\newcommand{\bm}[1]{\boldsymbol{#1}} \newcommand{\rv}[3][1]{#2{#1},\ldots,#2{#3}} \newcommand{\X}{\bm{X}} \newcommand{\cov}{\mathrm{cov}} \newcommand{\dt}{\Delta t} \newcommand{\msd}{\mathrm{\scriptsize MSD}} \newcommand{\acf}{\mathrm{\scriptsize ACF}} \newcommand{\dX}{\Delta\X} \newcommand{\VH}{\bm{V}_H}
This vignette illustrates the basic functionality of the SuperGauss
package by simulating a few stochastic processes and estimating their parameters from regularly spaced data.
A one-dimensional fractional Brownian motion (fBM) \(X_t = X(t)\) is a continuous Gaussian process with \(E[X_t] = 0\) and \(\cov(X_t, X_s) = \tfrac 1 2 (|t|^{2H} + |s|^{2H} - |t-s|^{2H})\), for \(0 < H < 1\). fBM is not stationary but has stationary increments, such that \((X_{t+\dt} - X_t) \stackrel{D}{=} (X_{s+\dt} - X_s)\) for any \(s,t\). As such, its covariance function is completely determined its mean squared displacement (MSD) \[ \msd_X(t) = E[(X_t - X_0)^2] = |t|^{2H}. \] When the Hurst parameter \(H = \tfrac 1 2\), fBM reduces to ordinary Brownian motion.
The following R code generates 5 independent fBM realizations of length \(N = 3000\) with \(H = 0.3\). The timing of the “superfast” method [@wood.chan94] provided in this package is compared to that of a “fast” method [e.g., @brockwell.davis91] and to the usual method (Cholesky decomposition of an unstructured variance matrix).
require(SuperGauss)
N <- 3000 # number of observations
dT <- 1/60 # time between observations (seconds)
H <- .3 # Hurst parameter
tseq <- (0:N)*dT # times at which to sample fBM
npaths <- 5 # number of fBM paths to generate
# to generate fbm, generate its increments, which are stationary
msd <- fbm.msd(tseq = tseq[-1], H = H)
acf <- msd2acf(msd = msd) # convert msd to acf
# superfast method
system.time({
dX <- rSnorm(n = npaths, acf = acf, fft = TRUE)
})
## user system elapsed
## 0.02 0.00 0.02
# fast method (about 3x as slow)
system.time({
rSnorm(n = npaths, acf = acf, fft = FALSE)
})
## user system elapsed
## 0.02 0.00 0.02
# unstructured variance method (much slower)
system.time({
matrix(rnorm(N*npaths), npaths, N) %*% chol(toeplitz(acf))
})
## user system elapsed
## 5.92 0.05 5.97
# convert increments to position measurements
Xt <- apply(rbind(0, dX), 2, cumsum)
# plot
clrs <- c("black", "red", "blue", "orange", "green2")
par(mar = c(4.1,4.1,.5,.5))
plot(0, type = "n", xlim = range(tseq), ylim = range(Xt),
xlab = "Time (s)", ylab = "Position (m)")
for(ii in 1:npaths) {
lines(tseq, Xt[,ii], col = clrs[ii], lwd = 2)
}
Suppose that \(\X = (\rv [0] X N)\) are equally spaced observations of an fBM process with \(X_i = X(i \dt)\), and let \(\dX = (\rv [0] {\Delta X} {N-1})\) denote the corresponding increments, \(\Delta X_i = X_{i+1} - X_i\). Then the loglikelihood function for \(H\) is
\[
\ell(H \mid \dX) = -\tfrac 1 2 \big(\dX' \VH^{-1} \dX + \log |\VH|\big),
\]
where \(V_H\) is a Toeplitz matrix,
\[
\VH = [\cov(\Delta X_i, \Delta X_j)]_{0 \le i,j < N} = \begin{bmatrix} \gamma_0 & \gamma_1 & \cdots & \gamma_{N-1} \\
\gamma_1 & \gamma_0 & \cdots & \gamma_{N-2} \\
\vdots & \vdots & \ddots & \vdots \\
\gamma_{N-1} & \gamma_{N-2} & \cdots & \gamma_0
\end{bmatrix}.
\]
Thus, each evaluation of the loglikelihood requires the inverse and log-determinant of a Toeplitz matrix, which scales as \(\mathcal O(N^2)\) with the Durbin-Levinson algorithm. The SuperGauss
** package implements an extended version of the Generalized Schur algorithm of @ammar.gragg88, which scales these computations as \(\mathcal O(N \log^2 N)\). With careful memory management and extensive use of the **FFTW
** library [@frigo.johnson05], the **SuperGauss
implementation crosses over Durbin-Levinson at around \(N = 300\).
Toeplitz
matrix classThe bulk of the likelihood calculations in **SuperGauss
** are handled by the Toeplitz
matrix class. A Toeplitz
object is created as follows:
# allocate and assign in one step
Toep <- Toeplitz(acf = acf)
Toep
## Toeplitz matrix of size 3000
## acf: 0.0857 -0.0208 -0.00421 -0.00228 -0.0015 -0.00109 ...
# allocate memory only
Toep <- Toeplitz(n = N)
Toep
## Toeplitz matrix of size 3000
## acf: NULL
Toep$setAcf(acf = acf) # assign later
Its primary methods are illustrated below:
all(acf == Toep$getAcf()) # extract acf
## [1] TRUE
# matrix multiplication
z <- rnorm(N)
x1 <- toeplitz(acf) %*% z # regular way
x2 <- Toep %*% z # with Toeplitz class
range(x1-x2)
## [1] -1.609823e-15 2.164935e-15
# system of equations
y1 <- solve(toeplitz(acf), z) # regular way
y2 <- solve(Toep, z) # with Toeplitz class
range(y1-y2)
## [1] -1.513456e-12 1.634248e-12
# log-determinant
ld1 <- determinant(toeplitz(acf))$mod
ld2 <- determinant(Toep) # note: no $mod
c(ld1, ld2)
## [1] -7642.578 -7642.578
The following code shows how to obtain the maximum likelihood of \(H\) and its standard error for a given fBM path. For speed comparisons, the optimization is done both using the superfast Generalized Schur algorithm and the fast Durbin-Levinson algorithm.
dX <- diff(Xt[,1]) # obtain the increments of a given path
N <- length(dX)
# autocorrelation of fBM increments
fbm.acf <- function(H) {
msd <- fbm.msd(1:N*dT, H = H)
msd2acf(msd)
}
# loglikelihood using generalized Schur algorithm
Toep <- Toeplitz(n = N) # pre-allocate memory
loglik.GS <- function(H) {
Toep$setAcf(acf = fbm.acf(H))
dSnorm(X = dX, acf = Toep, log = TRUE)
}
# loglikelihood using Durbin-Levinson algorithm
loglik.DL <- function(H) {
dSnormDL(X = dX, acf = fbm.acf(H), log = TRUE)
}
# superfast method
system.time({
GS.mle <- optimize(loglik.GS, interval = c(.01, .99), maximum = TRUE)
})
## user system elapsed
## 0.03 0.00 0.03
# fast method (about 10x slower)
system.time({
DL.mle <- optimize(loglik.DL, interval = c(.01, .99), maximum = TRUE)
})
## user system elapsed
## 0.25 0.00 0.25
c(GS = GS.mle$max, DL = DL.mle$max)
## GS DL
## 0.3016683 0.3016683
# standard error calculation
require(numDeriv)
## Loading required package: numDeriv
Hmle <- GS.mle$max
Hse <- -hessian(func = loglik.GS, x = Hmle) # observed Fisher Information
Hse <- sqrt(1/Hse[1])
c(mle = Hmle, se = Hse)
## mle se
## 0.301668263 0.003335323
ReferenceClasses
In order to effectively manage memory in the underlying C++ code, the Toeplitz
class is implemented using R's “Reference Classes”. Among other things, this means that when a Toeplitz
object is passed to a function, the function does not make a copy of it: all modifications to the object inside the object are reflected on the object outside the function as well, as in the following example:
T1 <- Toeplitz(n = N)
T2 <- T1 # shallow copy: both of these point to the same memory location
# affects both objects
T1$setAcf(fbm.acf(.5))
T1
## Toeplitz matrix of size 3000
## acf: 0.0167 0 1.73e-18 -3.47e-18 0 6.94e-18 ...
T2
## Toeplitz matrix of size 3000
## acf: 0.0167 0 1.73e-18 -3.47e-18 0 6.94e-18 ...
loglik <- function(H) {
T1$setAcf(acf = fbm.acf(H))
dSnorm(X = dX, acf = T1, log = TRUE)
}
# affects both objects
loglik(H = .3)
## [1] -429.7573
T1
## Toeplitz matrix of size 3000
## acf: 0.0857 -0.0208 -0.00421 -0.00228 -0.0015 -0.00109 ...
T2
## Toeplitz matrix of size 3000
## acf: 0.0857 -0.0208 -0.00421 -0.00228 -0.0015 -0.00109 ...
In addition to the superfast algorithm for Gaussian likelihood evaluations , SuperGauss
provides such algorithms for the loglikelihood gradient and Hessian functions, leading to superfast versions of many inference algorithms such as Newton-Raphson and Hamiltonian Monte Carlo. An example of the former is given below using the two-parameter exponential autocorrelation model
\[
\acf_X(t \mid \lambda, \sigma) = \sigma^2 \exp(- |t/\lambda|).
\]
# autocorrelation function
exp.acf <- function(t, lambda, sigma) sigma^2 * exp(-abs(t/lambda))
# gradient, returned as a 2-column matrix
exp.acf.grad <- function(t, lambda, sigma) {
ea <- exp.acf(t, lambda, 1)
cbind(abs(t)*(sigma/lambda)^2 * ea, # d_acf/d_lambda
2*sigma * ea) # d_acf/d_sigma
}
# Hessian, returned as an array of size length(t) x 2 x 2
exp.acf.hess <- function(t, lambda, sigma) {
ea <- exp.acf(t, lambda, 1)
sl2 <- sigma/lambda^2
hess <- array(NA, dim = c(length(t), 2, 2))
hess[,1,1] <- sl2^2*(t^2 - 2*abs(t)*lambda) * ea # d2_acf/d_lambda^2
hess[,1,2] <- 2*sl2 * abs(t) * ea # d2_acf/(d_lambda d_sigma)
hess[,2,1] <- hess[,1,2] # d2_acf/(d_sigma d_lambda)
hess[,2,2] <- 2 * ea # d2_acf/d_sigma^2
hess
}
# simulate data
lambda <- runif(1, .5, 2)
sigma <- runif(1, .5, 2)
tseq <- (1:N-1)*dT
acf <- exp.acf(t = tseq, lambda = lambda, sigma = sigma)
Xt <- rSnorm(acf = acf)
Toep <- Toeplitz(n = N) # storage space
# negative loglikelihood function of theta = (lambda, sigma)
# include attributes for gradient and Hessian
exp.negloglik <- function(theta) {
lambda <- theta[1]
sigma <- theta[2]
# acf, its gradient, and Hessian
Toep$setAcf(acf = exp.acf(tseq, lambda, sigma)) # use the Toeplitz class
dacf <- exp.acf.grad(tseq, lambda, sigma)
d2acf <- exp.acf.hess(tseq, lambda, sigma)
nll <- -1 * dSnorm(X = Xt, acf = Toep, log = TRUE)
attr(nll, "gradient") <- -1 * Snorm.grad(X = Xt, acf = Toep, dacf = dacf)
attr(nll, "hessian") <- -1 * Snorm.hess(X = Xt, acf = Toep,
dacf = dacf, d2acf = d2acf)
nll
}
# optimization
system.time({
mle.fit <- nlm(f = exp.negloglik, p = c(1,1), hessian = TRUE)
})
## user system elapsed
## 0.42 0.08 0.50
# display estimates with standard errors
rbind(true = c(lambda = lambda, sigma = sigma),
est = mle.fit$estimate,
se = sqrt(diag(solve(mle.fit$hessian))))
## lambda sigma
## true 1.2763139 1.2798787
## est 0.9494678 1.1164620
## se 0.1898385 0.1106116