Changes {PtProcess}R Documentation

Changes Made to the Package

Description

This page contains a listing of recent changes made to functions, and known general problems.

Recent Changes

  1. Version 3 contains major changes, and code that worked in Version 2 will no longer work in Version 3. The models included in Version 2 are also contained in Version 3, but the framework has been extended so that the original models can now contain a variety of mark distributions. This has been achieved by giving a more general structure and utilising the object orientated aspects of the R language. Examples are given below that show how models were defined in Version 2 and how the corresponding models are now defined in Version 3. (28 Apr 2008)
  2. Naming changes to the *.cif functions. In Version 2, these were referred to as “conditional intensity functions”, which is really a slightly more general class. In keeping with Daley & Vere-Jones (2003) we now call them ground intensity functions, with a suffix of “gif”. Further, the dot has been replaced by an underscore, e.g. etas.cif to etas_gif. This is to lessen the possibility of future conflicts with object orientated naming conventions in the R language. (28 Apr 2008)
  3. Arguments eval.pts and t.plus in the ground intensity functions have been renamed to evalpts and tplus, respectively. This is to lessen the possibility of future conflicts with object orientated naming conventions in the R language. (28 Apr 2008)
  4. logLik: the log-likelihood calculated in package Versions before Version 3 did not have the sum over the mark density term (see topic logLik, under “Details”). This term can also be excluded in this Version of the package by placing NULL for the mark density in the mpp object, see example below. (28 Apr 2008)
  5. Version 2 had a framework to assign prior densities to the estimated parameters. This has not been retained in Version 3. However, some of the features like holding a parameter at a fixed value, and restricting it to an open or closed interval can be achieved in Version 3; see neglogLik for further details. (28 Apr 2008)
  6. neglogLik: the format of this function has been changed to be consistent with that in package HiddenMarkov. Argument updatep renamed as pmap. (07 Aug 2008)
  7. simulate: manual page revised to include more information about controlling the length of the simulated series. (18 Nov 2008)
  8. mpp: example modified due to warning messages caused by negative lambda_g(t|Ht). (18 Nov 2008)
  9. marks: manual page revised to include more information. (18 Nov 2008)
  10. mpp: fuller description to argument marks on manual page. (19 Nov 2008)
  11. Phuket: new dataset added. (4 Dec 2008)
  12. linksrm_gif, marks: remove some LaTeX specific formatting to be compatible with R 2.9.0. (26 Jan 2009)

Future Development

  1. In the model object, allow one to alternatively specify the name of the gif function.
  2. Function linksrm_gif: Use of St1 and St2. Is there a tidier way? Also utilise this feature in srm_gif.
  3. Need models to deal with space. How far can one go using the present mpp framework? Is it necessary to define another more general model class? Is there another class of models similar in nature to the class defined for linksrm?
  4. Want a generic function, possibly called forecast, to produce probability forecasts. This would be based on simulating empirical probability distributions.
  5. Want a function like linksrm_convert to map between the two main parameterisations of the ETAS model.
  6. Add general forms of the truncated exponential and gamma distributions as marks for the magnitude of the event.
  7. Check whether the mark functions can simply refer to gif (if they require its value). It (gif) has been defined in the method functions.

Examples

#    SRM: magnitude is iid exponential with bvalue=1
#    simulate and calculate the log-likelihood

TT <- c(0, 1000)
bvalue <- 1
params <- c(-1.5, 0.01, 0.8, bvalue*log(10))

#   --- Old Method ---
# x <- pp.sim(NULL, params[1:3], srm.cif, TT, seed=5, magn.sim=1)
# print(pp.LL(x, srm.cif, params[1:3], TT))
# [1] -601.3941

#   --- New Method, no mark density ---
x1 <- mpp(data=NULL,
          gif=srm_gif,
          mark=list(NULL, rexp_mark),
          params=params,
          gmap=expression(params[1:3]),
          mmap=expression(params[4]),
          TT=TT)
x1 <- simulate(x1, seed=5)
print(logLik(x1))

#  An advantage of the object orientated format is that it
#  simplifies further analysis, e.g. plot intensity function:
plot(x1)
#  plot the residual process:
plot(residuals(x1))

#---------------------------------------------------
#    SRM: magnitude is iid exponential with bvalue=1
#    simulate then estimate parameters from data

#   --- Old Method ---
# TT <- c(0, 1000)
# bvalue <- 1
# params <- c(-2.5, 0.01, 0.8)
#
# x <- pp.sim(NULL, params, srm.cif, TT, seed=5, magn.sim=1)
#
# posterior <- make.posterior(x, srm.cif, TT)
#
# neg.posterior <- function(params){
#     x <- -posterior(params)
#     if (is.infinite(x) | is.na(x)) return(1e15)
#     else return(x)
# }
#
# z <- nlm(neg.posterior, params, typsize=abs(params),
#          iterlim=1000, print.level=2)
#
# print(z$estimate)
# [1] -2.83900091  0.01242595  0.78880647

#   --- New Method, no mark density ---
#   maximise only SRM parameters (like old method)

TT <- c(0, 1000)
bvalue <- 1
params <- c(-2.5, 0.01, 0.8, bvalue*log(10))

x1 <- mpp(data=NULL,
          gif=srm_gif,
          mark=list(dexp_mark, rexp_mark),
          params=params,
          gmap=expression(params[1:3]),
          mmap=expression(params[4]),
          TT=TT)
#  note that dexp_mark above is not used below
#  and could alternatively be replaced by NULL

x1 <- simulate(x1, seed=5)

#  maximise only SRM parameters
onlysrm <- function(y, p){
    #  maps srm parameters into model object
    #  the exp rate for magnitudes is unchanged
    y$params[1:3] <- p
    return(y)
}

params <- c(-2.5, 0.01, 0.8)

z1 <- nlm(neglogLik, params, object=x1, pmap=onlysrm,
          print.level=2, iterlim=500, typsize=abs(params))
print(z1$estimate)

[Package PtProcess version 3.1-3 Index]