The BayesBinMix package offers a Bayesian framework for clustering binary data with or without missing values by fitting mixtures of multivariate Bernoulli distributions with an unknown number of components. It allows the joint estimation of the number of clusters and model parameters using Markov chain Monte Carlo sampling. Heated chains are run in parallel and accelerate the convergence to the target posterior distribution. Identifiability issues are addressed by implementing label switching algorithms. The package is demonstrated and benchmarked against the Expectation-Maximization algorithm using a simulation study as well as a real dataset.
This paper describes the R package mvLSW. The package contains a suite of tools for the analysis of multivariate locally stationary wavelet (LSW) time series. Key elements include: (i) the simulation of multivariate LSW time series for a given multivariate evolutionary wavelet spectrum (EWS); (ii) estimation of the time-dependent multivariate EWS for a given time series; (iii) estimation of the time-dependent coherence and partial coherence between time series channels; and, (iv) estimation of approximate confidence intervals for multivariate EWS estimates. A demonstration of the package is pr…
The family of stable distributions received extensive applications in many fields of studies since it incorporates both the skewness and heavy tails. In this paper, we introduce a package written in the R language called alphastable. The alphastable performs a variety of tasks including: 1- generating random numbers from univariate, truncated, and multivariate stable distributions. 2- computing the probability density function of univariate and multivariate elliptically contoured stable distributions, 3- computing the distribution function of univariate stable distributions, 4- estimating the …
The numerical availability of statistical inference methods for a modern and robust analysis of longitudinal- and multivariate data in factorial experiments is an essential element in research and education. While existing approaches that rely on specific distributional assumptions of the data (multivariate normality and/or characteristic covariance matrices) are implemented in statistical software packages, there is a need for user-friendly software that can be used for the analysis of data that do not fulfill the aforementioned assumptions and provide accurate p-value and confidence interval…
We introduce the R package ContaminatedMixt, conceived to disseminate the use of mixtures of multivariate contaminated normal distributions as a tool for robust clustering and classification under the common assumption of elliptically contoured groups. Thirteen variants of the model are also implemented to introduce parsimony. The expectation-conditional maximization algorithm is adopted to obtain maximum likelihood parameter estimates, and likelihood-based model selection criteria are used to select the model and the number of groups. Parallel computation can be used on multicore PCs and comp…
Skewness plays a relevant role in several multivariate statistical techniques. Sometimes it is used to recover data features, as in cluster analysis. In other circumstances, skewness impairs the performances of statistical methods, as in the Hotelling's one-sample test. In both cases, there is the need to check the symmetry of the underlying distribution, either by visual inspection or by formal testing. The R packages MaxSkew and MultiSkew address these issues by measuring, testing and removing skewness from multivariate data. Skewness is assessed by the third multivariate cumulant and its fu…
Increased application of multivariate data in many scientific areas has considerably raised the complexity of analysis and interpretation. Although quite a few approaches have been put forward to address this issue, there is still a gap between the most efficient proposed methods and available software. muvis is an R package (core team (2017)) which is a toolkit for analyzing multivariate datasets. Several tools are implemented for common analyses of multivariate datasets, including preprocessing, dimensionality reduction, statistical analysis, Probabilistic Graphical Modeling, hypothesis test…
In multivariate nonparametric analysis, sparseness of the covariates also called curse of dimensionality, forces one to use large smoothing parameters. This leads to a biased smoother. Instead of focusing on optimally selecting the smoothing parameter, we fix it to some reasonably large value to ensure an over-smoothing of the data. The resulting base smoother has a small variance but a substantial bias. In this paper, we propose an R package named ibr to iteratively correct the initial bias of the (base) estimator by an estimate of the bias obtained by smoothing the residuals. After a brief d…
Mixed data arise when observations are described by a mixture of numerical and categorical variables. The R package PCAmixdata extends to this type of data standard multivariate analysis methods which allow description, exploration and visualization of the data. The key techniques/methods included in the package are principal component analysis for mixed data (PCAmix), varimax-like orthogonal rotation for PCAmix, and multiple factor analysis for mixed multi-table data. This paper proposes a unified mathematical presentation of the different methods with common notations, as well as providing a…
The R package micompr implements a procedure for assessing if two or more multivariate samples are drawn from the same distribution. The procedure uses principal component analysis to convert multivariate observations into a set of linearly uncorrelated statistical measures, which are then compared using a number of statistical methods. This technique is independent of the distributional properties of samples and automatically selects features that best explain their differences. The procedure is appropriate for comparing samples of time series, images, spectrometric measures or similar high-d…
There are many different ways in which change point analysis can be performed, from purely parametric methods to those that are distribution free. The ecp package is designed to perform multiple change point analysis while making as few assumptions as possible. While many other change point methods are applicable only for univariate data, this R package is suitable for both univariate and multivariate observations. Estimation can be based upon either a hierarchical divisive or agglomerative algorithm. Divisive estimation sequentially identifies change points via a bisection algorithm. The aggl…
Multivariate GARCH models are important tools to describe the dynamics of multivariate times series of financial returns. Nevertheless, these models have been much less used in practice due to the lack of reliable software. This paper describes the {\tt R} package {\bf BayesDccGarch} which was developed to implement recently proposed inference procedures to estimate and compare multivariate GARCH models allowing for asymmetric and heavy tailed distributions.
This paper introduces the funData R package as an object-oriented implementation of functional data. It implements a unified framework for dense univariate and multivariate functional data on one- and higher dimensional domains as well as for irregular functional data. The aim of this package is to provide a user-friendly, self-contained core toolbox for functional data, including important functionalities for creating, accessing and modifying functional data objects, that can serve as a basis for other packages. The package further contains a full simulation toolbox, which is a useful feature…
The rebmix package provides R functions for random univariate and multivariate finite mixture model generation, estimation, clustering and classification. The paper is focused on multivariate normal mixture models with unrestricted variance-covariance matrices. The objective is to show how to generate datasets for a known number of components, numbers of observations and component parameters, how to estimate the number of components, component weights and component parameters and how to predict cluster and class membership based upon a model trained by the REBMIX algorithm. The accompanying pl…
Data depth concept offers a variety of powerful and user friendly tools for robust exploration and inference for multivariate socio-economic phenomena. The offered techniques may be successfully used in cases of lack of our knowledge on parametric models generating data due to their nonparametric nature. This paper presents the R package DepthProc, which is available under GPL-2 licence on CRAN and R-forge servers for Windows, Linux and OS X platform. The package consist of among others successful implementations of several data depth techniques involving multivariate quantile-quantile plots, …
It is critical to accurately simulate data when employing Monte Carlo techniques and evaluating statistical methodology. Measurements are often correlated and high dimensional in this era of big data, such as data obtained in high-throughput biomedical experiments. Due to the computational complexity and a lack of user-friendly software available to simulate these massive multivariate constructions, researchers resort to simulation designs that posit independence or perform arbitrary data transformations. To close this gap, we developed the Bigsimr Julia package with R and Python interfaces. T…
In molecular biology, advances in high-throughput technologies have made it possible to study complex multivariate phenotypes and their simultaneous associations with high-dimensional genomic and other omics data, a problem that can be studied with high-dimensional multi-response regression, where the response variables are potentially highly correlated. To this purpose, we recently introduced several multivariate Bayesian variable and covariance selection models, e.g., Bayesian estimation methods for sparse seemingly unrelated regression for variable and covariance selection. Several variable…
This paper describes an algorithm for fitting finite mixtures of unrestricted Multivariate Skew t (FM-uMST) distributions. The package EMMIX-uskew implements a closed-form expectation-maximization (EM) algorithm for computing the maximum likelihood (ML) estimates of the parameters for the (unrestricted) FM-MST model in R. EMMIX-uskew also supports visualization of fitted contours in two and three dimensions, and random sample generation from a specified FM-uMST distribution. Finite mixtures of skew t-distributions have proven to be useful in modelling heterogeneous data with asymmetric and hea…
kStatistics is a package in R that serves as a unified framework for estimating univariate and multivariate cumulants as well as products of univariate and multivariate cumulants of a random sample, using unbiased estimators with minimum variance. The main computational machinery of kStatistics is an algorithm for computing multi-index partitions. The same algorithm underlies the general-purpose multivariate Faà di Bruno's formula, which has been therefore included in the last release of the package. This formula gives the coefficients of formal power series compositions as well as the partial…
We introduce GGLasso, a Python package for solving General Graphical Lasso problems. The Graphical Lasso scheme, introduced by (Friedman 2007) (see also (Yuan 2007; Banerjee 2008)), estimates a sparse inverse covariance matrix $Θ$ from multivariate Gaussian data $\mathcal{X} \sim \mathcal{N}(μ, Σ) \in \mathbb{R}^p$. Originally proposed by (Dempster 1972) under the name Covariance Selection, this estimation framework has been extended to include latent variables in (Chandrasekaran 2012). Recent extensions also include the joint estimation of multiple inverse covariance matrices, see, e.g., in (…
Outlier detection is one of the standard exploratory analysis tasks in functional data analysis. We present the R package fdaoutlier which contains implementations of some of the latest techniques for detecting functional outliers. The package makes it easy to detect different types of outliers (magnitude, shape, and amplitude) in functional data, and some of the implemented methods can be applied to both univariate and multivariate functional data. We illustrate the main functionality of the R package with common functional datasets in the literature.
Shape-constrained nonparametric regression is a growing area in econometrics, statistics, operations research, machine learning and related fields. In the field of productivity and efficiency analysis, recent developments in the multivariate convex regression and related techniques such as convex quantile regression and convex expectile regression have bridged the long-standing gap between the conventional deterministic-nonparametric and stochastic-parametric methods. Unfortunately, the heavy computational burden and the lack of powerful, reliable, and fully open access computational package h…
\texttt{rCOSA} is a software package interfaced to the R language. It implements statistical techniques for clustering objects on subsets of attributes in multivariate data. The main output of COSA is a dissimilarity matrix that one can subsequently analyze with a variety of proximity analysis methods. Our package extends the original COSA software (Friedman and Meulman, 2004) by adding functions for hierarchical clustering methods, least squares multidimensional scaling, partitional clustering, and data visualization. In the many publications that cite the COSA paper by Friedman and Meulman (…
Analysis of the topology of a graph, regular or bipartite one, can be done by clustering for regular ones or co-clustering for bipartite ones. The Stochastic Block Model and the Latent Block Model are two models, which are very similar for respectively regular and bipartite graphs, based on probabilistic models. Initially developed for binary graphs, these models have been extended to valued networks with optional covariates on the edges. This paper present a implementation of a Variational EM algorithm for Stochastic Block Model and Latent Block Model for some common probability functions, Be…
Ranking data represent a peculiar form of multivariate ordinal data taking values in the set of permutations. Despite the numerous methodological contributions to increase the flexibility of ranked data modeling, the application of more sophisticated models is limited by the related computational issues. The PLMIX package offers a comprehensive framework aimed at endowing the R statistical environment with some recent methodological advances in modeling and clustering partially ranked data. The usefulness of the novel PLMIX package can be motivated from several perspectives: (i) it contributes…
Simulating from the multivariate truncated normal distribution (MTN) is required in various statistical applications yet remains challenging in high dimensions. Currently available algorithms and their implementations often fail when the number of parameters exceeds a few hundred. To provide a general computational tool to efficiently sample from high-dimensional MTNs, we introduce the hdtg package that implements two state-of-the-art simulation algorithms: harmonic Hamiltonian Monte Carlo (harmonic-HMC) and zigzag Hamiltonian Monte Carlo (Zigzag-HMC). Both algorithms exploit analytical soluti…
This paper presents the R package GAS for the analysis of time series under the Generalized Autoregressive Score (GAS) framework of Creal et al. (2013) and Harvey (2013). The distinctive feature of the GAS approach is the use of the score function as the driver of time-variation in the parameters of nonlinear models. The GAS package provides functions to simulate univariate and multivariate GAS processes, estimate the GAS parameters and to make time series forecasts. We illustrate the use of the GAS package with a detailed case study on estimating the time-varying conditional densities of a se…
Graphical models provide powerful tools to uncover complicated patterns in multivariate data and are commonly used in Bayesian statistics and machine learning. In this paper, we introduce the R package BDgraph which performs Bayesian structure learning for general undirected graphical models (decomposable and non-decomposable) with continuous, discrete, and mixed variables. The package efficiently implements recent improvements in the Bayesian literature, including that of Mohammadi and Wit (2015) and Dobra and Mohammadi (2018). To speed up computations, the computationally intensive tasks hav…
In many contexts, missing data and disclosure control are ubiquitous and challenging issues. In particular at statistical agencies, the respondent-level data they collect from surveys and censuses can suffer from high rates of missingness. Furthermore, agencies are obliged to protect respondents' privacy when publishing the collected data for public use. The NPBayesImputeCat R package, introduced in this paper, provides routines to i) create multiple imputations for missing data, and ii) create synthetic data for statistical disclosure control, for multivariate categorical data, with or withou…
Princeton University（普林斯顿大学）；Massachusetts Institute of Technology（麻省理工学院）；Johns Hopkins University（约翰斯·霍普金斯大学）
We propose a calibrated multivariate regression method named CMR for fitting high dimensional multivariate regression models. Compared with existing methods, CMR calibrates regularization for each regression task with respect to its noise level so that it simultaneously attains improved finite-sample performance and tuning insensitiveness. Theoretically, we provide sufficient conditions under which CMR achieves the optimal rate of convergence in parameter estimation. Computationally, we propose an efficient smoothed proximal gradient algorithm with a worst-case numerical rate of convergence $\…
Most of the available multivariate statistical models dictate on fitting different parameters for the covariate effects on each multiple responses. This might be unnecessary and inefficient for some cases. In this article, we propose a modeling framework for multivariate marginal models to analyze multivariate longitudinal data which provides flexible model building strategies. We show that the model handles several response families such as binomial, count and continuous. We illustrate the model on the Mother's Stress and Children's Morbidity data set. A simulation study is conducted to exami…
Following the seminal idea of Tukey, data depth is a function that measures how close an arbitrary point of the space is located to an implicitly defined center of a data cloud. Having undergone theoretical and computational developments, it is now employed in numerous applications with classification being the most popular one. The R-package ddalpha is a software directed to fuse experience of the applicant with recent achievements in the area of data depth and depth-based classification. ddalpha provides an implementation for exact and approximate computation of most reasonable and widely ap…
The R package "sensobol" provides several functions to conduct variance-based uncertainty and sensitivity analysis, from the estimation of sensitivity indices to the visual representation of the results. It implements several state-of-the-art first and total-order estimators and allows the computation of up to third-order effects, as well as of the approximation error, in a swift and user-friendly way. Its flexibility makes it also appropriate for models with either a scalar or a multivariate output. We illustrate its functionality by conducting a variance-based sensitivity analysis of three c…
The package provides multivariate time series models for structural analysis, allowing one to extract latent signals such as trends or seasonality. Models are fitted using maximum likelihood estimation, allowing for non-stationarity, fixed regression effects, and ragged-edge missing values. Simple types of extreme values can be corrected using the device of entropy maximization. Model adequacy is assessed through residual diagnostics, and model-based signal extraction filters can be assessed in time domain and frequency domain. Extracted signals are produced with uncertainty measures that acco…
We propose a penalized likelihood method to fit the bivariate categorical response regression model. Our method allows practitioners to estimate which predictors are irrelevant, which predictors only affect the marginal distributions of the bivariate response, and which predictors affect both the marginal distributions and log odds ratios. To compute our estimator, we propose an efficient first order algorithm which we extend to settings where some subjects have only one response variable measured, i.e., the semi-supervised setting. We derive an asymptotic error bound which illustrates the per…
The R package lcmm provides a series of functions to estimate statistical models based on linear mixed model theory. It includes the estimation of mixed models and latent class mixed models for Gaussian longitudinal outcomes (hlme), curvilinear and ordinal univariate longitudinal outcomes (lcmm) and curvilinear multivariate outcomes (multlcmm), as well as joint latent class mixed models (Jointlcmm) for a (Gaussian or curvilinear) longitudinal outcome and a time-to-event that can be possibly left-truncated right-censored and defined in a competing setting. Maximum likelihood esimators are obtai…
The INLAMSM package for the R programming language provides a collection of multivariate spatial models for lattice data that can be used with package INLA for Bayesian inference. The multivariate spatial models include different structures to model the spatial variation of the variables and the between-variables variability. In this way, fitting multivariate spatial models becomes faster and easier. The use of the different models included in the package is illustrated using two different datasets: the well-known North Carolina SIDS data and mortality by three causes of death in Comunidad Val…
Solvang and Planque (2020) provided a trend estimation and classification (TREC) approach to estimating dominant common trends among multivariate time series observations. This approach was developed to improve communication among stakeholders like marine managers, industry representatives, non-governmental organizations, and governmental agencies as they investigate the common tendencies between a biological community in a marine ecosystem and the local environmental factors. The entire calculation procedure was originally implemented using MATLAB (ver.R2018b). In this paper, we present R pac…
Structural equation modelling (SEM) is a multivariate statistical technique for estimating complex relationships between observed and latent variables. Although numerous SEM packages exist, each of them has limitations. Some packages are not free or open-source; the most popular package not having this disadvantage is $\textbf{lavaan}$, but it is written in R language, which is behind current mainstream tendencies that make it harder to be incorporated into developmental pipelines (i.e. bioinformatical ones). Thus we developed the Python package $\textbf{semopy}$ to satisfy those criteria. The…
This paper explores improvements in prediction accuracy and inference capability when allowing for potential correlation in team-level random effects across multiple game-level responses from different assumed distributions. First-order and fully exponential Laplace approximations are used to fit normal-binary and Poisson-binary multivariate generalized linear mixed models with non-nested random effects structures. We have built these models into the R package mvglmmRank, which is used to explore several seasons of American college football and basketball data.
The R package MfUSampler provides Monte Carlo Markov Chain machinery for generating samples from multivariate probability distributions using univariate sampling algorithms such as Slice Sampler and Adaptive Rejection Sampler. The sampler function performs a full cycle of univariate sampling steps, one coordinate at a time. In each step, the latest sample values obtained for other coordinates are used to form the conditional distributions. The concept is an extension of Gibbs sampling where each step involves, not an independent sample from the conditional distribution, but a Markov transition…
We propose new tests for assessing whether covariates in a treatment group and matched control group are balanced in observational studies. The tests exhibit high power under a wide range of multivariate alternatives, some of which existing tests have little power for. The asymptotic permutation null distributions of the proposed tests are studied and the p-values calculated through the asymptotic results work well in finite samples, facilitating the application of the test to large data sets. The tests are illustrated in a study of the effect of smoking on blood lead levels. The proposed test…
The Oja median is one of several extensions of the univariate median to the multivariate case. It has many nice properties, but is computationally demanding. In this paper, we first review the properties of the Oja median and compare it to other multivariate medians. Afterwards we discuss four algorithms to compute the Oja median, which are implemented in our R-package OjaNP. Besides these algorithms, the package contains also functions to compute Oja signs, Oja signed ranks, Oja ranks, and the related scatter concepts. To illustrate their use, the corresponding multivariate one- and $C$-sampl…
This article describes the R package varrank. It has a flexible implementation of heuristic approaches which perform variable ranking based on mutual information. The package is particularly suitable for exploring multivariate datasets requiring a holistic analysis. The core functionality is a general implementation of the minimum redundancy maximum relevance (mRMRe) model. This approach is based on information theory metrics. It is compatible with discrete and continuous data which are discretised using a large choice of possible rules. The two main problems that can be addressed by this pack…
Marginally specified models have recently become a popular tool for discrete longitudinal data analysis. Nonetheless, they introduce complex constraint equations and model fitting algorithms. Moreover, there is a lack of available software to fit these models. In this paper, we propose a three-level marginally specified model for analysis of multivariate longitudinal binary response data. The implicit function theorem is introduced to approximately solve the marginal constraint equations explicitly. Furthermore, the use of \textit{probit} link enables direct solutions to the convolution equati…
Graphical models are a powerful tool in modelling and analysing complex biological associations in high-dimensional data. The R-package netgwas implements the recent methodological development on copula graphical models to (i) construct linkage maps, (ii) infer linkage disequilibrium networks from genotype data, and (iii) detect high-dimensional genotype-phenotype networks. The netgwas learns the structure of networks from ordinal data and mixed ordinal-and-continuous data. Here, we apply the functionality in netgwas to various multivariate example datasets taken from the literature to demonst…
This paper presents a practical and simple fully nonparametric multivariate smoothing procedure that adapts to the underlying smoothness of the true regression function. Our estimator is easily computed by successive application of existing base smoothers (without the need of selecting an optimal smoothing parameter), such as thin-plate spline or kernel smoothers. The resulting smoother has better out of sample predictive capabilities than the underlying base smoother, or competing structurally constrained models (GAM) for small dimension (3 < d < 8) and moderate sample size (n < 800). Moreove…
R2BEAT (R "to" Bethel Extended Allocation for Two-stage sampling) is an R package for the allocation of a sample. Besides other software and packages dealing with the allocation problems, its peculiarity lies in facing properly allocation problems for complex sampling designs with multi-domain and multi-purpose aims. This is common in many official and non-official statistical surveys, therefore R2BEAT could become an essential tool for planning a sample survey. The package implements the Tschprow (1923) - Neyman (1934) method for the optimal allocation of units in stratified sampling, extendi…
Rotman Research Institute, Baycrest Health Sciences（贝克雷斯特健康科学研究所罗特曼研究所）
The generalized singular value decomposition (GSVD, a.k.a. "SVD triplet", "duality diagram" approach) provides a unified strategy and basis to perform nearly all of the most common multivariate analyses (e.g., principal components, correspondence analysis, multidimensional scaling, canonical correlation, partial least squares). Though the GSVD is ubiquitous, powerful, and flexible, it has very few implementations. Here I introduce the GSVD package for R. The general goal of GSVD is to provide a small set of accessible functions to perform the GSVD and two other related decompositions (generali…
