R/utilities.R

In jstriaukas/midasml: Estimation and Prediction Methods for High-Dimensional Mixed Frequency Time Series Data

#################################################################
## These functions are either minor modifications or direct
##   copies from the glmnet package:
## Jerome Friedman, Trevor Hastie, Robert Tibshirani (2010).
## Regularization Paths for Generalized Linear Models via
##   Coordinate Descent.
## Journal of Statistical Software, 33(1), 1-22.
## URL http://www.jstatsoft.org/v33/i01/.
## The reason they are copied here is because they are
## internal functions and hence are not exported into 
## the global environment.
## The original comments and header are preserved.
#################################################################

err <- function(n, maxit, pmax) {
  if (n == 0)  msg <- ""
  if (n > 0) {
    if (n < 7777) 
      msg <- "Memory allocation error"
    if (n == 7777) 
      msg <- "All used predictors have zero variance"
    if (n == 10000) 
      msg <- "All penalty factors are <= 0"
    n <- 1
    msg <- paste("in fortran code -", msg)
  }
  if (n < 0) {
    if (n > -10000) 
      msg <- paste("Convergence for ", -n, "th lambda value not reached after maxit=", 
            maxit, " iterations; solutions for larger lambdas returned", 
            sep = "")
    if (n < -10000) 
      msg <- paste("Number of nonzero coefficients along the path exceeds pmax=", 
                    pmax, " at ", -n - 10000, "th lambda value; solutions for larger lambdas returned", sep = "")
    n <- -1
    msg <- paste("from fortran code -", msg)
  }
  list(n = n, msg = msg)
}

error.bars <- function(x, upper, lower, width = 0.02, ...) {
  xlim <- range(x)
  barw <- diff(xlim) * width
  segments(x, upper, x, lower, ...)
  segments(x - barw, upper, x + barw, upper, ...)
  segments(x - barw, lower, x + barw, lower, ...)
  range(upper, lower)
}

getmin <- function(lambda, cvm, cvsd) {
  cvmin <- min(cvm)
  idmin <- cvm <= cvmin
  lambda.min <- max(lambda[idmin])
  idmin <- match(lambda.min, lambda)
  semin <- (cvm + cvsd)[idmin]
  idmin <- cvm <= semin
  lambda.1se <- max(lambda[idmin])
  list(lambda.min = lambda.min, lambda.1se = lambda.1se)
}

getoutput <- function(fit, maxit, pmax, nvars, vnames) {
  nalam <- fit$nalam
  nbeta <- fit$nbeta[seq(nalam)]
  nbetamax <- max(nbeta)
  lam <- fit$alam[seq(nalam)]
  stepnames <- paste("s", seq(nalam) - 1, sep = "")
  errmsg <- err(fit$jerr, maxit, pmax)
  switch(paste(errmsg$n), 
         `1` = stop(errmsg$msg, call. = FALSE), 
         `-1` = print(errmsg$msg, call. = FALSE))
  dd <- c(nvars, nalam)
  if (nbetamax > 0) {
    beta <- matrix(fit$beta[seq(pmax * nalam)], pmax, nalam)[seq(nbetamax), , drop = FALSE]
    df.beta <- apply(abs(beta) > 0, 2, sum)
    ja <- fit$ibeta[seq(nbetamax)]
    oja <- order(ja)
    ja <- rep(ja[oja], nalam)
    ibeta <- cumsum(c(1, rep(nbetamax, nalam)))
    beta <- new("dgCMatrix", Dim = dd, Dimnames = list(vnames, stepnames), 
                x = as.vector(beta[oja, ]), p = as.integer(ibeta - 1), 
                i = as.integer(ja - 1))
  } else {
      beta <- zeromat(nvars, nalam, vnames, stepnames)
      df.beta <- rep(0, nalam)
  }
  b0 <- fit$b0
  if (!is.null(b0)) {
    b0 <- b0[seq(nalam)]
    names(b0) <- stepnames
  }
  a0 <- fit$a0
  nf <- fit$nf
  if (!is.null(a0)) {
    a0 <- matrix(a0, nrow = nf, ncol = nalam)
    colnames(a0) <- stepnames
    rownames(a0) <- paste("fe", seq(nf) , sep = "")
  }
  if (!is.null(fit$theta)) {
    ntheta <- fit$ntheta[seq(nalam)]
    nthetamax <- max(ntheta)
    if (nthetamax > 0) {
      theta <- matrix(fit$theta[seq(pmax * nalam)], pmax, nalam)[seq(nthetamax), 
          , drop = FALSE]
      df.theta <- apply(abs(theta) > 0, 2, sum)
      ja <- fit$itheta[seq(nthetamax)]
      oja <- order(ja)
      ja <- rep(ja[oja], nalam)
      itheta <- cumsum(c(1, rep(nthetamax, nalam)))
      theta <- new("dgCMatrix", Dim = dd, Dimnames = list(vnames, stepnames), 
          x = as.vector(theta[oja, ]), p = as.integer(itheta - 1), 
          i = as.integer(ja - 1))
    } else {
        theta <- zeromat(nvars, nalam, vnames, stepnames)
        df.theta <- rep(0, nalam)
    }
    t0 <- fit$t0
    if (!is.null(t0)) {
    t0 <- t0[seq(nalam)]
    names(t0) <- stepnames
    }
    return(list(b0 = b0, a0 = a0, beta = beta, t0 = t0, theta = theta, 
           df.beta = df.beta, df.theta = df.theta, 
           dim = dd, lambda = lam))
  }
  return(list(b0 = b0, a0 = a0, beta = beta, df = df.beta, dim = dd, lambda = lam, nf = nf))
}

lambda.interp <- function(lambda, s) {
  ### lambda is the index sequence that is produced by the model;
  ### s is the new vector at which evaluations are required.
  ### the value is a vector of left and right indices, and a
  #   vector of fractions.
  ### the new values are interpolated bewteen the two using
  #   the fraction
  ### Note: lambda decreases. you take:
  ### sfrac*left+(1-sfrac)*right
  if (length(lambda) == 1) {
    nums <- length(s)
    left <- rep(1, nums)
    right <- left
    sfrac <- rep(1, nums)
  } else {
      s[s > max(lambda)] <- max(lambda)
      s[s < min(lambda)] <- min(lambda)
      k <- length(lambda)
      sfrac <- (lambda[1] - s)/(lambda[1] - lambda[k])
      lambda <- (lambda[1] - lambda)/(lambda[1] - lambda[k])
      coord <- approx(lambda, seq(lambda), sfrac)$y
      left <- floor(coord)
      right <- ceiling(coord)
      sfrac <- (sfrac - lambda[right])/(lambda[left] - lambda[right])
      sfrac[left == right] <- 1
  }
  list(left = left, right = right, frac = sfrac)
}

lamfix <- function(lam) {
  llam <- log(lam)
  lam[1] <- exp(2 * llam[2] - llam[3])
  lam
}

nonzero <- function(beta, bystep = FALSE) {
  ns <- ncol(beta)
  ##beta should be in 'dgCMatrix' format
  if (nrow(beta) == 1) {
    if (bystep) 
      apply(beta, 2, function(x) if (abs(x) > 0) 
          1 else NULL) else {
      if (any(abs(beta) > 0)) 
          1 else NULL
    }
  } else {
      beta <- t(beta)
      actvars <- diff(beta@p)
      actvars <- seq(actvars)[actvars > 0]
      if (bystep) {
        nzel <- function(x, actvars) if (any(x)) 
            actvars[x] else NULL
        beta <- abs(as.matrix(beta[, actvars])) > 0
        if (ns == 1) 
          apply(beta, 2, nzel, actvars) else apply(beta, 1, nzel, actvars)
      } else actvars
  }
}

zeromat <- function(nvars, nalam, vnames, stepnames) {
  ca <- rep(0, nalam)
  ia <- seq(nalam + 1)
  ja <- rep(1, nalam)
  dd <- c(nvars, nalam)
  new("dgCMatrix", Dim = dd, Dimnames = list(vnames, stepnames), 
      x = as.vector(ca), p = as.integer(ia - 1), i = as.integer(ja - 1))
}