Log-Likelihood Visualization for Archimedean Copulas

Marius Hofert and Martin Mächler

2017-08-31

require(copula)
doExtras <- FALSE

Intro

This vignette visualizes (log) likelihood functions of Archimedean copulas, some of which are numerically challenging to compute. Because of this computational challenge, we also check for equivalence of some of the several computational methods, testing for numerical near-equality using all.equal(L1, L2).

Auxiliary functions

We start by defining the following auxiliary functions.

##' @title [m]inus Log-Likelihood for Archimedean Copulas ("fast version")
##' @param theta parameter (length 1 for our current families)
##' @param acop Archimedean copula (of class "acopula")
##' @param u data matrix n x d
##' @param n.MC if > 0 MC is applied with sample size equal to n.MC; otherwise,
##'        the exact formula is used
##' @param ... potential further arguments, passed to <acop> @dacopula()
##' @return negative log-likelihood
##' @author Martin Maechler (Marius originally)
mLogL <- function(theta, acop, u, n.MC=0, ...) { # -(log-likelihood)
    -sum(acop@dacopula(u, theta, n.MC=n.MC, log=TRUE, ...))
}
##' @title Plotting the Negative Log-Likelihood for Archimedean Copulas
##' @param cop an outer_nacopula (currently with no children)
##' @param u n x d  data matrix
##' @param xlim x-range for curve() plotting
##' @param main title for curve()
##' @param XtrArgs a list of further arguments for mLogL()
##' @param ... further arguments for curve()
##' @return invisible()
##' @author Martin Maechler
curveLogL <- function(cop, u, xlim, main, XtrArgs=list(), ...) {
    unam <- deparse(substitute(u))
    stopifnot(is(cop, "outer_nacopula"), is.list(XtrArgs),
              (d <- ncol(u)) >= 2, d == dim(cop),
              length(cop@childCops) == 0# not yet *nested* A.copulas
              )
    acop <- cop@copula
    th. <- acop@theta # the true theta
    acop <- setTheta(acop, NA) # so it's clear, the true theta is not used below
    if(missing(main)) {
        tau. <- cop@copula@tau(th.)
        main <- substitute("Neg. Log Lik."~ -italic(l)(theta, UU) ~ TXT ~~
               FUN(theta['*'] == Th) %=>% tau['*'] == Tau,
               list(UU = unam,
                TXT= sprintf("; n=%d, d=%d;  A.cop",
                         nrow(u), d),
                FUN = acop@name,
                Th = format(th.,digits=3),
                Tau = format(tau., digits=3)))
    }
    r <- curve(do.call(Vectorize(mLogL, "theta"), c(list(x, acop, u), XtrArgs)),
               xlim=xlim, main=main,
               xlab = expression(theta),
               ylab = substitute(- log(L(theta, u, ~~ COP)), list(COP=acop@name)),
               ...)
    if(is.finite(th.))
        axis(1, at = th., labels=expression(theta["*"]),
             lwd=2, col="dark gray", tck = -1/30)
    else warning("non-finite cop@copula@theta = ", th.)
    axis(1, at = initOpt(acop@name),
         labels = FALSE, lwd = 2, col = 2, tck = 1/20)
    invisible(r)
}

Ensure that we are told about it, if the numerical algorithms choose methods using Rmpfr (R package interfacing to multi precision arithmetic MPFR):

op <- options("copula:verboseUsingRmpfr"=TRUE) # see when "Rmpfr" methods are chosen automatically

Joe’s family

Easy case (\(\tau=0.2\))

n <- 200
d <- 100
tau <- 0.2
theta <- copJoe@iTau(tau)
cop <- onacopulaL("Joe", list(theta,1:d))
theta
## [1] 1.443824

Here, the three different methods work “the same”:

set.seed(1)
U1 <- rnacopula(n,cop)
enacopula(U1, cop, "mle") # 1.432885 --  fine
## [1] 1.432898
th4 <- 1 + (1:4)/4
mL.tr <- c(-3558.5, -3734.4, -3299.5, -2505.)
mLt1 <- sapply(th4, function(th) mLogL(th, cop@copula, U1, method="log.poly")) # default
mLt2 <- sapply(th4, function(th) mLogL(th, cop@copula, U1, method="log1p"))
mLt3 <- sapply(th4, function(th) mLogL(th, cop@copula, U1, method="poly"))
stopifnot(all.equal(mLt1, mL.tr, tolerance=5e-5),
          all.equal(mLt2, mL.tr, tolerance=5e-5),
          all.equal(mLt3, mL.tr, tolerance=5e-5))
system.time(r1l  <- curveLogL(cop, U1, c(1, 2.5), X=list(method="log.poly")))
##    user  system elapsed 
##   0.474   0.006   0.481
mtext("all three polyJ() methods on top of each other")
system.time({
    r1J <- curveLogL(cop, U1, c(1, 2.5), X=list(method="poly"),
                     add=TRUE, col=adjustcolor("red", .4))
    r1m  <- curveLogL(cop, U1, c(1, 2.5), X=list(method="log1p"),
                      add=TRUE, col=adjustcolor("blue",.5))
})

##    user  system elapsed 
##   0.928   0.000   0.930
U2 <- rnacopula(n,cop)
summary(dCopula(U2, cop)) # => density for the *correct* parameter looks okay
##       Min.    1st Qu.     Median       Mean    3rd Qu.       Max. 
##  0.000e+00  4.900e+01  6.430e+02 2.777e+175  1.932e+04 5.553e+177
## hmm: max = 5.5e177
if(doExtras)
    system.time(r2 <- curveLogL(cop, U2, c(1, 2.5)))
stopifnot(all.equal(enacopula(U2, cop, "mle"), 1.43992755, tolerance=1e-5),
          all.equal(mLogL(1.8, cop@copula, U2), -4070.1953,tolerance=1e-5)) # (was -Inf)
U3 <- rnacopula(n,cop)
(th. <- enacopula(U3, cop, "mle")) # 1.4495
## [1] 1.449569
system.time(r3 <- curveLogL(cop, U3, c(1, 2.5)))
##    user  system elapsed 
##   0.481   0.000   0.483
axis(1, at = th., label = quote(hat(theta)))

U4 <- rnacopula(n,cop)
enacopula(U4, cop, "mle") # 1.4519  (prev. was 2.351 : "completely wrong")
## [1] 1.451916
summary(dCopula(U4, cop)) # ok (had one Inf)
##       Min.    1st Qu.     Median       Mean    3rd Qu.       Max. 
##  0.000e+00  7.500e+01  9.080e+02 1.981e+259  1.434e+04 3.961e+261
if(doExtras)
    system.time(r4 <- curveLogL(cop, U4, c(1, 2.5)))
mLogL(2.2351, cop@copula, U4)
## [1] -1789.59
mLogL(1.5,    cop@copula, U4)
## [1] -3882.819
mLogL(1.2,    cop@copula, U4)
## [1] -3517.366
if(doExtras) # each curve takes almost 2 sec
    system.time({
        curveLogL(cop, U4, c(1, 1.01))
        curveLogL(cop, U4, c(1, 1.0001))
        curveLogL(cop, U4, c(1, 1.000001))
    })
## --> limit goes *VERY* steeply up to  0
## --> theta 1.164 is about the boundary:
stopifnot(identical(setTheta(cop, 1.164), onacopula(cop@copula, C(1.164, 1:100))),
      all.equal(600.59577,
            cop@copula@dacopula(U4[118,,drop=FALSE],
                    theta=1.164, log = TRUE), tolerance=1e-5)) # was "Inf"

Harder case (\(d=150\), \(\tau=0.3\))

n <- 200
d <- 150
tau <- 0.3
(theta <- copJoe@iTau(tau))
## [1] 1.772108
cop <- onacopulaL("Joe",list(theta,1:d))
set.seed(47)
U. <- rnacopula(n,cop)
enacopula(U., cop, "mle") # 1.784578
## [1] 1.78459
system.time(r. <- curveLogL(cop, U., c(1.1, 3)))

##    user  system elapsed 
##   0.646   0.000   0.648
## => still looks very good

Even harder case (\(d=180\), \(\tau=0.4\))

d <- 180
tau <- 0.4
(theta <- copJoe@iTau(tau))
## [1] 2.219066
cop <- onacopulaL("Joe",list(theta,1:d))
U. <- rnacopula(n,cop)
enacopula(U., cop, "mle") # 2.217582
## [1] 2.217593
if(doExtras)
system.time(r. <- curveLogL(cop, U., c(1.1, 4)))
## => still looks very good

Gumbel’s family

Easy case (\(\tau=0.2\))

n <- 200
d <- 50 # smaller 'd' -- so as to not need 'Rmpfr' here
tau <- 0.2
(theta <- copGumbel@iTau(tau))
## [1] 1.25
cop <- onacopulaL("Gumbel",list(theta,1:d))
set.seed(1)
U1 <- rnacopula(n,cop)
if(doExtras) {
    U2 <- rnacopula(n,cop)
    U3 <- rnacopula(n,cop)
}
enacopula(U1, cop, "mle") # 1.227659 (was 1.241927)
## [1] 1.227659
##--> Plots with "many" likelihood evaluations
system.time(r1 <- curveLogL(cop, U1, c(1, 2.1)))

##    user  system elapsed 
##   0.639   0.000   0.641
if(doExtras) system.time({
    mtext("and two other generated samples")
    r2 <- curveLogL(cop, U2, c(1, 2.1), add=TRUE)
    r3 <- curveLogL(cop, U3, c(1, 2.1), add=TRUE)
})

Harder case (\(d=150\), \(\tau=0.6\))

d <- 150
tau <- 0.6
(theta <- copGumbel@iTau(tau))
## [1] 2.5
cG.5 <- onacopulaL("Gumbel",list(theta,1:d))
set.seed(17)
U4 <- rnacopula(n,cG.5)
U5 <- rnacopula(n,cG.5)
U6 <- rnacopula(n,cG.5)
if(doExtras) { ## "Rmpfr" is used {2012-06-21}: -- therefore about 18 seconds!
 tol <- if(interactive()) 1e-12 else 1e-8
 print(system.time(
 ee. <- c(enacopula(U4, cG.5, "mle", tol=tol),
          enacopula(U5, cG.5, "mle", tol=tol),
          enacopula(U6, cG.5, "mle", tol=tol))))
dput(ee.)# in case the following fails
## tol=1e-12 Linux nb-mm3 3.2.0-25-generic x86_64 (2012-06-23):
##   c(2.47567251789004, 2.48424484287686, 2.50410767129408)
##   c(2.475672518,      2.484244763,      2.504107671),
stopifnot(all.equal(ee., c(2.475672518, 2.484244763, 2.504107671),
            tolerance= max(1e-7, 16*tol)))
}
## --> Plots with "many" likelihood evaluations
th. <- seq(1, 3, by= 1/4)
if(doExtras) # "default2012" (polyG default) partly uses Rmpfr here:
system.time(r4   <- sapply(th., mLogL, acop=cG.5@copula, u=U4))## 25.6 sec
## whereas this (polyG method) is very fast {and still ok}:
system.time(r4.p <- sapply(th., mLogL, acop=cG.5@copula, u=U4, method="pois"))
##    user  system elapsed 
##   0.153   0.000   0.153
r4. <- c(0, -18375.33, -21948.033, -24294.995, -25775.502,
         -26562.609, -26772.767, -26490.809, -25781.224)
stopifnot(!doExtras ||
          all.equal(r4,   r4., tolerance = 8e-8),
          all.equal(r4.p, r4., tolerance = 8e-8))
## --> use fast method here as well:
system.time(r5.p <- sapply(th., mLogL, acop=cG.5@copula, u=U5, method="pois"))
##    user  system elapsed 
##   0.151   0.000   0.151
system.time(r6.p <- sapply(th., mLogL, acop=cG.5@copula, u=U6, method="pois"))
##    user  system elapsed 
##   0.150   0.000   0.151
if(doExtras) {
    if(FALSE) # for speed analysis, etc
        debug(copula:::polyG)
    mLogL(1.65, cG.5@copula, U4) # -23472.96
}
dd <- dCopula(U4, setTheta(cG.5, 1.64), log = TRUE,
              method = if(doExtras)"default" else "pois")
summary(dd)
##    Min. 1st Qu.  Median    Mean 3rd Qu.    Max. 
##   41.59   53.30   81.09  116.91  137.54  707.13
stopifnot(!is.na(dd), # no NaN's anymore
      40 < range(dd), range(dd) < 710)

Frank’s family (an already hard case)

n <- 64
d <- 5
tau <- 0.8
(theta <- copFrank@iTau(tau))
## [1] 18.19154
cop <- onacopulaL("Frank", list(theta,1:d))
set.seed(11) # these seeds give no problems: 101, 41, 21
U. <- rnacopula(n,cop)
cop@copula <- setTheta(cop@copula, NA) # forget the true theta
system.time(f.ML <- emle(U., cop)); f.ML # --> fine: theta = 18.033, Log-lik = 314.01
##    user  system elapsed 
##   0.216   0.000   0.217
## 
## Call:
## bbmle::mle2(minuslogl = nLL, start = start, optimizer = "optimize", 
##     lower = interval[1], upper = interval[2])
## 
## Coefficients:
##   theta 
## 18.0333 
## 
## Log-likelihood: 314.01
if(doExtras)
    system.time(f.mlMC <- emle(U., cop, n.MC = 1e4)) # with MC
stopifnot(all.equal(unname(coef(f.ML)), 18.03331, tolerance= 1e-6),
      all.equal(f.ML@min, -314.0143, tolerance=1e-6),
      !doExtras || ## Simulate MLE (= SMLE) is "extra" random,  hmm...
      all.equal(unname(coef(f.mlMC)), 17.8, tolerance= 0.01)
      ##           64-bit ubuntu: 17.817523
      ##         ? 64-bit Mac:    17.741
     )

cop@copula <- setTheta(cop@copula, theta)
r. <- curveLogL(cop, U., c(1, 200)) # => now looks fine

tail(as.data.frame(r.), 15)
##          x        y
## 87  172.14 2105.690
## 88  174.13 2143.642
## 89  176.12 2181.637
## 90  178.11 2219.675
## 91  180.10 2257.754
## 92  182.09 2295.874
## 93  184.08 2334.034
## 94  186.07 2372.232
## 95  188.06 2410.468
## 96  190.05 2448.742
## 97  192.04 2487.051
## 98  194.03 2525.396
## 99  196.02 2563.776
## 100 198.01 2602.189
## 101 200.00 2640.636
stopifnot( is.finite( r.$y ),
      ## and is convex (everywhere):
      diff(r.$y, d=2) > 0)
options(op) # revert to previous state

Session information

## R version 3.4.1 Patched (2017-08-29 r73159)
## Platform: x86_64-pc-linux-gnu (64-bit)
## Running under: Fedora 24 (Twenty Four)
## 
## Matrix products: default
## BLAS: /sfs/u/maechler/R/D/r-patched/F24-64-inst/lib/libRblas.so
## LAPACK: /sfs/u/maechler/R/D/r-patched/F24-64-inst/lib/libRlapack.so
## 
## attached base packages:
##  [1] parallel  grid      stats4    tools     stats     graphics  grDevices
##  [8] utils     datasets  methods   base     
## 
## other attached packages:
## [1] rugarch_1.3-6   gsl_1.9-10.3    lattice_0.20-35 bbmle_1.0.19   
## [5] copula_0.999-18
## 
## loaded via a namespace (and not attached):
##  [1] multicool_0.1-10            zoo_1.8-0                  
##  [3] partitions_1.9-19           ks_1.10.7                  
##  [5] pcaPP_1.9-72                expm_0.999-2               
##  [7] htmltools_0.3.6             SkewHyperbolic_0.3-2       
##  [9] gmp_0.5-13.1                yaml_2.1.14                
## [11] nloptr_1.0.4                stringr_1.2.0              
## [13] pspline_1.0-18              htmlwidgets_0.9            
## [15] mvtnorm_1.0-6               codetools_0.2-15           
## [17] evaluate_0.10.1             misc3d_0.8-4               
## [19] knitr_1.17                  httpuv_1.3.5               
## [21] ADGofTest_0.3               xts_0.10-0                 
## [23] Rcpp_0.12.12                polynom_1.3-9              
## [25] KernSmooth_2.23-15          xtable_1.8-2               
## [27] backports_1.1.0             DistributionUtils_0.5-1    
## [29] jsonlite_1.5                truncnorm_1.0-7            
## [31] FNN_1.1                     mime_0.5                   
## [33] spd_2.0-1                   digest_0.6.12              
## [35] stringi_1.1.5               shiny_1.0.5                
## [37] numDeriv_2016.8-1           rprojroot_1.2              
## [39] Runuran_0.23.0              stabledist_0.7-1           
## [41] magrittr_1.5                rgl_0.98.1                 
## [43] Rsolnp_1.16                 MASS_7.3-47                
## [45] GeneralizedHyperbolic_0.8-1 Matrix_1.2-11              
## [47] rmarkdown_1.6               R6_2.2.2                   
## [49] compiler_3.4.1