void VineLogLikRvineGradient(int* T, int* d, int* family, int* maxmat, int* matrix, int* condirect, int* conindirect, double* par, double* par2, double* data,
double* out, double* ll, double* vv, double* vv2, int* posParams)
{
int kk, ii, tt, i, j, tcop=0, dd=1, aa=0, margin=0;
int *calc;
calc = Calloc(((*d)*(*d)),int);
double *tilde_vdirect, *tilde_vindirect, *tilde_value;
tilde_vdirect = Calloc(((*d)*(*d)*(*T)),double);
tilde_vindirect = Calloc(((*d)*(*d)*(*T)),double);
tilde_value = Calloc(((*d)*(*d)*(*T)),double);
int **pospar, **fam;
pospar=create_intmatrix(*d,*d);
fam=create_intmatrix(*d,*d);
for(i=0;i<(*d);i++)
{
for(j=0;j<(*d);j++)
{
pospar[i][j]=posParams[(i+1)+(*d)*j-1] ;
fam[i][j]=family[(i+1)+(*d)*j-1] ;
if( j < i && pospar[i][j]==1){
aa++;
}
}
}
tt=0;
for(ii=(*d-1);ii>0;ii--)
{
for(kk=(*d);kk>ii;kk--)
{
if(pospar[kk-1][ii-1]==1)
{
calcupdate_func(d, matrix, &kk, &ii, calc);
if(fam[kk-1][ii-1]==2) // for the t-copula
{
tcop=1; // first parameter
VineLogLikRvineDeriv(T, d, family, &kk, &ii, maxmat, matrix, condirect, conindirect, par, par2, data, &out[tt], ll, vv, vv2, calc, tilde_vdirect, tilde_vindirect, tilde_value, &tcop, &margin);
tcop=2; // second parameter
VineLogLikRvineDeriv(T, d, family, &kk, &ii, maxmat, matrix, condirect, conindirect, par, par2, data, &out[aa-1+dd], ll, vv, vv2, calc, tilde_vdirect, tilde_vindirect, tilde_value, &tcop, &margin); // important: position in the gradient out[aa-1+dd]
dd++;
}
else
{
tcop=0;
VineLogLikRvineDeriv(T, d, family, &kk, &ii, maxmat, matrix, condirect, conindirect, par, par2, data, &out[tt], ll, vv, vv2, calc, tilde_vdirect, tilde_vindirect, tilde_value, &tcop, &margin);
}
tt+=1;
}
}
}
Free(calc);free_intmatrix(pospar,*d);free_intmatrix(fam,*d);
Free(tilde_vdirect);Free(tilde_vindirect);Free(tilde_value);
}
void VineLogLikRvineDeriv(int* T, int* d, int* family, int* kk, int* ii, int* maxmat, int* matrix, int* condirect, int* conindirect, double* par, double* par2, double* data,
double* out, double* ll, double* vv, double* vv2, int* calcupdate, double* tilde_vdirect, double* tilde_vindirect, double* tilde_value, int* tcop, int* margin)
{
int i, j, k, t, m, **fam, **calc;
double sumloglik=0.0, **theta, **nu, ***tildevdirect, ***tildevindirect, *zr1, *zr2, *tildezr1, *tildezr2, *cop;
double *handle1;
double param[2];
zr1=(double*) Calloc(*T,double);
zr2=(double*) Calloc(*T,double);
handle1=(double*) Calloc(*T,double);
tildezr1=(double*) Calloc(*T,double);
tildezr2=(double*) Calloc(*T,double);
cop=(double*) Calloc(*T,double);
double ***tildevalue;
tildevalue=create_3darray(*d,*d,*T);
//Allocate memory
tildevdirect = create_3darray(*d,*d,*T);
tildevindirect = create_3darray(*d,*d,*T);
theta=create_matrix(*d,*d);
nu=create_matrix(*d,*d);
fam=create_intmatrix(*d,*d);
calc=create_intmatrix(*d,*d);
//Initialize
k=0;
for(i=0;i<(*d);i++)
{
for(j=0;j<(*d);j++)
{
theta[i][j]=par[(i+1)+(*d)*j-1] ;
nu[i][j]=par2[(i+1)+(*d)*j-1] ;
fam[i][j]=family[(i+1)+(*d)*j-1] ;
calc[i][j]=calcupdate[(i+1)+(*d)*j-1] ;
}
}
for(i=0;i<(*d);i++)
{
for(j=0;j<(*d);j++)
{
for(t=0;t<*T;t++ )
{
tildevdirect[i][j][t]=0;
tildevindirect[i][j][t]=0;
tildevalue[i][j][t]=0;
}
}
}
m=maxmat[*kk+(*d)*(*ii-1)-1];
for(t=0;t<*T;t++ )
{
zr1[t]=vv[*kk+(*d)*(*ii-1)+(*d)*(*d)*t-1];
cop[t]=exp(ll[*kk+(*d)*(*ii-1)+(*d)*(*d)*t-1]);
}
if(m == matrix[*kk+*d*(*ii-1)-1])
{
for(t=0;t<*T;t++ )
{
zr2[t]=vv[*kk+(*d)*(*d-m)+(*d)*(*d)*t-1];
}
}
else
{
for(t=0;t<*T;t++)
{
zr2[t]=vv2[*kk+(*d)*(*d-m)+(*d)*(*d)*t-1];
}
}
param[0]=theta[*kk-1][*ii-1];
param[1]=nu[*kk-1][*ii-1];
if(*tcop==1) //For the t-copula (first parameter)
{
diffhfunc_rho_tCopula(zr1,zr2,T,param,&fam[*kk-1][*ii-1],tildevdirect[*kk-2][*ii-1]);
diffhfunc_rho_tCopula(zr2,zr1,T,param,&fam[*kk-1][*ii-1],tildevindirect[*kk-2][*ii-1]);
diffPDF_rho_tCopula(zr1,zr2,T,param,&fam[*kk-1][*ii-1],tildevalue[*kk-1][*ii-1]);
for(t=0;t<*T;t++ )
{
tildevalue[*kk-1][*ii-1][t]=tildevalue[*kk-1][*ii-1][t]/cop[t];
}
}
else if(*tcop==2) // for the t-copula (second parameter)
{
diffhfunc_nu_tCopula_new(zr1,zr2,T,param,&fam[*kk-1][*ii-1],tildevdirect[*kk-2][*ii-1]);
diffhfunc_nu_tCopula_new(zr2,zr1,T,param,&fam[*kk-1][*ii-1],tildevindirect[*kk-2][*ii-1]);
diffPDF_nu_tCopula_new(zr1,zr2,T,param,&fam[*kk-1][*ii-1],tildevalue[*kk-1][*ii-1]);
for(t=0;t<*T;t++ )
{
tildevalue[*kk-1][*ii-1][t]=tildevalue[*kk-1][*ii-1][t]/cop[t];
}
}
else
{
if( *margin == 0 ) //Das ist unser bisheriger Fall mit stetigen Variablen (ohne t-copula)
{
diffhfunc_mod(zr1,zr2,T,&theta[*kk-1][*ii-1],&fam[*kk-1][*ii-1],tildevdirect[*kk-2][*ii-1]);
diffhfunc_mod2(zr2,zr1,T,&theta[*kk-1][*ii-1],&fam[*kk-1][*ii-1],tildevindirect[*kk-2][*ii-1]);
diffPDF_mod(zr1,zr2,T,&theta[*kk-1][*ii-1],&fam[*kk-1][*ii-1],tildevalue[*kk-1][*ii-1]);
for(t=0;t<*T;t++ )
{
tildevalue[*kk-1][*ii-1][t]=tildevalue[*kk-1][*ii-1][t]/cop[t];
}
}
else if( *margin== 1) // Ableitung nach dem ersten Argument = margin1
{
diffhfunc_v_mod2(zr2,zr1,T,&theta[*kk-1][*ii-1],&fam[*kk-1][*ii-1],tildevindirect[*kk-2][*ii-1]);
diffPDF_u_mod(zr1,zr2,T,&theta[*kk-1][*ii-1],&fam[*kk-1][*ii-1],tildevalue[*kk-1][*ii-1]); // hier k?nnte difflPDF stehen
for(t=0;t<*T;t++ )
{
tildevdirect[*kk-2][*ii-1][t]=cop[t];
tildevalue[*kk-1][*ii-1][t]=tildevalue[*kk-1][*ii-1][t]/cop[t];
}
}
else // Ableitung nach dem zweiten Argument = margin2
{
diffhfunc_v_mod(zr1,zr2,T,&theta[*kk-1][*ii-1],&fam[*kk-1][*ii-1],tildevdirect[*kk-2][*ii-1]);
diffPDF_v_mod(zr1,zr2,T,&theta[*kk-1][*ii-1],&fam[*kk-1][*ii-1],tildevalue[*kk-1][*ii-1]); // hier k?nnte difflPDF stehen
for(t=0;t<*T;t++ )
{
tildevindirect[*kk-2][*ii-1][t]=cop[t];
tildevalue[*kk-1][*ii-1][t]=tildevalue[*kk-1][*ii-1][t]/cop[t];
}
}
}
// add up for the final derivative
for(t=0;t<*T;t++ )
{
sumloglik+=tildevalue[*kk-1][*ii-1][t];
}
for(i=*ii-1; i>-1; i--)
{
for(k=*kk-2;k>i;k--)
{
if(calc[k][i]==1)
{
m=maxmat[(k+1)+*d*i-1];
for(t=0;t<*T;t++ )
{
zr1[t]=vv[(k+1)+(*d)*i+(*d)*(*d)*t-1];
tildezr1[t]=tildevdirect[k][i][t];
cop[t]=exp(ll[(k+1)+(*d)*i+(*d)*(*d)*t-1]);
}
if(m == matrix[(k+1)+*d*i-1])
{
for(t=0;t<*T;t++ )
{
zr2[t]=vv[(k+1)+(*d)*(*d-m)+(*d)*(*d)*t-1];
tildezr2[t]=tildevdirect[k][(*d-m)][t];
}
}
else
{
for(t=0;t<*T;t++ )
{
zr2[t]=vv2[(k+1)+(*d)*(*d-m)+(*d)*(*d)*t-1];
tildezr2[t]=tildevindirect[k][(*d-m)][t];
}
}
for(t=0;t<*T;t++ )
{
tildevdirect[k-1][i][t]=0;
tildevindirect[k-1][i][t]=0;
tildevalue[k][i][t]=0;
}
if(calc[k+1][i]==1)
{
param[0]=theta[k][i];
param[1]=nu[k][i];
if(fam[k][i]==2) //For the t-copula
{
diffPDF_u_tCopula_new(zr1,zr2,T,param,&fam[k][i],handle1);
}
else
{
diffPDF_u_mod(zr1,zr2,T,&theta[k][i],&fam[k][i],handle1);
}
for(t=0;t<*T;t++ )
{
tildevalue[k][i][t]+=handle1[t]/cop[t]*tildezr1[t];
}
if(condirect[k+(*d)*i-1]==1)
{
for(t=0;t<*T;t++ )
{
tildevdirect[k-1][i][t]+=cop[t]*tildezr1[t];
}
}
if(conindirect[k+(*d)*i-1]==1)
{
param[0]=theta[k][i];
param[1]=nu[k][i];
if(fam[k][i]==2) //For the t-copula
{
diffhfunc_v_tCopula_new(zr2,zr1,T,param,&fam[k][i],handle1);
}
else
{
diffhfunc_v_mod2(zr2,zr1,T,&theta[k][i],&fam[k][i],handle1);
}
for(t=0;t<*T;t++ )
{
tildevindirect[k-1][i][t]+=handle1[t]*tildezr1[t];
}
}
}
if(calc[k+1][(*d-m)]==1)
{
param[0]=theta[k][i];
param[1]=nu[k][i];
if(fam[k][i]==2) //For the t-copula
{
diffPDF_u_tCopula_new(zr2,zr1,T,param,&fam[k][i],handle1);
}
else
{
diffPDF_v_mod(zr1,zr2,T,&theta[k][i],&fam[k][i],handle1);
}
for(t=0;t<*T;t++ )
{
tildevalue[k][i][t]+=handle1[t]/cop[t]*tildezr2[t];
}
if(condirect[k+(*d)*i-1]==1)
{
param[0]=theta[k][i];
param[1]=nu[k][i];
if(fam[k][i]==2) //For the t-copula
{
diffhfunc_v_tCopula_new(zr1,zr2,T,param,&fam[k][i],handle1);
}
else
{
diffhfunc_v_mod(zr1,zr2,T,&theta[k][i],&fam[k][i],handle1);
}
for(t=0;t<*T;t++ )
{
tildevdirect[k-1][i][t]+=handle1[t]*tildezr2[t];
}
}
if(conindirect[k+(*d)*i-1]==1)
{
for(t=0;t<*T;t++ )
{
tildevindirect[k-1][i][t]+=cop[t]*tildezr2[t];
}
}
}
}
for(t=0;t<*T;t++ )
{
sumloglik += tildevalue[k][i][t];
}
}
}//for loops closed
*out = sumloglik;
for(i=0;i<(*d);i++)
{
for(j=0;j<(*d);j++)
{
for(t=0;t<*T;t++ )
{
tilde_vdirect[(i+1)+(*d)*j+(*d)*(*d)*t-1]=tildevdirect[i][j][t];
tilde_vindirect[(i+1)+(*d)*j+(*d)*(*d)*t-1]=tildevindirect[i][j][t];
tilde_value[(i+1)+(*d)*j+(*d)*(*d)*t-1]=tildevalue[i][j][t];
}
}
}
//Free memory:
free_matrix(theta,*d); free_matrix(nu,*d); free_intmatrix(fam,*d);
free_intmatrix(calc, *d);
free_3darray(tildevindirect,*d,*d);
free_3darray(tildevdirect,*d,*d);
free_3darray(tildevalue,*d,*d);
Free(zr1); Free(zr2); Free(tildezr1); Free(tildezr2); Free(handle1); Free(cop);
}
void condsim(int* n, int* d, int* d1, double* u1, int* family, double* par, double* nu, double* out)
{
int i,j, k;
double **uf,**ub,**th,**nuu;
double aux;
int **fam;
uf = create_matrix(*d,*d);
ub = create_matrix(*d,*d);
th = create_matrix(*d+1,*d+1);
nuu = create_matrix(*d+1,*d+1);
fam = create_intmatrix(*d+1,*d+1);
// param in matrices:
k = 0;
for(i=0;i<((*d)-1);i++)
{
for(j=0;j<((*d)-i-1);j++)
{
fam[i][j] = family[k];
nuu[i][j] = nu[k];
th[i][j] = par[k];
k++;
//printf("%d \t",fam[i][j]);
}
//printf("\n");
}
// Simulation
GetRNGstate();
/*
Declare variable to hold seconds on clock.
*/
//time_t seconds;
/*
Get value from system clock and
place in seconds variable.
*/
//time(&seconds);
/*
Convert seconds to a unsigned
integer.
*/
//srand((unsigned int) seconds);
// for i = 0
uf[0][0] = u1[0];
ub[0][0] = u1[0];
// for i = 1,... d1-1
// compute uf and ub
for (int i = 1; i < (*d1); ++i)
{
uf[i][i] = u1[i];
ub[i][i] = u1[i];
for (int j = (i-1); j >= 0; --j)
{
Hfunc(&fam[i-j-1][j],n,&ub[i][j+1], &uf[i-1][j],&th[i-j-1][j],&nuu[i-j-1][j],&ub[i][j]); //backward
//printf("ub: %d,%d : %d, %5.2f : %10.8f \n",i,j,fam[i-j-1][j], th[i-j-1][j], ub[i][j]);
}
//printf("\n");
for (int j = 0; j <= i-1; ++j)
{
Hfunc(&fam[i-j-1][j],n, &uf[i-1][j], &ub[i][j+1],&th[i-j-1][j],&nuu[i-j-1][j],&uf[i][j]); //forward
//printf("uf: %d,%d : %d, %5.2f : %10.8f \n",i,j,fam[i-j-1][j], th[i-j-1][j], uf[i][j]);
}
//printf("\n");
}
// for i= d1,.. d-1
for (int i = (*d1); i < (*d); ++i)
{
// (a) Simulate uniform
//out[i-(*d1)] = rand()/(RAND_MAX+1.0);
out[i-(*d1)]=runif(0,1);
// (b) inverse transformation:
for (int j = 0; j < i; ++j)
{
//printf("inv: %d,%d : %d, %5.2f : %10.8f \t",i-j-1,j,fam[i-j-1][j], th[i-j-1][j], uf[i-1][j]);
Hinv(&fam[i-j-1][j], n, &out[i-*d1] , &uf[i-1][j], &th[i-j-1][j], &nuu[i-j-1][j],&aux );
out[i-(*d1)] = aux;
//printf("%10.8f \n ", aux);
}
//printf("\n");
if (i <((*d)-1))
{
// forward and backward steps:
uf[i][i] = out[i-(*d1)];
ub[i][i] = out[i-(*d1)];
for (int j = i-1; j >= 0; --j)
{
Hfunc(&fam[i-j-1][j],n,&ub[i][j+1], &uf[i-1][j],&th[i-j-1][j],&nuu[i-j-1][j],&ub[i][j]); //backward
//printf("ub: %d,%d : %d, %5.2f : %10.8f \n",i-j-1,j,fam[i-j-1][j], th[i-j-1][j], ub[i][j]);
}
//printf("\n");
for (int j = 0; j <= i-1; ++j)
{
Hfunc(&fam[i-j-1][j],n, &uf[i-1][j], &ub[i][j+1],&th[i-j-1][j],&nuu[i-j-1][j],&uf[i][j]); //forward
//printf("uf: %d,%d : %d, %5.2f : %10.8f \n",i-j-1,j,fam[i-j-1][j], th[i-j-1][j], uf[i][j]);
}
//printf("\n");
}
}
// free memory
free_matrix(th,*d);
free_matrix(ub,*d);
free_matrix(uf,*d);
free_matrix(nuu,*d);
free_intmatrix(fam,*d);
PutRNGstate();
}
//////////////////////////////////////////////////////////////
// Function to construct the R-vine matrix from the binary matrix
// Input:
// b the binary matrix
// Output:
// out an Rvine matrix
/////////////////////////////////////////////////////////////
void getRVM(int* b, int* d, int* RVM)
{
int i, j, ac, size, index, nn, n, **b2, **RVM2;
b2 = create_intmatrix(*d,*d);
RVM2 = create_intmatrix(*d,*d);
//n = (*d)*((*d)-1)/2-((*d)-1)-1;
//Initialize
for (i=0;i<(*d);i++)
{
for (j=0;j<(*d);j++ )
{
b2[i][j]=b[(i+1)+(*d)*j-1] ;
if (i == j || i == j-1)
{
RVM2[i][j] = i+1;
}
else
{
RVM2[i][j] = 0;
}
}
}
RVM2[0][2] = 1;
n = 0;
nn = 0;
for (j=3;j<(*d);j++)
{
int *toAssign;
size = j-1;
toAssign=(int*) Calloc(size,double);
for (i=0;i<size;i++ )
{
toAssign[i] = i+1;
}
ac = j-2;
for (i=j-2;i>-1;i--)
{
//printf("before: %d - %d - %d - %d \n", i, j, ac, size);
if (b2[i][j] == 1)
{
//printf("b1 \n");
RVM2[i][j] = ac + 1;
index = find_index(toAssign,size,ac+1);
//printf("%d - %d \n", index, ac+1);
if (size > 1)
{
remove_element(toAssign, index, size);
size = size - 1;
ac = largest(toAssign, size) - 1;
//printf("%d \n", ac+1);
}
}
else
{
//printf("b0 \n");
RVM2[i][j] = RVM2[i-1][ac];
index = find_index(toAssign,size,RVM2[i-1][ac]);
remove_element(toAssign, index, size);
size = size - 1;
}
//printf("after: %d - %d - %d - %d \n", i, j, RVM2[i][j], ac);
//RVM[nn] = RVM2[i][j];
RVM[n+i+1] = RVM2[i][j];
nn = nn + 1;
}
n = nn;
Free(toAssign);
}
RVM[0] = 1;
free_intmatrix(b2,*d);
free_intmatrix(RVM2,*d);
}
