quantreg.R
".First.lib" <-
function(lib, pkg) {
library.dynam("quantreg", pkg, lib)
print("quantreg library loaded")}
"bandwidth.rq" <-
function(p, n, hs = TRUE, alpha = 0.05)
{
# Bandwidth selection for sparsity estimation two flavors:
# Hall and Sheather(1988, JRSS(B)) rate = O(n^{-1/3})
# Bofinger (1975, Aus. J. Stat) -- rate = O(n^{-1/5})
# Generally speaking, default method, hs=TRUE is preferred.
PI <- pi
x0 <- qnorm(p)
f0 <- (1/sqrt(2 * PI)) * exp( - ((x0^2/2)))
if(hs == TRUE)
n^(-1/3) * qnorm(1 - alpha/2)^(2/3) * ((1.5 * f0^2)/(2 * x0^
2 + 1))^(1/3)
else n^-0.2 * ((4.5 * f0^4)/(2 * x0^2 + 1)^2)^ 0.2
}
"plot.rq.process" <-
# Function to plot estimated quantile regression process
function(x, nrow = 3, ncol = 2, ...)
{
tdim <- dim(x$sol)
p <- tdim[1] - 3
m <- tdim[2]
par(mfrow = c(nrow, ncol))
ylab <- dimnames(x$sol)[[1]]
for(i in 1:p) {
plot(x$sol[1,], x$sol[3 + i, ], xlab = "tau", ylab = ylab[3 +
i], type = "l")
}
}
"print.rqs" <-
function (x, ...)
{
if (!is.null(cl <- x$call)) {
cat("Call:\n")
dput(cl)
}
coef <- coef(x)
cat("\nCoefficients:\n")
print(coef, ...)
rank <- x$rank
nobs <- nrow(residuals(x))
p <- nrow(coef)
rdf <- nobs - p
cat("\nDegrees of freedom:", nobs, "total;", rdf, "residual\n")
if (!is.null(attr(x, "na.message")))
cat(attr(x, "na.message"), "\n")
invisible(x)
}
"print.rq" <-
function(x, ...)
{
if(!is.null(cl <- x$call)) {
cat("Call:\n")
dput(cl)
}
coef <- coef(x)
cat("\nCoefficients:\n")
print(coef, ...)
rank <- x$rank
nobs <- length(residuals(x))
if(is.matrix(coef))
p <- dim(coef)[1]
else p <- length(coef)
rdf <- nobs - p
cat("\nDegrees of freedom:", nobs, "total;", rdf, "residual\n")
if(!is.null(attr(x, "na.message")))
cat(attr(x, "na.message"), "\n")
invisible(x)
}
"print.summary.rqs" <-
function(x, ...) lapply(x,print.summary.rq)
"print.summary.rq" <-
function(x, digits = max(5, .Options$digits - 2), ...)
{
cat("\nCall: ")
dput(x$call)
coef <- x$coef
df <- x$df
rdf <- x$rdf
tau <- x$tau
cat("\ntau: ")
print(format(round(tau,digits = digits)), quote = FALSE, ...)
cat("\nCoefficients:\n")
print(format(round(coef, digits = digits)), quote = FALSE, ...)
invisible(x)
}
"ranks" <-
function(v, score = "wilcoxon", tau = 0.5)
{
A2 <- 1
if(score == "wilcoxon") {
J <- ncol(v$sol)
dt <- v$sol[1, 2:J] - v$sol[1, 1:(J - 1)]
ranks <- as.vector((0.5 * (v$dsol[, 2:J] + v$dsol[, 1:(J - 1)]) %*%
dt) - 0.5)
A2 <- 1/12
return(list(ranks=ranks, A2=A2))
}
else if(score == "normal") {
J <- ncol(v$sol)
dt <- v$sol[1, 2:J] - v$sol[1, 1:(J - 1)]
dphi <- c(0, dnorm(qnorm(v$sol[1, 2:(J - 1)])), 0)
dphi <- diff(dphi)
ranks <- as.vector((((v$dsol[, 2:J] - v$dsol[, 1:(J - 1)]))) %*%
(dphi/dt))
return(list(ranks=ranks, A2=A2))
}
else if(score == "sign") {
j.5 <- sum(v$sol[1, ] < 0.5)
w <- (0.5 - v$sol[1, j.5])/(v$sol[1, j.5 + 1] - v$sol[1, j.5])
r <- w * v$dsol[, j.5 + 1] + (1 - w) * v$dsol[, j.5]
ranks <- 2 * r - 1
return(list(ranks=ranks, A2=A2))
}
else if(score == "tau") {
j.tau <- sum(v$sol[1, ] < tau)
w <- (tau - v$sol[1, j.tau])/(v$sol[1, j.tau + 1] - v$sol[
1, j.tau])
r <- w * v$dsol[, j.tau + 1] + (1 - w) * v$dsol[, j.tau]
ranks <- r - (1-tau)
A2 <- tau * (1-tau)
return(list(ranks=ranks, A2=A2))
}
else if(score == "interquartile") {
j.25 <- sum(v$sol[1, ] < 0.25)
w <- (0.25 - v$sol[1, j.25])/(v$sol[1, j.25 + 1] - v$sol[1,
j.25])
r.25 <- w * v$dsol[, j.25 + 1] + (1 - w) * v$dsol[, j.25]
j.75 <- sum(v$sol[1, ] < 0.75)
w <- (0.75 - v$sol[1, j.75])/(v$sol[1, j.75 + 1] - v$sol[1,
j.75])
r.75 <- w * v$dsol[, j.75 + 1] + (1 - w) * v$dsol[, j.75]
ranks <- 0.5 + r.75 - r.25
A2 <- 1/4
return(list(ranks=ranks, A2=A2))
}
else stop("invalid score function")
}
"rq" <-
function (formula, tau = 0.5, data, weights, na.action, method = "br",
model = TRUE, contrasts = NULL, ...)
{
call <- match.call()
mf <- match.call(expand.dots = FALSE)
m <- match(c("formula", "data", "weights", "na.action"), names(mf), 0)
mf <- mf[c(1,m)]
mf$drop.unused.levels <- TRUE
mf[[1]] <- as.name("model.frame")
mf <- eval.parent(mf)
if(method == "model.frame")return(mf)
mt <- attr(mf, "terms")
weights <- model.weights(mf)
Y <- model.response(mf)
X <- model.matrix(mt, mf, contrasts)
if(length(tau)>1){
if(any(tau <0) || any(tau >1)) stop("invalid taus")
coef <- matrix(0,ncol(X),length(tau))
resid <- matrix(0,nrow(X),length(tau))
for(i in 1:length(tau)){
z <- {if (length(weights))
rq.wfit(X, Y, tau = tau[i], weights, method, ...)
else rq.fit(X, Y, tau = tau[i], method, ...)
}
coef[,i] <- z$coefficients
resid[,i] <- z$residuals
}
taulabs <- paste("tau=",format(round(tau,3)))
dimnames(coef) <- list(dimnames(X)[[2]],taulabs)
dimnames(resid) <- list(dimnames(X)[[1]],taulabs)
fit <- list(coefficients = coef, residuals = resid)
class(fit) <- "rqs"
}
else{
process <- (tau < 0 || tau > 1)
fit <- {
if (length(weights))
rq.wfit(X, Y, tau = tau, weights, method, ...)
else rq.fit(X, Y, tau = tau, method, ...)
}
class(fit) <- ifelse(process, "rq.process", "rq")
}
fit$formula <- formula
fit$terms <- mt
fit$call <- call
fit$tau <- tau
attr(fit, "na.message") <- attr(m, "na.message")
if(model) fit$model <- mf
fit
}
"rq.fit" <-
function(x, y, tau = 0.5, method = "br", ...)
{
fit <- switch(method,
fn = rq.fit.fn(x, y, tau = tau, ...),
fnb = rq.fit.fnb(x, y, tau = tau, ...),
fnc = rq.fit.fnc(x, y, tau = tau, ...),
pfn = rq.fit.pfn(x, y, tau = tau, ...),
br = rq.fit.br(x, y, tau = tau, ...),
{
what <- paste("rq.fit.", method, sep = "")
if(exists(what, mode = "function"))
(get(what, mode = "function"))(x, y, ...)
else stop(paste("unimplemented method:", method))
}
)
fit$contrasts <- attr(x, "contrasts")
fit
}
# Function to compute regression quantiles using original simplex approach
# of Barrodale-Roberts/Koenker-d'Orey. There are several options.
# The options are somewhat different than those available for the Frisch-
# Newton version of the algorithm, reflecting the different natures of the
# problems typically solved. Succintly BR for "small" problems, FN for
# "large" ones. Obviously, these terms are conditioned by available hardware.
#
# Basically there are two modes of use:
# 1. For Single Quantiles:
#
# if tau is between 0 and 1 then only one quantile solution is computed.
#
# if ci = FALSE then just the point estimate and residuals are returned
# If the column dimension of x is 1 then ci is set to FALSE since
# since the rank inversion method has no proper null model.
# if ci = TRUE then there are two options for confidence intervals:
#
# 1. if iid = TRUE we get the original version of the rank
# inversion intervals as in Koenker (1994)
# 2. if iid = FALSE we get the new version of the rank inversion
# intervals which accounts for heterogeneity across
# observations in the conditional density of the response.
# The theory of this is described in Koenker-Machado(1999)
# Both approaches involve solving a parametric linear programming
# problem, the difference is only in the factor qn which
# determines how far the PP goes. In either case one can
# specify two other options:
# 1. interp = FALSE returns two intervals an upper and a
# lower corresponding to a level slightly
# above and slightly below the one specified
# by the parameter alpha and dictated by the
# essential discreteness in the test statistic.
# interp = TRUE returns a single interval based on
# linear interpolation of the two intervals
# returned: c.values and p.values which give
# the critical values and p.values of the
# upper and lower intervals. Default: interp = TRUE.
# 2. tcrit = TRUE uses Student t critical values while
# tcrit = FALSE uses normal theory ones.
# 2. For Multiple Quantiles:
#
# if tau < 0 or tau >1 then it is presumed that the user wants to find
# all of the rq solutions in tau, and the program computes the whole
# quantile regression solution as a process in tau, the resulting arrays
# containing the primal and dual solutions, betahat(tau), ahat(tau)
# are called sol and dsol. These arrays aren't printed by the default
# print function but they are available as attributes.
# It should be emphasized that this form of the solution can be
# both memory and cpu quite intensive. On typical machines it is
# not recommended for problems with n > 10,000.
# In large problems a grid of solutions is probably sufficient.
#
rq.fit.br <-
function (x, y, tau = 0.5, alpha = 0.1, ci = FALSE, iid = TRUE, interp = TRUE, tcrit = TRUE)
{
tol <- .Machine$double.eps^(2/3)
eps <- tol
big <- .Machine$double.xmax
x <- as.matrix(x)
p <- ncol(x)
n <- nrow(x)
nsol <- 2
ndsol <- 2
if (tau < 0 || tau > 1) {
nsol <- 3 * n
ndsol <- 3 * n
lci1 <- FALSE
qn <- rep(0, p)
cutoff <- 0
tau <- -1
}
else {
if (p == 1)
ci <- FALSE
if (ci) {
lci1 <- TRUE
if (tcrit)
cutoff <- qt(1 - alpha/2, n - p)
else cutoff <- qnorm(1 - alpha/2)
if (!iid) {
h <- bandwidth.rq(tau, n, hs = TRUE)
bhi <- rq.fit.br(x, y, tau + h, ci = FALSE)
bhi <- coefficients(bhi)
blo <- rq.fit.br(x, y, tau - h, ci = FALSE)
blo <- coefficients(blo)
dyhat <- x %*% (bhi - blo)
if (any(dyhat <= 0)) {
pfis <- (100 * sum(dyhat <= 0))/n
warning(paste(pfis, "percent fis <=0"))
}
f <- pmax(eps, (2 * h)/(dyhat - eps))
qn <- rep(0, p)
for (j in 1:p) {
qnj <- lm(x[, j] ~ x[, -j] - 1, weights = f)$resid
qn[j] <- sum(qnj * qnj)
}
}
else qn <- 1/diag(solve(crossprod(x)))
}
else {
lci1 <- FALSE
qn <- rep(0, p)
cutoff <- 0
}
}
z <- .Fortran("rqbr", as.integer(n), as.integer(p), as.integer(n +
5), as.integer(p + 3), as.integer(p + 4), as.double(x),
as.double(y), as.double(tau), as.double(tol), flag = as.integer(1),
coef = double(p), resid = double(n), integer(n), double((n +
5) * (p + 4)), double(n), as.integer(nsol), as.integer(ndsol),
sol = double((p + 3) * nsol), dsol = double(n * ndsol),
lsol = as.integer(0), h = integer(p * nsol), qn = as.double(qn),
cutoff = as.double(cutoff), ci = double(4 * p), tnmat = double(4 *
p), as.double(big), as.logical(lci1), PACKAGE = "quantreg")
if (z$flag != 0)
warning(switch(z$flag, "Solution may be nonunique", "Premature end - possible conditioning problem in x"))
if (tau < 0 || tau > 1) {
sol <- matrix(z$sol[1:((p + 3) * z$lsol)], p + 3)
dsol <- matrix(z$dsol[1:(n * z$lsol)], n)
vnames <- dimnames(x)[[2]]
dimnames(sol) <- list(c("tau", "Qbar", "Obj.Fun", vnames),
NULL)
return(list(sol = sol, dsol = dsol))
}
if (!ci) {
coef <- z$coef
names(coef) <- dimnames(x)[[2]]
return(list(coefficients = coef, x = x, y = y, residuals = z$resid))
}
if (interp) {
Tn <- matrix(z$tnmat, nrow = 4)
Tci <- matrix(z$ci, nrow = 4)
Tci[3, ] <- Tci[3, ] + (abs(Tci[4, ] - Tci[3, ]) * (cutoff -
abs(Tn[3, ])))/abs(Tn[4, ] - Tn[3, ])
Tci[2, ] <- Tci[2, ] - (abs(Tci[1, ] - Tci[2, ]) * (cutoff -
abs(Tn[2, ])))/abs(Tn[1, ] - Tn[2, ])
Tci[2, ][is.na(Tci[2, ])] <- -big
Tci[3, ][is.na(Tci[3, ])] <- big
coefficients <- cbind(z$coef, t(Tci[2:3, ]))
vnames <- dimnames(x)[[2]]
cnames <- c("coefficients", "lower bd", "upper bd")
dimnames(coefficients) <- list(vnames, cnames)
residuals <- z$resid
return(list(coefficients = coefficients, residuals = residuals))
}
else {
Tci <- matrix(z$ci, nrow = 4)
coefficients <- cbind(z$coef, t(Tci))
residuals <- z$resid
vnames <- dimnames(x)[[2]]
cnames <- c("coefficients", "lower bound", "Lower Bound",
"upper bd", "Upper Bound")
dimnames(coefficients) <- list(vnames, cnames)
c.values <- t(matrix(z$tnmat, nrow = 4))
c.values <- c.values[, 4:1]
dimnames(c.values) <- list(vnames, cnames[-1])
p.values <- if (tcrit)
matrix(pt(c.values, n - p), ncol = 4)
else matrix(pnorm(c.values), ncol = 4)
dimnames(p.values) <- list(vnames, cnames[-1])
list(coefficients = coefficients, residuals = residuals,
c.values = c.values, p.values = p.values)
}
}
"rq.fit.fn" <-
function (x, y, tau = 0.5, beta = 0.99995, eps = 1e-06)
{
n <- length(y)
p <- ncol(x)
if (n != nrow(x))
stop("x and y don't match n")
if (tau < eps || tau > 1 - eps)
stop("No parametric Frisch-Newton method. Set tau in (0,1)")
rhs <- (1 - tau) * apply(x, 2, sum)
d <- rep(1,n)
u <- rep(1,n)
wn <- rep(0,10*n)
wn[1:n] <- (1-tau) #initial value of dual solution
z <- .Fortran("rqfn", as.integer(n), as.integer(p), a = as.double(t(as.matrix(x))),
c = as.double(-y), rhs = as.double(rhs), d = as.double(d),as.double(u),
beta = as.double(beta), eps = as.double(eps),
wn = as.double(wn), wp = double((p + 3) * p), aa = double(p *
p), it.count = integer(2), info = integer(1),PACKAGE= "quantreg")
if (z$info != 0)
stop(paste("Error info = ", z$info, "in stepy: singular design"))
coefficients <- -z$wp[1:p]
names(coefficients) <- dimnames(x)[[2]]
residuals <- y - x %*% coefficients
list(coefficients=coefficients, tau=tau, residuals=residuals)
}
"rq.fit.fnb" <-
function (x, y, tau = 0.5, beta = 0.99995, eps = 1e-06)
{
n <- length(y)
p <- ncol(x)
if (n != nrow(x))
stop("x and y don't match n")
if (tau < eps || tau > 1 - eps)
stop("No parametric Frisch-Newton method. Set tau in (0,1)")
rhs <- (1 - tau) * apply(x, 2, sum)
d <- rep(1,n)
u <- rep(1,n)
wn <- rep(0,10*n)
wn[1:n] <- (1-tau) #initial value of dual solution
z <- .Fortran("rqfnb", as.integer(n), as.integer(p), a = as.double(t(as.matrix(x))),
c = as.double(-y), rhs = as.double(rhs), d = as.double(d),as.double(u),
beta = as.double(beta), eps = as.double(eps),
wn = as.double(wn), wp = double((p + 3) * p),
it.count = integer(2), info = integer(1),PACKAGE= "quantreg")
if (z$info != 0)
stop(paste("Error info = ", z$info, "in stepy: singular design"))
coefficients <- -z$wp[1:p]
names(coefficients) <- dimnames(x)[[2]]
residuals <- y - x %*% coefficients
list(coefficients=coefficients, tau=tau, residuals=residuals)
}
"rq.fit.fnc" <-
function (x, y, R, r, tau = 0.5, beta = 0.9995, eps = 1e-06)
{
n1 <- length(y)
n2 <- length(r)
p <- ncol(x)
if (n1 != nrow(x))
stop("x and y don't match n1")
if (n2 != nrow(R))
stop("R and r don't match n2")
if (p != ncol(R))
stop("R and x don't match p")
if (tau < eps || tau > 1 - eps)
stop("No parametric Frisch-Newton method. Set tau in (0,1)")
rhs <- (1 - tau) * apply(x, 2, sum)
u <- rep(1, n1) #upper bound vector
wn1 <- rep(0, 9 * n1)
wn1[1:n1] <- (1 - tau) #store the values of x1
wn2 <- rep(0, 6 * n2)
wn2[1:n2] <- 1 #store the values of x2
z <- .Fortran("rqfnc", as.integer(n1), as.integer(n2), as.integer(p),
a1 = as.double(t(as.matrix(x))), c1 = as.double(-y),
a2 = as.double(t(as.matrix(R))), c2 = as.double(-r),
rhs = as.double(rhs), d1 = double(n1), d2 = double(n2),
as.double(u), beta = as.double(beta), eps = as.double(eps),
wn1 = as.double(wn1), wn2 = as.double(wn2), wp = double((p + 3) * p),
it.count = integer(2), info = integer(1),PACKAGE= "quantreg")
if (z$info != 0)
stop(paste("Error info = ", z$info, "in stepy2: singular design"))
coefficients <- -z$wp[1:p]
names(coefficients) <- dimnames(x)[[2]]
residuals <- y - x %*% coefficients
it.count <- z$it.count
list(coefficients=coefficients, tau=tau, residuals=residuals)
}
"rq.fit.pfn" <-
# This is an implementation (purely in R) of the preprocessing phase
# of the rq algorithm described in Portnoy and Koenker, Statistical
# Science, (1997) 279-300. In this implementation it can be used
# as an alternative method for rq() by specifying method="pfn"
# It should probably be used only on very large problems and then
# only with some caution. Very large in this context means roughly
# n > 100,000. The options are described in the paper, and more
# explicitly in the code. Again, it would be nice perhaps to have
# this recoded in a lower level language, but in fact this doesn't
# seem to make a huge difference in this case since most of the work
# is already done in the rq.fit.fn calls.
#
function(x, y, tau = 0.5, Mm.factor = 0.8,
max.bad.fixup = 3, eps = 1e-6)
{
#rq function for n large --
n <- length(y)
if(nrow(x) != n)
stop("x and y don't match n")
if(tau < 0 | tau > 1)
stop("tau outside (0,1)")
p <- ncol(x)
m <- round(((p + 1) * n)^(2/3))
not.optimal <- TRUE
while(not.optimal) {
if(m < n)
s <- sample(n, m)
else {
z <- rq.fit.fn(x, y, tau = tau, eps = eps)
list(coef = z$coef)
}
xx <- x[s, ]
yy <- y[s]
z <- rq.fit.fn(xx, yy, tau = tau, eps = eps)
xxinv <- solve(chol(crossprod(xx)))
band <- sqrt(((x %*% xxinv)^2) %*% rep(1, p))
#sqrt(h<-ii)
r <- y - x %*% z$coef
M <- Mm.factor * m
lo.q <- max(1/n, tau - M/(2 * n))
hi.q <- min(tau + M/(2 * n), (n - 1)/n)
kappa <- quantile(r/pmax(eps, band), c(lo.q, hi.q))
sl <- r < band * kappa[1]
su <- r > band * kappa[2]
bad.fixup <- 0
while(not.optimal & (bad.fixup < max.bad.fixup)) {
xx <- x[!su & !sl, ]
yy <- y[!su & !sl]
if(any(sl)) {
glob.x <- c(t(x[sl, , drop = FALSE]) %*% rep(
1, sum(sl)))
glob.y <- sum(y[sl])
xx <- rbind(xx, glob.x)
yy <- c(yy, glob.y)
}
if(any(su)) {
ghib.x <- c(t(x[su, , drop = FALSE]) %*% rep(
1, sum(su)))
ghib.y <- sum(y[su])
xx <- rbind(xx, ghib.x)
yy <- c(yy, ghib.y)
}
z <- rq.fit.fn(xx, yy, tau = tau, eps = eps)
b <- z$coef
r <- y - x %*% b
su.bad <- (r < 0) & su
sl.bad <- (r > 0) & sl
if(any(c(su.bad, sl.bad))) {
if(sum(su.bad | sl.bad) > 0.10000000000000001 *
M) {
warning("Too many fixups: doubling m")
m <- 2 * m
break
}
su <- su & !su.bad
sl <- sl & !sl.bad
bad.fixup <- bad.fixup + 1
}
else not.optimal <- FALSE
}
}
coefficients <- b
names(coefficients) <- dimnames(x)[[2]]
residuals <- y - x %*% b
return(list(coefficients=coefficients, tau=tau,
residuals=residuals))
}
"rq.wfit" <-
function(x, y, tau = 0.5, weights, method = "br", ...)
{
if(any(weights < 0))
stop("negative weights not allowed")
contr <- attr(x, "contrasts")
x <- x * weights
y <- y * weights
fit <- switch(method,
fn = rq.fit.fn(x, y, tau = tau, ...),
br = rq.fit.br(x, y, tau = tau, ...),
fnc = rq.fit.fnc(x, y, tau = tau, ...),
pfn = rq.fit.pfn(x, y, tau = tau, ...), {
what <- paste("rq.fit.", method, sep = "")
if(exists(what, mode = "function"))
(get(what, mode = "function"))(x, y, ...)
else stop(paste("unimplemented method:", method))
}
)
fit$contrasts <- attr(x, "contrasts")
fit
}
"rrs.test" <-
function(x0, x1, y, v, score = "wilcoxon")
{
if(missing(v) || is.null(v$dsol))
v <- rq(y ~ x0, tau = -1)
r <- ranks(v, score)
x1hat <- as.matrix(qr.resid(qr(cbind(1, x0)), x1))
sn <- as.matrix(t(x1hat) %*% r$ranks)
sn <- t(sn) %*% solve(crossprod(x1hat)) %*% sn/r$A2
ranks <- r$ranks
return(list(sn=sn, ranks=ranks))
}
"summary.rqs" <-
function (object, ...) {
taus <- object$tau
xsum <- as.list(taus)
for(i in 1:length(taus)){
xi <- object
xi$coefficients <- xi$coefficients[,i]
xi$residuals <- xi$residuals[,i]
xi$tau <- xi$tau[i]
class(xi) <- "rq"
xsum[[i]] <- summary(xi, ...)
}
class(xsum) <- "summary.rqs"
mt <- terms(object)
m <- model.frame(object)
y <- model.response(m)
x <- model.matrix(mt,m,contrasts = object$contrasts)
xsum$olscoefs <- coef(summary(lm(y~x)))
xsum
}
"summary.rq" <-
# This function provides methods for summarizing the output of the
# rq command. In this instance, "summarizing" means essentially provision
# of either standard errors, or confidence intervals for the rq coefficents.
# Since the preferred method for confidence intervals is currently the
# rank inversion method available directly from rq() by setting ci=TRUE, with br=TRUE.
# these summary methods are intended primarily for comparison purposes
# and for use on large problems where the parametric programming methods
# of rank inversion are prohibitively memory/time consuming. Eventually
# iterative versions of rank inversion should be developed that would
# employ the Frisch-Newton approach.
#
# Object is the result of a call to rq(), and the function returns a
# table of coefficients, standard errors, "t-statistics", and p-values, and, if
# covariance=TRUE a structure describing the covariance matrix of the coefficients,
# i.e. the components of the Huber sandwich.
#
# There are five options for "se":
#
# 1. "rank" strictly speaking this doesn't produce a "standard error"
# at all instead it produces a coefficient table with confidence
# intervals for the coefficients based on inversion of the
# rank test described in GJKP and Koenker (1994).
# 2. "iid" which presumes that the errors are iid and computes
# an estimate of the asymptotic covariance matrix as in KB(1978).
# 3. "nid" which presumes local (in tau) linearity (in x) of the
# the conditional quantile functions and computes a Huber
# sandwich estimate using a local estimate of the sparsity.
# 4. "ker" which uses a kernel estimate of the sandwich as proposed
# by Powell.
# 5. "boot" which uses a bootstrap method:
# "xy" uses xy-pair method
# "pwy" uses the parzen-wei-ying method
# "mcmb" uses the Markov chain marginal bootstrap method
#
#
function (object, se = "nid", covariance = TRUE, hs = TRUE, ...)
{
mt <- terms(object)
m <- model.frame(object)
y <- model.response(m)
x <- model.matrix(mt,m,contrasts = object$contrasts)
wt <- model.weights(m)
tau <- object$tau
eps <- .Machine$double.eps^(2/3)
coef <- coefficients(object)
if (is.matrix(coef))
coef <- coef[, 1]
vnames <- dimnames(x)[[2]]
resid <- object$residuals
n <- length(resid)
p <- length(coef)
rdf <- n - p
if (!is.null(wt)) {
resid <- resid * wt
x <- x * wt
y <- y * wt
}
if (missing(se)) {
if (n < 1001)
se <- "rank"
else se <- "nid"
}
if (se == "rank") {
f <- rq.fit.br(x, y, tau = tau, ci = TRUE, ...)
}
if (se == "iid") {
xxinv <- diag(p)
xxinv <- backsolve(qr(x)$qr[1:p, 1:p], xxinv)
xxinv <- xxinv %*% t(xxinv)
pz <- sum(abs(resid) < eps)
h <- max(p + 1, ceiling(n * bandwidth.rq(tau, n, hs = hs)))
ir <- (pz + 1):(h + pz + 1)
ord.resid <- sort(resid[order(abs(resid))][ir])
xt <- ir/(n - p)
sparsity <- rq(ord.resid ~ xt)$coef[2, 1]
cov <- sparsity^2 * xxinv * tau * (1 - tau)
serr <- sqrt(diag(cov))
}
else if (se == "nid") {
h <- bandwidth.rq(tau, n, hs = hs)
if (tau + h > 1)
stop("tau + h > 1: error in summary.rq")
if (tau - h < 0)
stop("tau - h < 0: error in summary.rq")
bhi <- rq.fit.fn(x, y, tau = tau + h)$coef
blo <- rq.fit.fn(x, y, tau = tau - h)$coef
dyhat <- x %*% (bhi - blo)
if (any(dyhat <= 0))
warning(paste(sum(dyhat <= 0), "non-positive fis"))
f <- pmax(0, (2 * h)/(dyhat - eps))
fxxinv <- diag(p)
fxxinv <- backsolve(qr(sqrt(f) * x)$qr[1:p, 1:p], fxxinv)
fxxinv <- fxxinv %*% t(fxxinv)
cov <- tau * (1 - tau) * fxxinv %*% crossprod(x) %*%
fxxinv
serr <- sqrt(diag(cov))
}
else if (se == "ker") {
h <- bandwidth.rq(tau, n, hs = hs)
if (tau + h > 1)
stop("tau + h > 1: error in summary.rq")
if (tau - h < 0)
stop("tau - h < 0: error in summary.rq")
h <- qnorm(tau + h) - qnorm(tau - h)
uhat <- c(y - x %*% coef)
f <- dnorm(uhat/h)/h
fxxinv <- diag(p)
fxxinv <- backsolve(qr(sqrt(f) * x)$qr[1:p, 1:p], fxxinv)
fxxinv <- fxxinv %*% t(fxxinv)
cov <- tau * (1 - tau) * fxxinv %*% crossprod(x) %*%
fxxinv
serr <- sqrt(diag(cov))
}
else if (se == "boot") {
B <- boot.rq(x, y, tau, ...)
cov <- cov(B)
serr <- sqrt(diag(cov))
}
if( se == "rank"){
coef <- f$coef
}
else {
coef <- array(coef, c(p, 4))
dimnames(coef) <- list(vnames, c("Value", "Std. Error", "t value",
"Pr(>|t|)"))
coef[, 2] <- serr
coef[, 3] <- coef[, 1]/coef[, 2]
coef[, 4] <- if (rdf > 0)
2 * (1 - pt(abs(coef[, 3]), rdf))
else NA
}
object <- object[c("call", "terms")]
if (covariance == TRUE) {
object$cov <- cov
if (se %in% c("nid", "ker")) {
object$Hinv <- fxxinv
object$J <- crossprod(x)
}
else if (se == "boot") {
object$B <- B
}
}
object$coefficients <- coef
object$rdf <- rdf
object$tau <- tau
class(object) <- "summary.rq"
object
}
"akj" <-
function(x, z = seq(min(x), max(x), , 2 * length(x)),
p = rep(1, length(x))/ length(x), h = 0, alpha = 0.5, kappa = 0.9,
iker1 = 1, iker2 = 1)
{
nx <- length(x)
nz <- length(z)
x <- sort(x)
A <- .Fortran("akj",
as.double(x),
as.double(z),
as.double(p),
as.integer(iker1),
dens = double(nz),
psi = double(nz),
score = double(nz),
as.integer(nx),
as.integer(nz),
h = as.double(h),
as.double(alpha),
as.double(kappa),
double(nx),
PACKAGE = "quantreg")
dens <- A$dens
psi <- A$psi
score <- A$score
h <- A$h
return(list(dens=dens, psi=psi, score=score, h=h))
}
"lm.fit.recursive" <-
function(X, y, int = TRUE)
{
if(int)
X <- cbind(1, X)
p <- ncol(X)
n <- nrow(X)
D <- qr(X[1:p, ])
A <- qr.coef(D, diag(p))
A[is.na(A)] <- 0
A <- crossprod(t(A))
Ax <- rep(0, p)
b <- matrix(0, p, n)
b[, p] <- qr.coef(D, y[1:p])
b[is.na(b)] <- 0
z <- .Fortran( "rls",
as.integer(n),
as.integer(p),
as.double(t(X)),
as.double(y),
b = as.double(b),
as.double(A),
as.double(Ax),
PACKAGE = "quantreg")
bhat <- matrix(z$b, p, n)
return(bhat)
}