// Copyright © 2016-2020 Thomas Nagler and Thibault Vatter
//
// This file is part of the vinecopulib library and licensed under the terms of
// the MIT license. For a copy, see the LICENSE file in the root directory of
// vinecopulib or https://vinecopulib.github.io/vinecopulib/.

#include <boost/math/special_functions/fpclassify.hpp> // isnan
#include <vinecopulib/bicop/family.hpp>
#include <vinecopulib/misc/tools_interpolation.hpp>
#include <vinecopulib/misc/tools_stats.hpp>
#include <wdm/eigen.hpp>

namespace vinecopulib {
inline TllBicop::TllBicop()
{
  family_ = BicopFamily::tll;
}

inline Eigen::VectorXd
TllBicop::gaussian_kernel_2d(const Eigen::MatrixXd& x)
{
  return tools_stats::dnorm(x).rowwise().prod();
}

//! selects the bandwidth matrix for local líkelihood estimator (covariance
//! times appropriate factor).
inline Eigen::Matrix2d
TllBicop::select_bandwidth(const Eigen::MatrixXd& x,
                           std::string method,
                           const Eigen::VectorXd& weights)
{
  size_t n = x.rows();
  double cor = wdm::wdm(x, "cor", weights)(0, 1);
  cor = std::min(std::max(cor, -0.95), 0.95);
  Eigen::Matrix2d cov = Eigen::MatrixXd::Identity(2, 2);
  cov(0, 1) = cor;
  cov(1, 0) = cor;

  double mult;
  if (method == "constant") {
    mult = std::pow(n, -1.0 / 3.0);
  } else {
    double degree;
    if (method == "linear") {
      degree = 1.0;
    } else {
      degree = 2.0;
    }
    mult = 1.5 * std::pow(n, -1.0 / (2.0 * degree + 1.0));
  }
  double mcor = tools_stats::pairwise_mcor(x, weights);
  double scale = std::pow(std::fabs(cor / mcor), 0.5 * mcor);

  return mult * cov * scale;
}

//! calculates the cholesky root of a 2x2 matrix.
inline Eigen::Matrix2d
chol22(const Eigen::Matrix2d& B)
{

  Eigen::Matrix2d rB;

  rB(0, 0) = std::sqrt(B(0, 0));
  rB(0, 1) = 0.0;
  rB(1, 0) = B(1, 0) / rB(0, 0);
  rB(1, 1) = std::sqrt(B(1, 1) - rB(1, 0) * rB(1, 0));

  return rB;
}

//! evaluates local likleihood density estimate.
//!
//! @param x Evaluation points.
//! @param x_data Observations.
//! @param B Bandwidth matrix.
//! @param method Order of local polynomial approximation; either `"constant"`,
//!   `"linear"`, or `"quadratic"`.
//! @param weights Vector of weights for the observations
//! @return a two-column matrix; first column is estimated density, second
//!    column is influence of evaluation point.
inline Eigen::MatrixXd
TllBicop::fit_local_likelihood(const Eigen::MatrixXd& x,
                               const Eigen::MatrixXd& x_data,
                               const Eigen::Matrix2d& B,
                               std::string method,
                               const Eigen::VectorXd& weights)
{
  size_t m = x.rows();      // number of evaluation points
  size_t n = x_data.rows(); // number of observations

  // pre-calculate inverse root of bandwidth matrix and determinant
  Eigen::Matrix2d irB = chol22(B).inverse();
  double det_irB = irB.determinant();

  // de-correlate data by applying B^{-1/2}
  Eigen::MatrixXd z = (irB * x.transpose()).transpose();
  Eigen::MatrixXd z_data = (irB * x_data.transpose()).transpose();

  Eigen::MatrixXd res(m, 2);
  res.col(0) = Eigen::VectorXd::Ones(m); // result will be a product
  Eigen::VectorXd kernels(n);
  double f0;
  Eigen::Vector2d f1;
  Eigen::Vector2d b;
  Eigen::Matrix2d S(B);
  Eigen::MatrixXd zz(n, 2), zz2(n, 2);
  for (size_t k = 0; k < m; ++k) {
    zz = z_data - z.row(k).replicate(n, 1);
    kernels = gaussian_kernel_2d(zz) * det_irB;
    if (weights.size() > 0)
      kernels = kernels.cwiseProduct(weights);
    f0 = kernels.mean();
    if (method != "constant") {
      zz = (irB * zz.transpose()).transpose();
      f1 = zz.cwiseProduct(kernels.replicate(1, 2)).colwise().mean();
      b = f1 / f0;
      if (method == "quadratic") {
        zz2 = zz.cwiseProduct(kernels.replicate(1, 2)) /
              (f0 * static_cast<double>(n));
        b = B * b;
        S = (B * (zz.transpose() * zz2) * B - b * b.transpose()).inverse();
        res(k) *= std::sqrt(S.determinant()) / det_irB;
      }
      res(k) *= std::exp(-0.5 * double(b.transpose() * S * b));
      if ((boost::math::isnan)(res(k)) | (boost::math::isinf)(res(k))) {
        // inverse operation might go wrong due to rounding when
        // true value is equal or close to zero
        res(k) = 0.0;
      }
    }
    res(k, 0) *= f0;
    if (weights.size() > 0) {
      // average weight in neighborhood of evaluation point (essentially a
      // kernel regression estimate);
      // kernels have already been multiplied with weights above
      double w = kernels.sum() / kernels.cwiseQuotient(weights).sum();
      res(k, 1) = calculate_infl(n, f0, b, B, det_irB, S, method, w);
    } else {
      res(k, 1) = calculate_infl(n, f0, b, B, det_irB, S, method, 1.0);
    }
  }

  return res;
}

//! calculate influence for data point for density estimate based on
//! quantities pre-computed in `fit_local_likelihood()`.
inline double
TllBicop::calculate_infl(const size_t& n,
                         const double& f0,
                         const Eigen::Vector2d& b,
                         const Eigen::Matrix2d& B,
                         const double& det_irB,
                         const Eigen::Matrix2d& S,
                         const std::string& method,
                         const double& weight)
{
  Eigen::MatrixXd M;
  if (method == "constant") {
    M = Eigen::MatrixXd::Constant(1, 1, f0);
  } else if (method == "linear") {
    M = Eigen::MatrixXd(3, 3);
    M(0, 0) = f0;
    M.col(0).tail(2) = B * b * f0;
    M.row(0).tail(2) = M.col(0).tail(2);
    M.block(1, 1, 2, 2) = f0 * B + f0 * B * b * b.transpose() * B;
  } else if (method == "quadratic") {
    M = Eigen::MatrixXd::Zero(6, 6);
    M(0, 0) = f0;
    M.col(0).segment(1, 2) = f0 * b;
    M.row(0).segment(1, 2) = M.col(0).segment(1, 2);
    M.block(1, 1, 2, 2) = f0 * B + f0 * b * b.transpose();
    M(3, 0) = 0.5 * M(1, 1);
    M(4, 0) = 0.5 * M(2, 2);
    M(5, 0) = M(1, 2);
    M.row(0).tail(3) = M.col(0).tail(3);
    Eigen::MatrixXd Si = S.inverse();
    M(3, 1) = 0.5 * f0 * (3.0 * Si(0, 0) * b(0) + std::pow(b(0), 3));
    M(4, 2) = 0.5 * f0 * (3.0 * Si(1, 1) * b(1) + std::pow(b(1), 3));
    M(4, 1) = 0.5 * f0;
    M(4, 1) *= 2.0 * Si(0, 1) * b(1) + Si(1, 1) * b(0) + b(0) * b(1) * b(1);
    M(3, 2) = 0.5 * f0;
    M(3, 2) *= 2.0 * Si(0, 1) * b(0) + Si(0, 0) * b(1) + b(1) * b(0) * b(0);
    M(5, 1) = 2.0 * M(3, 2);
    M(5, 2) = 2.0 * M(4, 1);
    M.block(1, 3, 2, 3) = M.block(3, 1, 3, 2).transpose();
    M(3, 3) = 0.25 * f0;
    M(3, 3) *= 3.0 * Si(0, 0) * Si(0, 0) + 6.0 * Si(0, 0) * b(0) * b(0) +
               std::pow(b(0), 4);
    M(4, 4) = 0.25 * f0;
    M(4, 4) *= 3.0 * Si(1, 1) * Si(1, 1) + 6.0 * Si(1, 1) * b(1) * b(1) +
               std::pow(b(1), 4);
    M(5, 5) = Si(0, 0) * Si(1, 1) + 2.0 * S(0, 1) + b(0) * b(0) * b(1) * b(1);
    M(5, 5) += 4.0 * Si(0, 1) * b(0) * b(1);
    M(5, 5) += Si(0, 0) * b(1) * b(1) + Si(1, 1) * b(0) * b(0);
    M(5, 5) *= f0;
    M(4, 3) = M(5, 5) * 0.25;
    M(3, 4) = M(4, 3);
    M(5, 3) = 3.0 * Si(0, 0) * Si(0, 1) + 3.0 * Si(0, 1) * b(0) * b(0);
    M(5, 3) += 3.0 * Si(0, 0) * b(0) * b(1) + b(1) * std::pow(b(0), 3);
    M(5, 3) *= 0.5 * f0;
    M(3, 5) = M(5, 3);
    M(5, 4) = 3.0 * Si(1, 1) * Si(0, 1) + 3.0 * Si(0, 1) * b(1) * b(1);
    M(5, 4) += 3.0 * Si(1, 1) * b(0) * b(1) + b(0) * std::pow(b(1), 3);
    M(5, 4) *= 0.5 * f0;
    M(4, 5) = M(5, 4);
  }

  double infl = gaussian_kernel_2d(Eigen::MatrixXd::Zero(1, 2))(0) * det_irB;
  infl *= M.inverse()(0, 0) * weight / static_cast<double>(n);
  return infl;
}

inline void
TllBicop::fit(const Eigen::MatrixXd& data,
              std::string method,
              double mult,
              const Eigen::VectorXd& weights)
{
  using namespace tools_interpolation;

  // construct default grid (equally spaced on Gaussian scale)
  size_t m = 30;
  auto grid_points = this->make_normal_grid(m);

  // expand the interpolation grid; a matrix with two columns where each row
  // contains one combination of the grid points
  auto grid_2d = tools_eigen::expand_grid(grid_points);

  // transform evaluation grid and data by inverse Gaussian cdf
  Eigen::MatrixXd z = tools_stats::qnorm(grid_2d);

  // use jittering in case observations are discrete
  auto psobs = tools_stats::to_pseudo_obs(data.leftCols(2), "random");
  Eigen::MatrixXd z_data = tools_stats::qnorm(psobs);

  // find bandwidth matrix
  Eigen::Matrix2d B = select_bandwidth(z_data, method, weights);
  B *= mult;

  // compute the density estimator (first column estimate, second influence)
  Eigen::MatrixXd ll_fit = fit_local_likelihood(z, z_data, B, method, weights);

  // transform density estimate to copula scale
  Eigen::VectorXd c =
    ll_fit.col(0).cwiseQuotient(tools_stats::dnorm(z).rowwise().prod());
  // store values in mxm grid
  Eigen::MatrixXd values(m, m);
  values = Eigen::Map<Eigen::MatrixXd>(c.data(), m, m).transpose();

  // for interpolation, we shift the limiting gridpoints to 0 and 1
  grid_points(0) = 0.0;
  grid_points(m - 1) = 1.0;
  interp_grid_ = std::make_shared<InterpolationGrid>(grid_points, values);

  // compute effective degrees of freedom via interpolation ---------
  // stabilize interpolation by restricting to plausible range
  Eigen::VectorXd infl_vec = ll_fit.col(1).cwiseMin(1.3).cwiseMax(-0.2);
  Eigen::MatrixXd infl(m, m);
  infl = Eigen::Map<Eigen::MatrixXd>(infl_vec.data(), m, m).transpose();
  // don't normalize margins of the EDF! (norm_times = 0)
  auto infl_grid = InterpolationGrid(grid_points, infl, 0);
  if ((var_types_[0] == "d") | (var_types_[1] == "d")) {
    // for discrete, use mid ranks to compute EDF and log-likelihood
    // (this is closer to "observations" than jittered or "upper" pseudo data)
    psobs = 0.5 * (data.leftCols(2) + data.rightCols(2)).array();
    npars_ = tools_eigen::unique(infl_grid.interpolate(psobs)).sum();
    npars_ = std::max(npars_, 1.0);
  } else {
    npars_ = std::max(infl_grid.interpolate(data).sum(), 1.0);
  }
  set_loglik(pdf(data).array().log().sum());
}
}
