Constructing derivative of a conditional density
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02-07-2021 - |
Domanda
I am using npcdens
from np package to construct a conditional density of y on covariates x. However, I need the derivative of the log of this density with respect to y. Is there some way in R to get this?
bw <- npcdensbw(formula=y ~ x1+x2+x3)
fhat <- npcdens(bws=bw,gradients=TRUE)
grad.fhat <- gradients(npcdens(bws=bw,gradients=TRUE))
which returns the gradient with respect to x1
, x2
and x3
Soluzione
Can we use this example dataset?
dta = data.frame(expand.grid(x1=1:5,x2=2:6,x3=5:10))
dta$y = with(dta,x1+2*x2 + 3*x3^2)
head(dta)
x1 x2 x3 y
1 1 2 5 80
2 2 2 5 81
3 3 2 5 82
4 4 2 5 83
5 5 2 5 84
6 1 3 5 82
y is the value of the "density". estimate a conditional bandwith object
bw <- npcdensbw(formula = y ~ x1+x2+x3,data=dta)
and look at the gradients
head(gradients(npcdens(bws=bw,gradients=TRUE)))
[,1] [,2] [,3]
[1,] -2.024422e-15 -2.048994e-50 -1.227563e-294
[2,] -1.444541e-15 -1.994174e-50 -1.604693e-294
[3,] -1.017979e-31 -1.201719e-50 -1.743784e-294
[4,] 1.444541e-15 -6.753912e-64 -1.604693e-294
[5,] 2.024422e-15 1.201719e-50 -1.227563e-294
[6,] -2.024422e-15 -3.250713e-50 -1.227563e-294
What do you mean with "derivative with respect to y"? this is a function g(x1,x2,x3), so you can only take derivatives w.r.t. to those 3 dimensions. Concerning the "log of y" part of your question, could this be it?
bw <- npcdensbw(formula = log(y) ~ x1 + x2 + x3,data=dta)
I've never used this package, so these are the thoughts of a non-practitioner. I guess you looked at the examples in help(npcdensbw)
?