---
title: Multivariate Normal Variance Mixtures
author: Erik Hintz, Marius Hofert and Christiane Lemieux
date: '`r Sys.Date()`'
output:
  html_vignette:
    css: style.css
vignette: >
  %\VignetteEngine{knitr::rmarkdown}
  %\VignetteIndexEntry{Multivariate Normal Variance Mixtures}
  %\VignetteEncoding{UTF-8}
---

```{r, message = FALSE}
library(nvmix)
library(RColorBrewer)
library(lattice)
doPDF <- FALSE
```

## 1 Introduction

The R package `nvmix` provides functionality for (multivariate) normal variance mixture
distributions, including normal and Student's *t* distributions; see also 
Hintz et al. (2019, “Normal variance mixtures: Distribution, density and 
parameter estimation”).
A random vector $\mathbf{X}=(X_1,\dots,X_d)$ follows a *normal
variance mixture*, in notation $\mathbf{X}\sim \operatorname{NVM}_d(\mathbf{\mu},\Sigma,F_W)$, if, in
distribution,
$$  \mathbf{X}=\mathbf{\mu}+\sqrt{W}A\mathbf{Z}, $$
where $\mathbf{\mu}\in\mathbb{R}^d$ denotes the *location (vector)*,
$\Sigma=AA^\top$ for $A\in\mathbb{R}^{d\times k}$ denotes the *scale (matrix)* (a
covariance matrix), and the mixture variable $W\sim F_W$ is a non-negative random
variable independent of $\mathbf{Z}\sim \operatorname{N}_k(\mathbf{0},I_k)$ (where
$I_k\in\mathbb{R}^{k\times k}$ denotes the identity matrix). Note that both the
Student's $t$ distribution with degrees of freedom parameter
$\nu>0$ and the normal distribution are normal variance mixtures;
in the former case, $W\sim \operatorname{IG}(\nu/2, \nu/2)$ (inverse gamma) and in the latter
case $W$ is almost surely constant (taken as $1$ so that $\Sigma$ is the
covariance matrix of $\mathbf{X}$ in this case).

Note that the density of $\mathbf{X}$ exists if and only if $\Sigma$ is
positive definite and $\mathbb{P}(W=0)=0$. In this case one can 
take $A\in\mathbb{R}^{d\times d}$ to be the (lower triangular) Cholesky factor 
$A$ of $\Sigma$ such that $AA^\top=\Sigma$.
This corresponds to the argument `factor` in those functions. In `rnvmix()`,
`factor` is of the general form as $A$ above. The function `pnvmix()` accepts 
a singular scale matrix $\Sigma$ as input and then estimates the distribution 
function correctly (that is, the distribution function of the underlying
singular normal variance mixture).


For most functions in the package, the *quantile function* of $W$ needs to be
provided which is (here) defined as
$$ F_W^\leftarrow(u)=\inf\{w\in[0,\infty):F_W(w)\ge u\},\quad u\in[0,1]. $$


## 2 Evaluating the distribution function

An important but difficult task is to evaluate the (cumulative) distribution
function of a normal variance mixture distribution, so
$$	F(\mathbf{x})=\mathbb{P}(\mathbf{X}\le\mathbf{x})=\mathbb{P}(X_1\le x_1,\dots,X_d\le x_d),\quad \mathbf{x}\in\mathbb{R}^d. $$
In fact, the function `pnvmix()` can be used to estimate more general probabilities
of the form
$$	F(\mathbf{a},\mathbf{b} )=\mathbb{P}(\mathbf{a} < \mathbf{X}\le\mathbf{b})=\mathbb{P}(a_1 < X_1\le b_1,\dots, a_d < X_d\le b_d),\quad \mathbf{a},\mathbf{b}\in\mathbb{R}^d, $$
where $\mathbf{a}<\mathbf{b}$ (interpreted componentwise) and entries of 
$\mathbf{a},\mathbf{b}$ are allowed to be $\pm\infty$. 
To this end, the function `pnvmix()` internally approximates the $d$-dimensional
integral using a randomized Quasi Monte Carlo (RQMC) method. Due to the
random nature, the result depends (slightly) on the seed `.Random.seed`.

### 2.1 Exponential mixture distribution

As a first example, consider a normal variance mixture with exponential
mixture variable $W$. We illustrate two approaches how to use
`pnvmix()` to approximate $P(\mathbf{a} < \mathbf{X} \le \mathbf{b})$
for randomly chosen $\mathbf{a}\le\mathbf{b}$.
```{r}
## Generate a random correlation matrix and random limits in dimension d = 5
d <- 5
set.seed(42)
A <- matrix(runif(d * d), ncol = d)
P <- cov2cor(A %*% t(A)) # (randomly generated) correlation matrix
b <-  3 * runif(d) * sqrt(d) # (randomly generated) upper limit
a <- -3 * runif(d) * sqrt(d) # (randomly generated) lower limit

## Specify the mixture distribution parameter
rate <- 1.9 # exponential rate parameter

## Method 1: Use R's qexp() function and provide a list as 'mix'
set.seed(42)
(p1 <- pnvmix(b, lower = a, qmix = list("exp", rate = rate), scale = P))

## Method 2: Define the quantile function manually (note that
##           we do not specify rate in the quantile function here,
##           but conveniently pass it via the ellipsis argument)
set.seed(42)
(p2 <- pnvmix(b, lower = a, qmix = function(u, lambda) -log(1-u)/lambda,
              scale = P, lambda = rate))

## Comparison
stopifnot(all.equal(p1, p2))
```
We see that the results coincide.

If higher precision of the computed probabilities is desired, this can be
accomplished by changing the argument `pnvmix.abstol` (which defaults to `1e-3`)
in the `control` argument at the
expense of a higher run time.
```{r}
pnvmix(b, lower = a, qmix = function(u, lambda) -log(1-u)/lambda,
       lambda = rate, scale = P, control = list(pnvmix.abstol = 1e-5))
```


### 2.2 Three-point mixture distribution

As a next example, consider a normal variance mixture where $W$ is discrete.
This time, we are interested in computing the one-sided probabability
$\mathbb{P}(\mathbf{X}\le\mathbf{b})=F(\mathbf{b})$ for $\mathbf{b}$ as constructed before.
```{r}
## Define the quantile function of the three-point distribution
## which puts masses 'p' at the numbers 'x'
x <- c(1, 3, 5) # support
p <- c(0.2, 0.3, 0.5) # probabilities
qW <- function(u)
    (u <= p[1]) * x[1] + (u > p[1] & u <= p[1]+p[2]) * x[2] + (u > p[1]+p[2]) * x[3]

## Call pnvmix(); lower defaults to (-Inf,...,-Inf)
set.seed(42)
(p1 <- pnvmix(b, qmix = qW, scale = P))
```
This could have also been obtained as follows but we would have called
`pNorm()` (so `pnvmix()`) three times then.
```{r}
set.seed(42)
p2 <- sum(sapply(1:3, function(k) p[k] * pNorm(b, scale = x[k] * P)))
stopifnot(all.equal(p1, p2, check.attributes = FALSE, tol = 5e-4))
```


### 2.3 The wrappers `pNorm()` and `pStudent()`

For the two special cases of Student's $t$ distribution and the normal distribution,
`pNorm()` and `pStudent()` are user-friendly wrappers of `pnvmix()`. Note that
`pStudent()` works for any degree of freedom parameter $\nu>0$ (not necessarily integer)
-- to the best of our knowledge, this functionality was not available in `R` at the
time of development of this package.


### 2.4 The effect of algorithm-specific parameters

The function `pnvmix()` (and thus the wrappers `pStudent()` and `pNorm()`) give
the user the possibility to change algorithm-specific parameters via the `control`
argument. A few of them are (for others see `?get_set_param`):

* `method`: The integration method to be used. The default, a randomized Sobol
sequence, has proven to outperform the others.
* `precond`: A logical variable indicating whether a *preconditioning
step*, that is, a reordering of the integration limits (and related rows and
columns of `scale`) is to be performed. If `TRUE`, the reordering is done in a
way such that the expected lengths of the integration limits is increasing going
from the outermost to the innermost integral. In the vast majority of cases,
this leads to a decrease in the variance of the integrand and thus to a
decrease in computational time.
* `mean.sqrt.mix`: $E(\sqrt{W})$. This number is needed for the
preconditioning. In case of Student's $t$ and the normal distribution, this
value is calculated internally. For all other cases this value is
estimated internally if not provided.
* `increment`: Determines how large the next point set should be if the
previous point set was not large enough to ensure the specified accuracy. When
`"doubling"` is used, there will be as many additional points as there were
in the previous iteration and if `"num.init"` is used, there will be
`fun.eval[1]` additional points in each iteration. The former option
(default) will lead to slightly more accurate results at the cost of slightly
higher run time.

Let us now illustrate the effect of `method` and `precond` on the performance of
`pnvmix()` with `mix = 'inverse.gamma'`. To this end we use the wrapper
`pStudent()`. We set `pnvmix.abstol = NULL` so that the algorithm runs until the number
of function evaluations exceeds `fun.eval[2]`. We do this for different values
of `fun.eval[2]` in order to get an idea of the speed of convergence. We
also compute the regression coefficients which act as a summary measure of
the speed of convergence.
```{r, fig.align = "center", fig.width = 7, fig.height = 7, fig.show = "hold"}
## Setup
df <- 2.1 # degrees of freedom
maxiter <- 9 # note: i iterations require 3 * 2^8 * 2^i function evaluations
max.fun.evals <- 3 * 2^8 * 2^seq(from = 2, to = maxiter, by = 1)
errors <- matrix(, ncol = length(max.fun.evals), nrow = 4)
nms <- c("Sobol  with preconditioning", "Sobol  w/o  preconditioning",
         "PRNG with preconditioning", "PRNG w/o  preconditioning")
rownames(errors) <- nms

## Computing the errors
## Note:
## - resetting the seed leads to a fairer comparison here
## - set 'verbose' to 0 or FALSE to avoid warnings which inevitably occur
##   due to 'pnvmix.abstol = NULL'
for(i in seq_along(max.fun.evals)) {
    N.max <- max.fun.evals[i]
    ## Sobol with preconditioning
    set.seed(42)
    errors[nms[1],i] <-
        attr(pStudent(b, lower = a, scale = P,  df = df,
                      control = list(pnvmix.abstol = NULL, fun.eval = c(2^6, N.max)),
                      verbose = FALSE), "error")
    ## Sobol without preconditioning
    set.seed(42)
    errors[nms[2],i] <-
        attr(pStudent(b, lower = a, scale = P,  df = df,
                      control = list(precond = FALSE, pnvmix.abstol = NULL,
                                     fun.eval = c(2^6, N.max)),
                      verbose = FALSE), "error")
    ## PRNG with preconditioning
    set.seed(42)
    errors[nms[3],i] <-
        attr(pStudent(b, lower = a, scale = P,  df = df,
                      control = list(method = "PRNG", pnvmix.abstol = NULL,
                                     fun.eval = c(2^6, N.max)),
                      verbose = FALSE), "error")
    ## PRNG without preconditioning
    set.seed(42)
    errors[nms[4],i] <-
        attr(pStudent(b, lower = a, scale = P,  df = df,
                      control = list(method = "PRNG", precond = FALSE,
                                     pnvmix.abstol = NULL, fun.eval = c(2^6, N.max)),
                      verbose = FALSE), "error")
}

## Computing the regression coefficients
coeff <- apply(errors, 1, function(y) lm(log(y) ~ log(max.fun.evals))$coeff[2])
names(coeff) <- nms

## Plot
if(doPDF) pdf(file = (file <- "fig_pnvmix_error_comparison.pdf"),
              width = 7, height = 7)
pal <- colorRampPalette(c("#000000", brewer.pal(8, name = "Dark2")[c(7, 3, 5)]))
cols <- pal(4) # colors
plot(NA, log = "xy", xlim = range(max.fun.evals), ylim = range(errors),
     xlab = "Number of function evaluations", ylab = "Estimated error")
lgnd <- character(4)
for(k in 1:4) {
    lines(max.fun.evals, errors[k,], col = cols[k])
    lgnd[k] <- paste0(nms[k]," (",round(coeff[k], 2),")")
}
legend("topright", bty = "n", lty = rep(1, 4), col = rev(cols), legend = rev(lgnd))
if(doPDF) dev.off()
```
We can see that in this example Sobol' outperforms PRNG and that the
preconditioning helps significantly in reducing the error.


## 3 Evaluating the density function

Another important task is to evaluate the density function of a normal variance
mixture. This is particularly important for likelihood-based methods. In
general, the density is given in terms of a univariate integral which the
function `dnvmix()` internally approximates using a randomized Quasi Monte Carlo
(RQMC) method. Due to the random nature, the result slightly varies with
`.Random.seed`. Note that if $\Sigma$ is singular, the density does not exist.

Note the argument `log` in `dnvmix()`: Rather than estimating the density, the
logarithmic density is estimated. Only if `log = FALSE` (the default), the
actual density is returned. This is usually numerically more stable than
estimating the density and then applying the logarithm to the computed density.
Also note that for many applications, the log-density is the actual quantity of
interest, for example, when computing the log-likelihood.

We give two small examples:

### 3.1 3-point mixture
```{r}
x <- matrix(1:15/15, ncol = d) # evaluation points of the density
set.seed(1)
(d1 <- dnvmix(x, qmix = qW, scale = P)) # computed density values
set.seed(1)
(d2 <- dnvmix(x, qmix = qW, scale = P, log = TRUE)) # log-density
stopifnot(all.equal(d1, exp(d2), check.attributes = FALSE)) # check
```

### 3.2 Inverse-gamma mixture

In the case of an inverse-gamma mixture (so that $\mathbf{X}$ is multivariate $t$),
the density is known. This can be used to accurately estimate the error in
our estimation procedure, as illustrated here:

```{r, fig.align = "center", fig.width = 9, fig.height = 6, fig.show = "hold"}
n <- 40 # sample size 
x <- matrix(1:n, ncol = 2) # n/2 - two dimensional evaluation points 
m <- mahalanobis(x, center = c(0,0), cov = diag(2)) # for plotting
d3.1 <- dStudent(x, df = 2, log = TRUE) # true value
## Specify 'qmix' as function to force estimation of log-density via RQMC
d3.2 <- dnvmix(x, qmix = function(u) 1/qgamma(1-u, shape = 1, rate = 1), log = TRUE)
rel.err <- (d3.2-d3.1)/d3.1
stopifnot(max(abs(rel.err)) < 5e-3) # check 
cols <- pal(2)
if(doPDF) pdf(file = (file <- paste0("fig_dStudentvsdnvmix.pdf")),
              width = 6, height = 6)
plot(sqrt(m), d3.1, type = 'l', col = cols[1], 
     xlab = expression(paste("Mahalanobis Distance ", x^T, x)), ylab = "log-density")
lines(sqrt(m), d3.2, col = cols[2], lty = 2)
legend("topright", c("True log-density", "Estimated log-density"),
       lty = c(1,2), col = cols[1:2], bty = 'n')
if(doPDF) dev.off()
```


## 4 (Quasi-)random number generation

The function `rnvmix()` provides a flexible tool to sample from (multivariate)
normal variance mixtures. The structure is similar to the one of `dnvmix()` and
`pnvmix()` (but also different in some aspects; see `?dnvmix`).  The user can
specify the argument `qmix` which, as usual, corresponds to the quantile
function $F_W^\leftarrow$ of $W$ or, alternatively, the argument `rmix`,
which corresponds to a random number generator for $W$. This is due to the fact
that there are distributions for which it is hard to find the quantile function,
but for which sampling procedures exist (for example, for stable distributions).
As an example call of `rnvmix()`, let us revisit Section 2.1 where
$W\sim\mathrm{Exp}(`r rate`)$.
```{r, fig.align = "center", fig.width = 6, fig.height = 6, fig.show = "hold"}
## Sampling
n <- 500 # sample size
set.seed(42)
r1 <- rnvmix(n, rmix = list("exp", rate = rate)) # uses the default P = diag(2)

## Plot
if(doPDF) pdf(file = (file <- paste0("fig_rnvmix_W_exp.pdf")),
              width = 6, height = 6)
plot(r1, xlab = expression(X[1]), ylab = expression(X[2]))
if(doPDF) dev.off()
```

An important argument of `rnvmix()` is `method`. This can be either `"PRNG"`
(classical pseudo-random sampling) or `"sobol"` or `"ghalton"` (for the
inversion method based on the corresponding low-discrepancy point set). If
`method` is not `"PRNG"`, `qmix` must be provided. As an example,
let us revisit Section 2.2 where $W$ was following a three-point distribution.
```{r, fig.align = "center", fig.width = 9, fig.height = 6, fig.show = "hold"}
## Sampling
set.seed(42)
r1 <- rnvmix(n, qmix = qW)
r2 <- rnvmix(n, qmix = qW, method = "ghalton")

## Plot
if(doPDF) pdf(file = (file <- paste0("fig_rnvmix_W_three-point.pdf")),
              width = 9, height = 6)
ran <- range(r1, r2)
opar <- par(pty = "s")
layout(t(1:2))
plot(r1, xlab = expression(X[1]), ylab = expression(X[2]),
     main = "Pseudo-random sample", xlim = ran, ylim = ran)
plot(r2, xlab = expression(X[1]), ylab = expression(X[2]),
     main = "Quasi-random sample", xlim = ran, ylim = ran)
layout(1)
par(opar)
if(doPDF) dev.off()
```

When $W$ is discrete and has finite support, one can also easily sample from the
corresponding normal variance mixture using `rNorm()`.
```{r, fig.align = "center", fig.width = 6, fig.height = 6, fig.show = "hold"}
## Sampling
set.seed(42)
r <- lapply(1:3, function(k) rNorm(p[k] * n, scale = diag(x[k], 2)))

## Plot
if(doPDF) pdf(file = (file <- paste0("fig_rnvmix_W_three-point_via_rNorm.pdf")),
              width = 6, height = 6)
ran  <- range(r)
cols <- pal(4)
opar <- par(pty = "s")
plot(NA, xlim = ran, ylim = ran, xlab = expression(X[1]), ylab = expression(X[2]))
for(k in 1:3) points(r[[k]], col = cols[k+1])
par(opar)
if(doPDF) dev.off() 
```
This examples helps understanding normal variance mixtures.
Note that the brown points come from $\operatorname{N}(\mathbf{0}, I_2)$, the blue ones from
$\operatorname{N}(\mathbf{0}, 3I_2)$ and the green ones from $\operatorname{N}(\mathbf{0}, 5I_2)$ and that their
frequencies correspond to the probabilities $\mathbb{P}(W=1)$, $\mathbb{P}(W=3)$ and $\mathbb{P}(W=5)$.

Unlike `dnvmix()`, `rnvmix()` can handle singular normal
variance mixtures. In this case, the matrix `factor` (which is a matrix
$A\in\mathbb{R}^{d\times k}$ such that $AA^\top=\Sigma$) has to be provided.
In the following example, we consider a Student's $t$ distribution via the
wrapper `rStudent()`. As expected in the singular case, all points lie on a plane
which is visible after a suitable rotation of the cloud plot.
```{r, fig.align = "center", fig.width = 7, fig.height = 7, fig.show = "hold"}
## Sampling
df <- 3.9 # degrees of freedom
factor <- matrix(c(1,0, 0,1, 0,1), ncol = 2, byrow = TRUE) # (3,2)-matrix 'factor'
Sigma <- tcrossprod(factor) # the 'scale' corresponding to factor
stopifnot(Sigma == factor %*% t(factor))
set.seed(42)
r <- rStudent(n, df = df, factor = factor) # sample

## Plot
if(doPDF) pdf(file = (file <- paste0("fig_rnvmix_singular.pdf")),
              width = 6, height = 6)
cloud(r[,3] ~ r[,1] * r[,2], screen = list(z = 115, x = -68),
      xlab = expression(X[1]), ylab = expression(X[2]), zlab = expression(X[3]),
      scales = list(arrows = FALSE, col = "black"),
      par.settings = modifyList(standard.theme(color = FALSE),
                                list(axis.line = list(col = "transparent"),
                                     clip = list(panel = "off"))))
if(doPDF) dev.off()
```

## 5 Parameter estimation

The function `fitnvmix()` can be used to fit any multivariate normal variance
mixture distribution to data so long as the quantile function of the mixing
variable $W$ is available. Internally, an ECME (Expectation/Conditional Maximization
Either) algorithm is used to estimate the mixing parameters of $W$, the location 
vector $\mathbf{\mu}$ and the scale matrix $\Sigma$. 
The specification of $W$ is passed to `fitnvmix()` via the argument `qmix`, 
see also the documentation for further details. Here, `qmix` can be either
a function of $u$ and $\nu$ (where $\nu$ corresponds to the parameters of
the mixing random variable $W$) or a string (currently allowed are
`qmix = "constant"`, `qmix = "inverse.gamma"` and `qmix = "pareto"`); note that
in the latter case, analytical formulas for densities and weights are used
where as in the former case, all densities and weights are estimated via
RQMC methods. The following example illustrates the problem of fitting data
to a Pareto-mixture. 

```{r, fig.align = "center", fig.width = 6, fig.height = 6, fig.show = "hold"}
set.seed(42) # for reproducibility 
## Define 'qmix' as the quantile function of a Par(nu, 1) distribution
qmix <- function(u, nu) (1-u)^(-1/nu)
## Parameters for sampling
n         <- 50    
d         <- 3
loc       <- rep(0, d) # true location vector
A         <- matrix(runif(d * d), ncol = d)
scale     <- cov2cor(A %*% t(A)) # true scale matrix
nu        <- 2.4 # true mixing parameter 
mix.param.bounds  <- c(1, 10) # nu in [1, 10]
## Sample data using 'rnvmix()':
x <- rnvmix(n, qmix = qmix, nu = nu, loc = loc, scale = scale)
## Call 'fitvnmix()' with 'qmix' as function (so all densities/weights are estimated)
(MyFit21 <- fitnvmix(x, qmix = qmix, mix.param.bounds = mix.param.bounds))
## Call 'fitnvmix()' with 'qmix = "pareto"' in which case an analytical formula
## for the density is used
(MyFit22 <- fitnvmix(x, qmix = "pareto", mix.param.bounds = mix.param.bounds))
stopifnot(all.equal(MyFit21$nu, MyFit22$nu, tol = 5e-2))
## Produce a Q-Q-Plot of the sampled mahalanobis distance versus their theoretical
## quantiles with parameters estimated in 'MyFit21' 
if(doPDF) pdf(file = (file <- paste0("fig_fitnvmix_qqplot.pdf")),
              width = 6, height = 6)
qqplot_maha(x, qmix = "pareto", loc = MyFit21$loc, scale = MyFit21$scale, 
            alpha = MyFit21$nu)
if(doPDF) dev.off()
```