README.md

gaplmsbk

Name of QuantLet:  gaplmsbk

Published in:      Default Prediction by Generalized Additive Partially Linear Model

Description:       'Spline-backfitted kernel estimation for component function in Generalized Addtive Partially Linear Model'

Keywords:          spline, kernel, partial, linear, estimation

Author:            Rong Liu

Submitted:         September 07 2016 by Rong Liu

Input:             x: n*p matrix y: n*1 vector

Output:            Spline-backfitted kernel estimation for component function

R Code

# Spline-backfitted kernel estimation for component function in Generalized Addtive Partially Linear Model x: n*p matrix y: n*1 vector alpha:
# the component function to be estimated xfixed: the x values for the estimation of component function initial: initial value for the
# component function to be estimated c1,c2: adjust the number of knots for spline ch: adjust the bandwidth of kernel family: provide a
# convenient way to specify the details of the models used, same as as glm in R.

gaplmsbk <- function(x, t, y, alpha, xfixed, initial, c1, c2, ch, family, thetaalphaoracle) {
    
    library("splines")
    
    
    d = ncol(x)
    n = nrow(x)
    dt = ncol(t)
    B = array(1, c(n, 1))
    N = floor(c1 * (n^(1/4)) * log(n)) + c2  #number of knots
    N = min(N, floor((n/4 - 1)/d - 1))
    
    i = 1
    while (i <= d) {
        Bi = bs(x[, i], knots = min(x[, i]) + (max(x[, i]) - min(x[, i])) * c(1:(N - 1))/N, degree = 1)
        B = cbind(B, Bi)
        i = i + 1
    }
    
    Nd = ncol(B)
    result = glm(y ~ cbind(B[, 2:Nd], t), family)
    lamda = data.matrix(result$coefficients)
    beta = lamda[(Nd + 1):(Nd + dt)]
    lamda = lamda[1:Nd]
    mhat = data.matrix(lamda[1] * B[, 1])
    chat = lamda[1]
    
    i = 1
    while (i <= d) {
        mhati = B[, ((i - 1) * N + 2):(i * N + 1)] %*% lamda[((i - 1) * N + 2):(i * N + 1)]
        chat = chat + data.matrix(colMeans(mhati))
        mhat = cbind(mhat, mhati - colMeans(mhati))
        i = i + 1
    }
    
    mhat[, 1] = chat
    xfixed = t(xfixed)
    dfixed = ncol(xfixed)
    initial = t(initial)
    mhatsbk = initial
    
    xalpha = data.matrix(x[, alpha])
    hoptalpha = sqrt(var(xalpha)) * (n^(-0.2))
    halpha = ch * hoptalpha
    ualpha = xalpha %*% array(1, c(1, dfixed)) - array(1, c(n, 1)) %*% xfixed
    kalpha = 15/16 * ((1 - (ualpha/halpha[1])^2 + abs(1 - (ualpha/halpha[1])^2))/2)^2/halpha[1]
    
    theta = rowSums(mhat) + t %*% beta
    mhatalpha = mhat[, alpha + 1]
    thetaalpha = theta - mhatalpha
    difference = 1
    delta = 1e-07
    
    i = 1
    while (i <= 20 & difference > delta) {
        thetanew = thetaalpha %*% array(1, c(1, dfixed)) + array(1, c(n, 1)) %*% mhatsbk
        lderiv1 = colSums((y %*% array(1, c(1, dfixed)) - 1/(1 + exp(-thetanew))) * kalpha)
        lderiv2 = colSums(-((exp(-thetanew)/((1 + exp(-thetanew))^2))) * kalpha)
        mhatsbki = lderiv1/lderiv2
        mhatsbk = mhatsbk - mhatsbki
        difference = max(abs(t(mhatsbki)))
        i = i + 1
    }
    
    mhatsbkoracle = initial
    differenceoracle = 1
    deltaoracle = 1e-07
    
    i = 1
    while (i <= 20 & differenceoracle > deltaoracle) {
        thetaneworacle = thetaalphaoracle %*% array(1, c(1, dfixed)) + array(1, c(n, 1)) %*% mhatsbkoracle
        lderiv1oracle = colSums((y %*% array(1, c(1, dfixed)) - 1/(1 + exp(-thetaneworacle))) * kalpha)
        lderiv2oracle = colSums(-((exp(-thetaneworacle)/((1 + exp(-thetaneworacle))^2))) * kalpha)
        mhatsbkioracle = lderiv1oracle/lderiv2oracle
        mhatsbkoracle = mhatsbkoracle - mhatsbkioracle
        differenceoracle = max(abs(t(mhatsbkioracle)))
        i = i + 1
    }
    mhatsbkalpha = cbind(t(mhatsbk), t(mhatsbkoracle))
    return(mhatsbkalpha)
    
}

automatically created on 2018-10-15