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#-------------------------------------------------------------------------------
# Revision history:
# 2009-10-29: renamed var argument to .vcov; tidied code. John
# 2010-07-02; added method for survreg and coxph objects.
# 2010-07-02; rewrote default method to permit parameter names to have
# meta-characters
# 2011-07028 Removed meta-character checks; removed parameterPrefix because
# it didn't work and caused problems; added parameterNames to restore the
# utility of parameterPrefix
# 2011-10-02 Fixed bugs in the .survreg and .coxph methods so parameterNames
# works correctly
# 2012-03-02: fixed abbreviation of envir argument. J. Fox
# 2012-04-08: modfied deltaMethod.default() to use coef and vcov
# 2012-12-10: removed the 'deltaMethodMessageFlag'
# 2013-06-20: added deltaMethod.merMod(). J. Fox
# 2013-06-20: tweaks for lme4. J. Fox
# 2013-07-01: New 'constants' argument for use when called from within a function.
# 2013-07-18: fixed a bug in passing the 'func' argument
# 2016-03-31: added level argument and report CIs. J. Fox
# 2017-11-09: made compatible with vcov() in R 2.5.0. J. Fox
# 2017-11-29: further fixes for vcov() and vcov.(). J. Fox
# 2017-12-01: fix bug in handling vcov. arg in some methods. J. Fox
# 2019-01-16: changed g arg to g. to allow variable named "g". J. Fox
# 2019-06-03: introduction of environment to hold coefficients and constants. Pavel Krivitsky
# 2019-06-05: option for hypothesis test. J. Fox
# 2019-06-07: move handling intercepts to default method, suggestion of Pavel Krivitsky. J. Fox
# 2020-05-27: fix to deltaMethod.survreg() to handle Log(scale) parameter. J. Fox
# 2020-09-02: Correct bug when using parameter name "(Intercept)". SW
# 2020-12-15: added error checking to vcov using getVcov
#-------------------------------------------------------------------------------
deltaMethod <- function (object, ...) {
UseMethod("deltaMethod")
}
deltaMethod.default <- function (object, g., vcov., func = g., constants, level=0.95, rhs=NULL,
singular.ok=FALSE, ..., envir=parent.frame()) {
if (!is.character(g.))
stop("The argument 'g.' must be a character string")
if ((exists.method("coef", object, default=FALSE) ||
(!is.atomic(object) && !is.null(object$coefficients)))
&& exists.method("vcov", object, default=FALSE)){
if (missing(vcov.)) vcov. <- vcov(object, complete=FALSE)
object <- coef(object)
}
if (any(is.na(object))){
if (singular.ok){
object <- na.omit(object)
} else {
stop("there are aliased coefficients in the model")
}
}
para <- object
para.names <- names(para)
para.names[1] <- gsub("\\(Intercept\\)", "Intercept", para.names[1])
g. <- parse(text = gsub("\\(Intercept\\)", "Intercept", g.))
q <- length(para)
envir <- new.env(parent=envir)
for (i in 1:q) {
assign(para.names[i], para[i], envir)
}
if(!missing(constants)){
for (i in seq_along(constants)) assign(names(constants[i]), constants[[i]], envir)}
est <- eval(g., envir)
names(est) <- NULL
gd <- rep(0, q)
for (i in 1:q) {
gd[i] <- eval(D(g., para.names[i]), envir)
}
se.est <- as.vector(sqrt(t(gd) %*% vcov. %*% gd))
result <- data.frame(Estimate = est, SE = se.est, row.names = c(func))
p <- (1 - level)/2
z <- - qnorm(p)
lower <- est - z*se.est
upper <- est + z*se.est
pct <- paste(format(100*c(p, 1 - p), trim=TRUE, scientific=FALSE, digits=3), "%")
result <- cbind(result, lower, upper)
names(result)[3:4] <- pct
if (!is.null(rhs)){
z <- (est - rhs)/se.est
p <- 2*(pnorm(abs(z), lower.tail=FALSE))
result <- cbind(result, "Hypothesis"=rhs, "z value"=z, "Pr(>|z|)"=p)
}
class(result) <- c("deltaMethod", class(result))
result
}
print.deltaMethod <- function(x, ...){
if (ncol(x) == 3) print(x, ...) else printCoefmat(x, ...)
invisible(x)
}
deltaMethod.lm <- function (object, g., vcov. = vcov(object, complete=FALSE),
parameterNames = names(coef(object)), ..., envir=parent.frame()) {
para <- coef(object)
para.names <- parameterNames
names(para) <- para.names
vcov. <- getVcov(vcov., object)
deltaMethod.default(para, g., vcov., ..., envir=envir)
}
# nls has named parameters so parameterNames is ignored
deltaMethod.nls <- function(object, g., vcov.=vcov(object, complete=FALSE), ..., envir=parent.frame()){
vcov. <- getVcov(vcov., object)
deltaMethod.default(coef(object), g., vcov., ..., envir=envir)
}
deltaMethod.polr <- function(object,g.,vcov.=vcov(object, complete=FALSE), ..., envir=parent.frame()){
sel <- 1:(length(coef(object)))
vcov. <- getVcov(vcov., object)[sel, sel]
# vcov. <- if(is.function(vcov.)) vcov.(object)[sel, sel] else vcov.[sel, sel]
deltaMethod.lm(object, g., vcov., ..., envir=envir)
}
deltaMethod.multinom <- function(object, g., vcov.=vcov(object, complete=FALSE),
parameterNames = if(is.matrix(coef(object)))
colnames(coef(object)) else names(coef(object)), ..., envir=parent.frame()){
vcov. <- getVcov(vcov., object)
# vcov. <- if(is.function(vcov.)) vcov.(object) else vcov.
out <- NULL
coefs <- coef(object)
if (!is.matrix(coefs)) { coefs <- t(as.matrix(coefs)) }
colnames(coefs) <- parameterNames
nc <- dim(coefs)[2]
for (i in 1:dim(coefs)[1]){
para <- coefs[i, ]
ans <- deltaMethod(para, g., vcov.[(i - 1) + 1:nc, (i - 1) + 1:nc], ..., envir=envir)
rownames(ans)[1] <- paste(rownames(coefs)[i], rownames(ans)[1])
out <- rbind(out,ans)
}
out}
# method for survreg objects.
deltaMethod.survreg <- function(object, g., vcov. = vcov(object, complete=FALSE),
parameterNames = names(coef(object)), ..., envir=parent.frame()) {
if (length(parameterNames != nrow(vcov.))){
p <- which(rownames(vcov.) == "Log(scale)")
if (length(p) > 0) vcov. <- vcov.[-p, -p]
}
deltaMethod.lm(object, g., vcov., parameterNames , ..., envir=envir)
}
# method for coxph objects.
deltaMethod.coxph <- function(object, g., vcov. = vcov(object, complete=FALSE),
parameterNames = names(coef(object)), ..., envir=parent.frame()) {
deltaMethod.lm(object, g., vcov., parameterNames, ..., envir=envir) }
# lmer
deltaMethod.merMod <- function(object, g., vcov. = vcov(object, complete=FALSE),
parameterNames = names(fixef(object)), ..., envir=parent.frame()) {
deltaMethod.mer(object=object, g.=g., vcov.=vcov,
parameterNames=parameterNames, ..., envir=envir)
}
deltaMethod.mer <- function(object, g., vcov. = vcov(object, complete=FALSE),
parameterNames = names(fixef(object)), ..., envir=parent.frame()) {
para <- fixef(object)
names(para) = parameterNames
vcov. <- getVcov(vcov., object)
# vcov. <- if (is.function(vcov.))
# vcov.(object)
# else vcov.
deltaMethod(para, g., vcov., ..., envir=envir)
}
#lme
deltaMethod.lme <- function(object, g., vcov. = vcov(object, complete=FALSE),
parameterNames = names(fixef(object)), ..., envir=parent.frame()) {
para <- fixef(object)
names(para) = parameterNames
vcov. <- getVcov(vcov., object)
# vcov. <- if (is.function(vcov.))
# vcov.(object)
# else vcov.
deltaMethod(para, g., vcov., ..., envir=envir)
}
# nlsList lsList
deltaMethod.lmList <- function(object, g., ..., envir=parent.frame()) {
out <- t(sapply(object, function(x) deltaMethod(x, g., ..., envir=envir)))
rownames(out) <- paste(rownames(out), g.)
out
}
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