#' Calculate standardized lagged effects matrix and accompanying matrices
#'
#' This function calculates the (vectorized) standardized lagged effects matrix, their covariance matrix, and corresponding elliptical 95\% confidence interval (CI). There is also an interactive web application on my website: Standardizing and/or transforming lagged regression estimates (\url{https://www.uu.nl/staff/RMKuiper/Websites\%20\%2F\%20Shiny\%20apps}).
#'
#' @param N Optional. Number of persons (panel data) or number of measurement occasions - 1 (time series data). This is used in determining the covariance matrix of the vectorized standardized lagged effects. By default, N = NULL.
#' @param Phi (Un)standardized lagged effects matrix. If necessary, it is standardized and for the standardized and vectorized Phi the covariance matrix is determined.
#' It also takes a fitted object from the classes "varest" (from the VAR() function in vars package) and "ctsemFit" (from the ctFit() function in the ctsem package); see example below. From such an object, the Phi, SigmaVAR, and Gamma matrices are calculated/extracted.
#' @param SigmaVAR Residual covariance matrix of the first-order discrete-time vector autoregressive (DT-VAR(1)) model.
#' @param Gamma Optional (either SigmaVAR or Gamma). Stationary covariance matrix, that is, the contemporaneous covariance matrix of the data.
#' Note that if Phi and SigmaVAR are known, Gamma can be calculated; hence, only SigmaVAR or Gamma is needed as input (if only Gamma, then use 'Gamma = Gamma' or set SigmaVAR to NULL, see examples below).
#' @param alpha Optional. The alpha level in determining the (1-alpha)*100\% CI. By default, alpha is set to 0.05, resulting in a 95\% CI.
#'
#' @return This function returns the vectorized standardized lagged effects and - if N is part of input - their covariance matrix and the corresponding elliptical/multivariate 95\% CI.
#' @importFrom expm expm
#' @export
#' @examples
#'
#' # library(CTmeta)
#'
#' ## Example 1 ##
#'
#' # Input for examples below
#' N <- 643
#' Phi <- myPhi[1:2,1:2]
#' #Phi <- matrix(c(0.25, 0.10,
#' # 0.20, 0.36), byrow=T, ncol = 2)
#' q <- dim(Phi)[1]
#' SigmaVAR <- diag(q) # for ease
#' # Calculate the Gamma corresponding to Phi and SigmaVAR - used in the second example
#' Gamma <- Gamma.fromVAR(Phi, SigmaVAR) # ?Gamma.fromVAR
#'
#' #Example where SigmaVAR is known and Gamma unknown
#' StandPhi(N, Phi, SigmaVAR)
#'
#' #Example where Gamma is known and SigmaVAR unknown
#' StandPhi(N, Phi, NULL, Gamma)
#' # or
#' StandPhi(N, Phi, Gamma = Gamma)
#'
#'
#' ## Example 2: input from fitted object of class "varest" ##
#' #
#' N <- 643
#' data <- myData
#' if (!require("vars")) install.packages("vars")
#' library(vars)
#' out_VAR <- VAR(data, p = 1)
#' StandPhi(N, out_VAR)
#'
#'
#' ## Example 3: obtain only standardized lagged effects ##
#' Phi <- myPhi[1:2,1:2]
#' q <- dim(Phi)[1]
#' SigmaVAR <- diag(q) # for ease
#' #
#' StandPhi(N = NULL, Phi, SigmaVAR)
#' # or
#' StandPhi(Phi = Phi, SigmaVAR = SigmaVAR)
#'
StandPhi <- function(N = NULL, Phi, SigmaVAR = NULL, Gamma = NULL, alpha = 0.05) {
# Checks:
if(!is.null(N) & length(N) != 1){
ErrorMessage <- (paste0("The argument N should be a scalar, that is, one number, that is, a vector with one element. Currently, N = ", N))
return(ErrorMessage)
stop(ErrorMessage)
}
#
if(length(alpha) != 1){
ErrorMessage <- (paste0("The argument alpha should be a scalar, that is, one number, that is, a vector with one element. Currently, alpha = ", alpha))
return(ErrorMessage)
stop(ErrorMessage)
}
#
# Check on Phi
if(any(class(Phi) == "varest")){
SigmaVAR <- cov(resid(Phi))
Phi <- Acoef(Phi)[[1]]
} else if(any(class(Phi) == "ctsemFit")){
B <- -1 * summary(Phi)$DRIFT
Sigma <- summary(Phi)$DIFFUSION
#
VarEst <- VARparam(DeltaT, -B, Sigma)
Phi <- VarEst$Phi
SigmaVAR <- VarEst$SigmaVAR
} else{
#
if(length(Phi) != 1){
Check_Phi(Phi)
q <- dim(Phi)[1]
} else{
q <- 1
}
#
# Check on SigmaVAR and Gamma
if(is.null(SigmaVAR) & is.null(Gamma)){ # Both SigmaVAR and Gamma unknown
ErrorMessage <- (paste0("Both SigmaVAR and Gamma are NULL; either one (or both) should be part of the input. In case of first matrix, specify 'SigmaVAR = SigmaVAR'."))
return(ErrorMessage)
stop(ErrorMessage)
}else if(!is.null(SigmaVAR)){ # SigmaVAR known
# Check on SigmaVAR
Check_SigmaVAR(SigmaVAR, q)
}else if(!is.null(Gamma)){ # Gamma known
# Checks on Gamma
Check_Gamma(Gamma, q)
}
}
#
if(length(Phi) == 1){
q <- 1
}else{
q <- dim(Phi)[1]
}
# Calculate Gamma and Sigma - if necessary
if(!is.null(Gamma)){ # Gamma known
if(is.null(SigmaVAR)){ # SigmaVAR unknown, calculate it
# Calculate SigmaVAR
if(q != 1){
SigmaVAR <- Gamma - Phi %*% Gamma %*% t(Phi)
}else{
SigmaVAR <- Gamma - Phi * Gamma * Phi
}
}
}else if(!is.null(SigmaVAR)){ # Gamma unknown and SigmaVAR known, calculate Gamma from SigmaVAR and Phi
# Calculate Gamma
Gamma <- Gamma.fromVAR(Phi, SigmaVAR)
}
if(q > 1){
Sxy <- sqrt(diag(diag(Gamma)))
Gamma_s <- solve(Sxy) %*% Gamma %*% solve(Sxy)
Phi_s <- solve(Sxy) %*% Phi %*% Sxy
SigmaVAR_s <- solve(Sxy) %*% SigmaVAR %*% solve(Sxy)
#
vecPhi <- as.vector(t(Phi_s))
}else{
Sxy <- sqrt(diag(diag(Gamma)))
Gamma_s <- solve(Sxy) * Gamma * solve(Sxy)
Phi_s <- solve(Sxy) * Phi * Sxy
SigmaVAR_s <- solve(Sxy) * SigmaVAR * solve(Sxy)
#
vechi <- Phi_s
}
if(!is.null(N)){
CovMx <- kronecker(SigmaVAR_s, solve(Gamma_s)) / (N-q)
# Determine points on 95% LL contour
mu_Phi <- vecPhi
CovMx_Phi <- CovMx
eigenCovMx <- eigen(CovMx_Phi)
lambda <- eigenCovMx$val
E <- eigenCovMx$vec
#df1F <- q*q*qf(p=alpha, df1=q*q, df2=(N-q*q), lower.tail=FALSE)
Chi2 <- qchisq(p=alpha, df=(q*q), lower.tail=FALSE) # for large N, df1F goes to Chi2
LB_vecPhi <- matrix(NA, nrow=q*q, ncol =q*q)
UB_vecPhi <- matrix(NA, nrow=q*q, ncol =q*q)
LL <- matrix(NA, nrow=q*q, ncol=2)
teller = 0
for(row in 1:q){
for(column in 1:q){
teller = teller + 1
#LB_vecPhi[teller,] <- matrix(mu_Phi - sqrt(df1F * lambda[teller]) * E[,teller], nrow = 1)
#UB_vecPhi[teller,] <- matrix(mu_Phi + sqrt(df1F * lambda[teller]) * E[,teller], nrow = 1)
LB_vecPhi[teller,] <- matrix(mu_Phi - sqrt(Chi2 * lambda[teller]) * E[,teller], nrow = 1)
UB_vecPhi[teller,] <- matrix(mu_Phi + sqrt(Chi2 * lambda[teller]) * E[,teller], nrow = 1)
LL[teller,1] <- t(LB_vecPhi[teller,]-mu_Phi) %*% solve(CovMx_Phi) %*% (LB_vecPhi[teller,]-mu_Phi)
LL[teller,2] <- t(UB_vecPhi[teller,]-mu_Phi) %*% solve(CovMx_Phi) %*% (UB_vecPhi[teller,]-mu_Phi)
}
}
minPhi <- apply(rbind(LB_vecPhi, UB_vecPhi), 2, min)
maxPhi <- apply(rbind(LB_vecPhi, UB_vecPhi), 2, max)
multiCI <- rbind(minPhi, maxPhi)
rownames(multiCI) <- c("LB", "UB")
sub = NULL
for(i in 1:q){
sub = c(sub, paste0("Phi", i, 1:q, sep=""))
}
colnames(multiCI) <- sub
}
############################################################################################################
if(!is.null(N)){
final <- list(Phi_DeltaT = Phi, StandPhi_DeltaT = Phi_s,
vecStandPhi_DeltaT = vecPhi, CovMx_vecStandPhi_DeltaT = CovMx, multiCI_vecStandPhi_DeltaT = multiCI,
SigmaVAR_DeltaT = SigmaVAR, standSigmaVAR_DeltaT = SigmaVAR_s,
Gamma = Gamma, standGamma = Gamma_s)
}else{
final <- list(Phi_DeltaT = Phi, StandPhi_DeltaT = Phi_s,
SigmaVAR_DeltaT = SigmaVAR, standSigmaVAR_DeltaT = SigmaVAR_s,
Gamma = Gamma, standGamma = Gamma_s)
}
return(final)
}
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