fmx (version 0.1.2)

dfmx: Density, Distribution and Quantile of Finite Mixture Distribution

Description

Density function, distribution function, quantile function and random generation for a finite mixture distribution with normal or Tukey \(g\)-&-\(h\) components.

Usage

dfmx(
  x,
  dist,
  distname = dist@distname,
  K = dim(pars)[1L],
  pars = dist@pars,
  w = dist@w,
  ...,
  log = FALSE
)
pfmx(
  q,
  dist,
  distname = dist@distname,
  K = dim(pars)[1L],
  pars = dist@pars,
  w = dist@w,
  ...,
  lower.tail = TRUE,
  log.p = FALSE
)
qfmx(
  p,
  dist,
  distname = dist@distname,
  K = dim(pars)[1L],
  pars = dist@pars,
  w = dist@w,
  interval = qfmx_interval(dist = dist),
  ...,
  lower.tail = TRUE,
  log.p = FALSE
)
rfmx(
  n,
  dist,
  distname = dist@distname,
  K = dim(pars)[1L],
  pars = dist@pars,
  w = dist@w
)

Value

Function dfmx returns a numeric

vector of probability density values of an fmx object at specified quantiles x.

Function pfmx returns a numeric

vector of cumulative probability values of an fmx object at specified quantiles q.

Function qfmx returns an unnamed numeric

vector of quantiles of an fmx object, based on specified cumulative probabilities p.

Function rfmx generates random deviates of an fmx object.

Arguments

x, q

numeric vector, quantiles, NA_real_ value(s) allowed.

dist

fmx object, a finite mixture distribution

distname, K, pars, w

auxiliary parameters, whose default values are determined by argument dist. The user-specified vector of w does not need to sum up to 1; w/sum(w) will be used internally.

...

additional parameters

log, log.p

logical scalar. If TRUE, probabilities are given as \(\log(p)\).

lower.tail

logical scalar. If TRUE (default), probabilities are \(Pr(X\le x)\), otherwise, \(Pr(X>x)\).

p

numeric vector, probabilities.

interval

length two numeric vector, interval for root finding, see vuniroot2 and vuniroot

n

integer scalar, number of observations.

Details

A computational challenge in function dfmx is when mixture density is very close to 0, which happens when the per-component log densities are negative with big absolute values. In such case, we cannot compute the log mixture densities (i.e., -Inf), for the log-likelihood using function logLik.fmx. Our solution is to replace these -Inf log mixture densities by the weighted average (using the mixing proportions of dist) of the per-component log densities.

Function qfmx gives the quantile function, by numerically solving pfmx. One major challenge when dealing with the finite mixture of Tukey \(g\)-&-\(h\) family distribution is that Brent–Dekker's method needs to be performed in both pGH and qfmx functions, i.e. two layers of root-finding algorithm.

Examples

library(ggplot2)

(e1 = fmx('norm', mean = c(0,3), sd = c(1,1.3), w = c(1, 1)))
curve(dfmx(x, dist = e1), xlim = c(-3,7))
ggplot() + geom_function(fun = dfmx, args = list(dist = e1)) + xlim(-3,7)
ggplot() + geom_function(fun = pfmx, args = list(dist = e1)) + xlim(-3,7)
hist(rfmx(n = 1e3L, dist = e1), main = '1000 obs from e1')

x = (-3):7
round(dfmx(x, dist = e1), digits = 3L)
round(p1 <- pfmx(x, dist = e1), digits = 3L)
stopifnot(all.equal.numeric(qfmx(p1, dist = e1), x, tol = 1e-4))

(e2 = fmx('GH', A = c(0,3), g = c(.2, .3), h = c(.2, .1), w = c(2, 3)))
ggplot() + geom_function(fun = dfmx, args = list(dist = e2)) + xlim(-3,7)

round(dfmx(x, dist = e2), digits = 3L)
round(p2 <- pfmx(x, dist = e2), digits = 3L)
stopifnot(all.equal.numeric(qfmx(p2, dist = e2), x, tol = 1e-4))

(e3 = fmx('GH', g = .2, h = .01)) # one-component Tukey
ggplot() + geom_function(fun = dfmx, args = list(dist = e3)) + xlim(-3,5)
set.seed(124); r1 = rfmx(1e3L, dist = e3); 
set.seed(124); r2 = TukeyGH77::rGH(n = 1e3L, g = .2, h = .01)
stopifnot(identical(r1, r2)) # but ?rfmx has much cleaner code
round(dfmx(x, dist = e3), digits = 3L)
round(p3 <- pfmx(x, dist = e3), digits = 3L)
stopifnot(all.equal.numeric(qfmx(p3, dist = e3), x, tol = 1e-4))


a1 = fmx('GH', A = c(7,9), B = c(.8, 1.2), g = c(.3, 0), h = c(0, .1), w = c(1, 1))
a2 = fmx('GH', A = c(6,9), B = c(.8, 1.2), g = c(-.3, 0), h = c(.2, .1), w = c(4, 6))
library(ggplot2)
(p = ggplot() + 
 geom_function(fun = pfmx, args = list(dist = a1), mapping = aes(color = 'g2=h1=0')) + 
 geom_function(fun = pfmx, args = list(dist = a2), mapping = aes(color = 'g2=0')) + 
 xlim(3,15) + 
 scale_y_continuous(labels = scales::percent) +
 labs(y = NULL, color = 'models') +
 coord_flip())
p + theme(legend.position = 'none')


# to use [rfmx] without \pkg{fmx}
(d = fmx(distname = 'GH', A = c(-1,1), B = c(.9,1.1), g = c(.3,-.2), h = c(.1,.05), w = c(2,3)))
d@pars
set.seed(14123); x = rfmx(n = 1e3L, dist = d)
set.seed(14123); x_raw = rfmx(n = 1e3L,
 distname = 'GH', K = 2L,
 pars = rbind(
  c(A = -1, B = .9, g = .3, h = .1),
  c(A = 1, B = 1.1, g = -.2, h = .05)
 ), 
 w = c(.4, .6)
)
stopifnot(identical(x, x_raw))