R: Minimum Averaged Mean Squared Error (MAMSE) Weights.
MAMSE-package
R Documentation
Minimum Averaged Mean Squared Error (MAMSE) Weights.
Description
This package provides algorithms to calculate the nonparametric
adaptive MAMSE weights.
The MAMSE weights can be used for the
weighted likelihood (see references below), or as mixing probabilities to define
mixtures of empirical distributions. They provide a framework to borrow strenght
with minimal assumptions.
Details
Package:
MAMSE
Type:
Package
Version:
0.1
Date:
2009-02-01
License:
GPL-2
LazyLoad:
yes
Function MAMSE calculates the MAMSE weights for univariate data,
right-censored data, or for the copula underlying the distribution of multivariate
data. The function WKME is used to compute the MAMSE-Weighted
Kaplan-Meier estimate with (optional) bootstrap confidence intervals.
F. Hu and J. V. Zidek (2002). The weighted likelihood, The Canadian
Journal of Statistics, 30, 347–371.
J.-F. Plante (2007). Adaptive Likelihood Weights and Mixtures of Empirical
Distributions. Unpublished doctoral dissertation, University of British
Columbia.
J.-F. Plante (2008). Nonparametric adaptive likelihood weights. The
Canadian Journal of Statistics, 36, 443-461.
J.-F. Plante (2009). Asymptotic properties of the MAMSE adaptive likelihood
weights. Journal of Statistical Planning and Inference, 139,
2147-2161.
J.-F. Plante (2009). About an adaptively weighted Kaplan-Meier estimate.
Lifetime Data Analysis, 15, 295-315.
X. Wang (2001). Maximum weighted likelihood estimation, unpublished
doctoral dissertation, Department of Statistics, The University of British
Columbia.
See Also
MAMSE, WKME.
Examples
set.seed(2009)
# MAMSE weights for univariate data
x=list(rnorm(25),rnorm(250,.1),rnorm(100,-.1))
wx=MAMSE(x)
# Weighted Likelihood estimate for the mean (Normal model)
sum(wx*sapply(x,mean))
#MAMSE weights for copulas
rho=c(.25,.3,.15,.2)
r=2*sin(rho*pi/600)
y=list(0,0,0,0)
for(i in 1:4){
sig=matrix(c(1,r,r,1),2,2)
y[[i]]=matrix(rnorm(150),nc=2)
}
wy=MAMSE(y)
# Weighted coefficient of correlation
sum(wy*sapply(y,cor,method="spearman")[2,])
#MAMSE weights for right-censored data
z=list(0,0,0)
for(i in 1:3){
zo=rexp(100)
zc=pmin(rexp(100),rexp(100),rexp(100))
z[[i]]=cbind(pmin(zo,zc),zo<=zc)
}
MAMSE(z,.5,surv=TRUE)
allz=pmin(.5,c(z[[1]][z[[1]][,2]==1,1],z[[2]][z[[2]][,2]==1,1],
z[[3]][z[[3]][,2]==1,1]))
K=WKME(z,.5,time=sort(unique(c(0,.5,allz,allz-.0001))))
plot(K$time,K$wkme,type='l',col="blue",xlab="x",ylab="P(X<=x)",
ylim=c(0,.5))
lines(K$time,K$kme[,1],col="red")
legend(0,.5,c("Weighted Kaplan-Meier","Kaplan-Meier"),
col=c("blue","red"),lty=c(1,1))
Results
R version 3.3.1 (2016-06-21) -- "Bug in Your Hair"
Copyright (C) 2016 The R Foundation for Statistical Computing
Platform: x86_64-pc-linux-gnu (64-bit)
R is free software and comes with ABSOLUTELY NO WARRANTY.
You are welcome to redistribute it under certain conditions.
Type 'license()' or 'licence()' for distribution details.
R is a collaborative project with many contributors.
Type 'contributors()' for more information and
'citation()' on how to cite R or R packages in publications.
Type 'demo()' for some demos, 'help()' for on-line help, or
'help.start()' for an HTML browser interface to help.
Type 'q()' to quit R.
> library(MAMSE)
> png(filename="/home/ddbj/snapshot/RGM3/R_CC/result/MAMSE/MAMSE-package.Rd_%03d_medium.png", width=480, height=480)
> ### Name: MAMSE-package
> ### Title: Minimum Averaged Mean Squared Error (MAMSE) Weights.
> ### Aliases: MAMSE-package
> ### Keywords: package multivariate nonparametric survival univar
>
> ### ** Examples
>
> set.seed(2009)
>
> # MAMSE weights for univariate data
> x=list(rnorm(25),rnorm(250,.1),rnorm(100,-.1))
> wx=MAMSE(x)
>
> # Weighted Likelihood estimate for the mean (Normal model)
> sum(wx*sapply(x,mean))
[1] 0.01458792
>
> #MAMSE weights for copulas
> rho=c(.25,.3,.15,.2)
> r=2*sin(rho*pi/600)
> y=list(0,0,0,0)
> for(i in 1:4){
+ sig=matrix(c(1,r,r,1),2,2)
+ y[[i]]=matrix(rnorm(150),nc=2)
+ }
> wy=MAMSE(y)
>
> # Weighted coefficient of correlation
> sum(wy*sapply(y,cor,method="spearman")[2,])
[1] -0.01438126
>
> #MAMSE weights for right-censored data
>
> z=list(0,0,0)
> for(i in 1:3){
+ zo=rexp(100)
+ zc=pmin(rexp(100),rexp(100),rexp(100))
+ z[[i]]=cbind(pmin(zo,zc),zo<=zc)
+ }
>
> MAMSE(z,.5,surv=TRUE)
[1] 0.6862467 0.0000000 0.3137533
>
> allz=pmin(.5,c(z[[1]][z[[1]][,2]==1,1],z[[2]][z[[2]][,2]==1,1],
+ z[[3]][z[[3]][,2]==1,1]))
> K=WKME(z,.5,time=sort(unique(c(0,.5,allz,allz-.0001))))
> plot(K$time,K$wkme,type='l',col="blue",xlab="x",ylab="P(X<=x)",
+ ylim=c(0,.5))
> lines(K$time,K$kme[,1],col="red")
> legend(0,.5,c("Weighted Kaplan-Meier","Kaplan-Meier"),
+ col=c("blue","red"),lty=c(1,1))
>
>
>
>
>
> dev.off()
null device
1
>