R Under development (unstable) (2023-12-17 r85691 ucrt) -- "Unsuffered Consequences"
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> library("tram")
Loading required package: mlt
Loading required package: basefun
Loading required package: variables
Loading required package: mvtnorm
> library("mvtnorm")
> library("multcomp")
Loading required package: survival
Loading required package: TH.data
Loading required package: MASS

Attaching package: 'TH.data'

The following object is masked from 'package:MASS':

    geyser

> library("sandwich")
> 
> options(digits = 2)
> 
> set.seed(25)
> chk <- function(...) all.equal(..., tol = 1e-3, check.attributes = FALSE)
> 
> OR <- 1
> 
> J <- 4
> N <- 100
> S <- cov2cor(tcrossprod(matrix(runif(J * J), ncol = J)))
> y <- rmvnorm(N, sigma = S)
> u <- as.data.frame(plogis(y))
> x <- runif(N)
> d <- cbind(u, x)
> un <- colnames(d)[1:J]
> 
> m <- lapply(un, function(i)
+     BoxCox(as.formula(paste(i, "~ x")), data = d, bounds = c(0, 1), support = c(0, 1), order = OR))
> m$data <- d
> m$formula <- ~ 1
> mm <- do.call("mmlt", m)
> 
> chk(c(logLik(mm)), sum(predict(mm, newdata = d, type = "density", log = TRUE)))
[1] TRUE
> L <- as.array(coef(mm, type = "Lambda"))[,,1]
> chk(as.array(coef(mm, type = "Lambdainv"))[,,1], solve(L))
[1] TRUE
> chk(as.array(coef(mm, type = "Sigma"))[,,1], tcrossprod(solve(L)))
[1] TRUE
> chk(as.array(coef(mm, type = "Cor"))[,,1], cov2cor(tcrossprod(solve(L))))
[1] TRUE
> 
> chk(colSums(estfun(mm)), mm$score(coef(mm, type = "all")))
[1] TRUE
> 
> ### marginal normal
> m$conditional <- FALSE
> mmN <- do.call("mmlt", m)
> 
> chk(logLik(mm), logLik(mmN))
[1] TRUE
> chk(c(logLik(mmN)), sum(predict(mmN, newdata = d, type = "density", log = TRUE)))
[1] TRUE
> 
> cf1 <- do.call("c", lapply(m[1:J], function(x) coef(as.mlt(x))))
> cf2 <- coef(mmN)[1:length(cf1)]
> # cbind(cf1, cf2)
> 
> sd1 <- sqrt(do.call("c", lapply(m[1:J], function(x) diag(vcov(as.mlt(x))))))
> sd2 <- sqrt(diag(vcov(mmN)))[1:length(sd1)]
> 
> # cbind(sd1, sd2)
> vcov(mmN)["V1.x", "V4.x"]
[1] 0.054
> 
> 
> chk(as.array(coef(mm, type = "Lambda"))[,,1], 
+     as.array(coef(mmN, type = "Lambda"))[,,1])
[1] TRUE
> chk(as.array(coef(mm, type = "Lambdainv"))[,,1], 
+     as.array(coef(mmN, type = "Lambdainv"))[,,1])
[1] TRUE
> chk(as.array(coef(mm, type = "Sigma"))[,,1], 
+     as.array(coef(mmN, type = "Sigma"))[,,1])
[1] TRUE
> chk(as.array(coef(mm, type = "Spearman"))[,,1], 
+     as.array(coef(mmN, type = "Spearman"))[,,1])
[1] TRUE
> 
> chk(predict(mm, newdata = d, type = "density", log = TRUE), 
+     predict(mmN, newdata = d, type = "density", log = TRUE))
[1] TRUE
> chk(predict(mm, newdata = d, type = "distribution", log = TRUE), 
+     predict(mmN, newdata = d, type = "distribution", log = TRUE))
[1] TRUE
> 
> chk(predict(mm, newdata = d, margins = 1:2, type = "density", log = TRUE), 
+     predict(mmN, newdata = d, margins = 1:2, type = "density", log = TRUE))
[1] TRUE
> chk(predict(mm, newdata = d, margins = 1:2, type = "distribution", log = TRUE), 
+     predict(mmN, newdata = d, margins = 1:2, type = "distribution", log = TRUE))
[1] TRUE
> chk(predict(mm, newdata = d, margins = 1:3, type = "density", log = TRUE), 
+     predict(mmN, newdata = d, margins = 1:3, type = "density", log = TRUE))
[1] TRUE
> chk(predict(mm, newdata = d, margins = 1:3, type = "distribution", log = TRUE), 
+     predict(mmN, newdata = d, margins = 1:3, type = "distribution", log = TRUE))
[1] TRUE
> 
> chk(sapply(1:J, function(i) predict(mm, margins = i, newdata = d, type = "density", log = TRUE)),
+     sapply(1:J, function(i) predict(mmN, margins = i, newdata = d, type = "density", log = TRUE)))
[1] TRUE
> 
> ### check marginal predictions
> m1 <- m[[1]]
> m2 <- do.call("mmlt", m[-(3:4)])
> m3 <- do.call("mmlt", m[-4])
> 
> ### we expect differences here
> if (FALSE) {
+ chk(c(predict(m1, newdata = d, type = "density", log = TRUE)), 
+     c(predict(mmN, newdata = d, margins = 1, type = "density", log = TRUE)))
+ chk(predict(m2, newdata = d, margins = 1:2, type = "density", log = TRUE), 
+     predict(mmN, newdata = d, margins = 1:2, type = "density", log = TRUE))
+ chk(predict(m2, newdata = d, margins = 1:2, type = "distribution", log = TRUE), 
+     predict(mmN, newdata = d, margins = 1:2, type = "distribution", log = TRUE))
+ chk(predict(m3, newdata = d, margins = 1:3, type = "density", log = TRUE), 
+     predict(mmN, newdata = d, margins = 1:3, type = "density", log = TRUE))
+ chk(predict(m3, newdata = d, margins = 1:3, type = "distribution", log = TRUE), 
+     predict(mmN, newdata = d, margins = 1:3, type = "distribution", log = TRUE))
+ }
> 
> ### marginal normal, implemented differently
> for (j in 1:J) m[[j]]$todistr$name <- "CarlFriedrich"
> mmN <- do.call("mmlt", m)
> 
> chk(logLik(mm), logLik(mmN))
[1] TRUE
> chk(c(logLik(mmN)), sum(predict(mmN, newdata = d, type = "density", log = TRUE)))
[1] TRUE
> 
> cf1 <- do.call("c", lapply(m[1:J], function(x) coef(as.mlt(x))))
> cf2 <- coef(mmN)[1:length(cf1)]
> # cbind(cf1, cf2)
> 
> sd1 <- sqrt(do.call("c", lapply(m[1:J], function(x) diag(vcov(as.mlt(x))))))
> sd2 <- sqrt(diag(vcov(mmN)))[1:length(sd1)]
> 
> # cbind(sd1, sd2)
> vcov(mmN)["V1.x", "V4.x"]
[1] 0.054
> 
> chk(as.array(coef(mm, type = "Lambda"))[,,1], 
+     as.array(coef(mmN, type = "Lambda"))[,,1])
[1] TRUE
> chk(as.array(coef(mm, type = "Lambdainv"))[,,1], 
+     as.array(coef(mmN, type = "Lambdainv"))[,,1])
[1] TRUE
> chk(as.array(coef(mm, type = "Sigma"))[,,1], 
+     as.array(coef(mmN, type = "Sigma"))[,,1])
[1] TRUE
> chk(as.array(coef(mm, type = "Spearman"))[,,1], 
+     as.array(coef(mmN, type = "Spearman"))[,,1])
[1] TRUE
> 
> chk(predict(mm, newdata = d, type = "density", log = TRUE), 
+     predict(mmN, newdata = d, type = "density", log = TRUE))
[1] TRUE
> chk(predict(mm, newdata = d, type = "distribution", log = TRUE), 
+     predict(mmN, newdata = d, type = "distribution", log = TRUE))
[1] TRUE
> 
> chk(predict(mm, newdata = d, margins = 1:2, type = "density", log = TRUE), 
+     predict(mmN, newdata = d, margins = 1:2, type = "density", log = TRUE))
[1] TRUE
> chk(predict(mm, newdata = d, margins = 1:2, type = "distribution", log = TRUE), 
+     predict(mmN, newdata = d, margins = 1:2, type = "distribution", log = TRUE))
[1] TRUE
> chk(predict(mm, newdata = d, margins = 1:3, type = "density", log = TRUE), 
+     predict(mmN, newdata = d, margins = 1:3, type = "density", log = TRUE))
[1] TRUE
> chk(predict(mm, newdata = d, margins = 1:3, type = "distribution", log = TRUE), 
+     predict(mmN, newdata = d, margins = 1:3, type = "distribution", log = TRUE))
[1] TRUE
> 
> chk(sapply(1:J, function(i) predict(mm, margins = i, newdata = d, type = "density", log = TRUE)),
+     sapply(1:J, function(i) predict(mmN, margins = i, newdata = d, type = "density", log = TRUE)))
[1] TRUE
> 
> ### marginal Colr models
> m <- lapply(un, function(i)
+     Colr(as.formula(paste(i, "~ x")), data = d, bounds = c(0, 1), support = c(0, 1), order = OR))
> m$data <- d
> m$formula <- ~ 1
> mmC <- do.call("mmlt", m)
> 
> chk(c(logLik(mmC)), sum(predict(mmC, newdata = d, type = "density", log = TRUE)))
[1] TRUE
> logLik(mmC)
'log Lik.' 261 (df=18)
> 
> ### conditional models
> m <- lapply(un, function(i)
+     BoxCox(as.formula(paste(i, "~ x")), data = d, bounds = c(0, 1), support = c(0, 1), order = OR))
> m$data <- d
> m$formula <- ~ x
> mm <- do.call("mmlt", m)
> 
> chk(c(logLik(mm)), sum(predict(mm, newdata = d, type = "density", log = TRUE)))
[1] TRUE
> L <- as.array(coef(mm, newdata = d, type = "Lambda"))[,,1]
> chk(as.array(coef(mm, newdata = d, type = "Lambdainv"))[,,1], solve(L))
[1] TRUE
> chk(as.array(coef(mm, newdata = d, type = "Sigma"))[,,1], tcrossprod(solve(L)))
[1] TRUE
> chk(as.array(coef(mm, newdata = d, type = "Cor"))[,,1], cov2cor(tcrossprod(solve(L))))
[1] TRUE
> 
> ### with marginal parameterisation
> m$conditional <- FALSE
> mmN <- do.call("mmlt", m)
> 
> chk(logLik(mm), logLik(mmN))
[1] TRUE
> chk(c(logLik(mmN)), sum(predict(mmN, newdata = d, type = "density", log = TRUE)))
[1] TRUE
> 
> chk(as.array(coef(mm, newdata = d, type = "Lambda"))[,,1], 
+     as.array(coef(mmN, newdata = d, type = "Lambda"))[,,1])
[1] TRUE
> chk(as.array(coef(mm, newdata = d, type = "Lambdainv"))[,,1], 
+     as.array(coef(mmN, newdata = d, type = "Lambdainv"))[,,1])
[1] TRUE
> chk(as.array(coef(mm, newdata = d, type = "Sigma"))[,,1], 
+     as.array(coef(mmN, newdata = d, type = "Sigma"))[,,1])
[1] TRUE
> chk(as.array(coef(mm, newdata = d, type = "Spearman"))[,,1], 
+     as.array(coef(mmN, newdata = d, type = "Spearman"))[,,1])
[1] TRUE
> 
> chk(predict(mm, newdata = d, type = "density", log = TRUE), 
+     predict(mmN, newdata = d, type = "density", log = TRUE))
[1] TRUE
> chk(predict(mm, newdata = d, type = "distribution", log = TRUE), 
+     predict(mmN, newdata = d, type = "distribution", log = TRUE))
[1] TRUE
> 
> chk(predict(mm, newdata = d, margins = 1:2, type = "density", log = TRUE), 
+     predict(mmN, newdata = d, margins = 1:2, type = "density", log = TRUE))
[1] TRUE
> chk(predict(mm, newdata = d, margins = 1:2, type = "distribution", log = TRUE), 
+     predict(mmN, newdata = d, margins = 1:2, type = "distribution", log = TRUE))
[1] TRUE
> chk(predict(mm, newdata = d, margins = 1:3, type = "density", log = TRUE), 
+     predict(mmN, newdata = d, margins = 1:3, type = "density", log = TRUE))
[1] TRUE
> chk(predict(mm, newdata = d, margins = 1:3, type = "distribution", log = TRUE), 
+     predict(mmN, newdata = d, margins = 1:3, type = "distribution", log = TRUE))
[1] TRUE
> 
> chk(sapply(1:J, function(i) predict(mm, margins = i, newdata = d, type = "density", log = TRUE)),
+     sapply(1:J, function(i) predict(mmN, margins = i, newdata = d, type = "density", log = TRUE)))
[1] TRUE
> 
> ### implemented differently
> for (j in 1:J) m[[j]]$todistr$name <- "CarlFriedrich"
> mmN <- do.call("mmlt", m)
> 
> chk(logLik(mm), logLik(mmN))
[1] TRUE
> chk(c(logLik(mmN)), sum(predict(mmN, newdata = d, type = "density", log = TRUE)))
[1] TRUE
> 
> chk(as.array(coef(mm, newdata = d, type = "Lambda"))[,,1], 
+     as.array(coef(mmN, newdata = d, type = "Lambda"))[,,1])
[1] TRUE
> chk(as.array(coef(mm, newdata = d, type = "Lambdainv"))[,,1], 
+     as.array(coef(mmN, newdata = d, type = "Lambdainv"))[,,1])
[1] TRUE
> chk(as.array(coef(mm, newdata = d, type = "Sigma"))[,,1], 
+     as.array(coef(mmN, newdata = d, type = "Sigma"))[,,1])
[1] TRUE
> chk(as.array(coef(mm, newdata = d, type = "Spearman"))[,,1], 
+     as.array(coef(mmN, newdata = d, type = "Spearman"))[,,1])
[1] TRUE
> 
> chk(predict(mm, newdata = d, type = "density", log = TRUE), 
+     predict(mmN, newdata = d, type = "density", log = TRUE))
[1] TRUE
> chk(predict(mm, newdata = d, type = "distribution", log = TRUE), 
+     predict(mmN, newdata = d, type = "distribution", log = TRUE))
[1] TRUE
> 
> chk(predict(mm, newdata = d, margins = 1:2, type = "density", log = TRUE), 
+     predict(mmN, newdata = d, margins = 1:2, type = "density", log = TRUE))
[1] TRUE
> chk(predict(mm, newdata = d, margins = 1:2, type = "distribution", log = TRUE), 
+     predict(mmN, newdata = d, margins = 1:2, type = "distribution", log = TRUE))
[1] TRUE
> chk(predict(mm, newdata = d, margins = 1:3, type = "density", log = TRUE), 
+     predict(mmN, newdata = d, margins = 1:3, type = "density", log = TRUE))
[1] TRUE
> chk(predict(mm, newdata = d, margins = 1:3, type = "distribution", log = TRUE), 
+     predict(mmN, newdata = d, margins = 1:3, type = "distribution", log = TRUE))
[1] TRUE
> 
> chk(sapply(1:J, function(i) predict(mm, margins = i, newdata = d, type = "density", log = TRUE)),
+     sapply(1:J, function(i) predict(mmN, margins = i, newdata = d, type = "density", log = TRUE)))
[1] TRUE
> 
> ### conditional Colr
> m <- lapply(un, function(i)
+     Colr(as.formula(paste(i, "~ x")), data = d, bounds = c(0, 1), support = c(0, 1), order = OR))
> m$data <- d
> m$formula <- ~ x
> mmC <- do.call("mmlt", m)
> 
> chk(c(logLik(mmC)), sum(predict(mmC, newdata = d, type = "density", log = TRUE)))
[1] TRUE
> logLik(mmC)
'log Lik.' 265 (df=24)
> 
> ##### FIRST SCENARIO: CONSTANT LAMBDA #####
> set.seed(290875)
> ll <- numeric(50)
> p <- 3
> X <- matrix(runif(N * p), ncol = p)
> m1 <- 1 + X %*% c(2, 1, 1)
> m2 <- 1 + X %*% c(1, 2, 1)
> lb <- (off <- 0.5) + X %*% (cf <- c(0, 2, 0))
> d <- data.frame(X)
> Y <- matrix(NA, nrow = N, ncol = 2)
> colnames(Y) <- c("Y1", "Y2")
> 
> cr <- numeric(N)
> for (i in 1:N) {
+   Si <- diag(2)
+   Si[1,2] <- Si[2,1] <- .5
+   cr[i] <- cov2cor(Si)[2,1]
+   
+   Y[i,] <- rmvnorm(1, mean = c(m1[i], m2[i]), sigma = Si)
+ }
> 
> 
> ##### only BoxCox margins: ##### 
> d <- cbind(d, Y)
> b1 <- as.mlt(Lm(Y1 ~ X1 + X2 + X3, data = d))
> b2 <- as.mlt(Lm(Y2 ~ X1 + X2 + X3, data = d))
> 
> ## constant correlations. expect identical logliks and lambda parameters
> mm01 <- mmlt(b1, b2, formula = ~ 1, data = d)
> mm02 <- mmlt(b2, b1, formula = ~ 1, data = d)
> 
> chk(logLik(mm01), logLik(mm02))
[1] TRUE
> 
> chk(c(coef(mm01)["Y2.Y1.(Intercept)"]), 
+     c(coef(mm02)["Y1.Y2.(Intercept)"]))
[1] TRUE
> 
> ## checking gradients
> chk(c(numDeriv::grad(mm01$ll, mm02$par)),
+     c(mm01$sc(mm02$par)))
[1] TRUE
> 
> ## predicting marginal distributions and comparing across models with constant lambda
> chk(predict(mm01, newdata = d[1:5,], q = -2:2, 
+         margins = 1, type = "distribution"),
+     predict(mm02, newdata = d[1:5,], q = -2:2, 
+         margins = 2, type = "distribution"))
[1] TRUE
> 
> ## expect correlations to be the same for the model with constant lambdas
> chk(c(coef(mm01, newdata = d[1:5,], type = "Cor")), 
+     c(coef(mm02, newdata = d[1:5,], type = "Cor")))
[1] TRUE
> 
> 
> ##### mix of BoxCox and Colr margins: ##### 
> d$Y1 <- (d$Y1 - min(d$Y1))/(max(d$Y1) - min(d$Y1))
> 
> b1 <- as.mlt(Colr(Y1 ~ X1 + X2 + X3, data = d, order = OR))
> b2 <- as.mlt(Lm(Y2 ~ X1 + X2 + X3, data = d))
> 
> mm01 <- mmlt(b1, b2, formula = ~ 1, data = d)
> mm02 <- mmlt(b2, b1, formula = ~ 1, data = d)
> 
> chk(logLik(mm01), logLik(mm02))
[1] TRUE
> 
> ### model is marginal, so expect same marginal coeff
> cf1 <- coef(mm01)
> cf1 <- cf1[-length(cf1)]
> cf2 <- coef(mm02)
> cf2 <- cf2[names(cf1)]
> chk(cf1, cf2)
[1] TRUE
> 
> ## checking gradient
> chk(c(numDeriv::grad(mm01$ll, coef(mm01))), c(mm01$sc(coef(mm01))))
[1] TRUE
> chk(c(numDeriv::grad(mm02$ll, coef(mm02))), c(mm02$sc(coef(mm02)))) 
[1] TRUE
> 
> ##### SECOND SCENARIO: COVARIATE DEPENDENT LAMBDA #####
> set.seed(290875)
> ll <- numeric(50)
> X <- matrix(runif(N * p), ncol = p)
> m1 <- 1 + X %*% c(2, 1, 1)
> m2 <- 1 + X %*% c(1, 2, 1)
> lb <- (off <- 0.5) + X %*% (cf <- c(0, 2, 0))
> d <- data.frame(X)
> Y <- matrix(NA, nrow = N, ncol = 2)
> colnames(Y) <- c("Y1", "Y2")
> 
> cr <- numeric(N)
> for (i in 1:N) {
+   L <- diag(2)
+   L[2,1] <- lb[i]
+   Si <- solve(L) %*% t(solve(L))
+   cr[i] <- cov2cor(Si)[2,1]
+   
+   Y[i,] <- rmvnorm(1, mean = c(m1[i], m2[i]), sigma = Si)
+ }
> 
> 
> ##### only BoxCox margins: ##### 
> d <- cbind(d, Y)
> b1 <- as.mlt(Lm(Y1 ~ X1 + X2 + X3, data = d))
> b2 <- as.mlt(Lm(Y2 ~ X1 + X2 + X3, data = d))
> 
> ## constant correlations. expect identical logliks and lambda parameters
> mm01 <- mmlt(b1, b2, formula = ~ 1, data = d)
> mm02 <- mmlt(b2, b1, formula = ~ 1, data = d)
> 
> chk(logLik(mm01), logLik(mm02))
[1] TRUE
> 
> ## checking gradients
> chk(c(numDeriv::grad(mm01$ll, mm02$par)),c(mm01$sc(mm02$par)))
[1] TRUE
> 
> ## x-dependent correlations. expect slightly different logliks when
> ## conditional = TRUE
> mm1 <- mmlt(b1, b2, formula = ~ X1 + X2 + X3, data = d, conditional = TRUE)
Warning message:
In mmlt(b1, b2, formula = ~X1 + X2 + X3, data = d, conditional = TRUE) :
  Conditional models with covariate-dependent correlations are order-dependent
> mm2 <- mmlt(b2, b1, formula = ~ X1 + X2 + X3, data = d, conditional = TRUE)
Warning message:
In mmlt(b2, b1, formula = ~X1 + X2 + X3, data = d, conditional = TRUE) :
  Conditional models with covariate-dependent correlations are order-dependent
> 
> logLik(mm1)
'log Lik.' -266 (df=14)
> logLik(mm2)
'log Lik.' -282 (df=14)
> 
> ### BUT: identical models when conditional = FALSE
> mm1 <- mmlt(b1, b2, formula = ~ X1 + X2 + X3, data = d, conditional = FALSE)
> mm2 <- mmlt(b2, b1, formula = ~ X1 + X2 + X3, data = d, conditional = FALSE)
> 
> chk(logLik(mm1), logLik(mm2))
[1] TRUE
> 
> ## predicting marginal distributions and comparing across models with constant lambda
> x <- 0:4 / 4
> nd <- expand.grid(X1 = x, X2 = x, X3 = x)
> chk(predict(mm01, newdata = nd[1:5,], q = -2:2, 
+         margins = 1, type = "distribution"),
+     predict(mm02, newdata = nd[1:5,], q = -2:2, 
+         margins = 2, type = "distribution"))
[1] TRUE
> 
> ## predicting marginal distributions and comparing across models with
> ## x-dependent lambda and conditional = FALSE
> chk(predict(mm1, newdata = nd[1:5,], q = -2:2, 
+         margins = 1, type = "distribution"),
+     predict(mm2, newdata = nd[1:5,], q = -2:2, 
+         margins = 2, type = "distribution"))
[1] TRUE
> 
> ## expect correlations to be the same for the model with constant lambdas
> chk(c(coef(mm01, newdata = nd[1:5,], type = "Cor")), 
+     c(coef(mm02, newdata = nd[1:5,], type = "Cor")))
[1] TRUE
> 
> ## correlations for models with x-dependent lambda
> chk(c(coef(mm1, newdata = nd[1:5,], type = "Cor")),
+     c(coef(mm2, newdata = nd[1:5,], type = "Cor")))
[1] TRUE
> 
> 
> ##### mix of BoxCox and Colr margins: ##### 
> d$Y1 <- (d$Y1 - min(d$Y1))/(max(d$Y1) - min(d$Y1))
> 
> b1 <- as.mlt(Colr(Y1 ~ X1 + X2 + X3, data = d, order = OR))
> b2 <- as.mlt(Lm(Y2 ~ X1 + X2 + X3, data = d))
> 
> mm01 <- mmlt(b1, b2, formula = ~ 1, data = d)
> mm02 <- mmlt(b2, b1, formula = ~ 1, data = d)
> 
> chk(logLik(mm01), logLik(mm02))
[1] TRUE
> 
> coef(b1)
Bs1(Y1) Bs2(Y1)      X1      X2      X3 
   0.52    6.09   -4.35   -1.43   -0.66 
> coef(b2)
(Intercept)          Y2          X1          X2          X3 
      -0.18        0.53        0.34        1.06        1.20 
> coef(mm01)
       Y1.Bs1(Y1)        Y1.Bs2(Y1)             Y1.X1             Y1.X2 
             0.50              6.08             -4.25             -1.44 
            Y1.X3    Y2.(Intercept)             Y2.Y2             Y2.X1 
            -0.66             -0.17              0.52              0.41 
            Y2.X2             Y2.X3 Y2.Y1.(Intercept) 
             1.01              1.17              1.51 
> coef(mm02)
   Y2.(Intercept)             Y2.Y2             Y2.X1             Y2.X2 
            -0.17              0.52              0.41              1.01 
            Y2.X3        Y1.Bs1(Y1)        Y1.Bs2(Y1)             Y1.X1 
             1.17              0.50              6.08             -4.25 
            Y1.X2             Y1.X3 Y1.Y2.(Intercept) 
            -1.44             -0.66              1.51 
> # remember that: lb <- (off <- 0.5) + X %*% (cf <- c(0, 2, 0))
> 
> 
> ## checking gradient
> chk(c(numDeriv::grad(mm01$ll, coef(mm01))),c(mm01$sc(coef(mm01))))
[1] TRUE
> chk(c(numDeriv::grad(mm02$ll, coef(mm02))),c(mm02$sc(coef(mm02))))
[1] TRUE
> 
> ## covariate-dependent Lambda
> mm1 <- mmlt(b1, b2, formula = ~ X1 + X2 + X3, data = d)
> mm2 <- mmlt(b2, b1, formula = ~ X1 + X2 + X3, data = d)
> logLik(mm1)
'log Lik.' -88 (df=14)
> logLik(mm2)
'log Lik.' -88 (df=14)
> 
> coef(b1)
Bs1(Y1) Bs2(Y1)      X1      X2      X3 
   0.52    6.09   -4.35   -1.43   -0.66 
> coef(b2)
(Intercept)          Y2          X1          X2          X3 
      -0.18        0.53        0.34        1.06        1.20 
> coef(mm1)
       Y1.Bs1(Y1)        Y1.Bs2(Y1)             Y1.X1             Y1.X2 
             0.43              6.29             -4.43             -1.28 
            Y1.X3    Y2.(Intercept)             Y2.Y2             Y2.X1 
            -0.81             -0.10              0.50              0.32 
            Y2.X2             Y2.X3 Y2.Y1.(Intercept)          Y2.Y1.X1 
             1.13              1.11              1.92             -1.13 
         Y2.Y1.X2          Y2.Y1.X3 
             1.76             -1.09 
> coef(mm2)
   Y2.(Intercept)             Y2.Y2             Y2.X1             Y2.X2 
            -0.10              0.50              0.32              1.13 
            Y2.X3        Y1.Bs1(Y1)        Y1.Bs2(Y1)             Y1.X1 
             1.11              0.43              6.29             -4.43 
            Y1.X2             Y1.X3 Y1.Y2.(Intercept)          Y1.Y2.X1 
            -1.28             -0.81              1.92             -1.13 
         Y1.Y2.X2          Y1.Y2.X3 
             1.76             -1.09 
> # remember that: lb <- (off <- 0.5) + X %*% (cf <- c(0, 2, 0))
> 
> ## checking gradient for diag = TRUE
> chk(c(numDeriv::grad(mm1$ll, coef(mm1))),c(mm1$sc(coef(mm1))))
[1] TRUE
> chk(c(numDeriv::grad(mm2$ll, coef(mm2))),c(mm2$sc(coef(mm2))))
[1] TRUE
> 
> ### very simple checks with marginal Lm models
> set.seed(290875)
> J <- 4
> S <- cov2cor(tcrossprod(matrix(runif(J * J), ncol = J)))
> x <- matrix(runif(N*2), ncol = 2)
> 
> y <- x %*% matrix(c(1, -1, -.5, .5, -.2, .2, .3, -.3), nrow = 2) + rmvnorm(N, sigma = S)
> d <- data.frame(y = y, x = x)
> 
> m1 <- Lm(y.1 ~ x.1 + x.2, data = d)
> m2 <- Lm(y.2 ~ x.1 + x.2, data = d)
> m3 <- Lm(y.3 ~ x.1 + x.2, data = d)
> m4 <- Lm(y.4 ~ x.1 + x.2, data = d)
> 
> ## simple formula
> mc01 <- mmlt(m1, m2, m3, m4, formula = ~ 1, data = d, conditional = FALSE)
> 
> cf <- coef(mc01)
> vr <- diag(vcov(mc01))
> i <- grep("x", names(cf))
> 
> ### same results
> ret <- cbind(c(coef(m1), coef(m2), coef(m3), coef(m4)),
+              cf[i],
+              c(diag(vcov(m1)), diag(vcov(m2)), diag(vcov(m3)), diag(vcov(m4))),
+              vr[i])
> ret
      [,1]   [,2] [,3] [,4]
x.1  1.036  1.036 0.13 0.13
x.2 -1.184 -1.184 0.14 0.14
x.1 -0.702 -0.702 0.12 0.12
x.2  0.743  0.743 0.13 0.13
x.1 -0.585 -0.585 0.12 0.12
x.2  0.156  0.156 0.13 0.13
x.1  0.038  0.038 0.12 0.12
x.2 -0.420 -0.420 0.13 0.13
> 
> vc <- vcov(mc01)
> i <- grep("x.1", colnames(vc))
> vc[i,i]
        y.1.x.1 y.2.x.1 y.3.x.1 y.4.x.1
y.1.x.1   0.127   0.029   0.085   0.072
y.2.x.1   0.029   0.124   0.087   0.070
y.3.x.1   0.085   0.087   0.124   0.111
y.4.x.1   0.072   0.070   0.111   0.122
> 
> summary(g1 <- glht(mmm(m1 = as.mlt(m1), m2 = as.mlt(m2), m3 = as.mlt(m3), m4 = as.mlt(m4)), mlf("x.1 = 0")))

	 Simultaneous Tests for General Linear Hypotheses

Linear Hypotheses:
             Estimate Std. Error z value Pr(>|z|)  
m1: x.1 == 0   1.0365     0.3569    2.90    0.012 *
m2: x.1 == 0  -0.7019     0.3528   -1.99    0.126  
m3: x.1 == 0  -0.5846     0.3517   -1.66    0.241  
m4: x.1 == 0   0.0383     0.3493    0.11    1.000  
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
(Adjusted p values reported -- single-step method)

> 
> summary(g2 <- glht(mc01, c("y.1.x.1 = 0", "y.2.x.1 = 0", "y.3.x.1 = 0", "y.4.x.1 = 0")))

	 Simultaneous Tests for General Linear Hypotheses

Fit: mmlt(m1, m2, m3, m4, formula = ~1, data = d, conditional = FALSE)

Linear Hypotheses:
             Estimate Std. Error z value Pr(>|z|)  
y.1.x.1 == 0   1.0365     0.3569    2.90    0.011 *
y.2.x.1 == 0  -0.7019     0.3528   -1.99    0.126  
y.3.x.1 == 0  -0.5846     0.3517   -1.66    0.241  
y.4.x.1 == 0   0.0383     0.3493    0.11    1.000  
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
(Adjusted p values reported -- single-step method)

> 
> vcov(g1)
        m1: x.1 m2: x.1 m3: x.1 m4: x.1
m1: x.1   0.127   0.029   0.086   0.078
m2: x.1   0.029   0.124   0.086   0.065
m3: x.1   0.086   0.086   0.124   0.111
m4: x.1   0.078   0.065   0.111   0.122
> vcov(g2)
        y.1.x.1 y.2.x.1 y.3.x.1 y.4.x.1
y.1.x.1   0.127   0.029   0.085   0.072
y.2.x.1   0.029   0.124   0.087   0.070
y.3.x.1   0.085   0.087   0.124   0.111
y.4.x.1   0.072   0.070   0.111   0.122
> 
> 
> #### check density
> Shat <- as.array(coef(mc01, type = "Cor"))[,,1]
> 
> int <- cf[paste("y", 1:J, "(Intercept)", sep = ".")]
> fct <- cf[paste("y", 1:J, "y", 1:J, sep = ".")]
> 
> d1 <- sapply(1:N, function(i) dmvnorm(int + fct * y[i,], mean = x[i,,drop = FALSE] %*% matrix(ret[,1], nrow = 2), sigma = Shat, log = TRUE))
> d2 <- predict(mc01, newdata = d, type = "density", log = TRUE)
> 
> chk(c(d1), c(d2))
[1] "Mean relative difference: 0.076"
> 
> chk(c(logLik(mmlt(m1, m2, m3, m4, formula = ~ 1, data = d))),
+     c(logLik(mc01)))
[1] TRUE
> chk(c(logLik(mc01)),
+     sum(d2))
[1] TRUE
> 
> ### check if newdata works in logLik
> chk(logLik(mc01), logLik(mc01, newdata = d))
[1] TRUE
> 
> ### check user interface
> dgp <- function(N = 100, J = 5, lambda = 0.5773503) {
+ 
+     Jp <- J * (J - 1) / 2
+     X <- c(lambda, rep(0, Jp - 1))
+     L <- ltMatrices(X)
+     L <- standardize(invchol = L)
+     Z <- matrix(rnorm(N * J), ncol = N)
+     ret <- solve(L, Z)
+     ret <- as.data.frame(t(ret))
+     colnames(ret) <- paste0("Y", 1:J)
+     ret
+ }
> 
> N <- 100
> J <- 5
> 
> Y <- dgp(N = N, J = J)
> 
> m0 <- lapply(colnames(Y)[1:J], function(v) {
+     fm <- as.formula(paste(v, " ~ 1"))
+     BoxCox(fm, data = Y, order = OR)
+ })
> 
> TF <- c(TRUE, FALSE)
> args <- expand.grid(scale  = TF, domargins = TF, dofit = TF, theta = TF, fixed = TF, conditional = TF)
> args <- subset(args, !(conditional & !domargins))
> 
> m0$data <- Y
> m0$conditional <- TRUE
> m1 <- do.call("mmlt", m0)
> theta <- coef(m1)
> CR <- coef(m1, type = "Cor")
> 
> fx <- c("Y5.Y3.(Intercept)" = 0, "Y5.Y4.(Intercept)" = 0)
> 
> for (i in 1:nrow(args)) {
+     print(i)
+     m0$scale <- args$scale[i]
+     m0$dofit <- args$dofit[i]
+     m0$domargins <- args$domargins[i]
+     m0$conditional <- args$conditional[i]
+     m0$theta <- NULL
+     if (args$theta[i])
+         m0$theta <- theta
+     m0$fixed <- NULL
+     if (args$fixed[i])
+         m0$fixed <- fx
+     m1 <- try(do.call("mmlt", m0))
+     if (inherits(m1, "mmlt")) {
+         print(logLik(m1))
+         print(isTRUE(chk(coef(m1, type = "Cor"), CR)))
+     } else {
+         print(m1$ll(theta))
+     }
+ }
[1] 1
'log Lik.' -678 (df=18)
[1] FALSE
[1] 2
'log Lik.' -678 (df=18)
[1] FALSE
[1] 3
'log Lik.' -678 (df=18)
[1] FALSE
[1] 4
'log Lik.' -678 (df=18)
[1] FALSE
[1] 5
'log Lik.' -678 (df=18)
[1] FALSE
[1] 6
'log Lik.' -678 (df=18)
[1] FALSE
[1] 7
[1] 678
[1] 8
[1] 678
[1] 9
'log Lik.' -678 (df=20)
[1] TRUE
[1] 10
'log Lik.' -678 (df=20)
[1] TRUE
[1] 11
'log Lik.' -678 (df=20)
[1] TRUE
[1] 12
'log Lik.' -678 (df=20)
[1] TRUE
[1] 13
'log Lik.' -678 (df=20)
[1] TRUE
[1] 14
'log Lik.' -678 (df=20)
[1] TRUE
[1] 15
[1] 678
[1] 16
[1] 678
[1] 17
'log Lik.' -678 (df=18)
[1] FALSE
[1] 18
'log Lik.' -678 (df=18)
[1] FALSE
[1] 19
'log Lik.' -678 (df=18)
[1] FALSE
[1] 20
'log Lik.' -678 (df=18)
[1] FALSE
[1] 21
'log Lik.' -681 (df=18)
[1] FALSE
[1] 22
'log Lik.' -681 (df=18)
[1] FALSE
[1] 23
'log Lik.' -678 (df=18)
[1] FALSE
[1] 24
'log Lik.' -678 (df=18)
[1] FALSE
[1] 25
'log Lik.' -678 (df=18)
[1] FALSE
[1] 26
'log Lik.' -678 (df=18)
[1] FALSE
[1] 27
'log Lik.' -678 (df=18)
[1] FALSE
[1] 28
'log Lik.' -678 (df=18)
[1] FALSE
[1] 29
[1] 681
[1] 30
[1] 681
[1] 31
'log Lik.' -678 (df=18)
[1] FALSE
[1] 32
'log Lik.' -678 (df=18)
[1] FALSE
[1] 33
'log Lik.' -678 (df=20)
[1] TRUE
[1] 34
'log Lik.' -678 (df=20)
[1] TRUE
[1] 35
'log Lik.' -678 (df=20)
[1] TRUE
[1] 36
'log Lik.' -678 (df=20)
[1] TRUE
[1] 37
'log Lik.' -681 (df=20)
[1] TRUE
[1] 38
'log Lik.' -681 (df=20)
[1] TRUE
[1] 39
'log Lik.' -678 (df=20)
[1] TRUE
[1] 40
'log Lik.' -678 (df=20)
[1] TRUE
[1] 41
'log Lik.' -678 (df=20)
[1] TRUE
[1] 42
'log Lik.' -678 (df=20)
[1] TRUE
[1] 43
'log Lik.' -678 (df=20)
[1] TRUE
[1] 44
'log Lik.' -678 (df=20)
[1] TRUE
[1] 45
[1] 681
[1] 46
[1] 681
[1] 47
'log Lik.' -678 (df=20)
[1] TRUE
[1] 48
'log Lik.' -678 (df=20)
[1] TRUE
> 
> ### names
> J <- 5
> N <- 50
> df <- as.data.frame(matrix(rnorm(J * N), ncol = J))
> colnames(df) <- paste0("X", 1:J)
> 
> mltargs <- lapply(1:ncol(df), function(j) {
+   fm <- as.formula(paste0("X", j, "~1"))
+   BoxCox(fm, data = df, order = OR)
+ })
> mltargs$data <- df
> 
> fx <- c("X3.X1.(Intercept)" = 0, "X4.X1.(Intercept)" = 0, "X5.X1.(Intercept)" = 0,
+         "X3.X2.(Intercept)" = 0, "X4.X2.(Intercept)" = 0, "X5.X2.(Intercept)" = 0,
+         "X5.X4.(Intercept)" = 0)
> tmp <- do.call("mmlt", c(mltargs, list(fixed = fx)))
> 
> mltargs$conditional <- TRUE
> tmp <- do.call("mmlt", c(mltargs, list(fixed = fx)))
> 
> cf <- coef(tmp)
> cf <- cf[grep("Intercept", names(cf))]
> names(cf) <- substr(names(cf), 1, 5)
> chk(unclass(coef(tmp, type = "Lambda"))[names(cf),], cf)
[1] TRUE
> 
> ### check discrete models
> J <- 2
> N <- 100
> S <- cov2cor(tcrossprod(matrix(runif(J * J), ncol = J)))
> y <- rmvnorm(N, sigma = S)
> u <- as.data.frame(plogis(y))
> x <- runif(N)
> d <- cbind(u, x)
> un <- colnames(d)[1:J]
> d[1:J] <- lapply(d[1:J], function(x) 
+     cut(x, breaks = c(-Inf, quantile(x, prob = 1:3 / 4), Inf), ordered_result = TRUE))
> 
> m <- lapply(un, function(i)
+     Polr(as.formula(paste(i, "~ x")), data = d, method = "probit"))
> m$data <- d
> m$formula <- ~ 1
> m$args <- list(seed = 1, M = 100)
> mm <- do.call("mmlt", m)
> 
> L <- as.array(coef(mm, type = "Lambda"))[,,1]
> chk(as.array(coef(mm, type = "Lambdainv"))[,,1], solve(L))
[1] TRUE
> chk(as.array(coef(mm, type = "Sigma"))[,,1], tcrossprod(solve(L)))
[1] TRUE
> chk(as.array(coef(mm, type = "Cor"))[,,1], cov2cor(tcrossprod(solve(L))))
[1] TRUE
> chk(colSums(estfun(mm)), mm$score(coef(mm, type = "all")))
[1] TRUE
> 
> for (j in 1:J) m[[j]]$todistr$name <- "CarlFriedrich"
> 
> mmN <- do.call("mmlt", m)
> 
> chk(logLik(mm), logLik(mmN))
[1] TRUE
> chk(coef(mm), coef(mmN))
[1] TRUE
> chk(diag(vcov(mm)), diag(vcov(mmN)))
[1] TRUE
> chk(as.array(coef(mm, type = "Lambda"))[,,1], 
+     as.array(coef(mmN, type = "Lambda"))[,,1])
[1] TRUE
> chk(as.array(coef(mm, type = "Lambdainv"))[,,1], 
+     as.array(coef(mmN, type = "Lambdainv"))[,,1])
[1] TRUE
> chk(as.array(coef(mm, type = "Sigma"))[,,1], 
+     as.array(coef(mmN, type = "Sigma"))[,,1])
[1] TRUE
> chk(as.array(coef(mm, type = "Spearman"))[,,1], 
+     as.array(coef(mmN, type = "Spearman"))[,,1])
[1] TRUE
> 
> 
> proc.time()
   user  system elapsed 
  120.2     3.1   123.3