R/ww1.7.r

Defines functions wwfit wwest wts wilwts wildisp wilcoxontau.ww wilcoxonpseudo wald varcov.hbr varcov.gr v1.9.0 theilwts taustar studres.hbr studres.gr stanresid regrtest redmod pwcomp psi plotfitdiag pairup.ww mymahalanobis myltsreg mylmsreg mycov.rob hbrwts grwts fitdiag droptest diffwls centerx cellmnxy cellmntest blwts

#' @importFrom MASS ltsreg
blwts <- function(xmat, y, robdis2 = mycov.rob(as.matrix(xmat), method = "mcd")$robdis2, 
    percent = 0.95, k = 2, intest = myltsreg(xmat, y)$coef) {
    xmat = as.matrix(xmat)
    y = as.matrix(y)
    n = dim(xmat)[1]
    p = dim(xmat)[2]
    cut1 = qchisq(percent, 1)
    cutp = qchisq(percent, p)
    resids = y - intest[1] - xmat %*% as.matrix(intest[2:(p + 
        1)])
    sigma = mad(resids)
    ind1 = as.numeric(abs(resids) > sigma * sqrt(cut1))
    ind2 = as.numeric(robdis2 > cutp)
    tmp = (cutp/robdis2)^(k/2)
    h = 1 - (ind1 * ind2 * (1 - tmp))
    tmp2 = pairup(h)
    ans = tmp2[, 1] * tmp2[, 2]
    ans
}

cellmntest <- function(y, levels, amat = cbind(rep(1, max(levels) - 1), -1 * 
    diag(max(levels) - 1)), delta = 0.8, param = 2, print.tbl = T) {
    amat = rbind(amat)
    xcell = cellmnxy(levels)
    p = length(xcell[1, ])
    xmat = xcell[, 2:p]
    amat = amat[, 2:p]
    ans = suppressWarnings(droptest(xmat, y, amat, delta, param, 
        print.tbl))
    ans$full$coef = ans$full$coef + c(0, rep(ans$full$coef[1], 
        p - 1))
    invisible(ans)
}

cellmnxy <- function(levels) {
    k = max(levels)
    n = length(levels)
    cellmnxy = matrix(rep(0, n * k), ncol = k)
    for (i in 1:k) {
        cellmnxy[, i][levels == i] = 1
    }
    cellmnxy
}

centerx <- function(x) {
    x = as.matrix(x)
    n = length(x[, 1])
    one = matrix(rep(1, n), ncol = 1)
    x - (one %*% t(one)/n) %*% x
}

diffwls <- function(x, y, delta = 0.8, param = 2, conf = 0.95) {
    x = as.matrix(centerx(x))
    n = length(x[, 1])
    p = length(x[1, ])
    tempw = wwest(x, y, "WIL", print.tbl = F)
    residw = tempw$tmp1$residuals
    tempvc = varcov.gr(centerx(x), tempw$tmp1$weights, tempw$tmp1$residuals)
    vcw = as.matrix(tempvc$varcov)
    templs = lsfit(x, y)
    diff = tempw$tmp1$coef - templs$coef
    vcwint = vcw[1, 1]
    pp1 = length(x[1, ]) + 1
    vcwbeta = vcw[2:pp1, 2:pp1]
    tdbeta = t(diff) %*% solve(vcw) %*% diff
    tdint = diff[1]^2/vcwint
    bmtd = (4 * pp1^2)/n
    xmat = cbind(rep(1, n), x)
    diffc = xmat %*% diff[1:pp1]
    diffvc = xmat %*% vcw %*% t(xmat)
    cd = diffc/(sqrt(diag(diffvc)))
    bmcd = 2 * sqrt(pp1/n)
    se = sqrt(diag(vcw))
    list(tdbeta = tdbeta, tdint = tdint, bmtd = bmtd, cfit = cd, 
        bmcd = bmcd, est = c("WIL", "LS"), betaw = tempw$tmp1$coef, 
        betals = templs$coef, vcw = vcw, tau = tempvc$tau, taus = tempvc$tau1, 
        se = se)
}

droptest <- function(xmat, y, amat, delta = 0.8, param = 2, print.tbl = T) {
    xmat = as.matrix(xmat)
    amat = rbind(amat)
    p = length(xmat[1, ])
    pp1 = p + 1
    n = length(xmat[, 1])
    q = length(amat[, 1])
    if (p != dim(amat)[2]) 
        stop("droptest:  The number of columns in amat and xmat are different.")
    full = wwfit(xmat, y)
    dfull = wildisp(full$residuals)
    tauhat = wilcoxontau(full$residuals, p, delta, param)
    if (q < p) {
        xuse = xmat
        ause = amat
        xred = redmod(xuse, ause)
        red = wwfit(xred, y)
        dred = wildisp(red$residuals)
        rd = dred - dfull
        mrd = rd/q
        fr = mrd/(tauhat/2)
    }
    else {
        warning("droptest:  H_0: beta=0 is being tested since q>=p.", 
            call. = F)
        q = p
        dred = wildisp(y)
        rd = dred - dfull
        mrd = rd/q
        fr = mrd/(tauhat/2)
    }
    df2 = n - p - 1
    ts2 = tauhat/2
    pval = 1 - pf(fr, q, df2)
    if (print.tbl) {
        cnames = c("RD", "DF", "MRD", "TS", "PVAL")
        rnames = c("H0", "Error")
        ans = cbind(c(rd, NA), c(q, df2), c(mrd, ts2), c(fr, 
            NA), c(pval, NA))
        ans = round(ans, 4)
        dimnames(ans) = list(rnames, cnames)
        cat("\n")
        prmatrix(ans, na.print = "")
        cat("\n")
    }
    invisible(list(full = full, dred = dred, dfull = dfull, tauhat = tauhat, 
        q = q, fr = fr, pval = pval))
}

fitdiag <- function(x, y, est = c("WIL", "GR"), delta = 0.8, param = 2, 
    conf = 0.95) {
    x = as.matrix(centerx(x))
    n = dim(x)[1]
    p = dim(x)[2]
    tempw = wwest(x, y, "WIL", print.tbl = F)
    residw = tempw$tmp1$residuals
    tempvc = varcov.gr(centerx(x), tempw$tmp1$weights, tempw$tmp1$residuals)
    vcw = as.matrix(tempvc$varcov)
    tempgr = NULL
    temphbr = NULL
    templs = NULL
    if (any("WIL" == est) & any("GR" == est)) {
        tempgr = wwest(x, y, "GR", print.tbl = F)
        diff = tempw$tmp1$coef - tempgr$tmp1$coef
    }
    if (any("WIL" == est) & any("HBR" == est)) {
        temphbr = wwest(x, y, "HBR", print.tbl = F)
        diff = tempw$tmp1$coef - temphbr$tmp1$coef
    }
    if (any("GR" == est) & any("HBR" == est)) {
        tempgr = wwest(x, y, "GR", print.tbl = F)
        temphbr = wwest(x, y, "HBR", print.tbl = F)
        diff = tempgr$tmp1$coef - temphbr$tmp1$coef
    }
    if (any("WIL" == est) & any("LS" == est)) {
        templs = lsfit(x, y)
        diff = tempw$tmp1$coef - templs$coef
    }
    if (any("GR" == est) & any("LS" == est)) {
        tempgr = wwest(x, y, "GR", print.tbl = F)
        templs = lsfit(x, y)
        diff = tempgr$tmp1$coef - templs$coef
    }
    if (any("HBR" == est) & any("LS" == est)) {
        temphbr = wwest(x, y, "HBR", print.tbl = F)
        templs = lsfit(x, y)
        diff = temphbr$tmp1$coef - templs$coef
    }
    tdbeta = t(cbind(diff)) %*% solve(vcw) %*% cbind(diff)
    bmtd = (4 * (p + 1)^2)/n
    xmat = cbind(rep(1, n), x)
    diffc = xmat %*% diff
    diffvc = xmat %*% vcw %*% t(xmat)
    cfit = diffc/(sqrt(diag(diffvc)))
    bmcf = 2 * sqrt((p + 1)/n)
    se = sqrt(diag(vcw))
    list(tdbeta = c(tdbeta), bmtd = bmtd, cfit = c(cfit), bmcf = bmcf, 
        est = est, betaw = tempw$tmp1$coef, betagr = tempgr$tmp1$coef, 
        betahbr = temphbr$tmp1$coef, betals = templs$coef, vcw = vcw, 
        tau = tempvc$tau, taus = tempvc$tau1, se = se)
}

grwts <- function(xmat, robdis2 = mycov.rob(as.matrix(xmat), method = "mcd")$robdis2, 
    percent = 0.95, k = 2) {
    xmat = as.matrix(xmat)
    n = dim(xmat)[1]
    p = dim(xmat)[2]
    cut = qchisq(percent, p)
    h = pmin(1, ((cut/robdis2)^(k/2)))
    tmp = pairup(h)
    ans = tmp[, 1] * tmp[, 2]
    ans
}

#' @importFrom MASS ltsreg
hbrwts <- function(xmat, y, robdis2 = mycov.rob(as.matrix(xmat), method = "mcd")$robdis2, 
    percent = 0.95, intest = myltsreg(xmat, y)$coef) {
    xmat = as.matrix(xmat)
    y = as.matrix(y)
    n = dim(xmat)[1]
    p = dim(xmat)[2]
    cut = qchisq(percent, p)
    resids = y - intest[1] - xmat %*% as.matrix(intest[2:(p + 
        1)])
    sigma = mad(resids)
    m = psi(cut/robdis2)
    a = resids/(sigma * m)
    c = (median(a) + 3 * mad(a))^2
    h = sqrt(c)/a
    tmp = pairup(h)
    ans = psi(abs(tmp[, 1] * tmp[, 2]))
    ans
}

#' @import stats
mycov.rob <- function(x, cor = FALSE, quantile.used = floor((n + p + 1)/2), 
    method = c("mve", "mcd", "classical"), nsamp = "best") {
    if (v1.9.0()) {
        if (!any(search() == "package:MASS")) 
            stop("mycov.rob:  The 'MASS' package is not loaded.")
        PACK = "MASS"
    }
    else {
        if (!any(search() == "package:lqs")) 
            stop("mycov.rob:  The 'lqs' package is not loaded.")
        PACK = "lqs"
    }
    method <- match.arg(method)
    x <- as.matrix(x)
    xcopy = x
    if (any(is.na(x)) || any(is.infinite(x))) 
        stop("mycov.rob:  missing or infinite values are not allowed")
    n <- nrow(x)
    p <- ncol(x)
    if (n < p + 1) 
        stop(paste("mycov.rob:  At least", p + 1, "cases are needed"))
    if (method == "classical") {
        center = colMeans(x)
        cov = var(x)
        robdis2 = mymahalanobis(xcopy, center, cov)
        ans <- list(center = colMeans(x), cov = var(x), robdis2 = robdis2)
    }
    else {
        if (quantile.used < p + 1) 
            stop(paste("mycov.rob:  quantile must be at least", 
                p + 1))
        divisor <- apply(x, 2, IQR)
        if (any(divisor == 0)) 
            stop("mycov.rob:  at least one column has IQR 0")
        x <- x/rep(divisor, rep(n, p))
        qn <- quantile.used
        ps <- p + 1
        nexact <- choose(n, ps)
        if (is.character(nsamp) && nsamp == "best") 
            nsamp <- if (nexact < 5000) 
                "exact"
            else "sample"
        if (is.numeric(nsamp) && nsamp > nexact) {
            warning(paste("only", nexact, "sets, so all sets will be tried"))
            nsamp <- "exact"
        }
        samp <- nsamp != "exact"
        if (samp) {
            if (nsamp == "sample") 
                nsamp <- min(500 * ps, 3000)
        }
        else nsamp <- nexact
        if (exists(".Random.seed", envir = .GlobalEnv)) {
            save.seed <- .Random.seed
            on.exit(assign(".Random.seed", save.seed, envir = .GlobalEnv))
        }
        set.seed(123)
        # Modified HPS
        # z <- .C("mve_fitlots", as.double(x), as.integer(n), as.integer(p), 
        #     as.integer(qn), as.integer(method == "mcd"), as.integer(samp), 
        #     as.integer(ps), as.integer(nsamp), crit = double(1), 
        #     sing = integer(1), bestone = integer(n), PACKAGE = PACK)
        z$sing <- paste(z$sing, "singular samples of size", ps, 
            "out of", nsamp)
        crit <- z$crit + 2 * sum(log(divisor)) + if (method == 
            "mcd") 
            -p * log(qn - 1)
        else 0
        best <- seq(n)[z$bestone != 0]
        if (!length(best)) 
            stop("mycov.rob:  x is probably collinear")
        means <- colMeans(x[best, , drop = FALSE])
        rcov <- var(x[best, , drop = FALSE]) * (1 + 15/(n - p))^2
        dist <- mymahalanobis(x, means, rcov)
        cut <- qchisq(0.975, p) * quantile(dist, qn/n)/qchisq(qn/n, 
            p)
        center = colMeans(x[dist < cut, , drop = FALSE]) * divisor
        cov <- divisor * var(x[dist < cut, , drop = FALSE]) * 
            rep(divisor, rep(p, p))
        robdis2 = mymahalanobis(xcopy, center, cov)
        attr(cov, "names") <- NULL
        ans <- list(center = center, cov = cov, robdis2 = robdis2, 
            msg = z$sing, crit = crit, best = best)
    }
    if (cor) {
        sd <- sqrt(diag(ans$cov))
        ans <- c(ans, list(cor = (ans$cov/sd)/rep(sd, rep(p, 
            p))))
    }
    ans$n.obs <- n
    ans
}

#' @importFrom MASS lmsreg
mylmsreg <- function(xmat, y) {
    if (v1.9.0()) {
        if (!any(search() == "package:MASS")) 
            stop("mycov.rob:  The 'MASS' package is not loaded.")
    }
    else {
        if (!any(search() == "package:lqs")) 
            stop("mycov.rob:  The 'lqs' package is not loaded.")
    }
    xmat = as.matrix(xmat)
    if (exists(".Random.seed", envir = .GlobalEnv)) {
        save.seed <- .Random.seed
        on.exit(assign(".Random.seed", save.seed, envir = .GlobalEnv))
    }
    set.seed(123)
    tmp = lmsreg(xmat, y, intercept = T)
    ans = list(coefficients = tmp$coefficients, residuals = tmp$residuals)
    ans
}

#' @importFrom MASS ltsreg
myltsreg <- function(xmat, y) {
    if (v1.9.0()) {
        if (!any(search() == "package:MASS")) 
            stop("mycov.rob:  The 'MASS' package is not loaded.")
    }
    else {
        if (!any(search() == "package:lqs")) 
            stop("mycov.rob:  The 'lqs' package is not loaded.")
    }
    xmat = as.matrix(xmat)
    if (exists(".Random.seed", envir = .GlobalEnv)) {
        save.seed <- .Random.seed
        on.exit(assign(".Random.seed", save.seed, envir = .GlobalEnv))
    }
    set.seed(123)
    tmp = ltsreg(xmat, y, intercept = T)
    ans = list(coefficients = tmp$coefficients, residuals = tmp$residuals)
    ans
}

#' @importFrom MASS ginv
mymahalanobis <- function(x, center, cov, inverted = FALSE, tol.inv = 1e-17) {
    x <- if (is.vector(x)) 
        matrix(x, nrow = length(x))
    else as.matrix(x)
    x <- sweep(x, 2, center)
    if (!inverted) 
        cov <- ginv(cov, tol = tol.inv)
    retval <- rowSums((x %*% cov) * x)
    names(retval) <- rownames(x)
    retval
}

pairup.ww <- function(x, type = "less") {
    x = as.matrix(x)
    n = dim(x)[1]
    i = rep(1:n, rep(n, n))
    j = rep(1:n, n)
    c1 = apply(x, 2, function(y) {
        rep(y, rep(length(y), length(y)))
    })
    c2 = apply(x, 2, function(y) {
        rep(y, length(y))
    })
    ans = cbind(c1, c2)
    ans = switch(type, less = ans[(i < j), ], leq = ans[i <= 
        j, ], neq = ans)
    ans
}

plotfitdiag <- function(result) {
    n = length(result$cfit)
    main1 = paste("CFITS for", result$est[1], "and", result$est[2])
    main2 = paste("TDBETA:", round(result$tdbeta, 2), "Benchmark:", 
        round(result$bmtd, 2))
    plot(c(1, n), c(min(result$cfit, -1 * result$bmcf), max(result$cfit, 
        result$bmcf)), type = "n", main = paste(main1, "\n", 
        main2), xlab = "CASE", ylab = "CFIT")
    points(1:n, result$cfit)
    abline(h = c(-1 * result$bmcf, result$bmcf))
}

psi <- function(x) {
    x[x == -Inf] = -100
    x[x == Inf] = 100
    ans = -1 * (x <= -1) + x * (-1 < x & x < 1) + 1 * (x >= 1)
    ans
}

pwcomp <- function(y, levels, delta = 0.8, param = 2) {
    p <- max(levels)
    m <- pairup(1:p)
    rnames <- NULL
    pval <- NULL
    for (i in 1:dim(m)[1]) {
        a <- rep(0, p)
        a[m[i, 1]] <- 1
        a[m[i, 2]] <- -1
        rnames[i] <- paste("G", m[i, 1], "-", "G", m[i, 2], sep = "")
        pval[i] <- cellmntest(y, levels, a, delta = delta, param = param, 
            print.tbl = F)$pval
    }
    pval <- cbind(round(pval, 4))
    dimnames(pval) <- list(rnames, "PVAL")
    pval
}

redmod <- function(xmat, amat) {
    xmat = as.matrix(xmat)
    amat = rbind(amat)
    q <- length(amat[, 1])
    p <- length(xmat[1, ])
    temp <- qr(t(amat))
    if (temp$rank != q) 
        stop("redmod:  The hypothesis matrix is not full row rank.")
    else {
        zed <- qr.qty(temp, t(xmat))
        redmod <- rbind(zed[(q + 1):p, ])
    }
    t(redmod)
}

regrtest <- function(xmat, y, delta = 0.8, param = 2, print.tbl = T) {
    xmat = as.matrix(xmat)
    p = dim(xmat)[2]
    ans = suppressWarnings(droptest(xmat, y, diag(rep(1, p)), 
        delta, param, print.tbl))
    invisible(ans)
}

stanresid <- function(x, y, delta = 0.8, param = 2, conf = 0.95) {
    xc = as.matrix(centerx(x))
    n = length(y)
    p = length(xc[1, ])
    pp1 = p + 1
    tempw = wwest(x, y, "WIL", print.tbl = F)
    resid = tempw$tmp1$residuals
    hc = diag(xc %*% solve(t(xc) %*% xc) %*% t(xc))
    tau = wilcoxontau(resid, p, delta = 0.8, param = 2)
    taus = taustar(resid, p, conf = 0.95)
    deltas = sum(abs(resid))/(n - pp1)
    delta = wildisp(resid)/(n - pp1)
    sig = mad(resid)
    k1 = (taus^2/sig^2) * (((2 * deltas)/taus) - 1)
    k2 = (tau^2/sig^2) * (((2 * delta)/tau) - 1)
    s1 = sig^2 * (1 - (k1/n) - k2 * hc)
    s2 = s1
    s2[s1 <= 0] = sig^2 * (1 - (1/n) - hc[s1 <= 0])
    ind = rep(0, n)
    ind[s1 <= 0] = 1
    stanresid = resid/sqrt(s2)
    list(stanr = stanresid, ind = ind, rawresids = resid, betaw = tempw$tmp1$coef, 
        tau = tau, taustar = taus)
}

studres.gr <- function(x, bmat, res, delta = 0.8, center = T) {
    x = as.matrix(x)
    if (center) {
        x = apply(x, 2, function(x) {
            x - mean(x)
        })
    }
    bmat = as.matrix(bmat)
    res = as.vector(res)
    n = dim(x)[1]
    p = dim(x)[2]
    diag(bmat) = rep(0, n)
    w = -1 * bmat
    diag(w) = bmat %*% as.matrix(rep(1, n))
    w = (1/n) * w
    Kw = x %*% solve(t(x) %*% w %*% x) %*% t(x) %*% w
    H = x %*% solve(t(x) %*% x) %*% t(x)
    I = diag(n)
    J = matrix(1/n, n, n)
    sigma2 = (mad(res))^2
    tau1 = taustar(res, p)
    tau = wilcoxontau(res, p, delta)
    delta.s = (n/(n - p - 1)) * mean(abs(res))
    K3 = 2 * tau1 * delta.s - (tau1)^2
    tmp = pairup(res, "neq")
    xi = mean(tmp[, 1] * sign(tmp[, 1] - tmp[, 2]))
    K4 = sqrt(12) * tau * xi
    delta5 = mean(sign(tmp[, 1]) * sign(tmp[, 1] - tmp[, 2]))
    K5 = sqrt(12) * tau * tau1 * delta5
    v = sigma2 * I - K3 * J - (K4 * I - K5 * J) %*% t(Kw) + (tau^2) * 
        Kw %*% t(Kw)
    diag(v)[diag(v) <= 0] = sigma2 * diag(I - (1/n + H))[diag(v) <= 
        0]
    as.vector(res/sqrt(diag(v)))
}

studres.hbr <- function(x, bmat, res, delta = 0.8, center = T) {
    x = as.matrix(x)
    if (center) {
        x = apply(x, 2, function(x) {
            x - mean(x)
        })
    }
    bmat = as.matrix(bmat)
    res = as.vector(res)
    n = dim(x)[1]
    p = dim(x)[2]
    sigma2 = (mad(res))^2
    tau1 = taustar(res, p)
    tau = wilcoxontau(res, p, delta)
    K1 = (n/(n - p - 1)) * mean(abs(res))
    K2 = 2 * mean((rank(res)/(n + 1) - 0.5) * res)
    H = x %*% solve(t(x) %*% x) %*% t(x)
    I = diag(n)
    J = matrix(1/n, n, n)
    diag(bmat) = rep(0, n)
    w = -1 * bmat
    diag(w) = bmat %*% as.matrix(rep(1, n))
    w = (1/(sqrt(12) * tau)) * w
    cmat = (1/n^2) * t(x) %*% w %*% x
    cinv = solve(cmat)
    u = (1/n) * (bmat - diag(c(bmat %*% cbind(rep(1, n))))) %*% 
        x
    u = u * (1 - 2 * rank(res)/n)
    vmat = var(u)
    v = sigma2 * I + tau1^2 * J + (1/4) * x %*% ((1/n^2) * cinv) %*% 
        vmat %*% ((1/n^2) * cinv) %*% t(x) - 2 * tau1 * K1 * 
        J - sqrt(12) * tau * K2 * (w %*% x %*% ((1/n^2) * cinv) %*% 
        t(x) + x %*% ((1/n^2) * cinv) %*% t(x) %*% w)
    diag(v)[diag(v) <= 0] = sigma2 * diag(I - (1/n + H))[diag(v) <= 
        0]
    as.vector(res/sqrt(diag(v)))
}

taustar <- function(resid, p, conf = 0.95) {
    n = length(resid)
    zc = qnorm((1 + conf)/2)
    c1 = (n/2) - ((sqrt(n) * zc)/2) - 0.5
    ic1 = floor(c1)
    if (ic1 < 0) {
        ic1 = 0
    }
    z = sort(resid)
    l = z[ic1 + 1]
    u = z[n - ic1]
    df = sqrt(n)/sqrt(n - p - 1)
    taustar = df * ((sqrt(n) * (u - l))/(2 * zc))
    taustar
}

theilwts <- function(xmat) {
    xmat = as.matrix(xmat)
    p = dim(xmat)[2]
    xpairs = pairup(xmat)
    xi = xpairs[, 1:p]
    xj = xpairs[, (p + 1):(2 * p)]
    diff = as.matrix(xi - xj)
    ans = apply(diff, 1, function(y) {
        sqrt(sum(y * y))
    })
    ans = 1/ans
    ans[ans == Inf] = 0
    ans
}

v1.9.0 <- function() {
    major = version$major
    minor = version$minor
    n = as.numeric(paste(major, minor, sep = ""))
    n >= 19
}

#' @importFrom MASS ginv
varcov.gr <- function(x, bmat, res, delta = 0.8) {
    x = as.matrix(x)
    xbar = as.matrix(apply(x, 2, mean))
    bmat = as.matrix(bmat)
    res = as.vector(res)
    n = dim(x)[1]
    p = dim(x)[2]
    diag(bmat) = rep(0, n)
    w = -1 * bmat
    diag(w) = bmat %*% as.matrix(rep(1, n))
    w = (1/n) * w
    cmat = (1/n) * t(x) %*% w %*% x
    cinv = ginv(cmat)
    vmat = (1/n) * t(x) %*% w %*% w %*% x
    tau = wilcoxontau(res, p, delta)
    tau1 = taustar(res, p)
    varcov22 = (tau^2/n) * cinv %*% vmat %*% cinv
    varcov12 = -1 * (t(xbar)) %*% varcov22
    varcov11 = (tau1^2/n) + (t(xbar)) %*% varcov22 %*% xbar
    varcov = cbind(rbind(varcov11, t(varcov12)), rbind(varcov12, 
        varcov22))
    attr(varcov, "names") = NULL
    ans = list(varcov = varcov, tau1 = tau1, tau = tau, wmat = w, 
        cmat = cmat, vmat = vmat)
    ans
}

varcov.hbr <- function(x, bmat, res, delta = 0.8) {
    x = as.matrix(x)
    xbar = as.matrix(apply(x, 2, mean))
    bmat = as.matrix(bmat)
    res = as.vector(res)
    n = dim(x)[1]
    p = dim(x)[2]
    tau = wilcoxontau(res, p, delta)
    tau1 = taustar(res, p)
    diag(bmat) = rep(0, n)
    w = -1 * bmat
    diag(w) = bmat %*% as.matrix(rep(1, n))
    w = (1/(sqrt(12) * tau)) * w
    cmat = (1/n^2) * t(x) %*% w %*% x
    cinv = solve(cmat)
    u = (1/n) * (bmat - diag(c(bmat %*% cbind(rep(1, n))))) %*% 
        x
    u = u * (1 - 2 * rank(res)/n)
    vmat = var(u)
    varcov22 = (1/(4 * n)) * cinv %*% vmat %*% cinv
    varcov12 = -1 * (t(xbar)) %*% varcov22
    varcov11 = (tau1^2/n) + (t(xbar)) %*% varcov22 %*% xbar
    varcov = cbind(rbind(varcov11, t(varcov12)), rbind(varcov12, 
        varcov22))
    attr(varcov, "names") = NULL
    ans = list(varcov = varcov, tau1 = tau1, tau = tau, wmat = w, 
        cmat = cmat, vmat = vmat)
    ans
}

wald <- function(est, varcov, amat, true, n) {
    true = as.matrix(true)
    est = as.matrix(est)
    amat = as.matrix(amat)
    p = dim(est)[1] - 1
    q = dim(amat)[1]
    temp1 = as.matrix(amat %*% est - true)
    temp2 = as.matrix(amat %*% varcov %*% t(amat))
    T2 = t(temp1) %*% solve(temp2) %*% temp1
    T2 = T2/q
    pvalue = 1 - pf(T2, q, n - p - 1)
    c(T2, pvalue)
}

wilcoxonpseudo <- function(x, y, delta = 0.8, param = 2) {
    x = as.matrix(x)
    n = length(x[, 1])
    p = length(x[1, ])
    one = matrix(rep(1, n), ncol = 1)
    x = x - (one %*% t(one)/n) %*% x
    tempw = wwest(x, y, "WIL")
    residw = tempw$tmp1$residuals
    fitw = y - residw
    arr = order(residw)
    jr = rep(0, n)
    for (i in 1:n) {
        jr[arr[i]] = i
    }
    sc = sqrt(12) * ((jr/(n + 1)) - 0.5)
    zeta = sqrt((n - p - 1)/sum(sc^2))
    tau = wilcoxontau(residw, p, delta, param)
    wilcoxonpseudo = fitw + tau * zeta * sc
    wilcoxonpseudo
}

wilcoxontau.ww <- function(resd, p, delta = if ((length(resd)/p) > 5) 0.8 else 0.95, 
    param = 2) {
    eps <- 1e-06
    n <- length(resd)
    temp <- pairup(resd, type="less")
    dresd <- sort(abs(temp[, 1] - temp[, 2]))
    dresd = dresd[(p + 1):choose(n, 2)]
    tdeltan <- quantile(dresd, delta)/sqrt(n)
    w <- rep(0, length(dresd))
    w[dresd <= tdeltan] <- 1
    cn <- 2/(n * (n - 1))
    scores = sqrt(12) * ((1:n)/(n + 1) - 0.5)
    mn = mean(scores)
    con = sqrt(sum((scores - mn)^2)/(n + 1))
    scores = (scores - mn)/con
    dn = scores[n] - scores[1]
    wilcoxontau <- sqrt(n/(n - p - 1)) * ((2 * tdeltan)/(dn * 
        sum(w) * cn))
    
    w <- rep(0, n)
    stan <- (resd - median(resd))/mad(resd)
    w[abs(stan) < param] <- 1
    hubcor <- sum(w)/n
    if (hubcor < eps) {
        hubcor <- eps
    }
    fincor <- 1 + (((p + 1)/n) * ((1 - hubcor)/hubcor))
    wilcoxontau <- fincor * wilcoxontau
    names(wilcoxontau) <- NULL
    wilcoxontau
}

wildisp <- function(resid) {
    n = length(resid)
    sresid = sort(resid)
    scores = sqrt(12) * ((1:n)/(n + 1) - 0.5)
    mn = mean(scores)
    con = sqrt(sum((scores - mn)^2)/(n + 1))
    scores = (scores - mn)/con
    sum(scores * sresid)
}

wilwts <- function(xmat) {
    xmat = as.matrix(xmat)
    n = dim(xmat)[1]
    ans = rep(1, n * (n - 1)/2)
    ans
}

wts <- function(xmat, y, type = "WIL", percent = 0.95, k = 2, robdis2 = if (type != 
    "WIL") mycov.rob(as.matrix(xmat), method = "mcd")$robdis2 else NULL, 
    intest = if (type == "HBR" | type == "BL") myltsreg(xmat, 
        y)$coef else NULL) {
    xmat = as.matrix(xmat)
    y = as.matrix(y)
    switch(type, WIL = wilwts(xmat), THEIL = theilwts(xmat), 
        GR = grwts(xmat, robdis2, percent, k), HBR = hbrwts(xmat, 
            y, robdis2, percent, intest), BL = blwts(xmat, y, 
            robdis2, percent, k, intest), stop("wts:  TYPE should be WIL, THEIL, GR, HBR or BL"))
}

wwest <- function(x, y, bij = "WIL", center = F, print.tbl = T) {
    if (is.character(bij)) {
        type = bij
        bij = switch(bij, WIL = wilwts(x), THEIL = theilwts(x), 
            GR = grwts(x), HBR = hbrwts(x, y), BL = blwts(x, 
                y), stop("wwest:  The weight type should be WIL, THEIL, GR, HBR, or BL"))
    }
    else {
        type = "GR"
    }
    tmp1 = wwfit(x, y, bij, center)
    n = length(y)
    p = length(tmp1$coef) - 1
    ans = cbind(tmp1$coef)
    tmp2 = switch(type, WIL = varcov.gr(x, tmp1$weights, tmp1$residuals), 
        THEIL = varcov.gr(x, tmp1$weights, tmp1$residuals), GR = varcov.gr(x, 
            tmp1$weights, tmp1$residuals), HBR = varcov.hbr(x, 
            tmp1$weights, tmp1$residuals), BL = varcov.hbr(x, 
            tmp1$weights, tmp1$residuals))
    bb <- diag(tmp2$varcov)
    bb[bb < 0] <- 0
    ans = cbind(ans, sqrt(bb))
    ans = cbind(ans, ans[, 1]/ans[, 2])
    ans = cbind(ans, 2 * pt(abs(ans[, 3]), n - p - 1, lower.tail = FALSE))
    ans = round(ans, 4)
    dimnames(ans) = list(paste("BETA", 0:p, sep = ""), c("EST", 
        "SE", "TVAL", "PVAL"))
    if (print.tbl) {
        tmp3 = wald(tmp1$coef, tmp2$varcov, amat = cbind(rep(0, 
            p), diag(p)), true = rep(0, p), n = n)
        BETA = ""
        for (i in 1:p) {
            BETA = paste(BETA, "BETA", i, "=", sep = "")
        }
        cat("\n")
        cat(paste("Wald Test of H0: ", BETA, "0\n", sep = ""))
        cat(paste("TS:", round(tmp3[1], 4), "PVAL:", round(tmp3[2], 
            4), "\n"))
        cat("\n")
        if (type == "WIL") {
            tmp4 = regrtest(x, y, print.tbl = F)
            cat(paste("Drop Test of H0: ", BETA, "0\n", sep = ""))
            cat(paste("TS:", round(tmp4$fr, 4), "PVAL:", round(tmp4$pval, 
                4), "\n"))
            cat("\n")
        }
        prmatrix(ans, na.print = "")
        repeat {
            cat("\n")
            cat("Would you like to see residual plots (y/n)?", 
                "\n")
            yn = as.character(readline())
            if (yn == "y" | yn == "Y" | yn == "yes") {
                studres = switch(type, WIL = studres.gr(x, tmp1$weights, 
                  tmp1$residuals), THEIL = studres.gr(x, tmp1$weights, 
                  tmp1$residuals), GR = studres.gr(x, tmp1$weights, 
                  tmp1$residuals), HBR = studres.hbr(x, tmp1$weights, 
                  tmp1$residuals), BL = studres.hbr(x, tmp1$weights, 
                  tmp1$residuals))
                yhat = y - tmp1$residuals
                par(mfrow = c(2, 2))
                plot(yhat, tmp1$residuals, xlab = "Fit", ylab = "Residual", 
                  main = "Residuals vs. Fits")
                hist(tmp1$residuals, freq = FALSE, main = "Histogram of Residuals", 
                  xlab = "Residual")
                plot(studres, xlab = "Case", ylab = "Studentized Residual", 
                  main = "Case Plot of\nStudentized Residuals")
                abline(h = c(-2, 2))
                qqnorm(tmp1$residuals, main = "Normal Q-Q Plot of Residuals")
                qqline(tmp1$residuals)
                break
            }
            if (yn == "n" | yn == "N" | yn == "no") 
                break
        }
    }
    invisible(list(tmp1 = tmp1, tmp2 = tmp2, ans = ans))
}

#' @importFrom quantreg rq.fit.br
#' @importFrom quantreg rq.fit.fnb
wwfit <- function(x, y, bij = wilwts(as.matrix(x)), center = F) {
    x = as.matrix(x)
    n = dim(x)[1]
    p = dim(x)[2]
    if (center) {
        xbar = apply(x, 2, mean)
        x = apply(x, 2, function(x) {
            x - mean(x)
        })
    }
    ypairs = pairup.ww(y)
    yi = ypairs[, 1]
    yj = ypairs[, 2]
    xpairs = pairup.ww(x)
    xi = xpairs[, 1:p]
    xj = xpairs[, (p + 1):(2 * p)]
    newy = bij * (yi - yj)
    newx = bij * (xi - xj)
    if (((n * (n - 1)/2) < 5000) & (p < 20)) 
        tmp = rq.fit.br(newx, newy, tau = 0.5, ci = F)
    else tmp = rq.fit.fnb(cbind(newx), cbind(newy), tau = 0.5)
    est = tmp$coefficients
    int = median(y - (x %*% as.matrix(est)))
    resid = as.vector(y - int - (x %*% as.matrix(est)))
    if (center) {
        int = int - (t(as.matrix(est)) %*% as.matrix(xbar))
    }
    wts = matrix(0, n, n)
    index = pairup(1:n)
    wts[index] = bij
    wts[index[, 2:1]] = bij
    ans = list(coefficients = c(int, est), residuals = resid, 
        weights = wts)
    ans
}
herbps10/rlme documentation built on Jan. 9, 2018, 10:45 p.m.