em_mixedgc_ppca: EM algorithm to fit low rank Gaussian copula

In udellgroup/mixedgcImp: Missing value imputation for mixed data through Gaussian copula

EM algorithm to fit low rank Gaussian copula

Description

fit the Gaussian copula model from incomplete mixed data

Usage

em_mixedgc_ppca(
  rank,
  Z,
  Lower,
  Upper,
  d_index,
  dcat_index = NULL,
  cat_input = NULL,
  start = NULL,
  trunc_method = "Iterative",
  n_sample = 5000,
  n_update = 1,
  maxit = 50,
  eps = 0.01,
  verbose = FALSE,
  runiter = 0
)

Arguments

rank	the number of latent factors
Z	Transformed latent matrix
Lower	Lower boundary of truncated intervals
Upper	Upper boundary of truncated intervals
d_index	Boolean vector with TRUE at ordinal dimensions
dcat_index	Boolean vector with TRUE at categorical dimensions
cat_input	Input for categorical dimensions
start	Initial value of copula correlation
trunc_method	Method for evaluating truncated normal moments: 'Iterative' or 'Sampling'.
n_sample	Number of MC samples, only used when trunc_method is 'Sampling'
n_update	The number of updates, only used when trunc_method is 'Iterative'
maxit	Maximum number of iterations
eps	Convergence threshold
verbose	Whether to print progress information
runiter	When set as a positive integer, the algorithm will run the specified number of iterations exactly.

Value

A list containing fitted copula parameters, the likelihood (objective function), Z matrix with updated ordinal entries and the conditional variance corresponding to the observed Z matrix.

W

Fitted latent low rank subspace matrix

sigma

Fitted noise variance

loglik

The log-likelihood achieved during iteration.

Z

Incomplete Z with approximated observed ordinal entries

C

The conditional variance corresponding to the observed Z matrix. Useful for quantifying imputation uncertainty.

Author(s)

Yuxuan Zhao, [e-mail] and Madeleine Udell, [e-mail]

References

Zhao, Y., & Udell, M. (2020). Matrix Completion with Quantified Uncertainty through Low Rank Gaussian Copula. arXiv preprint arXiv:2006.10829.

udellgroup/mixedgcImp documentation built on Jan. 25, 2023, 7:55 p.m.