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postestimate_predict.R
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postestimate_predict.R
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#' Predict indicator scores
#'
#'\lifecycle{maturing}
#'
#'
#' The predict function implements the procedure introduced by \insertCite{Shmueli2016;textual}{cSEM} in the PLS context
#' known as "PLSPredict" \insertCite{Shmueli2019}{cSEM} including its variants PLScPredcit, OrdPLSpredict and OrdPLScpredict.
#' It is used to predict the indicator scores of endogenous constructs and to evaluate the out-of-sample predictive power
#' of a model.
#' For that purpose, the predict function uses k-fold cross-validation to randomly
#' split the data into training and test datasets, and subsequently predicts the
#' values of the test data based on the model parameter estimates obtained
#' from the training data. The number of cross-validation folds is 10 by default but
#' may be changed using the `.cv_folds` argument.
#' By default, the procedure is not repeated (`.r = 1`). You may choose to repeat
#' cross-validation by setting a higher `.r` to be sure not to have a particular
#' (unfortunate) split. See \insertCite{Shmueli2019;textual}{cSEM} for
#' details. Typically `.r = 1` should be sufficient though.
#'
#' Alternatively, users may supply a test dataset as matrix or a data frame of `.test_data` with
#' the same column names as those in the data used to obtain `.object` (the training data).
#' In this case, arguments `.cv_folds` and `.r` are
#' ignored and predict uses the estimated coefficients from `.object` to
#' predict the values in the columns of `.test_data`.
#'
#' In \insertCite{Shmueli2016;textual}{cSEM} PLS-based predictions for indicator `i`
#' are compared to the predictions based on a multiple regression of indicator `i`
#' on all available exogenous indicators (`.benchmark = "lm"`) and
#' a simple mean-based prediction summarized in the Q2_predict metric.
#' `predict()` is more general in that is allows users to compare the predictions
#' based on a so-called target model/specification to predictions based on an
#' alternative benchmark. Available benchmarks include predictions
#' based on a linear model, PLS-PM weights, unit weights (i.e. sum scores),
#' GSCA weights, PCA weights, and MAXVAR weights.
#'
#' Each estimation run is checked for admissibility using [verify()]. If the
#' estimation yields inadmissible results, `predict()` stops with an error (`"stop"`).
#' Users may choose to `"ignore"` inadmissible results or to simply set predictions
#' to `NA` (`"set_NA"`) for the particular run that failed.
#'
#' @return An object of class `cSEMPredict` with print and plot methods.
#' Technically, `cSEMPredict` is a
#' named list containing the following list elements:
#'
#' \describe{
#' \item{`$Actual`}{A matrix of the actual values/indicator scores of the endogenous constructs.}
#' \item{`$Prediction_target`}{A list containing matrices of the predicted indicator
#' scores of the endogenous constructs based on the target model for each repetition
#' .r. Target refers to procedure used to estimate the parameters in `.object`.}
#' \item{`$Residuals_target`}{A list of matrices of the residual indicator scores
#' of the endogenous constructs based on the target model in each repetition .r.}
#' \item{`$Residuals_benchmark`}{A list of matrices of the residual indicator scores
#' of the endogenous constructs based on a model estimated by the procedure
#' given to `.benchmark` for each repetition .r.}
#' \item{`$Prediction_metrics`}{A data frame containing the predictions metrics
#' MAE, RMSE, Q2_predict, the misclassification error rate (MER), the MAPE, the MSE2,
#' Theil's forecast accuracy (U1), Theil's forecast quality (U2), Bias proportion
#' of MSE (UM), Regression proportion of MSE (UR), and disturbance proportion
#' of MSE (UD) \insertCite{Hora2015,Watson2002}{cSEM}.}
#' \item{`$Information`}{A list with elements
#' `Target`, `Benchmark`,
#' `Number_of_observations_training`, `Number_of_observations_test`, `Number_of_folds`,
#' `Number_of_repetitions`, and `Handle_inadmissibles`.}
#' }
#'
#' @usage predict(
#' .object = NULL,
#' .benchmark = c("lm", "unit", "PLS-PM", "GSCA", "PCA", "MAXVAR", "NA"),
#' .approach_predict = c("earliest", "direct"),
#' .cv_folds = 10,
#' .handle_inadmissibles = c("stop", "ignore", "set_NA"),
#' .r = 1,
#' .test_data = NULL,
#' .approach_score_target = c("mean", "median", "mode"),
#' .sim_points = 100,
#' .disattenuate = TRUE,
#' .treat_as_continuous = TRUE,
#' .approach_score_benchmark = c("mean", "median", "mode", "round"),
#' .seed = NULL
#' )
#'
#' @inheritParams csem_arguments
#' @param .handle_inadmissibles Character string. How should inadmissible results
#' be treated? One of "*stop*", "*ignore*", or "*set_NA*". If "*stop*", [predict()]
#' will stop immediately if estimation yields an inadmissible result.
#' For "*ignore*" all results are returned even if all or some of the estimates
#' yielded inadmissible results.
#' For "*set_NA*" predictions based on inadmissible parameter estimates are
#' set to `NA`. Defaults to "*stop*"
#' @param .disattenuate Logical. Should the benchmark predictions be based on
#' disattenuated parameter estimates? Defaults to `TRUE`.
#' @param .approach_predict Character string. Which approach should be used to perform
#' predictions? One of "*earliest*" and "*direct*". If "*earliest*" predictions
#' for indicators associated to endogenous constructs are performed using only
#' indicators associated to exogenous constructs. If "*direct*", predictions for
#' indicators associated to endogenous constructs are based on indicators associated
#' to their direct antecedents. Defaults to "*earliest*".
#'
#' @seealso [csem], [cSEMResults], [exportToExcel()]
#'
#' @references
#' \insertAllCited{}
#'
#' @example inst/examples/example_predict.R
#'
#' @export
predict <- function(
.object = NULL,
.benchmark = c("lm", "unit", "PLS-PM", "GSCA", "PCA", "MAXVAR", "NA"),
.approach_predict = c("earliest", "direct"),
.cv_folds = 10,
.handle_inadmissibles = c("stop", "ignore", "set_NA"),
.r = 1,
.test_data = NULL,
.approach_score_target = c("mean", "median", "mode"),
.sim_points = 100,
.disattenuate = TRUE,
.treat_as_continuous = TRUE,
.approach_score_benchmark = c("mean", "median", "mode", "round"),
.seed = NULL
) {
.benchmark <- match.arg(.benchmark)
.handle_inadmissibles <- match.arg(.handle_inadmissibles)
.approach_score_target <- match.arg(.approach_score_target)
.approach_score_benchmark <- match.arg(.approach_score_benchmark)
.approach_predict <- match.arg(.approach_predict)
if(inherits(.object, "cSEMResults_multi")) {
out <- lapply(.object, predict,
.benchmark = .benchmark,
.cv_folds = .cv_folds,
.handle_inadmissibles = .handle_inadmissibles,
.r = .r,
.test_data = .test_data
)
class(out) <- c("cSEMPredict", "cSEMPredict_multi")
return(out)
} else {
## Errors and warnings -------------------------------------------------------
# Stop if second order
if(inherits(.object, "cSEMResults_2ndorder")) {
stop2('Currently, `predict()` is not implemented for models containing higher-order constructs.')
}
if(sum(verify(.object))!=0) {
stop2('The csem object is not admissible.')
}
# Stop if second order
if(all(.object$Information$Model$structural == 0)) {
stop2("`predict()` requires a structural model.")
}
# Stop if nonlinear. See Danks et al. (?) for how this can be addressed.
if(.object$Information$Model$model_type != 'Linear'){
stop2('Currently, `predict()` works only for linear models.')
}
# Stop if a seed is provided, but .r is not equal to 1
if(!is.null(.seed) && .r>1){
stop2('Setting a seed is possible for one repetition.')
}
if(!all(.object$Information$Type_of_indicator_correlation == 'Pearson') &&
.approach_predict == "direct"){
stop2('Performing out-of-sample predictions based on models estimated by:\n',
'OrdPLS/OrdPLSc can only be performed using the earliest antecedent approach.')
}
#if(!all(.object$Information$Type_of_indicator_correlation == 'Pearson') &&
# is.null(.test_data) && .r > 1 && is.null(.test_data)){
# stop2('For categorical indicators, only one repetition can be done.')
#}
## Get arguments and relevant indicators
# Note: It is possible that the original data set used to obtain .object
# contains variables that have not been used in the model. These need
# to be deleted. Thats why we take the column names of .object$Information$Data.
args <- .object$Information$Arguments
indicators <- colnames(.object$Information$Data) # the data used for the estimation
# (standardized and clean) with variables
# ordered according to model$measurement.
## Is the benchmark the same as what was used to obtain .object
if(.benchmark == args$.approach_weights && all(.object$Information$Type_of_indicator_correlation == 'Pearson')) {
warning2(
"The following warning occured in the `predict()` function:\n",
"Original estimation is based on the same approach as the benchmark approach.",
" Target and benchmark predicitons are identical."
)
}
if(.disattenuate && .benchmark %in% c("unit", "GSCA", "MAXVAR") &&
any(.object$Information$Model$construct_type == "Composite")) {
.disattenuate <- FALSE
warning2(
"The following warning occured in the `predict()` function:\n",
"Disattenuation only applicable if all constructs are modeled as common factors.",
" Results based on benchmark = `", .benchmark, "` are not disattenuated."
)
}
if(.disattenuate & .benchmark %in% c("lm")) {
.disattenuate <- FALSE
warning2(
"The following warning occured in the `predict()` function:\n",
"Disattenuation is not applicable to benchmark `", .benchmark, "` and ignored."
)
}
if(!all(.object$Information$Type_of_indicator_correlation == 'Pearson') &&
.benchmark != "PLS-PM" && .treat_as_continuous == FALSE) {
.treat_as_continuous = TRUE
warning2(
"The following warning occured in the `predict()` function:\n",
"The categorical nature of the indicators can currently only be considered",
"for .benchmark = PLS-PM, the results for benchmark = '", .benchmark,
"' treat the indicators as continuous."
)
}
## Has .test_data been supplied?
if(!is.null(.test_data)) {
# Is it a matrix or a data.frame?
if(!any(class(.test_data) %in% c("data.frame", "matrix"))) {
stop2("The following error occured in the `predict()` function:\n",
".test_data must be a matrix or a data frame.")
}
.r <- 1
.cv_folds <- NA
dat_train <- args$.data[, indicators]
# Convert to matrix and add rownames
# Since rownames are required further below to match the observations in the
# k'th fold of the .r'th run with those of the r+1'th run rownames are also
# required for the .test_data.
if(!all(.object$Information$Type_of_indicator_correlation == 'Pearson')){
.test_data = data.matrix(.test_data)
}else{
.test_data = as.matrix(.test_data)
}
rownames(.test_data) <- 1:nrow(.test_data)
# Stop if .test_data does not have column names! As we need to match column
# names between training and test data.
if(is.null(colnames(.test_data))) {
stop2(
"The following error occured in the `predict()` function:\n",
"The test data does not have column names that match the training data. "
)
}
dat_test <- .test_data[, indicators]
dat <- list("test" = dat_test, "train" = dat_train)
}
out_all <- list()
for(i in 1:.r) {
if(is.null(.test_data)) {
## Draw cross-validation samples
dat <- resampleData(
.object = .object,
.resample_method = "cross-validation",
.cv_folds = .cv_folds,
.R = 1,
.seed = .seed
)[[1]]
## Clean data
dat <- lapply(dat, processData, .model = .object$Information$Model)
ii <- length(dat)
} else {
ii <- 1
}
out_cv <- list()
for(j in 1:ii) {
# For categorical indicators, data.matrix has to be used
# For categorical indicators, both the original matrix as the data matrix
# are saved.
if(!all(.object$Information$Type_of_indicator_correlation == 'Pearson')){
#X_train <- data.matrix((do.call(rbind, dat[-j])))[, indicators]
X_train <- do.call(rbind, dat[-j])[, indicators]
X_test <- data.matrix(dat[[j]][, indicators])
#X_test <- data.matrix(dat[[j]][, indicators])
}else{
X_train <- as.matrix(do.call(rbind, dat[-j]))[, indicators]
X_test <- dat[[j]][, indicators]
mean_train <- colMeans(X_train)
sd_train <- matrixStats::colSds(as.matrix(X_train))
names(sd_train) <- names(mean_train)
# Scale the test data set with the descriptives of the training data set
# Reason: estimated parameters are based on a standardized data set, i.e., in
# a standardized metric. Observations of the test data must have the
# same scale as these estimates.
X_test_scaled <- sapply(1:ncol(X_test), function(x){
(X_test[, x] - mean_train[x]) / sd_train[x]
})
# If nrow = 1 sapply returns a vector, but We always need a matrix
if(!inherits(X_test_scaled, "matrix")) {
X_test_scaled <- matrix(X_test_scaled, nrow = 1)
}
# Keep rownames to be able to find individual observations
colnames(X_test_scaled) <- colnames(X_test)
rownames(X_test_scaled) <- rownames(X_test)
}
### Estimate target and benchmark using training data and original arguments
args$.data <- X_train
args_target <- args_benchmark <- args
.disattenuate_benchmark <- .disattenuate
.disattenuate_target <- args_target$.disattenuate
if(.benchmark %in% c("unit", "PLS-PM", "GSCA", "PCA", "MAXVAR")) {
args_benchmark$.approach_weights <- .benchmark
kk <- 2
} else {
kk <- 1 #if lm is used as benchmark, csem does not has to be used twice
}
## Run for target and benchmark
args_list <- list(args_target, args_benchmark)
results <- list()
for(k in 1:kk) {
# For the target predictions, the parameter estimates are obtained
# for the target data, while the estimates equal the estimates of
# .object if a test data is given.
if(k == 1){
if(is.null(.test_data)){
Est <- do.call(foreman, args_list[[k]])
}else{
Est <- .object
}
}else{
# For the benchmark predictions, the parameter estimates are obtained
# for the target data. If a test sample is given and .disattenuate
# equals .disattenuate of .object and if all indicators are numeric
# and should be treated in their original form, the estimates equal
# the estimates of .object.
if((!is.null(.test_data) && args_list[[k]]$.disattenuate == .disattenuate &&
all(.object$Information$Type_of_indicator_correlation == 'Pearson'))|
(!is.null(.test_data) && args_list[[k]]$.disattenuate == .disattenuate &&
.treat_as_continuous == FALSE)){
Est <- .object
}else{
if(args_list[[k]]$.disattenuate != .disattenuate){
args_list[[k]]$.disattenuate <- .disattenuate
}
if(.treat_as_continuous){
args_list[[k]]$.data <- data.matrix(args_list[[k]]$.data)
}
Est <- do.call(foreman, args_list[[k]])
}
}
# Identify exogenous construct in the structural model
cons_exo <- Est$Information$Model$cons_exo
cons_endo <- Est$Information$Model$cons_endo
# Which indicators are connected to endogenous constructs?
endo_indicators <- colnames(Est$Information$Model$measurement)[colSums(Est$Information$Model$measurement[cons_endo, , drop = FALSE]) != 0]
# Which indicators are connected to exogenous constructs?
exo_indicators <- colnames(Est$Information$Model$measurement)[colSums(Est$Information$Model$measurement[cons_exo, , drop = FALSE]) != 0]
W_train <- Est$Estimates$Weight_estimates
loadings_train <- Est$Estimates$Loading_estimates
path_train <- Est$Estimates$Path_estimates
# Path coefficients of exogenous and endogenous constructs
B_train <- path_train[cons_endo, cons_endo, drop = FALSE]
Gamma_train <- path_train[cons_endo, cons_exo, drop = FALSE]
# Check status
status_code <- sum(unlist(verify(Est)))
## Compute predictions based on path and measurement model ("target prediction")
# Compute predictions if status is ok or inadmissibles should be ignored
if(status_code == 0 | (status_code != 0 & .handle_inadmissibles == "ignore")) {
# For categorical indicators use prediction from OrdPLS, else
# normal prediction is used
if(!all(.object$Information$Type_of_indicator_correlation == 'Pearson') && k ==1|
!all(.object$Information$Type_of_indicator_correlation == 'Pearson') &&k == 2 &&
.treat_as_continuous == FALSE){
if(k == 1){
# Save the categorical indicators and the continous indicators
is_numeric_indicator <- lapply(X_train, is.numeric)
cat_indicators <- names(is_numeric_indicator[is_numeric_indicator == FALSE])
cont_indicators <- names(is_numeric_indicator[is_numeric_indicator == TRUE])
}
if(k == 1){
.approach_score = .approach_score_target
}else{
.approach_score = .approach_score_benchmark
}
if(!all(endo_indicators%in%cat_indicators) && .approach_score == "mode"){
stop2(
"The following error occured in the `predict()` function:\n",
"The option '.approach_score = mode' can only be applied to only\n",
"categorical indicators"
)
}
if(k == 1){
X_train <- data.matrix(X_train)
mean_train <- colMeans(X_train)
sd_train <- matrixStats::colSds(as.matrix(X_train))
names(sd_train) <- names(mean_train)
# Scale the test data set with the descriptives of the training data set
# Reason: estimated parameters are based on a standardized data set, i.e., in
# a standardized metric. Observations of the test data must have the
# same scale as these estimates.
X_test_scaled <- sapply(1:ncol(X_test), function(x){
(X_test[, x] - mean_train[x]) / sd_train[x]
})
colnames(X_test_scaled) <- colnames(X_test)
rownames(X_test_scaled) <- rownames(X_test)
# Replace the scaled categorical indicators by their original values
# Reason: Categorical indicators should not be scaled
X_test_scaled[,cat_indicators] <- X_test[,cat_indicators]
}
# get the thresholds for the categorical indicators
thresholds <- Est$Information$Threshold_parameter_estimates
thresholds <- thresholds[!is.na(thresholds)]
Tmin <- -4
Tmax <- 4
thresholds <- lapply(thresholds, function(x) c(Tmin, x, Tmax))
if(any(apply(X_test[, cat_indicators], 2, max) >= lapply(thresholds, function(x) length(x)))){
stop2("The test dataset contains more categories than the train dataset.")
}
Cov_ind <- Est$Estimates$Indicator_VCV
X_hat <- matrix(0, nrow = nrow(X_test), ncol = length(endo_indicators),
dimnames = list(rownames(X_test),endo_indicators))
if(all(exo_indicators %in% cont_indicators)){
# Predict scores for the exogenous constructs
eta_hat_exo <- X_test_scaled[,exo_indicators]%*%t(W_train[cons_exo, exo_indicators, drop = FALSE])
# Predict scores for the endogenous constructs (structural prediction)
eta_hat_endo_star <- eta_hat_exo %*% t(Gamma_train) %*% t(solve(diag(nrow(B_train)) - B_train))
# Predict scores for indicators of endogenous constructs (communality prediction)
X_hat_endo_star <- eta_hat_endo_star %*% loadings_train[cons_endo, endo_indicators, drop = FALSE]
X_hat <- X_hat_endo_star
for(m in colnames(X_hat_endo_star)){
if(m %in% cat_indicators){
for(o in 1:length(X_hat_endo_star[,1])){
X_hat[o,m] <- findInterval(X_hat_endo_star[o,m], thresholds[[m]])
}
}
}
X_hat_rescaled <- sapply(colnames(X_hat), function(x) {
mean_train[x] + X_hat[, x] * sd_train[x]
})
X_hat_rescaled[,cat_indicators] <- X_hat[,cat_indicators]
}else{
for(o in 1:nrow(X_test)){
l <- NA
u <- NA
for(p in exo_indicators){
# Lower and upper thresholds for each observation have to be defined
# for the categorical indicators, the estimated thresholds are used
# for the continous indicators, -10 and 10 are used
if(p %in% cat_indicators){
l <- c(l,thresholds[[p]][X_test[o,p]])
u <- c(u,thresholds[[p]][X_test[o,p]+1] )
}else{
l <- c(l, -10)
u <- c(u, 10)
}
}
l <- l[-1]
u <- u[-1]
names(l) <- exo_indicators
names(u) <- exo_indicators
# Simulation of values of the truncated normal distribution for the categorical indicators
Xstar <- t(TruncatedNormal::mvrandn(l = l, u = u, Cov_ind[exo_indicators, exo_indicators],.sim_points))
colnames(Xstar) <- exo_indicators
# The continuous indicators are replaced through their original values of the test data
for(z in colnames(Xstar)){
if(z %in% cont_indicators){
Xstar[,z] <- X_test_scaled[o,z]
}
}
# Predict scores for the exogenous constructs
eta_hat_exo <- Xstar[,exo_indicators]%*%t(W_train[cons_exo, exo_indicators, drop = FALSE])
# Predict scores for the endogenous constructs (structural prediction)
eta_hat_endo_star <- eta_hat_exo %*% t(Gamma_train) %*% t(solve(diag(nrow(B_train)) - B_train))
# Predict scores for indicators of endogenous constructs (communality prediction)
X_hat_endo_star <- eta_hat_endo_star %*% loadings_train[cons_endo, endo_indicators, drop = FALSE]
# Aggregation of the npred estimations via mean or median
if(.approach_score == "mean"){
X_hat[o,] <- apply(X_hat_endo_star,2,mean)
}else if(.approach_score == "median"){
X_hat[o,] <- apply(X_hat_endo_star,2,median)
}else if(.approach_score == "mode"){
for(z in colnames(X_hat_endo_star)){
breaks <- thresholds[[z]]
dupl <- which(duplicated(thresholds[[z]]))
if (length(dupl) > 0) breaks <- thresholds[[z]][-dupl]
if (min(X_hat_endo_star[, z]) < breaks[1]) breaks[1] <- min(X_hat_endo_star[, z])
if (max(X_hat_endo_star[, z]) > breaks[length(breaks)]) breaks[length(breaks)] <- max(X_hat_endo_star[, z])
X_hat[o,z] <- which.max(graphics::hist(X_hat_endo_star[, z], breaks = breaks, plot = FALSE)$density)
}
}
if(.approach_score == "mean" || .approach_score == "median"){
# Calculating the categorical variables for categorical indicators,
# for continuous indicators, the mean/median values are saved
for(m in colnames(X_hat)){
if(m %in% cat_indicators){
X_hat[o,m] <- findInterval(X_hat[o,m], thresholds[[m]])
}
}
}
}
# Rescale the continuous indicators
X_hat_rescaled <- sapply(colnames(X_hat), function(x) {
mean_train[x] + X_hat[, x] * sd_train[x]
})
X_hat_rescaled[,endo_indicators[which(endo_indicators %in% cat_indicators)]] <- X_hat[,endo_indicators[which(endo_indicators %in% cat_indicators)]]
}
}else{
if(.approach_predict == "earliest"){
## Predict scores for the exogenous constructs (validity prediction)
eta_hat_exo <- X_test_scaled %*% t(W_train[cons_exo, ,drop = FALSE])
# Predict scores for the endogenous constructs (structural prediction)
eta_hat_endo <- eta_hat_exo %*% t(Gamma_train) %*% t(solve(diag(nrow(B_train)) - B_train))
}else{
eta_hat_all <- X_test_scaled %*% t(W_train)
# Predict scores for the endogenous constructs using the scores for all constructs
eta_hat_endo <- eta_hat_all%*%t(path_train)[,cons_endo, drop = FALSE]
}
# Predict scores for indicators of endogenous constructs (communality prediction)
X_hat <- eta_hat_endo %*% loadings_train[cons_endo, , drop = FALSE]
# Denormalize predictions
X_hat_rescaled <- sapply(colnames(X_hat), function(x) {
mean_train[x] + X_hat[, x] * sd_train[x]
})
# If nrow = 1 sapply returns a vector, but We always need a matrix
if(!inherits(X_hat_rescaled, "matrix")) {
X_hat_rescaled <- matrix(X_hat_rescaled, nrow = 1)
colnames(X_hat_rescaled) <- colnames(X_hat)
rownames(X_hat_rescaled) <- rownames(X_hat)
}
# Select only endogenous indicators
X_hat_rescaled <- X_hat_rescaled[, endo_indicators, drop = FALSE]
}
# Calculate the difference between original and predicted values
residuals_target <- X_test[, endo_indicators, drop = FALSE] -
X_hat_rescaled[, endo_indicators, drop = FALSE]
} else if(status_code != 0 & .handle_inadmissibles == "set_NA"){
X_hat_rescaled <- residuals_target <- X_test[, endo_indicators, drop = FALSE]
X_hat_rescaled[] <- NA
residuals_target[] <- NA
} else {
stop2("Estimation based on one of the cross-validation folds yielded an inadmissible results.\n",
" Consider setting handle_inadmissibles = 'ignore'.")
}
results[[k]] <- list(X_hat_rescaled, residuals_target)
}
if(.benchmark %in% c("unit", "PLS-PM", "GSCA", "PCA", "MAXVAR")) {
if(!all(.object$Information$Type_of_indicator_correlation == 'Pearson')){
predictions_benchmark <- results[[2]][[1]]
predictions_benchmark[,colnames(predictions_benchmark) %in% cat_indicators] <- round(predictions_benchmark[,colnames(predictions_benchmark) %in% cat_indicators])
residuals_benchmark <- results[[2]][[2]]
residuals_benchmark[,colnames(residuals_benchmark) %in% cat_indicators] <- round(residuals_benchmark[,colnames(residuals_benchmark) %in% cat_indicators])
}else{
predictions_benchmark <- results[[2]][[1]]
residuals_benchmark <- results[[2]][[2]]
}
} else if(.benchmark == "lm") {
## Compute naive predictions based on a linear model that explains each
## endogenous indicator by all exogenous indicators
beta_exo <- solve(t(X_train[, exo_indicators]) %*%
X_train[, exo_indicators]) %*%
t(X_train[, exo_indicators]) %*% X_train[, endo_indicators, drop = FALSE]
if(!all(.object$Information$Type_of_indicator_correlation == 'Pearson')){
predictions_benchmark <- as.matrix(X_test[, exo_indicators]) %*% beta_exo
predictions_benchmark[,colnames(predictions_benchmark) %in% cat_indicators] <- round(predictions_benchmark[,colnames(predictions_benchmark) %in% cat_indicators])
residuals_benchmark <- X_test[, endo_indicators] - predictions_benchmark
residuals_benchmark[,colnames(residuals_benchmark) %in% cat_indicators] <- round(residuals_benchmark[,colnames(residuals_benchmark) %in% cat_indicators])
}else{
predictions_benchmark <- as.matrix(X_test[, exo_indicators]) %*% beta_exo
residuals_benchmark <- X_test[, endo_indicators, drop = FALSE] - predictions_benchmark
}
} else if(.benchmark == "NA"){
residuals_benchmark <- matrix(0, nrow = nrow(residuals_target), ncol = ncol(residuals_target),
dimnames = dimnames(residuals_target))
predictions_benchmark <- matrix(0, nrow = nrow(residuals_target), ncol = ncol(residuals_target),
dimnames = dimnames(residuals_target))
}
## Compute naive mean-based predictions and residuals
residuals_mb <- t(t(X_test[, endo_indicators, drop = FALSE]) - mean_train[endo_indicators])
## Output
out_cv[[j]] <- list(
"Predictions_target" = results[[1]][[1]],
"Residuals_target" = results[[1]][[2]],
"Predictions_benchmark" = predictions_benchmark,
"Residuals_benchmark" = residuals_benchmark,
"Residuals_mb" = residuals_mb,
"Actual" = X_test[,endo_indicators, drop = FALSE]
)
} # END for j in 1:length(dat)
out_temp <- lapply(purrr::transpose(out_cv), function(x) {
x <- do.call(rbind, x)
x <- x[order(as.numeric(rownames(x))), , drop = FALSE]
x
})
out_all[[i]] <- out_temp
}
#out_temp<- lapply(purrr::transpose(out_all), function(x) {
# x <- do.call(rbind, x)
# x <- x[order(as.numeric(rownames(x))), ]
# x
#})
out_temp <- purrr::transpose(out_all)
# Compute average prediction over all .r runs that are not NA
#out_temp <- lapply(purrr::transpose(out_all), function(x) {
# a <- apply(abind::abind(x, along = 3), 1:2, function(y) sum(y, na.rm = TRUE))
# b <- Reduce("+", lapply(x, function(y) !is.na(y)))
# a / b
#})
df_metrics <- list()
for(q in 1: length(out_all)){
## Compute prediction metrics ------------------------------------------------
Res_t <- out_all[[q]]$Residuals_target
Res_b <- out_all[[q]]$Residuals_benchmark
Pred_t <- out_all[[q]]$Predictions_target
Pred_b <- out_all[[q]]$Predictions_benchmark
act <- out_all[[q]]$Actual
mse2_target = calculateMSE2(pred = Pred_t, act = act, resid = Res_t)
mse2_benchmark = calculateMSE2(pred = Pred_b, act = act, resid = Res_b)
if(.benchmark != "NA"){
## Create data frame
if(any(apply(Pred_t, 2, sd, na.rm=TRUE) == 0) | any(apply(Pred_b, 2, sd, na.rm=TRUE) == 0)){
warning2("The predictions of at least one indicator are equal for all \n",
"observations of the test dataset. UR and UD cannot be calculated \n",
"for the respective indicators.")
}
df_metrics[[q]] <- data.frame(
"MAE_target" = calculateMAE(resid = Res_t),
"MAE_benchmark" = calculateMAE(resid = Res_b),
"RMSE_target" = calculateRMSE(resid = Res_t),
"RMSE_benchmark" = calculateRMSE(resid = Res_b),
"Q2_predict" = calculateq2(res = Res_t, MB = out_all[[q]]$Residuals_mb),
"MER_target" = calculateMissclassification(resid = Res_t),
"MER_benchmark" = calculateMissclassification(resid = Res_b),
"MAPE_target" = calculateMAPE(resid = Res_t, act = act),
"MAPE_benchmark" = calculateMAPE(resid = Res_b, act = act),
"MSE2_target" = mse2_target,
"MSE2_benchmark" = mse2_benchmark,
"U1_target" = calculateU1(act = act, mse2 = mse2_target),
"U1_benchmark" = calculateU1(act = act, mse2 = mse2_benchmark),
"U2_target" = calculateU2(act = act, resid = Res_t),
"U2_benchmark" = calculateU2(act = act, resid = Res_b),
"UM_target" = calculateUM(act = act, pred = Pred_t, mse2 = mse2_target),
"UM_benchmark" = calculateUM(act = act, pred = Pred_b, mse2 = mse2_benchmark),
"UR_target" = calculateUR(pred = Pred_t, act = act, mse2 = mse2_target),
"UR_benchmark" = calculateUR(pred = Pred_b, act = act, mse2 = mse2_benchmark),
"UD_target" = calculateUD(pred = Pred_t, act = act, mse2 = mse2_target),
"UD_benchmark" = calculateUD(pred = Pred_b, act = act, mse2 = mse2_benchmark),
stringsAsFactors = FALSE
)
}else if(.benchmark == "NA"){
df_metrics[[q]] <- data.frame(
"MAE_target" = calculateMAE(resid = Res_t),
"MAE_benchmark" = 0,
"RMSE_target" = calculateRMSE(resid = Res_t),
"RMSE_benchmark" = 0,
"Q2_predict" = 0,
"MER_target" = calculateMissclassification(resid = Res_t),
"MER_benchmark" = 0,
"MAPE_target" = calculateMAPE(resid = Res_t, act = act),
"MAPE_benchmark" = 0,
"MSE2_target" = mse2_target,
"MSE2_benchmark" = 0,
"U1_target" = calculateU1(act = act, mse2 = mse2_target),
"U1_benchmark" = 0,
"U2_target" = calculateU2(act = act, resid = Res_t),
"U2_benchmark" = 0,
"UM_target" = calculateUM(act = act, pred = Pred_t, mse2 = mse2_target),
"UM_benchmark" = 0,
"UR_target" = calculateUR(pred = Pred_t, act = act, mse2 = mse2_target),
"UR_benchmark" = 0,
"UD_target" = calculateUD(pred = Pred_t, act = act, mse2 = mse2_target),
"UD_benchmark" = 0,
stringsAsFactors = FALSE
)
}
#}
}
df_metrics <- data.frame(
"Name" = endo_indicators,
Reduce("+", df_metrics)/length(df_metrics))
rownames(df_metrics) <- NULL
if(.benchmark == "NA"){
df_metrics$MAE_benchmark <- "NA"
df_metrics$RMSE_benchmark <- "NA"
df_metrics$Q2_predict <- "NA"
df_metrics$MER_benchmark <- "NA"
df_metrics$MAPE_benchmark <- "NA"
df_metrics$MSE2_benchmark <- "NA"
df_metrics$U1_benchmark <- "NA"
df_metrics$U2_benchmark <- "NA"
df_metrics$UM_benchmark <- "NA"
df_metrics$UR_benchmark <- "NA"
df_metrics$UD_benchmark <- "NA"
}
if(.benchmark == "PLS-PM" && !all(.object$Information$Type_of_indicator_correlation == 'Pearson')
&& .treat_as_continuous == FALSE){
if(.approach_score_benchmark != "round"){
.benchmark = "OrdPLS"
}else{
.benchmark = "OrdPLS rounded"
}
}
if(.object$Information$Arguments$.approach_weights == "PLS-PM" && !all(.object$Information$Type_of_indicator_correlation == 'Pearson')){
.target <- "OrdPLS"
}else{
.target = .object$Information$Arguments$.approach_weights
}
if(.benchmark == "NA"){
out_temp$Residuals_benchmark <- rep("NA", length(out_temp$Predictions_target))
}
out <- list(
# "Actual" = if(is.null(.test_data)) {
# .object$Information$Arguments$.data[, endo_indicators]
#} else {
# .test_data[, endo_indicators]
#},
"Actual" = out_temp$Actual,
"Predictions_target" = out_temp$Predictions_target,
"Residuals_target" = out_temp$Residuals_target,
"Residuals_benchmark" = out_temp$Residuals_benchmark,
"Prediction_metrics" = df_metrics,
"Information" = list(
"Estimator_target" = .target,
"Estimator_benchmark" = .benchmark,
"Disattenuation_target" = .disattenuate_target,
"Disattenuation_benchmark" = .disattenuate_benchmark,
"Handle_inadmissibles" = .handle_inadmissibles,
"Number_of_observations_training" = nrow(X_train),
"Number_of_observations_test" = nrow(X_test),
"Number_of_folds" = .cv_folds,
"Number_of_repetitions" = .r,
"Approach_to_predict" = .approach_predict
)
)
## Return
class(out) <- "cSEMPredict"
out
}
}