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Build the design and penalty matrices for smooth density estimation

smooth_dens_construct.Rd

This high-level function can be used to prepare objects needed to estimate mixture models of smooth densities using P-Splines.

Usage

smooth_dens_construct(
  data,
  par,
  type = "real",
  k = 25,
  knots = NULL,
  quantile = FALSE,
  degree = 3,
  diff_order = 2
)

Arguments

data

named data frame of different data streams

par

nested named list of initial means and sds/concentrations for each data stream

type

type of each data stream, either "real" for data on the reals, "positive" for data on the positive reals or "circular" for angular data. Needs to be a vector corresponding to the number of data streams in data.

k

number of basis functions for each data stream

knots

optional list of knots vectors (including the boundary knots) to be used for basis construction. If not provided, the knots are placed equidistantly for "real" and "circular" and using polynomial spacing for "positive".

For "real" and "positive" k - degree + 1 knots are needed, for "circular" k + 1 knots are needed.

quantile

logical of length 1 or vector of length equal to the number of data streams. If TRUE use quantile-based knot spacing (instead of equidistant or polynomial)#' @param quantile optional locical vector of length equal to 1 or the number of data streams, indicating whether to use quantile-based knot spacing. Defaults to FALSE.

degree

degree of the B-spline basis functions for each data stream, defaults to cubic B-splines

diff_order

order of differencing used for the P-Spline penalty matrix for each data stream. Defaults to second-order differences.

Value

a nested list containing the design matrices Z, the penalty matrices S, the initial coefficients coef the prediction design matrices Z_predict, the prediction grids xseq, and details for the basis expansion for each data stream.

Details

Under the hood, make_matrices_dens is used for the actual construction of the design and penalty matrices.

You can provide one or multiple data streams of different types (real, positive, circular) and specify initial means and standard deviations/ concentrations for each data stream. This information is then converted into suitable spline coefficients. buildSmoothDens then constructs the design and penalty matrices for standardised B-splines basis functions (integrating to one) for each data stream. For types "real" and "circular" the knots are placed equidistant in the range of the data, for type "positive" the knots are placed using polynomial spacing.

Examples

## 3 data streams, each with one distribution
# normal data with mean 0 and sd 1
x1 = rnorm(100, mean = 0, sd = 1)
# gamma data with mean 5 and sd 3
x2 = rgamma2(100, mean = 5, sd = 3)
# circular data
x3 = rvm(100, mu = 0, kappa = 2)

data = data.frame(x1 = x1, x2 = x2, x3 = x3)

par = list(x1 = list(mean = 0, sd = 1),
           x2 = list(mean = 5, sd = 3),
           x3 = list(mean = 0, concentration = 2))

SmoothDens = smooth_dens_construct(data, 
                                   par,
                                   type = c("real", "positive", "circular"))
#> x1 
#> Leaving out last column of the penalty matrix, fix the last spline coefficient at zero for identifiability!
#> Parameter matrix excludes the last column. Fix this column at zero!
#> x2 
#> Leaving out last column of the penalty matrix, fix the last spline coefficient at zero for identifiability!
#> Parameter matrix excludes the last column. Fix this column at zero!
#> x3 
#> Leaving out last column of the penalty matrix, fix the last spline coefficient at zero for identifiability!
#> Parameter matrix excludes the last column. Fix this column at zero!
                             
# extracting objects for x1
Z1 = SmoothDens$Z$x1
S1 = SmoothDens$S$x1
coefs1 = SmoothDens$coef$x1

## one data stream, but mixture of two distributions
# normal data with mean 0 and sd 1
x = rnorm(100, mean = 0, sd = 1)
data = data.frame(x = x)

# now parameters for mixture of two normals
par = list(x = list(mean = c(0, 5), sd = c(1,1)))

SmoothDens = smooth_dens_construct(data, par = par)
#> x 
#> Leaving out last column of the penalty matrix, fix the last spline coefficient at zero for identifiability!
#> Parameter matrix excludes the last column. Fix this column at zero!

# extracting objects 
Z = SmoothDens$Z$x
S = SmoothDens$S$x
coefs = SmoothDens$coef$x