random <- function(x, z, y, m, kk = qq, cov = "qq", delta, n) {
if (cov == "kk") {
qq <- eigen(kk, symmetric = T)
uu <- qq$vectors; delta <- qq$values
x <- t(uu) %*% x; y <- t(uu) %*% y; z <- t(uu) %*% z
}
r <- ncol(x); q <- ncol(z)
func <- function(par) {
lambda <- par[1]; lambda.k <- par[2]
c <- m * lambda / (m - 1)
ck <- lambda.k - lambda / (m - 1)
h <- 1 / (c * delta + 1)
x1 <- x * sqrt(h)
y1 <- y * sqrt(h)
xx <- crossprod(x1)
xy <- crossprod(x1, y1)
yy <- crossprod(y1)
yx <- t(xy)
dd <- sum(log(1 / h))
z1 <- z * sqrt(h)
xz <- crossprod(x1, z1)
yz <- crossprod(y1, z1)
zz <- crossprod(z1)
zx <- t(xz)
zy <- t(yz)
mm <- ck * solve(ck * zz + diag(q))
xHx <- xx - xz %*% mm %*% zx
xHy <- xy - xz %*% mm %*% zy
xHz <- xz - xz %*% mm %*% zz
yHz <- yz - yz %*% mm %*% zz
zHz <- zz - zz %*% mm %*% zz
yHy <- yy - yz %*% mm %*% zy
yHx <- t(xHy)
zHx <- t(xHz)
zHy <- t(yHz)
dd1 <- log(det(ck * zz + diag(q))) + dd # Corrected on 12-11-2016
yPy <- yHy - yHx %*% solve(xHx) %*% xHy
dd2 <- log(det(xHx))
loglike <- -0.5 * dd1 - 0.5 * dd2 - 0.5 * (n - r) * log(yPy)
return(-loglike)
}
fixed <- function(par) {
lambda <- par[1]
lambda.k <- par[2]
c <- m * lambda / (m - 1)
ck <- lambda.k - lambda / (m - 1)
h <- 1 / (c * delta + 1)
x1 <- x * sqrt(h)
y1 <- y * sqrt(h)
xx <- crossprod(x1)
xy <- crossprod(x1, y1)
yy <- crossprod(y1)
yx <- t(xy)
dd <- sum(log(1 / h))
z1 <- z * sqrt(h)
xz <- crossprod(x1, z1)
yz <- crossprod(y1, z1)
zz <- crossprod(z1)
zx <- t(xz)
zy <- t(yz)
mm <- ck * solve(ck * zz + diag(q))
xHx <- xx - xz %*% mm %*% zx
xHy <- xy - xz %*% mm %*% zy
xHz <- xz - xz %*% mm %*% zz
yHz <- yz - yz %*% mm %*% zz
zHz <- zz - zz %*% mm %*% zz
yHy <- yy - yz %*% mm %*% zy
yHx <- t(xHy)
zHx <- t(xHz)
zHy <- t(yHz)
yPy <- yHy - yHx %*% solve(xHx) %*% xHy
s2 <- drop(yPy / (n - r))
beta <- solve(xHx, xHy)
gamma <- lambda.k * (zHy - zHx %*% beta)
v <- (lambda.k * diag(q) - lambda.k * zHz * lambda.k) * s2
stderr <- sqrt(diag(v))
result <- list(beta, gamma, stderr, s2, v)
return(result)
}
par0 <- c(1, 1)
#parm<-optim(par=par0,fn=func,method="Brent",lower=1e-8,upper=1e8)
parm <- optim(par = par0, fn = func, method = "L-BFGS-B", lower = 1e-8, upper = 1e8)
par <- parm$par
effect <- fixed(par = par)
beta <- effect[[1]]; gamma <- effect[[2]]; stderr <- effect[[3]]
s2 <- effect[[4]]; cov <- effect[[5]]
covparm <- c(par * s2, s2, par)
l1 <- -func(par)
par0 <- c(1, 0)
parm0 <- optim(par = par0, fn = func, method = "L-BFGS-B", lower = c(1e-8, 1e-9), upper = c(1e8, 1e-8))
par0 <- parm0$par
l0 <- -func(par0)
lrt <- -2 * (l0 - l1)
out <- list(covparm, beta, gamma, stderr, cov, lrt)
return(out)
}
random1 <- function(x, z, y, m, kk = qq, cov = "qq", delta, n) {
if (cov == "kk") {
qq <- eigen(kk, symmetric = T)
uu <- qq$vectors; delta <- qq$values
x <- t(uu) %*% x; y <- t(uu) %*% y; z <- t(uu) %*% z
}
r <- ncol(x)
q <- ncol(z) / 3
indx <- (q + 1):(q + q)
func <- function(par) {
lambda <- par[1]
lambda.k <- par[2]
c <- m * lambda / (m - 3)
c1 <- rep(-lambda / (m - 3), q)
ck <- rep(lambda.k - lambda / (m - 3), q)
Ck <- diag(c(c1, ck, c1))
h <- 1 / (c * delta + 1)
x1 <- x * sqrt(h)
y1 <- y * sqrt(h)
xx <- crossprod(x1)
xy <- crossprod(x1, y1)
yy <- crossprod(y1)
yx <- t(xy)
dd <- sum(log(1 / h))
z1 <- z * sqrt(h)
xz <- crossprod(x1, z1)
yz <- crossprod(y1, z1)
zz <- crossprod(z1)
zx <- t(xz)
zy <- t(yz)
mm <- Ck %*% solve(zz %*% Ck + diag(3 * q))
xHx <- xx - xz %*% mm %*% zx
xHy <- xy - xz %*% mm %*% zy
xHz <- xz - xz %*% mm %*% zz
yHz <- yz - yz %*% mm %*% zz
zHz <- zz - zz %*% mm %*% zz
yHy <- yy - yz %*% mm %*% zy
yHx <- t(xHy)
zHx <- t(xHz)
zHy <- t(yHz)
dd1 <- log(det(zz %*% Ck + diag(3 * q))) + dd
yPy <- yHy - yHx %*% solve(xHx) %*% xHy
dd2 <- log(det(xHx))
loglike <- -0.5 * dd1 - 0.5 * dd2 - 0.5 * (n - r) * log(yPy)
return(-loglike)
}
fixed <- function(par) {
lambda <- par[1]
lambda.k <- par[2]
c <- m * lambda / (m - 3)
c1 <- rep(-lambda / (m - 3), q)
ck <- rep(lambda.k - lambda / (m - 3), q)
Ck <- diag(c(c1, ck, c1))
h <- 1 / (c * delta + 1)
x1 <- x * sqrt(h)
y1 <- y * sqrt(h)
xx <- crossprod(x1)
xy <- crossprod(x1, y1)
yy <- crossprod(y1)
yx <- t(xy)
dd <- sum(log(1 / h))
z1 <- z * sqrt(h)
xz <- crossprod(x1, z1)
yz <- crossprod(y1, z1)
zz <- crossprod(z1)
zx <- t(xz)
zy <- t(yz)
mm <- Ck %*% solve(zz %*% Ck + diag(3 * q))
xHx <- xx - xz %*% mm %*% zx
xHy <- xy - xz %*% mm %*% zy
xHz <- xz - xz %*% mm %*% zz
yHz <- yz - yz %*% mm %*% zz
zHz <- zz - zz %*% mm %*% zz
yHy <- yy - yz %*% mm %*% zy
yHx <- t(xHy)
zHx <- t(xHz)
zHy <- t(yHz)
yPy <- yHy - yHx %*% solve(xHx) %*% xHy
s2 <- drop(yPy / (n - r))
beta <- solve(xHx, xHy)
gamma <- lambda.k * (zHy[indx, ] - zHx[indx, ] %*% beta)
v <- (lambda.k * diag(q) - lambda.k * zHz[indx, indx] * lambda.k) * s2
stderr <- sqrt(diag(v))
result <- list(beta, gamma, stderr, s2, v)
return(result)
}
par0 <- c(1, 1)
#parm<-optim(par=par0,fn=func,method="Brent",lower=1e-8,upper=1e8)
parm <- optim(par = par0, fn = func, method = "L-BFGS-B", lower = 1e-8, upper = 1e8)
par <- parm$par
effect <- fixed(par = par)
beta <- effect[[1]]
gamma <- effect[[2]]
stderr <- effect[[3]]
s2 <- effect[[4]]
cov <- effect[[5]]
covparm <- c(par * s2, s2, par)
l1 <- -func(par)
par0 <- c(1, 0)
parm0 <- optim(par = par0, fn = func, method = "L-BFGS-B", lower = c(1e-8, 1e-9), upper = c(1e8, 1e-8) )
par0 <- parm0$par
l0 <- -func(par0)
lrt <- -2 * (l0 - l1)
out <- list(covparm, beta, gamma, stderr, cov, lrt)
return(out)
}
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