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diff --git a/R/confint.mkinfit.R b/R/confint.mkinfit.R new file mode 100644 index 00000000..887adc9f --- /dev/null +++ b/R/confint.mkinfit.R @@ -0,0 +1,139 @@ +#' Confidence intervals for parameters of mkinfit objects +#' +#' @param object An \code{\link{mkinfit}} object +#' @param parm A vector of names of the parameters which are to be given +#' confidence intervals. If missing, all parameters are considered. +#' @param level The confidence level required +#' @param alpha The allowed error probability, overrides 'level' if specified. +#' @param method The 'profile' method searches the parameter space for the +#' cutoff of the confidence intervals by means of a likelihood ratio test. +#' The 'quadratic' method approximates the likelihood function at the +#' optimised parameters using the second term of the Taylor expansion, using +#' a second derivative (hessian) contained in the object. +#' @param transformed If the quadratic approximation is used, should it be +#' applied to the likelihood based on the transformed parameters? +#' @param backtransform If we approximate the likelihood in terms of the +#' transformed parameters, should we backtransform the parameters with +#' their confidence intervals? +#' @param distribution For the quadratic approximation, should we use +#' the student t distribution or assume normal distribution for +#' the parameter estimate +#' @param quiet Should we suppress messages? +#' @return A matrix with columns giving lower and upper confidence limits for +#' each parameter. +#' @references Pawitan Y (2013) In all likelihood - Statistical modelling and +#' inference using likelihood. Clarendon Press, Oxford. +#' @examples +#' f <- mkinfit("SFO", FOCUS_2006_C, quiet = TRUE) +#' confint(f, method = "quadratic") +#' confint(f, method = "profile") +#' @export +confint.mkinfit <- function(object, parm, + level = 0.95, alpha = 1 - level, + method = c("profile", "quadratic"), + transformed = TRUE, backtransform = TRUE, + distribution = c("student_t", "normal"), quiet = FALSE, ...) +{ + tparms <- parms(object, transformed = TRUE) + bparms <- parms(object, transformed = FALSE) + tpnames <- names(tparms) + bpnames <- names(bparms) + + return_pnames <- if (missing(parm)) { + if (backtransform) bpnames else tpnames + } else { + parm + } + + p <- length(return_pnames) + + method <- match.arg(method) + + a <- c(alpha / 2, 1 - (alpha / 2)) + + if (method == "quadratic") { + + distribution <- match.arg(distribution) + + quantiles <- switch(distribution, + student_t = qt(a, object$df.residual), + normal = qnorm(a)) + + covar_pnames <- if (missing(parm)) { + if (transformed) tpnames else bpnames + } else { + parm + } + + return_parms <- if (backtransform) bparms[return_pnames] + else tparms[return_pnames] + + covar_parms <- if (transformed) tparms[covar_pnames] + else bparms[covar_pnames] + + if (transformed) { + covar <- try(solve(object$hessian), silent = TRUE) + } else { + covar <- try(solve(object$hessian_notrans), silent = TRUE) + } + + # If inverting the covariance matrix failed or produced NA values + if (!is.numeric(covar) | is.na(covar[1])) { + ses <- lci <- uci <- rep(NA, p) + } else { + ses <- sqrt(diag(covar))[covar_pnames] + lci <- covar_parms + quantiles[1] * ses + uci <- covar_parms + quantiles[2] * ses + if (backtransform) { + lci_back <- backtransform_odeparms(lci, + object$mkinmod, object$transform_rates, object$transform_fractions) + lci <- c(lci_back, lci[names(object$errparms)]) + uci_back <- backtransform_odeparms(uci, + object$mkinmod, object$transform_rates, object$transform_fractions) + uci <- c(uci_back, uci[names(object$errparms)]) + } + } + } + + if (method == "profile") { + message("Profiling the likelihood") + lci <- uci <- rep(NA, p) + names(lci) <- names(uci) <- return_pnames + + profile_pnames <- if(missing(parm)) names(parms(object)) + else parm + + # We do two-sided intervals based on the likelihood ratio + cutoff <- 0.5 * qchisq(1 - (alpha / 2), 1) + + all_parms <- parms(object) + + for (pname in profile_pnames) + { + pnames_free <- setdiff(names(all_parms), pname) + profile_ll <- function(x) + { + pll_cost <- function(P) { + parms_cost <- all_parms + parms_cost[pnames_free] <- P[pnames_free] + parms_cost[pname] <- x + - object$ll(parms_cost) + } + - nlminb(all_parms[pnames_free], pll_cost)$objective + } + + cost <- function(x) { + (cutoff - (object$logLik - profile_ll(x)))^2 + } + + lci[pname] <- optimize(cost, lower = 0, upper = all_parms[pname])$minimum + uci[pname] <- optimize(cost, lower = all_parms[pname], upper = 15 * all_parms[pname])$minimum + } + } + + ci <- cbind(lower = lci, upper = uci) + colnames(ci) <- paste0( + format(100 * a, trim = TRUE, scientific = FALSE, digits = 3), "%") + + return(ci) +} |