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stepmented.ts <- function(obj, seg.Z, psi, npsi, fixed.psi=NULL, control=seg.control(), keep.class=FALSE,
var.psi=FALSE, ..., pertV=0, centerX=FALSE, adjX=NULL) {
#pertV come calcolare la variabile V=1/(2*abs(Xtrue-PSI)? i psi devono essere diversi dalle x_i
# utilizzare i psi stimati che tipcamente sono diversi? (perV=0)
# oppure i psi.mid che sicuramente sono (o meglio dovrebbero essere) tra due x_i...
#NO OFFSET o PESI!!!!
# ---------
mylm<-function(x,y){
XtX <- crossprod(x)
b <- drop(solve(XtX,crossprod(x,y)))
fit <- drop(tcrossprod(b,x))
r<-y-fit
o<-list(coefficients=b,fitted.values=fit,residuals=r, df.residual=length(y)-length(b), invXtX=solve(XtX), L0=sum(r^2))
o
}
#-----------
toMatrix<-function(.x, ki){
# ripete ogni .x[,j] ki[j] volte
if(ncol(.x)!=length(ki)) stop("It should be ncol(.x)==length(ki)")
if(all(ki==1)) return(.x)
M<-vector("list", length=length(ki))
for(j in 1:length(ki)) M[[j]]<-replicate(ki[[j]], cbind(.x[,j]), simplify=TRUE)
do.call(cbind, M)
}
#-----------
agg<- 1-control$fc
it.max<- control$it.max
tol<- control$toll
#browser()
display<- control$visual
digits <- control$digits
#min.step <- control$min.step
#conv.psi <- control$conv.psi
alpha <- control$alpha
fix.npsi <- control$fix.npsi
n.boot <- control$n.boot
break.boot<- control$break.boot + 2
seed<- control$seed
fix.npsi<-control$fix.npsi
h<-control$h
#-----------
#if(!(is.vector(obj) || is.ts(obj))) stop("obj should be a 'lm' fit, a 'vector' or 'ts' object")
#if(is.vector(obj) || is.ts(obj)){
#if(is.matrix(obj) && ncol(obj)>1) stop("if matrix 'obj' should have 1 column")
#obj<-drop(obj)
if(!missing(seg.Z) && length(all.vars(seg.Z))>1) stop(" multiple seg.Z allowed only with lm models")
Fo0<-as.formula(paste(deparse(substitute(obj))," ~ 1", sep=""))
y.only.vector<-TRUE
y<- as.vector(obj)
Tsp<-tsp(obj)
nn <- 1 + round((Tsp[2L] - Tsp[1L]) * Tsp[3L])
#preso da getAnywhere("print.ts")
if (length(y) != nn) warning(gettextf("series is corrupt: length %d with 'tsp' implying %d", length(y), nn), domain = NA, call. = FALSE)
if(missing(seg.Z)) {
x<-seq(Tsp[1], Tsp[2], length=length(y) )
name.Z <- "Time"
} else {
x<-eval(parse(text=all.vars(seg.Z)))
name.Z <- all.vars(seg.Z)
adjX <- FALSE
}
min.x<- min(x)
if(is.null(adjX)) {
adjX<- if(min.x>=1000) TRUE else FALSE
}
if(adjX) x<- x - min.x
if(missing(psi)){
if(missing(npsi)) npsi<-1 #stop(" psi or npsi have to be provided ")
psi<- seq(min(x), max(x), l=npsi+2)[-c(1, npsi+2)] #psi[[i]]<-(min(Z[[i]])+ diff(range(Z[[i]]))*(1:K)/(K+1))
} else {
npsi<-length(psi)
}
initial.psi<-psi
n<-length(y)
a<- npsi
n.Seg<-1
Z<-matrix(x, ncol=a, nrow=n, byrow = FALSE)
XREG<-matrix(1, nrow=n, ncol=1)
PSI<-matrix(psi, ncol=a, nrow=n, byrow = TRUE)
#name.Z <- if(missing(seg.Z)) "id" else all.vars(seg.Z)
nomiU<-paste("U", 1:a, ".", name.Z,sep="")
nomiV<-paste("V", 1:a, ".", name.Z,sep="")
colnames(Z)<-nomiZ<-rep(name.Z, a)
id.psi.group <- rep(1:length(a), times = a)
orig.call<-NULL
####################################################
# invXtX<-if(!is.null(obj$qr)) chol2inv(qr.R(obj$qr)) else NULL #(XtX)^{-1}
# Xty<-crossprod(XREG,y)
# opz<-list(toll=toll,h=h, stop.if.error=stop.if.error, dev0=dev0, visual=visual, it.max=it.max,
# nomiOK=nomiOK, id.psi.group=id.psi.group, gap=gap, visualBoot=visualBoot, pow=pow, digits=digits,invXtX=invXtX, Xty=Xty,
# conv.psi=conv.psi, alpha=alpha, fix.npsi=fix.npsi, min.step=min.step, fc=fc)
#x<- Z
x.lin <-XREG
#if(is.vector(x)) x<-as.matrix(x)
#dev0<- if(!display) var(y)*n else sum(mylm(x.lin, y)$residuals^2)
#non ci sono altre esplicative, per cui il modello nullo e' sempre con interc.
dev0 <- var(y)*(n-1) #mylm(x.lin, y)$L0
rangeZ <- apply(Z, 2, range)
#browser()
plin<-ncol(x.lin)
#if(!is.list(psi)) psi<-list(psi)
#P <- length(psi) #n. variabili con breakpoints
#npsii <- sapply(psi, length) #n di psi for each covariate
P<-n.Seg
npsii<-a
npsi<- sum(npsii)
Xtrue<-Z
#psi0 <- unlist(psi)
#PSI<- matrix(psi0, n, npsi, byrow=TRUE)
#if(ncol(x)!=P) stop("errore")
#Xtrue<-toMatrix(x, npsii)
#browser()
if(it.max == 0) {
mfExt<-data.frame(y, Z)
names(mfExt) <- c(all.vars(Fo0), name.Z)
ripetizioni<-unlist(tapply(nomiZ, nomiZ, function(.x)1:length(.x)))
U <- (Xtrue>PSI)
colnames(U) <- paste(ripetizioni, nomiZ, sep = ".")
nomiU <- paste("U", colnames(U), sep = "")
#for (i in 1:ncol(U)) assign(nomiU[i], U[, i], envir = KK)
for(i in 1:ncol(U)) mfExt[nomiU[i]]<-mf[nomiU[i]]<-U[,i]
Fo <- update.formula(formula(obj), as.formula(paste(".~.+", paste(nomiU, collapse = "+"))))
obj <- update(obj, formula = Fo, evaluate=FALSE, data=mfExt) #data = mf,
if(!is.null(obj[["subset"]])) obj[["subset"]]<-NULL
obj<-eval(obj, envir=mfExt)
#if (model) obj$model <-mf #obj$model <- data.frame(as.list(KK))
psi <- cbind(psi, psi, 0)
rownames(psi) <- paste(paste("psi", ripetizioni, sep = ""), nomiZ, sep=".")
colnames(psi) <- c("Initial", "Est.", "St.Err")
obj$psi <- psi
return(obj)
}
c1 <- apply((Xtrue <= PSI), 2, all) #dovrebbero essere tutti FALSE (prima era solo <)
c2 <- apply((Xtrue >= PSI), 2, all) #dovrebbero essere tutti FALSE (prima era solo >)
if(sum(c1 + c2) != 0 || is.na(sum(c1 + c2)) ) stop("starting psi out of the admissible range")
if(is.null(alpha)) alpha<- max(.05, 1/length(y))
if(length(alpha)==1) alpha<-c(alpha, 1-alpha)
opz<-list(toll=tol, dev0=dev0, display=display, it.max=it.max, agg=agg, digits=digits, rangeZ=rangeZ,
id.psi.group=id.psi.group,h=h,
#nomiOK=nomiOK, visualBoot=visualBoot, invXtX=invXtX, Xty=Xty, conv.psi=conv.psi,min.step=min.step,
alpha=alpha, fix.npsi=fix.npsi, npsii=npsii,
seed=control$seed)
# #################################################################################
# #### jump.fit(y, XREG=x.lin, Z=Xtrue, PSI, w=ww, offs, opz, return.all.sol=FALSE)
# #################################################################################
if(n.boot<=0){
obj<- step.ts.fit(y, x.lin, Xtrue, PSI, opz, return.all.sol=FALSE)
} else {
#if("seed" %in% names(control)) set.seed(control$seed)
obj<-step.ts.fit.boot(y, x.lin, Xtrue, PSI, opz, n.boot, break.boot=break.boot)
seed <- obj$seed
}
# if(!is.list(obj)){
# warning("No breakpoint estimated", call. = FALSE)
# return(obj0)
# }
#chol2inv(qr.R(obj$obj$qr))
id.warn<-obj$id.warn
it<-obj$it
psi<-obj$psi
psi.values<-if(n.boot<=0) obj$psi.values else obj$boot.restart
#i beta.c corripondono ai psi NON ordinati!!!
beta.c<- obj$beta.c
beta.c<-unlist(tapply(psi, id.psi.group, function(.x)beta.c[order(.x)]))
#unlist(lapply(unique(id.psi.group), function(.x) beta.c[id.psi.group==.x][order(psi[id.psi.group==.x])]))
psi<-unlist(tapply(psi, id.psi.group, sort))
Z0<-apply(Z,2,sort)
psi.rounded<-sapply(1:npsi, function(j) Z0[sum(Z0[,j]<psi[j])+c(0,1),j])
psi.mid<-apply(psi.rounded,2,mean)
#QUALI prendere? psi, psi.mid o psi.rounded?
PSI.mid<- matrix(psi, n, npsi, byrow = TRUE)
#bisogna evitare che una qualche x_i sia uguale a psi, altrimenti la costruzione di V-> INF
DEN <- abs(Xtrue - PSI.mid)
DEN <- apply(DEN, 2, function(.x) pmax(.x, sort(.x)[2]/2)) #pmax(.x, diff(range(.x))/1000))
V <- (1/(2 * DEN))
colnames(V)<-nomiV
if(centerX){
XtrueS <- scale(Xtrue, TRUE, scale=FALSE)
meanX<-attr(XtrueS, "scaled:center")
attr(XtrueS, "scaled:center")<-NULL
U <- (XtrueS * V + 1/2)
} else {
U <- (Xtrue * V + 1/2)
}
colnames(U)<-nomiU
if(pertV>0){
#puoi usare o psi.mid o psi.rounded+eps.. Il secondo porta ad una cor ancora piu bassa della prima.. 0.89 vs 0.96
if(pertV==1){
PSI.mid <- matrix(psi.mid, n, npsi, byrow = TRUE)
V <- (1/(2 * abs(Xtrue - PSI.mid)))
} else {
PSI.mid <- matrix(psi.rounded[1,], n, npsi, byrow = TRUE)
V <- (1/(2 * abs(Xtrue - PSI.mid + .0001)))
}
}
Vxb <- -V# * rep(-beta.c, each = nrow(V))
nomiVxb <- gsub("V", "psi", nomiV)
nnomi <- c(nomiU, nomiVxb)
#XREG <- cbind(x.lin, Z, W)
#obj <- lm.wfit(y = y, x = XREG, offset = offs, w=ww )
# source("stepmented.lm.R")
Fo <- update.formula(Fo0, as.formula(paste(".~.+", paste(nnomi, collapse = "+"))))
mfExt <- data.frame(1,U,Vxb)
colnames(mfExt)<-c("(Intercept)",nnomi)
objF <- lm(Fo, data = mfExt)
#browser()
objW<-objF
#controllo se qualche coeff e' NA..
isNAcoef<-any(is.na(objF$coefficients))
#browser()
if(isNAcoef) {
nameNA.psi <- names(objF$coefficients)[which(is.na(objF$coefficients))]
nameNA.U <- gsub("psi", "U", nameNA.psi)
if(fix.npsi) {
cat("breakpoint estimate(s):", as.vector(psi), "\n")
stop("coef ", nameNA.psi, " is NA: breakpoint(s) at the boundary or too close together", call. = FALSE)
} else {
warning("some estimate is NA (too many breakpoints?): removing ",
length(nameNA.psi), " jump-point(s)", call. = FALSE)
Fo <- update(Fo, paste(".~ .-", nameNA.U, "-", nameNA.psi))
objF <- lm(Fo, data = mfExt)
idNA.psi <- match(nameNA.psi, nomiVxb)
nomiVxb <- setdiff(nomiVxb, nameNA.psi)
nomiU <- setdiff(nomiU, nameNA.U)
Xtrue <- Xtrue[, -idNA.psi, drop = FALSE]
PSI.mid<- PSI.mid[, -idNA.psi, drop = FALSE]
id.psi.group <- id.psi.group[-idNA.psi]
psi <- psi[-idNA.psi]
psi.rounded <- psi.rounded[, -idNA.psi, drop = FALSE]
}
}
#organizziamo i risultati da restituire per psi..
colnames(psi.rounded)<-names(psi)<-nomiVxb
rownames(psi.rounded)<-c("inf [","sup (")
# Cov <- vcov(objF)
#
# var.Tay<-function(est1,est2,v1,v2,v12){
# r<- est1/est2
# vv<-(v1+v2*r^2-2*r*v12)/est2^2
# vv}
#
#
# #browser()
#
# #var.Tay(num, den, v.g, v.b, cov.g.b)
# varPsi<- rep(NA, length(nomiU))
# for(j in 1:length(nomiU)){
# num<-objF$coefficients[nomiVxb[j]]
# den<-objF$coefficients[nomiU[j]]
# v.g <-Cov[nomiVxb[j],nomiVxb[j]]
# v.b<- Cov[nomiU[j],nomiU[j]]
# cov.g.b <- Cov[nomiVxb[j],nomiU[j]]
# #if(is.null(rho)) {
# rho<-mean(Xtrue[, nomiZ[j] ,drop=TRUE]<psi[[nomiVxb[j]]])
# #rho<- 1-exp(-rho*(n^(1/3))) #rho^(2*sqrt(2/n)) #1-exp(-5*rho) #con 5,6 valori piu' alti => SE piu' piccoli..
# rho<- rho^(sqrt(1/n))
# #}
# cov.g.b<- rho*sqrt(v.g*v.b)
# varPsi[j]<-var.Tay(num, den, v.g, v.b, cov.g.b)
# }
# names(varPsi) <- nomiVxb
#
# #browser()
# Cov[nomiVxb, ]<- Cov[, nomiVxb] <- 0
# diag(Cov)[nomiVxb]<-varPsi
# #Cov[nomiVxb, nomiVxb ]<- varPsi
#
#
# #browser()
# #var.Tay(num, den, v.g, v.b, cov.g.b)
#
# id <- match(nomiVxb, names(coef(objF)))
# vv <- if (length(id) == 1) Cov[id, id] else diag(Cov[id, id])
ris.psi <-matrix(NA,length(psi),3)
colnames(ris.psi) <- c("Initial", "Est.", "St.Err")
rownames(ris.psi) <- nomiVxb
ris.psi[,2]<-psi
#ris.psi[,3]<-sqrt(vv)
## solo per simulazioni
#browser()
# ris.psi<-cbind(ris.psi,
# st0=sqrt(var.Tay(num, den, v.g, v.b, 0)),
# st99=sqrt(var.Tay(num, den, v.g, v.b, .99*sqrt(v.g*v.b))))
a<-tapply(id.psi.group, id.psi.group, length)
#NB "a" deve essere un vettore che si appatta con "initial.psi" per ottnetere "initial" sotto... Se una variabile alla fine risulta
# senza breakpoint questo non avviene e ci sono problemi nella formazione di "initial". Allora costruisco a.ok
a.ok<-NULL
nomiFINALI<-unique(nomiZ)
for(j in name.Z){
if(j %in% nomiFINALI) {
a.ok[length(a.ok)+1]<-a[1]
a<-a[-1]
} else {
a.ok[length(a.ok)+1]<-0
} #ifelse(name.Z %in% nomiFINALI,1,0)
}
#initial<-unlist(mapply(function(x,y){if(is.na(x)[1])rep(x,y) else x }, initial.psi, a.ok, SIMPLIFY = TRUE))
if(length(psi)!=length(initial.psi)){
ris.psi[,1]<- NA
} else {
initial<-unlist(mapply(function(x,y){if(is.na(x)[1])rep(x,y) else x }, initial.psi[nomiFINALI], a.ok[a.ok!=0], SIMPLIFY = TRUE))
ris.psi[,1]<-initial #if(stop.if.error) ris.psi[,1]<-initial
}
#browser()
id.psi<- x%in%psi.rounded[1,]
#=================================================
##RI-AGGIUNGI IL MINIMO!!!!!!!!!!
if(adjX){ #ATTENZIONE.. e se ci sono piu' breakpoints o piu' variabili (con piu' breakpoints)??
psi.rounded<- psi.rounded + min.x
ris.psi[,2] <- ris.psi[,2] + min.x
}
objF$psi <- ris.psi
a<-rep(1:Tsp[3L], l=length(y))
b<-rep(Tsp[1L]:Tsp[2L], each=Tsp[3L])[seq_len(length(y))]
break.dates <- paste(b,"(",a,")",sep="")[id.psi]
attr(psi.rounded,"break.dates") <- break.dates
objF$psi.rounded <- psi.rounded
#stima il modello "vero" (non-working)
U <- (Xtrue > PSI.mid)
colnames(U)<-nomiU
X <- cbind(x.lin,U)
objF$obj.ok <- mylm(X, y) #coefficients=b,fitted.values=fit,residuals=r, df.residual=length(y)-length(b))
objF$objW<- objW
objF$fitted.values<-objF$obj.ok$fitted.values
objF$residuals<- objF$obj.ok$residuals
objF$coefficients[1:length(objF$obj.ok$coefficients)] <- objF$obj.ok$coefficients
objF$coefficients[nomiVxb] <-psi.rounded[1,]
objF$nameUV <- list(U = drop(nomiU), V = nomiV, Z = name.Z) #Z = name.Z
objF$rangeZ<-obj$rangeZ
objF$Z <- Z[,unique(name.Z),drop=FALSE]
if(n.boot>0) objF$seed <- seed
if(adjX) {
objF$Z <- objF$Z + min.x
objF$rangeZ<- objF$rangeZ + min.x
}
objF$call <- match.call()
objF$orig.call<-orig.call
objF$psi.history <- psi.values
objF$it <- it
objF$epsilon <- obj$epsilon
objF$id.warn <- id.warn
#objF$rho<-rho
objF$psi<- objF$psi[,-1,drop=FALSE] #rimuovi la colonna Initial
if(var.psi){
Cov <- vcov.stepmented(objF, k=NULL)
id <- match(nomiVxb, names(coef(objF)))
vv <- if (length(id) == 1) Cov[id, id] else diag(Cov[id, id])
objF$psi[,"St.Err"]<-sqrt(vv)
objF$vcov<- Cov
}
class(objF) <- c("stepmented","lm")
return(objF)
}
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