nvmix (version 0.0-3)

pnvmix: Distribution Function of Multivariate Normal Variance Mixtures

Description

Evaluating multivariate normal variance mixture distribution functions (including Student t and normal distributions).

Usage

pnvmix(upper, lower = matrix(-Inf, nrow = n, ncol = d), qmix,
      loc = rep(0, d), scale = diag(d), standardized = FALSE,
      control = list(), verbose = TRUE, ...)
pStudent(upper, lower = matrix(-Inf, nrow = n, ncol = d), df, loc = rep(0, d),
         scale = diag(d), standardized = FALSE, control = list(), verbose = TRUE)
pNorm(upper, lower = matrix(-Inf, nrow = n, ncol = d), loc = rep(0, d),
      scale = diag(d), standardized = FALSE, control = list(), verbose = TRUE)

Arguments

upper

\((n, d)\)-matrix of upper integration limits; each row represents a \(d\)-vector of upper integration limits.

lower

\((n, d)\)-matrix of lower integration limits (componentwise less than or equal to upper); each row represents a \(d\)-vector of lower integration limits.

qmix

specification of the mixing variable \(W\); see McNeil et al. (2015, Chapter 6). Supported are the following types of specification (see also the examples below):

list:

list of length at least one, where the first component is a character string specifying the base name of a distribution whose quantile function can be accessed via the prefix "q"; an example is "exp" for which "qexp" exists. If the list is of length larger than one, the remaining elements contain additional parameters of the distribution; for "exp", for example, this can be the parameter rate.

function:

function interpreted as the quantile function of the mixing variable \(W\).

df

positive degress of freedom; can also be Inf in which case the distribution is interpreted as the multivariate normal distribution with mean vector loc and covariance matrix scale.

loc

location vector of dimension \(d\); this equals the mean vector of a random vector following the specified normal variance mixture distribution if and only if the latter exists.

scale

scale matrix (a covariance matrix entering the distribution as a parameter) of dimension \((d, d)\); this equals the covariance matrix of a random vector following the specified normal variance mixture distribution divided by the expecation of the mixing variable \(W\) if and only if the former exists. scale is allowed to be singular in which case the distribution function of the singular normal variance mixture is returned.

standardized

logical indicating whether scale is assumed to be a correlation matrix.

control

list specifying algorithm specific parameters; see get_set_param().

verbose

logical indicating whether a warning is thrown if the required precision pnvmix.abstol or pnvmix.reltol as specified in the control argument has not been reached; can also be an integer in which case 0 is FALSE, 1 is TRUE and 2 stands for producing a more verbose warning (for each set of provided integration bounds).

…

additional arguments (for example, parameters) passed to the underlying mixing distribution when qmix is a character string or function.

Value

pnvmix(), pStudent() and pNorm() return a numeric \(n\)-vector with the computed probabilities and corresponding attributes "error" (error estimates of the RQMC estimator) and "numiter" (number of iterations).

Details

One should highlight that evaluating normal variance mixtures is a non-trivial tasks which, at the time of development of nvmix, was not available in R before, not even the special case of a multivariate Student t distribution for non-integer degrees of freedom, which frequently appears in applications in finance, insurance and risk management after estimating such distributions.

Note that the procedures call underlying C code. Currently, dimensions \(d\ge 16510\) are not supported for the default method sobol.

Internally, an iterative randomized Quasi-Monte Carlo (RQMC) approach is used to estimate the probabilities. It is an iterative algorithm that evaluates the integrand at a point-set (with size as specified by control$increment in the control argument) in each iteration until the pre-specified absolute error tolerance control$pnvmix.abstol (or relative error tolerance control$pnvmix.reltol which is used only when control$pnvmix.reltol = NA) is reached. The attribute "numiter" gives the number of such iterations needed. Algorithm specific parameters (such as the above mentioned control$pnvmix.abstol) can be passed as a list via control, see get_set_param() for more details. If specified error tolerances are not reached and verbose = TRUE, a warning is thrown. If provided scale is singular, pnvmix() estimates the correct probability but throws a warning if verbose = TRUE.

pStudent() and pNorm() are wrappers of pnvmix(, qmix = "inverse.gamma", df = df) and pnvmix(, qmix = "constant"), respectively. In the univariate case, the functions pt() and pnorm() are used.

References

Hintz, E., Hofert, M. and Lemieux, C. (2019), Normal variance mixtures: Distribution, density and parameter estimation. https://arxiv.org/abs/1911.03017.

McNeil, A. J., Frey, R. and Embrechts, P. (2015). Quantitative Risk Management: Concepts, Techniques, Tools. Princeton University Press.

Genz, A. and Bretz, F. (1999). Numerical computation of multivariate t-probabilities with application to power calculation of multiple contrasts. Journal of Statistical Computation and Simulation 63(4), 103--117.

Genz, A. and Bretz, F. (2002). Comparison of methods for the computation of multivariate t probabilities. Journal of Computational and Graphical Statistics 11(4), 950--971.

Genz, A. and Kwong, K. (2000). Numerical evaluation of singular multivariate normal distributions. Journal of Statistical Computation and Simulation 68(1), 1--21.

See Also

dnvmix(), rnvmix(), fitnvmix(), get_set_param()

Examples

# NOT RUN {
### Examples for pnvmix() ######################################################

## Generate a random correlation matrix in d dimensions
d <- 3
set.seed(157)
A <- matrix(runif(d * d), ncol = d)
P <- cov2cor(A %*% t(A))

## Evaluate a t_{1/2} distribution function
a <- -3 * runif(d) * sqrt(d) # random lower limit
b <-  3 * runif(d) * sqrt(d) # random upper limit
df <- 0.5 # note that this is *non-integer*
set.seed(1)
pt1 <- pnvmix(b, lower = a, qmix = "inverse.gamma", df = df, scale = P)

## Here is a version providing the quantile function of the mixing distribution
qmix <- function(u, df) 1 / qgamma(1-u, shape = df/2, rate = df/2)
mean.sqrt.mix <- sqrt(df) * gamma(df/2) / (sqrt(2) * gamma((df+1) / 2))
set.seed(1)
pt2 <- pnvmix(b, lower = a, qmix = qmix, df  = df, scale = P,
              control = list(mean.sqrt.mix = mean.sqrt.mix))

## Compare
stopifnot(all.equal(pt1, pt2, tol = 7e-4, check.attributes = FALSE))

## mean.sqrt.mix will be approximated by QMC internally if not provided,
## so the results will differ slightly.
set.seed(1)
pt3 <- pnvmix(b, lower = a, qmix = qmix, df = df, scale = P)
stopifnot(all.equal(pt3, pt1, tol = 7e-4, check.attributes = FALSE))

## Case with missing data and a matrix of lower and upper bounds
a. <- matrix(rep(a, each = 4), ncol = d)
b. <- matrix(rep(b, each = 4), ncol = d)
a.[2,1] <- NA
b.[3,2] <- NA
pt <- pnvmix(b., lower = a., qmix = "inverse.gamma", df = df, scale = P)
stopifnot(is.na(pt) == c(FALSE, TRUE, TRUE, FALSE))

## Case where upper = (Inf,..,Inf) and lower = (-Inf,...,-Inf)
stopifnot(all.equal(pnvmix(upper = rep(Inf, d), qmix = "constant"), 1,
 check.attributes = FALSE))

## An example with singular scale:
A <- matrix( c(1, 0, 0, 0,
               2, 1, 0, 0,
               3, 0, 0, 0,
               4, 1, 0, 1), ncol = 4, nrow = 4, byrow = TRUE)
scale <- A%*%t(A)
upper <- 2:5

pn <- pnvmix(upper, qmix = "constant", scale = scale) # multivariate normal
pt <- pnvmix(upper, qmix = "inverse.gamma", scale = scale, df = df) # multivariate t

stopifnot(all.equal(pn, 0.8581, tol = 1e-3, check.attributes = FALSE))
stopifnot(all.equal(pt, 0.6649, tol = 1e-3, check.attributes = FALSE))

## Evaluate a Exp(1)-mixture
## Specify the mixture distribution parameter
rate <- 1.9 # exponential rate parameter

## Method 1: Use R's qexp() function and provide a list as 'mix'
set.seed(42)
(p1 <- pnvmix(b, lower = a, qmix = list("exp", rate = rate), scale = P))

## Method 2: Define the quantile function manually (note that
##           we do not specify rate in the quantile function here,
##           but conveniently pass it via the ellipsis argument)
set.seed(42)
(p2 <- pnvmix(b, lower = a, qmix = function(u, lambda) -log(1-u)/lambda,
              scale = P, lambda = rate))

## Check
stopifnot(all.equal(p1, p2))


### Examples for pStudent() and pNorm() ########################################

## Evaluate a t_{3.5} distribution function
set.seed(271)
pt <- pStudent(b, lower = a, df = 3.5, scale = P)
stopifnot(all.equal(pt, 0.6180, tol = 5e-5, check.attributes = FALSE))

## Evaluate a normal distribution function
set.seed(271)
pn <- pNorm(b, lower = a, scale = P)
stopifnot(all.equal(pn, 0.7001, tol = 1e-4, check.attributes = FALSE))

## pStudent deals correctly with df = Inf:
set.seed(1)
p.St.dfInf <- pStudent(b, df = Inf, scale = P)
set.seed(1)
p.Norm <- pNorm(b, scale = P)
stopifnot(all.equal(p.St.dfInf, p.Norm, check.attributes = FALSE))
# }