R/ml_logistic_linear.R
In vandomed/meuc: Measurement Error and Unmeasured Confounding
#' Maximum Likelihood with Logistic Regression Disease Model and Linear
#' Regression Measurement Error Model
#'
#' Calculates maximum likelihood estimates for measurement error/unmeasured
#' confounding scenario where true disease model is logistic regression and
#' measurement error model is linear regression. Requires validation data.
#'
#' The true disease model is:
#'
#' logit[P(Y = 1)] = beta_0 + beta_z Z + \strong{beta_c}^T \strong{C} +
#' \strong{beta_b}^T \strong{B}
#'
#' The measurement error model is:
#'
#' Z = alpha_0 + \strong{alpha_d}^T \strong{D} + \strong{alpha_c}^T \strong{C} +
#' d, d ~ N(0, sigsq_d)
#'
#' There should be main study data with (Y, \strong{D}, \strong{C}, \strong{B})
#' as well as internal validation data with
#' (Y, Z, \strong{D}, \strong{C}, \strong{B}) and/or external validation data
#' with (Z, \strong{D}, \strong{C}).
#'
#'
#' @inheritParams ml_linear_linear
#' @param approx_integral Logical value for whether to use the probit
#' approximation for the logistic-normal integral, to avoid numerically
#' integrating \code{Z}'s out of the likelihood function.
#' @param integrate_tol Numeric value specifying \code{tol} input to
#' \code{\link[cubature]{hcubature}} for numerical integration.
#' @param integrate_tol_hessian Same as \code{integrate_tol}, but for use when
#' estimating the Hessian matrix only. Sometimes using a smaller value than for
#' likelihood maximization helps prevent cases where the inverse Hessian is not
#' positive definite.
#' @param fix_posdef Logical value for whether to repeatedly reduce
#' \code{integrate_tol_hessian} by factor of 5 and re-estimate Hessian to try
#' to avoid non-positive definite variance-covariance matrix.
#'
#'
#' @inherit ml_linear_linear return
#'
#'
#' @export
# # Data for testing
# n.m <- 1000
# n.e <- 1000
# n.i <- 1000
# n <- n.m + n.e + n.i
#
# alphas <- c(0, 0.25, 0.25)
# sigsq_d <- 0.5
#
# betas <- c(0, 0.25, 0.1, 0.05)
#
# d <- rnorm(n)
# c <- rnorm(n)
# b <- rnorm(n)
# z <- alphas[1] + alphas[2] * d + alphas[3] * c + rnorm(n, sd = sqrt(sigsq_d))
# y <- rbinom(n, size = 1,
# prob = (1 + exp(-betas[1] - betas[2] * z - betas[3] * c -
# betas[4] * b))^(-1))
#
# all_data <- data.frame(y = y, z = z, c = c, b = b, d = d)
# all_data[1: n.e, 1] <- NA
# all_data[(n.e + 1): (n.e + n.m), 2] <- NA
# main <- internal <- external <- NULL
# y_var <- "y"
# z_var <- "z"
# d_vars <- "d"
# c_vars <- "c"
# b_vars <- "b"
# tdm_covariates <- mem_covariates <- NULL
# estimate_var <- TRUE
#
# fit <- ml_logistic_linear(all_data = all_data,
# y_var = "y",
# z_var = "z",
# d_vars = "d",
# c_vars = "c",
# b_vars = "b")
ml_logistic_linear <- function(all_data = NULL,
main = NULL,
internal = NULL,
external = NULL,
y_var,
z_var,
d_vars = NULL,
c_vars = NULL,
b_vars = NULL,
tdm_covariates = NULL,
mem_covariates = NULL,
approx_integral = TRUE,
integrate_tol = 1e-8,
integrate_tol_hessian = integrate_tol,
estimate_var = TRUE,
fix_posdef = FALSE,
...) {
# If tdm.covariates and mem.covariates specified, figure out d.vars, c.vars,
# and b.vars
if (! is.null(tdm_covariates) & ! is.null(mem_covariates)) {
tdm_covariates <- setdiff(tdm_covariates, z_var)
d_vars <- setdiff(mem_covariates, tdm_covariates)
c_vars <- intersect(tdm_covariates, mem_covariates)
b_vars <- setdiff(tdm_covariates, mem_covariates)
}
# Get dimension of D, C, and B
kd <- length(d_vars)
kc <- length(c_vars)
kb <- length(b_vars)
# Get covariate lists
dcb <- c(d_vars, c_vars, b_vars)
zdcb <- c(z_var, d_vars, c_vars, b_vars)
zdc <- c(z_var, d_vars, c_vars)
# Subset various data types
if (! is.null(all_data)) {
main <- all_data[complete.cases(all_data[, c(y_var, dcb)]) & is.na(all_data[, z_var]), ]
internal <- all_data[complete.cases(all_data[, c(y_var, zdcb)]), ]
external <- all_data[is.na(all_data[, y_var]) & complete.cases(all_data[, zdc]), ]
}
n.m <- ifelse(is.null(main), 0, nrow(main))
some.m <- n.m > 0
if (some.m) {
y.m <- main[, y_var]
onecb.m <- as.matrix(cbind(rep(1, n.m), main[, c(c_vars, b_vars)]))
onedc.m <- as.matrix(cbind(rep(1, n.m), main[, c(d_vars, c_vars)]))
}
n.i <- ifelse(is.null(internal), 0, nrow(internal))
some.i <- n.i > 0
if (some.i) {
y.i <- internal[, y_var]
z.i <- internal[, z_var]
onezcb.i <- as.matrix(cbind(rep(1, n.i), internal[, c(z_var, c_vars, b_vars)]))
onedc.i <- as.matrix(cbind(rep(1, n.i), internal[, c(d_vars, c_vars)]))
}
n.e <- ifelse(is.null(external), 0, nrow(external))
some.e <- n.e > 0
if (some.e) {
z.e <- external[, z_var]
onedc.e <- as.matrix(cbind(rep(1, n.e), external[, c(d_vars, c_vars)]))
}
# Get number of betas and alphas
n.betas <- 2 + kc + kb
n.alphas <- 1 + kd + kc
# Get indices for parameters being estimated and create labels
loc.betas <- 1: n.betas
beta.labels <- paste("beta", c("0", z_var, c_vars, b_vars), sep = "_")
loc.alphas <- (n.betas + 1): (n.betas + n.alphas)
alpha.labels <- paste("alpha", c("0", d_vars, c_vars), sep = "_")
loc.sigsq_d <- n.betas + n.alphas + 1
theta.labels <- c(beta.labels, alpha.labels, "sigsq_d")
# Likelihood function for full ML
if (some.m && ! approx_integral) {
lf.full <- function(y,
z,
mu_z.dc,
sigsq_z.dc,
beta_z,
cb.term) {
z <- matrix(z, nrow = 1)
dens <- apply(z, 2, function(z) {
# Transformation
s <- z / (1 - z^2)
# P(Y|Z,C,B)
p_y.zcb <- (1 + exp(-cb.term - beta_z * s))^(-1)
# f(Y,Z|D,C,B) = P(Y=y|Z,C,B) f(Z|D,C)
dbinom(y,
size = 1,
prob = p_y.zcb) *
dnorm(s,
mean = mu_z.dc,
sd = sqrt(sigsq_z.dc))
})
# Back-transformation
out <- matrix(dens * (1 + z^2) / (1 - z^2)^2, ncol = ncol(z))
return(out)
}
}
# Log-likelihood function
llf <- function(f.theta, estimating.hessian = FALSE) {
# Extract parameters
f.betas <- matrix(f.theta[loc.betas], ncol = 1)
f.beta_z <- f.betas[2]
f.alphas <- matrix(f.theta[loc.alphas], ncol = 1)
f.sigsq_d <- f.theta[loc.sigsq_d]
if (some.m) {
# Likelihood for main study subjects:
# L = \int_z f(Y|Z,C,B) f(Z|D,C) dZ
if (approx_integral) {
# Probit approximation for logistic-normal integral
# E(Z|D,C)
mu_z.dc <- onedc.m %*% f.alphas
t <- (onecb.m %*% f.betas[-2] + f.beta_z * mu_z.dc) /
sqrt(1 + f.sigsq_d * f.beta_z^2 / 1.7^2)
p <- exp(t) / (1 + exp(t))
ll.m <- sum(dbinom(y.m, log = TRUE, size = 1, prob = p))
} else {
# Get integration tolerance
int.tol <- ifelse(estimating.hessian, integrate_tol_hessian, integrate_tol)
# E(Z|D,C)
mu_z.dc <- onedc.m %*% f.alphas
cb.terms <- onecb.m %*% f.betas[-2]
int.vals <- c()
for (ii in 1: n.m) {
# Perform integration
int.ii <- cubature::hcubature(f = lf.full,
tol = int.tol,
lowerLimit = -1,
upperLimit = 1,
vectorInterface = TRUE,
y = y.m[ii],
mu_z.dc = mu_z.dc[ii],
sigsq_z.dc = f.sigsq_d,
beta_z = f.beta_z,
cb.term = cb.terms[ii])
int.vals[ii] <- int.ii$integral
if (int.ii$integral == 0) {
print(paste("Integral is 0 for ii = ", ii, sep = ""))
print(f.theta)
break
}
}
ll.m <- sum(log(int.vals))
}
} else {
ll.m <- 0
}
if (some.i) {
# Likelihood for internal validation subjects:
# L = f(Y|Z,C,B) f(Z|D,C)
ll.i <- sum(
dbinom(y.i, log = TRUE, size = 1,
prob = (1 + exp(-onezcb.i %*% f.betas))^(-1)) +
dnorm(z.i, log = TRUE,
mean = onedc.i %*% f.alphas,
sd = sqrt(f.sigsq_d))
)
} else {
ll.i <- 0
}
if (some.e) {
# Likelihood for external validation subjects:
# L = f(Z|D,C)
ll.e <- sum(
dnorm(z.e, log = TRUE,
mean = onedc.e %*% f.alphas,
sd = sqrt(f.sigsq_d))
)
} else {
ll.e <- 0
}
# Return negative log-likelihood
ll <- ll.m + ll.i + ll.e
return(-ll)
}
# Create list of extra arguments, and assign default starting values and
# lower values if not specified by user
extra.args <- list(...)
if (is.null(extra.args$start)) {
extra.args$start <- c(rep(0.01, n.betas + n.alphas), 1)
}
if (is.null(extra.args$lower)) {
extra.args$lower <- c(rep(-Inf, n.betas + n.alphas), 1e-4)
}
if (is.null(extra.args$control$rel.tol)) {
extra.args$control$rel.tol <- 1e-6
}
if (is.null(extra.args$control$eval.max)) {
extra.args$control$eval.max <- 1000
}
if (is.null(extra.args$control$iter.max)) {
extra.args$control$iter.max <- 750
}
# Obtain ML estimates
ml.max <- do.call(nlminb, c(list(objective = llf), extra.args))
# Create list to return
theta.hat <- ml.max$par
names(theta.hat) <- theta.labels
ret.list <- list(theta.hat = theta.hat)
# If requested, add variance-covariance matrix to ret.list
if (estimate_var) {
# Estimate Hessian
hessian.mat <- pracma::hessian(f = llf, estimating.hessian = TRUE,
x0 = theta.hat)
theta.variance <- try(solve(hessian.mat), silent = TRUE)
if (class(theta.variance) == "try-error" ||
! all(eigen(x = theta.variance, only.values = TRUE)$values > 0)) {
# Repeatedly divide integrate_tol_hessian by 5 and re-try
while (integrate_tol_hessian > 1e-15 & fix_posdef) {
integrate_tol_hessian <- integrate_tol_hessian / 5
hessian.mat <- pracma::hessian(f = llf, estimating.hessian = TRUE,
x0 = theta.hat)
theta.variance <- try(solve(hessian.mat), silent = TRUE)
if (class(theta.variance) != "try-error" &&
all(eigen(x = theta.variance, only.values = TRUE)$values > 0)) {
break
}
}
}
if (class(theta.variance) == "try-error" ||
! all(eigen(x = theta.variance, only.values = TRUE)$values > 0)) {
print(hessian.mat)
message("Estimated Hessian matrix is singular, so variance-covariance matrix cannot be obtained.")
ret.list$theta.var <- NULL
} else {
colnames(theta.variance) <- rownames(theta.variance) <- theta.labels
ret.list$theta.var <- theta.variance
}
}
# # If requested, add variance-covariance matrix to ret.list
# if (estimate_var) {
# hessian.mat <- pracma::hessian(f = llf, estimating.hessian = TRUE,
# x0 = theta.hat)
# theta.variance <- try(solve(hessian.mat), silent = TRUE)
# if (class(theta.variance) == "try-error") {
# message("Estimated Hessian matrix is singular, so variance-covariance matrix cannot be obtained.")
# ret.list$theta.var <- NULL
# } else {
# colnames(theta.variance) <- rownames(theta.variance) <- theta.labels
# ret.list$theta.var <- theta.variance
# }
# }
# Add nlminb object and AIC to ret.list
ret.list$nlminb.object <- ml.max
ret.list$aic <- 2 * (length(theta.hat) + ml.max$objective)
# Return ret.list
return(ret.list)
}
vandomed/meuc documentation built on May 12, 2019, 6:17 p.m.
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#' Maximum Likelihood with Logistic Regression Disease Model and Linear
#' Regression Measurement Error Model
#'
#' Calculates maximum likelihood estimates for measurement error/unmeasured
#' confounding scenario where true disease model is logistic regression and
#' measurement error model is linear regression. Requires validation data.
#'
#' The true disease model is:
#'
#' logit[P(Y = 1)] = beta_0 + beta_z Z + \strong{beta_c}^T \strong{C} +
#' \strong{beta_b}^T \strong{B}
#'
#' The measurement error model is:
#'
#' Z = alpha_0 + \strong{alpha_d}^T \strong{D} + \strong{alpha_c}^T \strong{C} +
#' d, d ~ N(0, sigsq_d)
#'
#' There should be main study data with (Y, \strong{D}, \strong{C}, \strong{B})
#' as well as internal validation data with
#' (Y, Z, \strong{D}, \strong{C}, \strong{B}) and/or external validation data
#' with (Z, \strong{D}, \strong{C}).
#'
#'
#' @inheritParams ml_linear_linear
#' @param approx_integral Logical value for whether to use the probit
#' approximation for the logistic-normal integral, to avoid numerically
#' integrating \code{Z}'s out of the likelihood function.
#' @param integrate_tol Numeric value specifying \code{tol} input to
#' \code{\link[cubature]{hcubature}} for numerical integration.
#' @param integrate_tol_hessian Same as \code{integrate_tol}, but for use when
#' estimating the Hessian matrix only. Sometimes using a smaller value than for
#' likelihood maximization helps prevent cases where the inverse Hessian is not
#' positive definite.
#' @param fix_posdef Logical value for whether to repeatedly reduce
#' \code{integrate_tol_hessian} by factor of 5 and re-estimate Hessian to try
#' to avoid non-positive definite variance-covariance matrix.
#'
#'
#' @inherit ml_linear_linear return
#'
#'
#' @export
# # Data for testing
# n.m <- 1000
# n.e <- 1000
# n.i <- 1000
# n <- n.m + n.e + n.i
#
# alphas <- c(0, 0.25, 0.25)
# sigsq_d <- 0.5
#
# betas <- c(0, 0.25, 0.1, 0.05)
#
# d <- rnorm(n)
# c <- rnorm(n)
# b <- rnorm(n)
# z <- alphas[1] + alphas[2] * d + alphas[3] * c + rnorm(n, sd = sqrt(sigsq_d))
# y <- rbinom(n, size = 1,
# prob = (1 + exp(-betas[1] - betas[2] * z - betas[3] * c -
# betas[4] * b))^(-1))
#
# all_data <- data.frame(y = y, z = z, c = c, b = b, d = d)
# all_data[1: n.e, 1] <- NA
# all_data[(n.e + 1): (n.e + n.m), 2] <- NA
# main <- internal <- external <- NULL
# y_var <- "y"
# z_var <- "z"
# d_vars <- "d"
# c_vars <- "c"
# b_vars <- "b"
# tdm_covariates <- mem_covariates <- NULL
# estimate_var <- TRUE
#
# fit <- ml_logistic_linear(all_data = all_data,
# y_var = "y",
# z_var = "z",
# d_vars = "d",
# c_vars = "c",
# b_vars = "b")
ml_logistic_linear <- function(all_data = NULL,
main = NULL,
internal = NULL,
external = NULL,
y_var,
z_var,
d_vars = NULL,
c_vars = NULL,
b_vars = NULL,
tdm_covariates = NULL,
mem_covariates = NULL,
approx_integral = TRUE,
integrate_tol = 1e-8,
integrate_tol_hessian = integrate_tol,
estimate_var = TRUE,
fix_posdef = FALSE,
...) {
# If tdm.covariates and mem.covariates specified, figure out d.vars, c.vars,
# and b.vars
if (! is.null(tdm_covariates) & ! is.null(mem_covariates)) {
tdm_covariates <- setdiff(tdm_covariates, z_var)
d_vars <- setdiff(mem_covariates, tdm_covariates)
c_vars <- intersect(tdm_covariates, mem_covariates)
b_vars <- setdiff(tdm_covariates, mem_covariates)
}
# Get dimension of D, C, and B
kd <- length(d_vars)
kc <- length(c_vars)
kb <- length(b_vars)
# Get covariate lists
dcb <- c(d_vars, c_vars, b_vars)
zdcb <- c(z_var, d_vars, c_vars, b_vars)
zdc <- c(z_var, d_vars, c_vars)
# Subset various data types
if (! is.null(all_data)) {
main <- all_data[complete.cases(all_data[, c(y_var, dcb)]) & is.na(all_data[, z_var]), ]
internal <- all_data[complete.cases(all_data[, c(y_var, zdcb)]), ]
external <- all_data[is.na(all_data[, y_var]) & complete.cases(all_data[, zdc]), ]
}
n.m <- ifelse(is.null(main), 0, nrow(main))
some.m <- n.m > 0
if (some.m) {
y.m <- main[, y_var]
onecb.m <- as.matrix(cbind(rep(1, n.m), main[, c(c_vars, b_vars)]))
onedc.m <- as.matrix(cbind(rep(1, n.m), main[, c(d_vars, c_vars)]))
}
n.i <- ifelse(is.null(internal), 0, nrow(internal))
some.i <- n.i > 0
if (some.i) {
y.i <- internal[, y_var]
z.i <- internal[, z_var]
onezcb.i <- as.matrix(cbind(rep(1, n.i), internal[, c(z_var, c_vars, b_vars)]))
onedc.i <- as.matrix(cbind(rep(1, n.i), internal[, c(d_vars, c_vars)]))
}
n.e <- ifelse(is.null(external), 0, nrow(external))
some.e <- n.e > 0
if (some.e) {
z.e <- external[, z_var]
onedc.e <- as.matrix(cbind(rep(1, n.e), external[, c(d_vars, c_vars)]))
}
# Get number of betas and alphas
n.betas <- 2 + kc + kb
n.alphas <- 1 + kd + kc
# Get indices for parameters being estimated and create labels
loc.betas <- 1: n.betas
beta.labels <- paste("beta", c("0", z_var, c_vars, b_vars), sep = "_")
loc.alphas <- (n.betas + 1): (n.betas + n.alphas)
alpha.labels <- paste("alpha", c("0", d_vars, c_vars), sep = "_")
loc.sigsq_d <- n.betas + n.alphas + 1
theta.labels <- c(beta.labels, alpha.labels, "sigsq_d")
# Likelihood function for full ML
if (some.m && ! approx_integral) {
lf.full <- function(y,
z,
mu_z.dc,
sigsq_z.dc,
beta_z,
cb.term) {
z <- matrix(z, nrow = 1)
dens <- apply(z, 2, function(z) {
# Transformation
s <- z / (1 - z^2)
# P(Y|Z,C,B)
p_y.zcb <- (1 + exp(-cb.term - beta_z * s))^(-1)
# f(Y,Z|D,C,B) = P(Y=y|Z,C,B) f(Z|D,C)
dbinom(y,
size = 1,
prob = p_y.zcb) *
dnorm(s,
mean = mu_z.dc,
sd = sqrt(sigsq_z.dc))
})
# Back-transformation
out <- matrix(dens * (1 + z^2) / (1 - z^2)^2, ncol = ncol(z))
return(out)
}
}
# Log-likelihood function
llf <- function(f.theta, estimating.hessian = FALSE) {
# Extract parameters
f.betas <- matrix(f.theta[loc.betas], ncol = 1)
f.beta_z <- f.betas[2]
f.alphas <- matrix(f.theta[loc.alphas], ncol = 1)
f.sigsq_d <- f.theta[loc.sigsq_d]
if (some.m) {
# Likelihood for main study subjects:
# L = \int_z f(Y|Z,C,B) f(Z|D,C) dZ
if (approx_integral) {
# Probit approximation for logistic-normal integral
# E(Z|D,C)
mu_z.dc <- onedc.m %*% f.alphas
t <- (onecb.m %*% f.betas[-2] + f.beta_z * mu_z.dc) /
sqrt(1 + f.sigsq_d * f.beta_z^2 / 1.7^2)
p <- exp(t) / (1 + exp(t))
ll.m <- sum(dbinom(y.m, log = TRUE, size = 1, prob = p))
} else {
# Get integration tolerance
int.tol <- ifelse(estimating.hessian, integrate_tol_hessian, integrate_tol)
# E(Z|D,C)
mu_z.dc <- onedc.m %*% f.alphas
cb.terms <- onecb.m %*% f.betas[-2]
int.vals <- c()
for (ii in 1: n.m) {
# Perform integration
int.ii <- cubature::hcubature(f = lf.full,
tol = int.tol,
lowerLimit = -1,
upperLimit = 1,
vectorInterface = TRUE,
y = y.m[ii],
mu_z.dc = mu_z.dc[ii],
sigsq_z.dc = f.sigsq_d,
beta_z = f.beta_z,
cb.term = cb.terms[ii])
int.vals[ii] <- int.ii$integral
if (int.ii$integral == 0) {
print(paste("Integral is 0 for ii = ", ii, sep = ""))
print(f.theta)
break
}
}
ll.m <- sum(log(int.vals))
}
} else {
ll.m <- 0
}
if (some.i) {
# Likelihood for internal validation subjects:
# L = f(Y|Z,C,B) f(Z|D,C)
ll.i <- sum(
dbinom(y.i, log = TRUE, size = 1,
prob = (1 + exp(-onezcb.i %*% f.betas))^(-1)) +
dnorm(z.i, log = TRUE,
mean = onedc.i %*% f.alphas,
sd = sqrt(f.sigsq_d))
)
} else {
ll.i <- 0
}
if (some.e) {
# Likelihood for external validation subjects:
# L = f(Z|D,C)
ll.e <- sum(
dnorm(z.e, log = TRUE,
mean = onedc.e %*% f.alphas,
sd = sqrt(f.sigsq_d))
)
} else {
ll.e <- 0
}
# Return negative log-likelihood
ll <- ll.m + ll.i + ll.e
return(-ll)
}
# Create list of extra arguments, and assign default starting values and
# lower values if not specified by user
extra.args <- list(...)
if (is.null(extra.args$start)) {
extra.args$start <- c(rep(0.01, n.betas + n.alphas), 1)
}
if (is.null(extra.args$lower)) {
extra.args$lower <- c(rep(-Inf, n.betas + n.alphas), 1e-4)
}
if (is.null(extra.args$control$rel.tol)) {
extra.args$control$rel.tol <- 1e-6
}
if (is.null(extra.args$control$eval.max)) {
extra.args$control$eval.max <- 1000
}
if (is.null(extra.args$control$iter.max)) {
extra.args$control$iter.max <- 750
}
# Obtain ML estimates
ml.max <- do.call(nlminb, c(list(objective = llf), extra.args))
# Create list to return
theta.hat <- ml.max$par
names(theta.hat) <- theta.labels
ret.list <- list(theta.hat = theta.hat)
# If requested, add variance-covariance matrix to ret.list
if (estimate_var) {
# Estimate Hessian
hessian.mat <- pracma::hessian(f = llf, estimating.hessian = TRUE,
x0 = theta.hat)
theta.variance <- try(solve(hessian.mat), silent = TRUE)
if (class(theta.variance) == "try-error" ||
! all(eigen(x = theta.variance, only.values = TRUE)$values > 0)) {
# Repeatedly divide integrate_tol_hessian by 5 and re-try
while (integrate_tol_hessian > 1e-15 & fix_posdef) {
integrate_tol_hessian <- integrate_tol_hessian / 5
hessian.mat <- pracma::hessian(f = llf, estimating.hessian = TRUE,
x0 = theta.hat)
theta.variance <- try(solve(hessian.mat), silent = TRUE)
if (class(theta.variance) != "try-error" &&
all(eigen(x = theta.variance, only.values = TRUE)$values > 0)) {
break
}
}
}
if (class(theta.variance) == "try-error" ||
! all(eigen(x = theta.variance, only.values = TRUE)$values > 0)) {
print(hessian.mat)
message("Estimated Hessian matrix is singular, so variance-covariance matrix cannot be obtained.")
ret.list$theta.var <- NULL
} else {
colnames(theta.variance) <- rownames(theta.variance) <- theta.labels
ret.list$theta.var <- theta.variance
}
}
# # If requested, add variance-covariance matrix to ret.list
# if (estimate_var) {
# hessian.mat <- pracma::hessian(f = llf, estimating.hessian = TRUE,
# x0 = theta.hat)
# theta.variance <- try(solve(hessian.mat), silent = TRUE)
# if (class(theta.variance) == "try-error") {
# message("Estimated Hessian matrix is singular, so variance-covariance matrix cannot be obtained.")
# ret.list$theta.var <- NULL
# } else {
# colnames(theta.variance) <- rownames(theta.variance) <- theta.labels
# ret.list$theta.var <- theta.variance
# }
# }
# Add nlminb object and AIC to ret.list
ret.list$nlminb.object <- ml.max
ret.list$aic <- 2 * (length(theta.hat) + ml.max$objective)
# Return ret.list
return(ret.list)
}
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