sigex.par2psi <- function(param,mdl)
{
##########################################################################
#
# sigex.par2psi
# Copyright (C) 2017 Tucker McElroy
#
# This program is free software: you can redistribute it and/or modify
# it under the terms of the GNU General Public License as published by
# the Free Software Foundation, either version 3 of the License, or
# (at your option) any later version.
#
# This program is distributed in the hope that it will be useful,
# but WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
# GNU General Public License for more details.
#
# You should have received a copy of the GNU General Public License
# along with this program. If not, see <https://www.gnu.org/licenses/>.
#
############################################################################
################# Documentation #####################################
#
# Purpose: transform param to psi
# Background:
# param is the name for the model parameters entered into
# a list object with a more intuitive structure, whereas
# psi refers to a vector of real numbers containing all
# hyper-parameters (i.e., reals mapped bijectively to the parameter manifold)
# Notes: this is a functional inverse to sigex.psi2par
# Format: psi has three portions, psi = [xi,zeta,beta]
# xi ~ all hyper-parameters for covariance matrices
# zeta ~ all hyper-parameters for t.s. models
# beta ~ all regression parameters
# Inputs:
# param: see background. Must have form specified by mdl
# mdl: the specified sigex model, a list object
# Outputs:
# psi: see background.
# Requires: sigex.par2zeta
#
####################################################################
xi <- NULL
zeta <- NULL
N <- dim(as.matrix(param[[1]][[1]]))[1]
for(i in 1:length(mdl[[3]]))
{
mdlType <- mdl[[2]][[i]]
delta <- mdl[[3]][[i]]
vrank <- mdl[[1]][[i]]
L.mat <- param[[1]][[i]]
D.mat <- param[[2]][[i]]
new.xi <- c(L.mat[lower.tri(diag(N))[,as.vector(vrank)]],D.mat)
xi <- c(xi,new.xi)
new.zeta <- sigex.par2zeta(param[[3]][[i]],mdlType)
zeta <- c(zeta,new.zeta)
}
beta <- param[[4]]
psi <- c(xi,zeta,beta)
return(psi)
}
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