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vinetest.cpp
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vinetest.cpp
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#include <Rcpp.h>
using namespace Rcpp;
// [[Rcpp::interfaces(r,cpp)]]
#include <stan/math/rev/core.hpp>
#include <dist/bicop_student_log.hpp>
//#include <dist/bicop_student_log.hpp>
// #include <stan/math.hpp>
// #include <iostream>
void (*Hfunc2) (int* family,int* n,double* v,double* u,double* theta,double* nu,double* out);
void (*diffhfunc_rho_tCopula) (double* u, double* v, int* n, double* param, int* copula, double* out); // par
void (*diffhfunc_mod) (double* u, double* v, int* n, double* param, int* copula, double* out); // par
void (*diffhfunc_nu_tCopula_new) (double* u, double* v, int* n, double* param, int* copula, double* out); // par2
void (*diffhfunc_v_mod) (double* u, double* v, int* n, double* param, int* copula, double* out); // u2
extern "C" void R_init_TestVine(DllInfo *dll) {
Hfunc2 = (void (*) (int* ,int* ,double* ,double* ,double* ,double* ,double* )) R_GetCCallable("VineCopula", "Hfunc2");
diffhfunc_rho_tCopula = (void (*) (double* , double* , int* , double* , int* , double* )) R_GetCCallable("VineCopula", "diffhfunc_rho_tCopula");
diffhfunc_mod = (void (*) (double* , double* , int* , double* , int* , double* )) R_GetCCallable("VineCopula", "diffhfunc_mod");
diffhfunc_nu_tCopula_new = (void (*) (double* , double* , int* , double* , int* , double* )) R_GetCCallable("VineCopula", "diffhfunc_nu_tCopula_new");
diffhfunc_v_mod = (void (*) (double* , double* , int* , double* , int* , double* )) R_GetCCallable("VineCopula", "diffhfunc_v_mod");
difflPDF_nu_tCopula_new = (void (*) (double* , double* , int* , double* , int* , double* )) R_GetCCallable("VineCopula", "difflPDF_nu_tCopula_new");
}
using namespace stan::math;
// [[Rcpp::export]]
void Test_logc_Student() {
using stan::math::var;
double nu_val = 5;
var nu(nu_val);
var lp1(0.0);
lp1 += vifcopula::bicop_student_log<false>(0.5, 0.5, 0.8, nu);
double lp1val = lp1.val();
lp1.grad();
double lp1adj = nu.adj();
std::cout << lp1val << " " << lp1adj << std::endl;
// EXPECT_FLOAT_EQ(lp1val,0.6101877);
// EXPECT_FLOAT_EQ(lp1adj,-0.01962769);
}
// hfunc_trans with 3 vars arguement
stan::math::var hfunc_trans (int family,
double u,
const stan::math::var& v,
const stan::math::var& theta,
const stan::math::var& theta2){
double v_val = v.val();
double theta_val = theta.val();
double theta2_val = theta2.val();
double hfunc2_val;
double hfunc2_dtheta;
double hfunc2_dtheta2;
double hfunc2_dv;
int nn = 1;
Hfunc2(&family, &nn, &u, &v_val, &theta_val, &theta2_val, &hfunc2_val);
double *param = new double[2];
param[0] = theta_val;
param[1] = theta2_val;
diffhfunc_v_mod(&u, &v_val, &nn, param, &family, &hfunc2_dv);
if (family == 2){
diffhfunc_rho_tCopula(&u, &v_val, &nn, param, &family, &hfunc2_dtheta);
diffhfunc_nu_tCopula_new(&u, &v_val, &nn, param, &family, &hfunc2_dtheta2);
return (new precomp_vvv_vari(hfunc2_val, v.vi_, theta.vi_,theta2.vi_, hfunc2_dv, hfunc2_dtheta, hfunc2_dtheta2) );
}
diffhfunc_mod(&u, &v_val, &nn, param, &family, &hfunc2_dtheta);
return (new precomp_vv_vari(hfunc2_val, v.vi_, theta.vi_, hfunc2_dv, hfunc2_dtheta) );
}
// hfunc_trans with 2 vars arguement
stan::math::var hfunc_trans (int family,
double u,
const stan::math::var& v,
const stan::math::var& theta,
double theta2){
double v_val = v.val();
double theta_val = theta.val();
double hfunc2_val;
double hfunc2_dtheta;
double hfunc2_dv;
int nn = 1;
Hfunc2(&family, &nn, &u, &v_val, &theta_val, &theta2, &hfunc2_val);
double *param = new double[2];
param[0] = theta_val;
param[1] = theta2;
if (family == 2){
diffhfunc_rho_tCopula(&u, &v_val, &nn, param, &family, &hfunc2_dtheta);
return (new precomp_vv_vari(hfunc2_val, v.vi_, theta.vi_,hfunc2_dv, hfunc2_dtheta) );
}
diffhfunc_mod(&u, &v_val, &nn, param, &family, &hfunc2_dtheta);
return (new precomp_vv_vari(hfunc2_val, v.vi_, theta.vi_, hfunc2_dv, hfunc2_dtheta) );
}
// hfunc_trans with 1 vars arguement - v vari
stan::math::var hfunc_trans (int family,
double u,
const stan::math::var& v,
double theta,
double theta2){
double v_val = v.val();
double hfunc2_val;
double hfunc2_dv;
int nn = 1;
Hfunc2(&family, &nn, &u, &v_val, &theta, &theta2, &hfunc2_val);
double *param = new double[2];
param[0] = theta;
param[1] = theta2;
diffhfunc_v_mod(&u, &v_val, &nn, param, &family, &hfunc2_dv);
return (new precomp_v_vari(hfunc2_val, v.vi_, hfunc2_dv) );
}
// hfunc_trans with 1 vars arguement - theta vari
stan::math::var hfunc_trans (int family,
double u,
double v,
const stan::math::var& theta,
double theta2){
double theta_val = theta.val();
double hfunc2_val;
double hfunc2_dtheta;
int nn = 1;
Hfunc2(&family, &nn, &u, &v, &theta_val, &theta2, &hfunc2_val);
double *param = new double[2];
param[0] = theta_val;
param[1] = theta2;
if (family == 2){
diffhfunc_rho_tCopula(&u, &v, &nn, param, &family, &hfunc2_dtheta);
return (new precomp_v_vari(hfunc2_val, theta.vi_,hfunc2_dtheta) );
}
diffhfunc_mod(&u, &v, &nn, param, &family, &hfunc2_dtheta);
return (new precomp_v_vari(hfunc2_val, theta.vi_, hfunc2_dtheta) );
}
// hfunc_trans with 1 vars arguement - theta2 vari
stan::math::var hfunc_trans (int family,
double u,
double v,
double theta,
const stan::math::var& theta2){
double theta2_val = theta2.val();
double hfunc2_val;
double hfunc2_dtheta2;
double hfunc2_dv;
int nn = 1;
Hfunc2(&family, &nn, &u, &v, &theta, &theta2_val, &hfunc2_val);
double *param = new double[2];
param[0] = theta;
param[1] = theta2_val;
diffhfunc_nu_tCopula_new(&u, &v, &nn, param, &family, &hfunc2_dtheta2);
return (new precomp_v_vari(hfunc2_val, theta2.vi_, hfunc2_dtheta2) );
}
// [[Rcpp::export]]
void Gaussian_hfunc() {
stan::math::var rho_value = 0.6;
stan::math::var theta2 = 0;
double u_val = 0.2;
stan::math::var v_val = 0.7;
int family_id = 1;
int numb_obs = 1;
stan::math::var u_double = hfunc_trans(family_id, u_val, v_val, rho_value, theta2);
u_double.grad();
Rcpp::Rcout << " value of u trans " << u_double.val() << std::endl;
Rcpp::Rcout << " deriv of u trans wrt theta " << rho_value.adj() << std::endl;
Rcpp::Rcout << " deriv of u trans wrt v " << v_val.adj() << std::endl;
}
// [[Rcpp::export]]
void Student_hfunc() {
stan::math::var rho_value = 0.6;
stan::math::var theta2 = 5; // nu
double u_val = 0.2;
stan::math::var v_val = 0.7;
int family_id = 2;
int numb_obs = 1;
stan::math::var u_double = hfunc_trans(family_id, u_val, v_val, rho_value, theta2);
u_double.grad();
Rcpp::Rcout << " value of u trans " << u_double.val() << std::endl;
Rcpp::Rcout << " deriv of u trans wrt theta " << rho_value.adj() << std::endl;
Rcpp::Rcout << " deriv of u trans wrt v " << v_val.adj() << std::endl;
Rcpp::Rcout << " deriv of u trans wrt nu " << theta2.adj() << std::endl;
}
// [[Rcpp::export]]
void Clayton_hfunc() {
stan::math::var rho_value = 0.6;
stan::math::var theta2 = 0;
double u_val = 0.2;
stan::math::var v_val = 0.7;
int family_id = 3;
int numb_obs = 1;
stan::math::var u_double = hfunc_trans(family_id, u_val, v_val, rho_value, theta2);
u_double.grad();
Rcpp::Rcout << " value of u trans " << u_double.val() << std::endl;
Rcpp::Rcout << " deriv of u trans wrt theta " << rho_value.adj() << std::endl;
Rcpp::Rcout << " deriv of u trans wrt v " << v_val.adj() << std::endl;
}
// [[Rcpp::export]]
void Gumbel_hfunc() {
stan::math::var rho_value = 1.6;
stan::math::var theta2 = 0;
double u_val = 0.2;
stan::math::var v_val = 0.7;
int family_id = 4;
int numb_obs = 1;
stan::math::var u_double = hfunc_trans(family_id, u_val, v_val, rho_value, theta2);
u_double.grad();
Rcpp::Rcout << " value of u trans " << u_double.val() << std::endl;
Rcpp::Rcout << " deriv of u trans wrt theta " << rho_value.adj() << std::endl;
Rcpp::Rcout << " deriv of u trans wrt v " << v_val.adj() << std::endl;
}
// [[Rcpp::export]]
void Frank_hfunc() {
stan::math::var rho_value = 0.6;
stan::math::var theta2 = 0;
double u_val = 0.2;
stan::math::var v_val = 0.7;
int family_id = 5;
int numb_obs = 1;
stan::math::var u_double = hfunc_trans(family_id, u_val, v_val, rho_value, theta2);
u_double.grad();
Rcpp::Rcout << " value of u trans " << u_double.val() << std::endl;
Rcpp::Rcout << " deriv of u trans wrt theta " << rho_value.adj() << std::endl;
Rcpp::Rcout << " deriv of u trans wrt v " << v_val.adj() << std::endl;
}
// [[Rcpp::export]]
void Joe_hfunc() {
stan::math::var rho_value = 1.6;
stan::math::var theta2 = 0;
double u_val = 0.2;
stan::math::var v_val = 0.7;
int family_id = 6;
int numb_obs = 1;
stan::math::var u_double = hfunc_trans(family_id, u_val, v_val, rho_value, theta2);
u_double.grad();
Rcpp::Rcout << " value of u trans " << u_double.val() << std::endl;
Rcpp::Rcout << " deriv of u trans wrt theta " << rho_value.adj() << std::endl;
Rcpp::Rcout << " deriv of u trans wrt v " << v_val.adj() << std::endl;
}