1.d2+VC$X2.d2+1):(VC$X1.d2+VC$X2.d2+VC$X3.d2)]
teta.st <- etad <- VC$X4%*%params[(VC$X1.d2+VC$X2.d2+VC$X3.d2+1):(VC$X1.d2+VC$X2.d2+VC$X3.d2+VC$X4.d2)]
}
sstr1 <- esp.tr(sigma2.st, VC$margins[2])
sigma2.st <- sstr1$vrb.st
sigma2 <- sstr1$vrb
eta2 <- eta.tr(eta2, VC$margins[2])
dHs <- distrHsDiscr(respvec$y2, eta2, sigma2, sigma2.st, nu = 1, nu.st = 1, margin2=VC$margins[2], naive = FALSE, y2m = VC$y2m, min.dn = VC$min.dn, min.pr = VC$min.pr, max.pr = VC$max.pr)
pdf2 <- dHs$pdf2
p2 <- dHs$p2
derpdf2.dereta2 <- dHs$derpdf2.dereta2
derpdf2.dersigma2.st <- dHs$derpdf2.dersigma2.st
derp2.dersigma.st <- dHs$derp2.dersigma.st
derp2.dereta2 <- dHs$derp2.dereta2
der2p2.dereta2eta2 <- dHs$der2p2.dereta2eta2
der2pdf2.dereta2 <- dHs$der2pdf2.dereta2
der2p2.dersigma2.st2 <- dHs$der2p2.dersigma2.st2
der2pdf2.dersigma2.st2 <- dHs$der2pdf2.dersigma2.st2
der2p2.dereta2dersigma2.st <- dHs$der2p2.dereta2dersigma2.st
der2pdf2.dereta2dersigma2.st <- dHs$der2pdf2.dereta2dersigma2.st
pd1 <- probm(eta1, VC$margins[1], bc = TRUE, min.dn = VC$min.dn, min.pr = VC$min.pr, max.pr = VC$max.pr)
p1 <- 1 - pd1$pr # pnorm(-eta1), p(y1=0)
########################################################################################################
resT <- teta.tr(VC, teta.st)
teta.st1 <- teta.st2 <- teta.st <- resT$teta.st
teta1 <- teta2 <- teta <- resT$teta
##################
Cop1 <- Cop2 <- VC$BivD
nC1 <- nC2 <- VC$nC
teta.ind1 <- as.logical(c(1,0,round(runif(VC$n-2))) )
teta.ind2 <- teta.ind1 == FALSE
if(!(VC$BivD %in% VC$BivD2) && length(teta.st) > 1){
teta.st1 <- teta.st[teta.ind1]
teta.st2 <- teta.st[teta.ind2]
teta1 <- teta[teta.ind1]
teta2 <- teta[teta.ind2]
}
if(VC$BivD %in% VC$BivD2){
if(VC$BivD %in% VC$BivD2[c(1:4,13:16)]) teta.ind1 <- ifelse(VC$my.env$signind*teta > exp(VC$zerov), TRUE, FALSE)
if(VC$BivD %in% VC$BivD2[5:12]) teta.ind1 <- ifelse(VC$my.env$signind*teta > exp(VC$zerov) + 1, TRUE, FALSE)
teta.ind2 <- teta.ind1 == FALSE
VC$my.env$signind <- ifelse(teta.ind1 == TRUE, 1, -1)
teta1 <- teta[teta.ind1]
teta2 <- -teta[teta.ind2]
teta.st1 <- teta.st[teta.ind1]
teta.st2 <- teta.st[teta.ind2]
if(length(teta) == 1) teta.ind2 <- teta.ind1 <- rep(TRUE, VC$n)
Cop1Cop2R <- Cop1Cop2(VC$BivD)
Cop1 <- Cop1Cop2R$Cop1
Cop2 <- Cop1Cop2R$Cop2
nC1 <- VC$ct[which(VC$ct[,1] == Cop1),2]
nC2 <- VC$ct[which(VC$ct[,1] == Cop2),2]
}
########################################################################################################
C1 <- C2 <- A <- B <- NA
if( length(teta1) != 0){
C1[teta.ind1] <- mm(BiCDF(p1[teta.ind1], p2[teta.ind1], nC1, teta1, VC$dof), min.pr = VC$min.pr, max.pr = VC$max.pr )
C2[teta.ind1] <- mm(BiCDF(p1[teta.ind1], mm(p2[teta.ind1]-pdf2[teta.ind1], min.pr = VC$min.pr, max.pr = VC$max.pr), nC1, teta1, VC$dof), min.pr = VC$min.pr, max.pr = VC$max.pr )
A[teta.ind1] <- mm(C1[teta.ind1] - C2[teta.ind1], min.pr = VC$min.pr, max.pr = VC$max.pr)
B[teta.ind1] <- mm( pdf2[teta.ind1] - A[teta.ind1], min.pr = VC$min.pr, max.pr = VC$max.pr)
}
if( length(teta2) != 0){
C1[teta.ind2] <- mm(BiCDF(p1[teta.ind2], p2[teta.ind2], nC2, teta2, VC$dof), min.pr = VC$min.pr, max.pr = VC$max.pr )
C2[teta.ind2] <- mm(BiCDF(p1[teta.ind2], mm(p2[teta.ind2]-pdf2[teta.ind2], min.pr = VC$min.pr, max.pr = VC$max.pr), nC2, teta2, VC$dof), min.pr = VC$min.pr, max.pr = VC$max.pr )
A[teta.ind2] <- mm(C1[teta.ind2] - C2[teta.ind2], min.pr = VC$min.pr, max.pr = VC$max.pr)
B[teta.ind2] <- mm( pdf2[teta.ind2] - A[teta.ind2], min.pr = VC$min.pr, max.pr = VC$max.pr)
}
l.par <- VC$weights*( respvec$cy*log( A ) + respvec$y1*log( B ) )
########################################################################################################
c.copula.be1.C1 <- c.copula.be1.C2 <- c.copula.be2.C1 <- c.copula.be2.C2 <- c.copula.theta.C1 <- c.copula.theta.C2 <- NA
if( length(teta1) != 0) dH1F <- copgHs(p1[teta.ind1], p2[teta.ind1], eta1=NULL, eta2=NULL, teta1, teta.st1, Cop1, VC$dof, min.dn = VC$min.dn, min.pr = VC$min.pr, max.pr = VC$max.pr)
if( length(teta2) != 0) dH1S <- copgHs(p1[teta.ind2], p2[teta.ind2], eta1=NULL, eta2=NULL, teta2, teta.st2, Cop2, VC$dof, min.dn = VC$min.dn, min.pr = VC$min.pr, max.pr = VC$max.pr)
if( length(teta1) != 0) dH2F <- copgHs(p1[teta.ind1], mm(p2[teta.ind1]-pdf2[teta.ind1], min.pr = VC$min.pr, max.pr = VC$max.pr), eta1=NULL, eta2=NULL, teta1, teta.st1, Cop1, VC$dof, min.dn = VC$min.dn, min.pr = VC$min.pr, max.pr = VC$max.pr)
if( length(teta2) != 0) dH2S <- copgHs(p1[teta.ind2], mm(p2[teta.ind2]-pdf2[teta.ind2], min.pr = VC$min.pr, max.pr = VC$max.pr), eta1=NULL, eta2=NULL, teta2, teta.st2, Cop2, VC$dof, min.dn = VC$min.dn, min.pr = VC$min.pr, max.pr = VC$max.pr)
if( length(teta1) != 0){
c.copula.be1.C1[teta.ind1] <- dH1F$c.copula.be1
c.copula.be1.C2[teta.ind1] <- dH2F$c.copula.be1
c.copula.be2.C1[teta.ind1] <- dH1F$c.copula.be2
c.copula.be2.C2[teta.ind1] <- dH2F$c.copula.be2
c.copula.theta.C1[teta.ind1] <- dH1F$c.copula.theta # here there is theta star already
c.copula.theta.C2[teta.ind1] <- dH2F$c.copula.theta
}
if( length(teta2) != 0){
c.copula.be1.C1[teta.ind2] <- dH1S$c.copula.be1
c.copula.be1.C2[teta.ind2] <- dH2S$c.copula.be1
c.copula.be2.C1[teta.ind2] <- dH1S$c.copula.be2
c.copula.be2.C2[teta.ind2] <- dH2S$c.copula.be2
c.copula.theta.C1[teta.ind2] <- dH1S$c.copula.theta # here there is theta star already
c.copula.theta.C2[teta.ind2] <- dH2S$c.copula.theta
}
derp2m1.dereta2 <- derp2.dereta2 - derpdf2.dereta2
derp2m1.dersigma.st <- derp2.dersigma.st - derpdf2.dersigma2.st
derp1.dereta1 <- pd1$derp1.dereta1 # -dnorm(-eta1)
Cc <- mm(c.copula.be1.C1 - c.copula.be1.C2, min.pr = VC$min.pr, max.pr = VC$max.pr)
C <- Cc*derp1.dereta1
Cs <- c.copula.theta.C1 - c.copula.theta.C2
Cssb2 <- c.copula.be2.C1*derp2.dereta2 - c.copula.be2.C2*derp2m1.dereta2
CssSI <- c.copula.be2.C1*derp2.dersigma.st - c.copula.be2.C2*derp2m1.dersigma.st
dl.dbe1 <- VC$weights*( ( respvec$cy/A - respvec$y1/B )*C )
dl.dbe2 <- VC$weights*( respvec$cy/A*Cssb2 + respvec$y1/B*(derpdf2.dereta2 - Cssb2) )
dl.dsigma.st <- VC$weights*( respvec$cy/A*CssSI + respvec$y1/B*(derpdf2.dersigma2.st - CssSI) )
dl.dteta.st <- VC$weights*( ( respvec$cy/A - respvec$y1/B )*Cs )
########################################################################################################
c.copula2.be1.C1 <- c.copula2.be1.C2 <- c.copula2.be2.C1 <- c.copula2.be2.C2 <- c.copula2.be1be2.C1 <- c.copula2.be1be2.C2 <- c.copula2.be2th.C1 <- c.copula2.be2th.C2 <- c.copula2.theta.C1 <- c.copula2.theta.C2 <- c.copula.thet.C1 <- c.copula.thet.C2 <- derteta.derteta.st <- der2teta.derteta.stteta.st <- c.copula2.be1th.C1 <- c.copula2.be1th.C2 <- NA
if( length(teta1) != 0){
c.copula2.be1.C1[teta.ind1] <- dH1F$c.copula2.be1
c.copula2.be1.C2[teta.ind1] <- dH2F$c.copula2.be1
c.copula2.be2.C1[teta.ind1] <- dH1F$c.copula2.be2
c.copula2.be2.C2[teta.ind1] <- dH2F$c.copula2.be2
c.copula2.be1be2.C1[teta.ind1] <- dH1F$c.copula2.be1be2
c.copula2.be1be2.C2[teta.ind1] <- dH2F$c.copula2.be1be2
c.copula2.be2th.C1[teta.ind1] <- dH1F$c.copula2.be2th
c.copula2.be2th.C2[teta.ind1] <- dH2F$c.copula2.be2th
c.copula2.theta.C1[teta.ind1] <- dH1F$bit1.th2ATE
c.copula2.theta.C2[teta.ind1] <- dH2F$bit1.th2ATE
c.copula.thet.C1[teta.ind1] <- dH1F$c.copula.thet # NO star
c.copula.thet.C2[teta.ind1] <- dH2F$c.copula.thet
derteta.derteta.st[teta.ind1] <- dH1F$derteta.derteta.st # does not matter dH1 or dH2
der2teta.derteta.stteta.st[teta.ind1] <- dH1F$der2teta.derteta.stteta.st
c.copula2.be1th.C1[teta.ind1] <- dH1F$c.copula2.be1th
c.copula2.be1th.C2[teta.ind1] <- dH2F$c.copula2.be1th
}
if( length(teta2) != 0){
c.copula2.be1.C1[teta.ind2] <- dH1S$c.copula2.be1
c.copula2.be1.C2[teta.ind2] <- dH2S$c.copula2.be1
c.copula2.be2.C1[teta.ind2] <- dH1S$c.copula2.be2
c.copula2.be2.C2[teta.ind2] <- dH2S$c.copula2.be2
c.copula2.be1be2.C1[teta.ind2] <- dH1S$c.copula2.be1be2
c.copula2.be1be2.C2[teta.ind2] <- dH2S$c.copula2.be1be2
c.copula2.be2th.C1[teta.ind2] <- dH1S$c.copula2.be2th
c.copula2.be2th.C2[teta.ind2] <- dH2S$c.copula2.be2th
c.copula2.theta.C1[teta.ind2] <- dH1S$bit1.th2ATE
c.copula2.theta.C2[teta.ind2] <- dH2S$bit1.th2ATE
c.copula.thet.C1[teta.ind2] <- dH1S$c.copula.thet # NO star
c.copula.thet.C2[teta.ind2] <- dH2S$c.copula.thet
derteta.derteta.st[teta.ind2] <- dH1S$derteta.derteta.st # does not matter dH1 or dH2
der2teta.derteta.stteta.st[teta.ind2] <- dH1S$der2teta.derteta.stteta.st
c.copula2.be1th.C1[teta.ind2] <- dH1S$c.copula2.be1th
c.copula2.be1th.C2[teta.ind2] <- dH2S$c.copula2.be1th
}
der2p1.dereta1eta1 <- pd1$der2p1.dereta1eta1
derC.dereta1 <- (c.copula2.be1.C1 - c.copula2.be1.C2)*derp1.dereta1^2 + Cc*der2p1.dereta1eta1
derCs.dertheta.st <- (c.copula2.theta.C1 - c.copula2.theta.C2)*derteta.derteta.st^2 + (c.copula.thet.C1 - c.copula.thet.C2)*der2teta.derteta.stteta.st
derA.dereta2 <- c.copula.be2.C1*derp2.dereta2 - c.copula.be2.C2*derp2m1.dereta2
derB.dereta2 <- derpdf2.dereta2 - derA.dereta2
der2p2m1.dereta2eta2 <- der2p2.dereta2eta2 - der2pdf2.dereta2
derCssb2.dereta2 <- c.copula2.be2.C1*derp2.dereta2^2 + c.copula.be2.C1*der2p2.dereta2eta2 - (c.copula2.be2.C2*derp2m1.dereta2^2 + c.copula.be2.C2*der2p2m1.dereta2eta2)
derA.dersigma2.st <- c.copula.be2.C1*derp2.dersigma.st - c.copula.be2.C2*derp2m1.dersigma.st
derB.dersigma2.st <- derpdf2.dersigma2.st - derA.dersigma2.st
der2p2m1.dersigma2.st2 <- der2p2.dersigma2.st2 - der2pdf2.dersigma2.st2
derCssSI.dersigma2.st <- c.copula2.be2.C1*derp2.dersigma.st^2 + c.copula.be2.C1*der2p2.dersigma2.st2 - (c.copula2.be2.C2*derp2m1.dersigma.st^2 + c.copula.be2.C2*der2p2m1.dersigma2.st2)
derC.dereta2 <- (c.copula2.be1be2.C1*derp2.dereta2 - c.copula2.be1be2.C2*derp2m1.dereta2)*derp1.dereta1
derC.dersigma2.st <- (c.copula2.be1be2.C1*derp2.dersigma.st - c.copula2.be1be2.C2*derp2m1.dersigma.st)*derp1.dereta1
derC.dertheta.st <- (c.copula2.be1th.C1 - c.copula2.be1th.C2)*derp1.dereta1
der2p2m1.dereta2dersigma2.st <- der2p2.dereta2dersigma2.st - der2pdf2.dereta2dersigma2.st
derCssb2.dersigma2.st <- c.copula2.be2.C1*derp2.dereta2*derp2.dersigma.st + c.copula.be2.C1*der2p2.dereta2dersigma2.st - (c.copula2.be2.C2*derp2m1.dereta2*derp2m1.dersigma.st + c.copula.be2.C2*der2p2m1.dereta2dersigma2.st)
derCs.dereta2 <- c.copula2.be2th.C1*derp2.dereta2 - c.copula2.be2th.C2*derp2m1.dereta2
derCs.dersigma2.st <- c.copula2.be2th.C1*derp2.dersigma.st - c.copula2.be2th.C2*derp2m1.dersigma.st
d2l.be1.be1 <- -VC$weights*( (-respvec$cy/A^2 - respvec$y1/B^2)*C^2 + ( respvec$cy/A - respvec$y1/B )*derC.dereta1 )
d2l.rho.rho <- -VC$weights*( (-respvec$cy/A^2 - respvec$y1/B^2)*Cs^2 + ( respvec$cy/A - respvec$y1/B )*derCs.dertheta.st )
d2l.be2.be2 <- -VC$weights*( -respvec$cy*derA.dereta2*Cssb2/A^2 + respvec$cy*derCssb2.dereta2/A - respvec$y1*derB.dereta2/B^2*(derpdf2.dereta2-Cssb2) + respvec$y1/B*( der2pdf2.dereta2 - derCssb2.dereta2) )
d2l.sigma.sigma <- -VC$weights*( -respvec$cy*derA.dersigma2.st*CssSI/A^2 + respvec$cy*derCssSI.dersigma2.st/A - respvec$y1*derB.dersigma2.st/B^2*(derpdf2.dersigma2.st-CssSI) + respvec$y1/B*( der2pdf2.dersigma2.st2 - derCssSI.dersigma2.st) )
d2l.be1.be2 <- -VC$weights*( (-respvec$cy*derA.dereta2/A^2 + respvec$y1*derB.dereta2/B^2)*C + (respvec$cy/A - respvec$y1/B)*derC.dereta2 )
d2l.be1.sigma <- -VC$weights*( (-respvec$cy*derA.dersigma2.st/A^2 + respvec$y1*derB.dersigma2.st/B^2)*C + (respvec$cy/A - respvec$y1/B)*derC.dersigma2.st )
d2l.be1.rho <- -VC$weights*( (-respvec$cy/A^2 - respvec$y1/B^2)*C*Cs + ( respvec$cy/A - respvec$y1/B )*derC.dertheta.st )
d2l.be2.sigma <- -VC$weights*( -respvec$cy*derA.dersigma2.st*Cssb2/A^2 + respvec$cy*derCssb2.dersigma2.st/A - respvec$y1*derB.dersigma2.st/B^2*(derpdf2.dereta2-Cssb2) + respvec$y1/B*( der2pdf2.dereta2dersigma2.st - derCssb2.dersigma2.st) )
d2l.be2.rho <- -VC$weights*( (-respvec$cy*derA.dereta2/A^2 + respvec$y1*derB.dereta2/B^2)*Cs + ( respvec$cy/A - respvec$y1/B )*derCs.dereta2 )
d2l.rho.sigma <- -VC$weights*( (-respvec$cy*derA.dersigma2.st/A^2 + respvec$y1*derB.dersigma2.st/B^2)*Cs + ( respvec$cy/A - respvec$y1/B )*derCs.dersigma2.st )
if( is.null(VC$X3) ){
be1.be1 <- crossprod(VC$X1*c(d2l.be1.be1),VC$X1)
be2.be2 <- crossprod(VC$X2*c(d2l.be2.be2),VC$X2)
be1.be2 <- crossprod(VC$X1*c(d2l.be1.be2),VC$X2)
be1.rho <- t(t(rowSums(t(VC$X1*c(d2l.be1.rho)))))
be1.sigma <- t(t(rowSums(t(VC$X1*c(d2l.be1.sigma)))))
be2.rho <- t(t(rowSums(t(VC$X2*c(d2l.be2.rho)))))
be2.sigma <- t(t(rowSums(t(VC$X2*c(d2l.be2.sigma)))))
H <- rbind( cbind( be1.be1 , be1.be2 , be1.sigma, be1.rho ),
cbind( t(be1.be2) , be2.be2 , be2.sigma, be2.rho ),
cbind( t(be1.sigma), t(be2.sigma), sum(d2l.sigma.sigma), sum(d2l.rho.sigma) ),
cbind( t(be1.rho) , t(be2.rho), sum(d2l.rho.sigma), sum(d2l.rho.rho) )
)
G <- -c( colSums( c(dl.dbe1)*VC$X1 ) ,
colSums( c(dl.dbe2)*VC$X2 ) ,
sum( dl.dsigma.st ),
sum( dl.dteta.st ) )
}
if( !is.null(VC$X3) ){
be1.be1 <- crossprod(VC$X1*c(d2l.be1.be1),VC$X1)
be2.be2 <- crossprod(VC$X2*c(d2l.be2.be2),VC$X2)
be1.be2 <- crossprod(VC$X1*c(d2l.be1.be2),VC$X2)
be1.rho <- crossprod(VC$X1*c(d2l.be1.rho), VC$X4)
be1.sigma <- crossprod(VC$X1*c(d2l.be1.sigma),VC$X3)
be2.rho <- crossprod(VC$X2*c(d2l.be2.rho), VC$X4)
be2.sigma <- crossprod(VC$X2*c(d2l.be2.sigma),VC$X3)
sigma.sigma <- crossprod(VC$X3*c(d2l.sigma.sigma),VC$X3)
sigma.rho <- crossprod(VC$X3*c(d2l.rho.sigma),VC$X4)
rho.rho <- crossprod(VC$X4*c(d2l.rho.rho), VC$X4)
H <- rbind( cbind( be1.be1 , be1.be2 , be1.sigma , be1.rho ),
cbind( t(be1.be2) , be2.be2 , be2.sigma , be2.rho ),
cbind( t(be1.sigma), t(be2.sigma), sigma.sigma , sigma.rho ),
cbind( t(be1.rho) , t(be2.rho) , t(sigma.rho), rho.rho )
)
G <- -c( colSums( c(dl.dbe1)*VC$X1 ) ,
colSums( c(dl.dbe2)*VC$X2 ) ,
colSums( c(dl.dsigma.st)*VC$X3 ) ,
colSums( c(dl.dteta.st)*VC$X4 ) )
}
res <- -sum(l.par)
if(VC$extra.regI == "pC") H <- regH(H, type = 1)
S.h <- ps$S.h
if( length(S.h) != 1){
S.h1 <- 0.5*crossprod(params,S.h)%*%params
S.h2 <- S.h%*%params
} else S.h <- S.h1 <- S.h2 <- 0
S.res <- res
res <- S.res + S.h1
G <- G + S.h2
H <- H + S.h
if(VC$extra.regI == "sED") H <- regH(H, type = 2)
list(value=res, gradient=G, hessian=H, S.h=S.h, S.h1=S.h1, S.h2=S.h2, l=S.res, l.par=l.par, ps = ps, etas = etas,
eta1=eta1, eta2=eta2, etad=etad,
dl.dbe1=dl.dbe1, dl.dbe2=dl.dbe2, dl.dsigma.st = dl.dsigma.st, dl.dteta.st = dl.dteta.st,
BivD=VC$BivD, p1 = 1-p1, p2 = p2, pdf1 = pdf1, pdf2 = pdf2,
c.copula.be2 = c.copula.be2,
c.copula.be1 = c.copula.be1,
c.copula2.be1be2 = c.copula2.be1be2, theta.star = teta.st,
teta.ind2 = teta.ind2, teta.ind1 = teta.ind1,
Cop1 = Cop1, Cop2 = Cop2, teta1 = teta1, teta2 = teta2)
}
KironmoyDas/KD-STAT0035-GMupdate documentation built on Feb. 15, 2021, 12:17 a.m.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Defines functions bprobgHsDiscr2
Documented in bprobgHsDiscr2
bprobgHsDiscr2 <- function(params, respvec, VC, ps, AT = FALSE){
p1 <- p2 <- pdf1 <- pdf2 <- c.copula.be2 <- c.copula.be1 <- c.copula2.be1be2 <- NA
eta1 <- VC$X1%*%params[1:VC$X1.d2]
eta2 <- VC$X2%*%params[(VC$X1.d2+1):(VC$X1.d2+VC$X2.d2)]
etad <- etas <- l.ln <- NULL
if(is.null(VC$X3)){
sigma2.st <- etas <- params[(VC$X1.d2 + VC$X2.d2 + 1)]
teta.st <- etad <- params[(VC$X1.d2 + VC$X2.d2 + 2)]
}
if(!is.null(VC$X3)){
sigma2.st <- etas <- VC$X3%*%params[(VC$X1.d2+VC$X2.d2+1):(VC$X1.d2+VC$X2.d2+VC$X3.d2)]
teta.st <- etad <- VC$X4%*%params[(VC$X1.d2+VC$X2.d2+VC$X3.d2+1):(VC$X1.d2+VC$X2.d2+VC$X3.d2+VC$X4.d2)]
}
sstr1 <- esp.tr(sigma2.st, VC$margins[2])
sigma2.st <- sstr1$vrb.st
sigma2 <- sstr1$vrb
eta2 <- eta.tr(eta2, VC$margins[2])
dHs <- distrHsDiscr(respvec$y2, eta2, sigma2, sigma2.st, nu = 1, nu.st = 1, margin2=VC$margins[2], naive = FALSE, y2m = VC$y2m, min.dn = VC$min.dn, min.pr = VC$min.pr, max.pr = VC$max.pr)
pdf2 <- dHs$pdf2
p2 <- dHs$p2
derpdf2.dereta2 <- dHs$derpdf2.dereta2
derpdf2.dersigma2.st <- dHs$derpdf2.dersigma2.st
derp2.dersigma.st <- dHs$derp2.dersigma.st
derp2.dereta2 <- dHs$derp2.dereta2
der2p2.dereta2eta2 <- dHs$der2p2.dereta2eta2
der2pdf2.dereta2 <- dHs$der2pdf2.dereta2
der2p2.dersigma2.st2 <- dHs$der2p2.dersigma2.st2
der2pdf2.dersigma2.st2 <- dHs$der2pdf2.dersigma2.st2
der2p2.dereta2dersigma2.st <- dHs$der2p2.dereta2dersigma2.st
der2pdf2.dereta2dersigma2.st <- dHs$der2pdf2.dereta2dersigma2.st
pd1 <- probm(eta1, VC$margins[1], bc = TRUE, min.dn = VC$min.dn, min.pr = VC$min.pr, max.pr = VC$max.pr)
p1 <- 1 - pd1$pr # pnorm(-eta1), p(y1=0)
########################################################################################################
resT <- teta.tr(VC, teta.st)
teta.st1 <- teta.st2 <- teta.st <- resT$teta.st
teta1 <- teta2 <- teta <- resT$teta
##################
Cop1 <- Cop2 <- VC$BivD
nC1 <- nC2 <- VC$nC
teta.ind1 <- as.logical(c(1,0,round(runif(VC$n-2))) )
teta.ind2 <- teta.ind1 == FALSE
if(!(VC$BivD %in% VC$BivD2) && length(teta.st) > 1){
teta.st1 <- teta.st[teta.ind1]
teta.st2 <- teta.st[teta.ind2]
teta1 <- teta[teta.ind1]
teta2 <- teta[teta.ind2]
}
if(VC$BivD %in% VC$BivD2){
if(VC$BivD %in% VC$BivD2[c(1:4,13:16)]) teta.ind1 <- ifelse(VC$my.env$signind*teta > exp(VC$zerov), TRUE, FALSE)
if(VC$BivD %in% VC$BivD2[5:12]) teta.ind1 <- ifelse(VC$my.env$signind*teta > exp(VC$zerov) + 1, TRUE, FALSE)
teta.ind2 <- teta.ind1 == FALSE
VC$my.env$signind <- ifelse(teta.ind1 == TRUE, 1, -1)
teta1 <- teta[teta.ind1]
teta2 <- -teta[teta.ind2]
teta.st1 <- teta.st[teta.ind1]
teta.st2 <- teta.st[teta.ind2]
if(length(teta) == 1) teta.ind2 <- teta.ind1 <- rep(TRUE, VC$n)
Cop1Cop2R <- Cop1Cop2(VC$BivD)
Cop1 <- Cop1Cop2R$Cop1
Cop2 <- Cop1Cop2R$Cop2
nC1 <- VC$ct[which(VC$ct[,1] == Cop1),2]
nC2 <- VC$ct[which(VC$ct[,1] == Cop2),2]
}
########################################################################################################
C1 <- C2 <- A <- B <- NA
if( length(teta1) != 0){
C1[teta.ind1] <- mm(BiCDF(p1[teta.ind1], p2[teta.ind1], nC1, teta1, VC$dof), min.pr = VC$min.pr, max.pr = VC$max.pr )
C2[teta.ind1] <- mm(BiCDF(p1[teta.ind1], mm(p2[teta.ind1]-pdf2[teta.ind1], min.pr = VC$min.pr, max.pr = VC$max.pr), nC1, teta1, VC$dof), min.pr = VC$min.pr, max.pr = VC$max.pr )
A[teta.ind1] <- mm(C1[teta.ind1] - C2[teta.ind1], min.pr = VC$min.pr, max.pr = VC$max.pr)
B[teta.ind1] <- mm( pdf2[teta.ind1] - A[teta.ind1], min.pr = VC$min.pr, max.pr = VC$max.pr)
}
if( length(teta2) != 0){
C1[teta.ind2] <- mm(BiCDF(p1[teta.ind2], p2[teta.ind2], nC2, teta2, VC$dof), min.pr = VC$min.pr, max.pr = VC$max.pr )
C2[teta.ind2] <- mm(BiCDF(p1[teta.ind2], mm(p2[teta.ind2]-pdf2[teta.ind2], min.pr = VC$min.pr, max.pr = VC$max.pr), nC2, teta2, VC$dof), min.pr = VC$min.pr, max.pr = VC$max.pr )
A[teta.ind2] <- mm(C1[teta.ind2] - C2[teta.ind2], min.pr = VC$min.pr, max.pr = VC$max.pr)
B[teta.ind2] <- mm( pdf2[teta.ind2] - A[teta.ind2], min.pr = VC$min.pr, max.pr = VC$max.pr)
}
l.par <- VC$weights*( respvec$cy*log( A ) + respvec$y1*log( B ) )
########################################################################################################
c.copula.be1.C1 <- c.copula.be1.C2 <- c.copula.be2.C1 <- c.copula.be2.C2 <- c.copula.theta.C1 <- c.copula.theta.C2 <- NA
if( length(teta1) != 0) dH1F <- copgHs(p1[teta.ind1], p2[teta.ind1], eta1=NULL, eta2=NULL, teta1, teta.st1, Cop1, VC$dof, min.dn = VC$min.dn, min.pr = VC$min.pr, max.pr = VC$max.pr)
if( length(teta2) != 0) dH1S <- copgHs(p1[teta.ind2], p2[teta.ind2], eta1=NULL, eta2=NULL, teta2, teta.st2, Cop2, VC$dof, min.dn = VC$min.dn, min.pr = VC$min.pr, max.pr = VC$max.pr)
if( length(teta1) != 0) dH2F <- copgHs(p1[teta.ind1], mm(p2[teta.ind1]-pdf2[teta.ind1], min.pr = VC$min.pr, max.pr = VC$max.pr), eta1=NULL, eta2=NULL, teta1, teta.st1, Cop1, VC$dof, min.dn = VC$min.dn, min.pr = VC$min.pr, max.pr = VC$max.pr)
if( length(teta2) != 0) dH2S <- copgHs(p1[teta.ind2], mm(p2[teta.ind2]-pdf2[teta.ind2], min.pr = VC$min.pr, max.pr = VC$max.pr), eta1=NULL, eta2=NULL, teta2, teta.st2, Cop2, VC$dof, min.dn = VC$min.dn, min.pr = VC$min.pr, max.pr = VC$max.pr)
if( length(teta1) != 0){
c.copula.be1.C1[teta.ind1] <- dH1F$c.copula.be1
c.copula.be1.C2[teta.ind1] <- dH2F$c.copula.be1
c.copula.be2.C1[teta.ind1] <- dH1F$c.copula.be2
c.copula.be2.C2[teta.ind1] <- dH2F$c.copula.be2
c.copula.theta.C1[teta.ind1] <- dH1F$c.copula.theta # here there is theta star already
c.copula.theta.C2[teta.ind1] <- dH2F$c.copula.theta
}
if( length(teta2) != 0){
c.copula.be1.C1[teta.ind2] <- dH1S$c.copula.be1
c.copula.be1.C2[teta.ind2] <- dH2S$c.copula.be1
c.copula.be2.C1[teta.ind2] <- dH1S$c.copula.be2
c.copula.be2.C2[teta.ind2] <- dH2S$c.copula.be2
c.copula.theta.C1[teta.ind2] <- dH1S$c.copula.theta # here there is theta star already
c.copula.theta.C2[teta.ind2] <- dH2S$c.copula.theta
}
derp2m1.dereta2 <- derp2.dereta2 - derpdf2.dereta2
derp2m1.dersigma.st <- derp2.dersigma.st - derpdf2.dersigma2.st
derp1.dereta1 <- pd1$derp1.dereta1 # -dnorm(-eta1)
Cc <- mm(c.copula.be1.C1 - c.copula.be1.C2, min.pr = VC$min.pr, max.pr = VC$max.pr)
C <- Cc*derp1.dereta1
Cs <- c.copula.theta.C1 - c.copula.theta.C2
Cssb2 <- c.copula.be2.C1*derp2.dereta2 - c.copula.be2.C2*derp2m1.dereta2
CssSI <- c.copula.be2.C1*derp2.dersigma.st - c.copula.be2.C2*derp2m1.dersigma.st
dl.dbe1 <- VC$weights*( ( respvec$cy/A - respvec$y1/B )*C )
dl.dbe2 <- VC$weights*( respvec$cy/A*Cssb2 + respvec$y1/B*(derpdf2.dereta2 - Cssb2) )
dl.dsigma.st <- VC$weights*( respvec$cy/A*CssSI + respvec$y1/B*(derpdf2.dersigma2.st - CssSI) )
dl.dteta.st <- VC$weights*( ( respvec$cy/A - respvec$y1/B )*Cs )
########################################################################################################
c.copula2.be1.C1 <- c.copula2.be1.C2 <- c.copula2.be2.C1 <- c.copula2.be2.C2 <- c.copula2.be1be2.C1 <- c.copula2.be1be2.C2 <- c.copula2.be2th.C1 <- c.copula2.be2th.C2 <- c.copula2.theta.C1 <- c.copula2.theta.C2 <- c.copula.thet.C1 <- c.copula.thet.C2 <- derteta.derteta.st <- der2teta.derteta.stteta.st <- c.copula2.be1th.C1 <- c.copula2.be1th.C2 <- NA
if( length(teta1) != 0){
c.copula2.be1.C1[teta.ind1] <- dH1F$c.copula2.be1
c.copula2.be1.C2[teta.ind1] <- dH2F$c.copula2.be1
c.copula2.be2.C1[teta.ind1] <- dH1F$c.copula2.be2
c.copula2.be2.C2[teta.ind1] <- dH2F$c.copula2.be2
c.copula2.be1be2.C1[teta.ind1] <- dH1F$c.copula2.be1be2
c.copula2.be1be2.C2[teta.ind1] <- dH2F$c.copula2.be1be2
c.copula2.be2th.C1[teta.ind1] <- dH1F$c.copula2.be2th
c.copula2.be2th.C2[teta.ind1] <- dH2F$c.copula2.be2th
c.copula2.theta.C1[teta.ind1] <- dH1F$bit1.th2ATE
c.copula2.theta.C2[teta.ind1] <- dH2F$bit1.th2ATE
c.copula.thet.C1[teta.ind1] <- dH1F$c.copula.thet # NO star
c.copula.thet.C2[teta.ind1] <- dH2F$c.copula.thet
derteta.derteta.st[teta.ind1] <- dH1F$derteta.derteta.st # does not matter dH1 or dH2
der2teta.derteta.stteta.st[teta.ind1] <- dH1F$der2teta.derteta.stteta.st
c.copula2.be1th.C1[teta.ind1] <- dH1F$c.copula2.be1th
c.copula2.be1th.C2[teta.ind1] <- dH2F$c.copula2.be1th
}
if( length(teta2) != 0){
c.copula2.be1.C1[teta.ind2] <- dH1S$c.copula2.be1
c.copula2.be1.C2[teta.ind2] <- dH2S$c.copula2.be1
c.copula2.be2.C1[teta.ind2] <- dH1S$c.copula2.be2
c.copula2.be2.C2[teta.ind2] <- dH2S$c.copula2.be2
c.copula2.be1be2.C1[teta.ind2] <- dH1S$c.copula2.be1be2
c.copula2.be1be2.C2[teta.ind2] <- dH2S$c.copula2.be1be2
c.copula2.be2th.C1[teta.ind2] <- dH1S$c.copula2.be2th
c.copula2.be2th.C2[teta.ind2] <- dH2S$c.copula2.be2th
c.copula2.theta.C1[teta.ind2] <- dH1S$bit1.th2ATE
c.copula2.theta.C2[teta.ind2] <- dH2S$bit1.th2ATE
c.copula.thet.C1[teta.ind2] <- dH1S$c.copula.thet # NO star
c.copula.thet.C2[teta.ind2] <- dH2S$c.copula.thet
derteta.derteta.st[teta.ind2] <- dH1S$derteta.derteta.st # does not matter dH1 or dH2
der2teta.derteta.stteta.st[teta.ind2] <- dH1S$der2teta.derteta.stteta.st
c.copula2.be1th.C1[teta.ind2] <- dH1S$c.copula2.be1th
c.copula2.be1th.C2[teta.ind2] <- dH2S$c.copula2.be1th
}
der2p1.dereta1eta1 <- pd1$der2p1.dereta1eta1
derC.dereta1 <- (c.copula2.be1.C1 - c.copula2.be1.C2)*derp1.dereta1^2 + Cc*der2p1.dereta1eta1
derCs.dertheta.st <- (c.copula2.theta.C1 - c.copula2.theta.C2)*derteta.derteta.st^2 + (c.copula.thet.C1 - c.copula.thet.C2)*der2teta.derteta.stteta.st
derA.dereta2 <- c.copula.be2.C1*derp2.dereta2 - c.copula.be2.C2*derp2m1.dereta2
derB.dereta2 <- derpdf2.dereta2 - derA.dereta2
der2p2m1.dereta2eta2 <- der2p2.dereta2eta2 - der2pdf2.dereta2
derCssb2.dereta2 <- c.copula2.be2.C1*derp2.dereta2^2 + c.copula.be2.C1*der2p2.dereta2eta2 - (c.copula2.be2.C2*derp2m1.dereta2^2 + c.copula.be2.C2*der2p2m1.dereta2eta2)
derA.dersigma2.st <- c.copula.be2.C1*derp2.dersigma.st - c.copula.be2.C2*derp2m1.dersigma.st
derB.dersigma2.st <- derpdf2.dersigma2.st - derA.dersigma2.st
der2p2m1.dersigma2.st2 <- der2p2.dersigma2.st2 - der2pdf2.dersigma2.st2
derCssSI.dersigma2.st <- c.copula2.be2.C1*derp2.dersigma.st^2 + c.copula.be2.C1*der2p2.dersigma2.st2 - (c.copula2.be2.C2*derp2m1.dersigma.st^2 + c.copula.be2.C2*der2p2m1.dersigma2.st2)
derC.dereta2 <- (c.copula2.be1be2.C1*derp2.dereta2 - c.copula2.be1be2.C2*derp2m1.dereta2)*derp1.dereta1
derC.dersigma2.st <- (c.copula2.be1be2.C1*derp2.dersigma.st - c.copula2.be1be2.C2*derp2m1.dersigma.st)*derp1.dereta1
derC.dertheta.st <- (c.copula2.be1th.C1 - c.copula2.be1th.C2)*derp1.dereta1
der2p2m1.dereta2dersigma2.st <- der2p2.dereta2dersigma2.st - der2pdf2.dereta2dersigma2.st
derCssb2.dersigma2.st <- c.copula2.be2.C1*derp2.dereta2*derp2.dersigma.st + c.copula.be2.C1*der2p2.dereta2dersigma2.st - (c.copula2.be2.C2*derp2m1.dereta2*derp2m1.dersigma.st + c.copula.be2.C2*der2p2m1.dereta2dersigma2.st)
derCs.dereta2 <- c.copula2.be2th.C1*derp2.dereta2 - c.copula2.be2th.C2*derp2m1.dereta2
derCs.dersigma2.st <- c.copula2.be2th.C1*derp2.dersigma.st - c.copula2.be2th.C2*derp2m1.dersigma.st
d2l.be1.be1 <- -VC$weights*( (-respvec$cy/A^2 - respvec$y1/B^2)*C^2 + ( respvec$cy/A - respvec$y1/B )*derC.dereta1 )
d2l.rho.rho <- -VC$weights*( (-respvec$cy/A^2 - respvec$y1/B^2)*Cs^2 + ( respvec$cy/A - respvec$y1/B )*derCs.dertheta.st )
d2l.be2.be2 <- -VC$weights*( -respvec$cy*derA.dereta2*Cssb2/A^2 + respvec$cy*derCssb2.dereta2/A - respvec$y1*derB.dereta2/B^2*(derpdf2.dereta2-Cssb2) + respvec$y1/B*( der2pdf2.dereta2 - derCssb2.dereta2) )
d2l.sigma.sigma <- -VC$weights*( -respvec$cy*derA.dersigma2.st*CssSI/A^2 + respvec$cy*derCssSI.dersigma2.st/A - respvec$y1*derB.dersigma2.st/B^2*(derpdf2.dersigma2.st-CssSI) + respvec$y1/B*( der2pdf2.dersigma2.st2 - derCssSI.dersigma2.st) )
d2l.be1.be2 <- -VC$weights*( (-respvec$cy*derA.dereta2/A^2 + respvec$y1*derB.dereta2/B^2)*C + (respvec$cy/A - respvec$y1/B)*derC.dereta2 )
d2l.be1.sigma <- -VC$weights*( (-respvec$cy*derA.dersigma2.st/A^2 + respvec$y1*derB.dersigma2.st/B^2)*C + (respvec$cy/A - respvec$y1/B)*derC.dersigma2.st )
d2l.be1.rho <- -VC$weights*( (-respvec$cy/A^2 - respvec$y1/B^2)*C*Cs + ( respvec$cy/A - respvec$y1/B )*derC.dertheta.st )
d2l.be2.sigma <- -VC$weights*( -respvec$cy*derA.dersigma2.st*Cssb2/A^2 + respvec$cy*derCssb2.dersigma2.st/A - respvec$y1*derB.dersigma2.st/B^2*(derpdf2.dereta2-Cssb2) + respvec$y1/B*( der2pdf2.dereta2dersigma2.st - derCssb2.dersigma2.st) )
d2l.be2.rho <- -VC$weights*( (-respvec$cy*derA.dereta2/A^2 + respvec$y1*derB.dereta2/B^2)*Cs + ( respvec$cy/A - respvec$y1/B )*derCs.dereta2 )
d2l.rho.sigma <- -VC$weights*( (-respvec$cy*derA.dersigma2.st/A^2 + respvec$y1*derB.dersigma2.st/B^2)*Cs + ( respvec$cy/A - respvec$y1/B )*derCs.dersigma2.st )
if( is.null(VC$X3) ){
be1.be1 <- crossprod(VC$X1*c(d2l.be1.be1),VC$X1)
be2.be2 <- crossprod(VC$X2*c(d2l.be2.be2),VC$X2)
be1.be2 <- crossprod(VC$X1*c(d2l.be1.be2),VC$X2)
be1.rho <- t(t(rowSums(t(VC$X1*c(d2l.be1.rho)))))
be1.sigma <- t(t(rowSums(t(VC$X1*c(d2l.be1.sigma)))))
be2.rho <- t(t(rowSums(t(VC$X2*c(d2l.be2.rho)))))
be2.sigma <- t(t(rowSums(t(VC$X2*c(d2l.be2.sigma)))))
H <- rbind( cbind( be1.be1 , be1.be2 , be1.sigma, be1.rho ),
cbind( t(be1.be2) , be2.be2 , be2.sigma, be2.rho ),
cbind( t(be1.sigma), t(be2.sigma), sum(d2l.sigma.sigma), sum(d2l.rho.sigma) ),
cbind( t(be1.rho) , t(be2.rho), sum(d2l.rho.sigma), sum(d2l.rho.rho) )
)
G <- -c( colSums( c(dl.dbe1)*VC$X1 ) ,
colSums( c(dl.dbe2)*VC$X2 ) ,
sum( dl.dsigma.st ),
sum( dl.dteta.st ) )
}
if( !is.null(VC$X3) ){
be1.be1 <- crossprod(VC$X1*c(d2l.be1.be1),VC$X1)
be2.be2 <- crossprod(VC$X2*c(d2l.be2.be2),VC$X2)
be1.be2 <- crossprod(VC$X1*c(d2l.be1.be2),VC$X2)
be1.rho <- crossprod(VC$X1*c(d2l.be1.rho), VC$X4)
be1.sigma <- crossprod(VC$X1*c(d2l.be1.sigma),VC$X3)
be2.rho <- crossprod(VC$X2*c(d2l.be2.rho), VC$X4)
be2.sigma <- crossprod(VC$X2*c(d2l.be2.sigma),VC$X3)
sigma.sigma <- crossprod(VC$X3*c(d2l.sigma.sigma),VC$X3)
sigma.rho <- crossprod(VC$X3*c(d2l.rho.sigma),VC$X4)
rho.rho <- crossprod(VC$X4*c(d2l.rho.rho), VC$X4)
H <- rbind( cbind( be1.be1 , be1.be2 , be1.sigma , be1.rho ),
cbind( t(be1.be2) , be2.be2 , be2.sigma , be2.rho ),
cbind( t(be1.sigma), t(be2.sigma), sigma.sigma , sigma.rho ),
cbind( t(be1.rho) , t(be2.rho) , t(sigma.rho), rho.rho )
)
G <- -c( colSums( c(dl.dbe1)*VC$X1 ) ,
colSums( c(dl.dbe2)*VC$X2 ) ,
colSums( c(dl.dsigma.st)*VC$X3 ) ,
colSums( c(dl.dteta.st)*VC$X4 ) )
}
res <- -sum(l.par)
if(VC$extra.regI == "pC") H <- regH(H, type = 1)
S.h <- ps$S.h
if( length(S.h) != 1){
S.h1 <- 0.5*crossprod(params,S.h)%*%params
S.h2 <- S.h%*%params
} else S.h <- S.h1 <- S.h2 <- 0
S.res <- res
res <- S.res + S.h1
G <- G + S.h2
H <- H + S.h
if(VC$extra.regI == "sED") H <- regH(H, type = 2)
list(value=res, gradient=G, hessian=H, S.h=S.h, S.h1=S.h1, S.h2=S.h2, l=S.res, l.par=l.par, ps = ps, etas = etas,
eta1=eta1, eta2=eta2, etad=etad,
dl.dbe1=dl.dbe1, dl.dbe2=dl.dbe2, dl.dsigma.st = dl.dsigma.st, dl.dteta.st = dl.dteta.st,
BivD=VC$BivD, p1 = 1-p1, p2 = p2, pdf1 = pdf1, pdf2 = pdf2,
c.copula.be2 = c.copula.be2,
c.copula.be1 = c.copula.be1,
c.copula2.be1be2 = c.copula2.be1be2, theta.star = teta.st,
teta.ind2 = teta.ind2, teta.ind1 = teta.ind1,
Cop1 = Cop1, Cop2 = Cop2, teta1 = teta1, teta2 = teta2)
}
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.