*! Date : 08 May 2018 *! Version : 1.0 /* 08/05/18 v1.0 Initial version complete */ program define ci_gs, rclass version 11.0 syntax, [J(integer 2) n(numlist) a(numlist miss) r(numlist miss) k(numlist) /// alpha(real 0.05) pi(numlist) method(string) SUMmary(integer 0) /// PLot(string) *] local xopt `"`options'"' preserve if ("`method'" == "") { local method "all" } ///// Perform checks on input variables //////////////////////////////////////// if (`j' <= 1) { di "{error} J must be an integer greater than or equal to one." exit(198) } if ("`n'" ~= "") { local lenn:list sizeof n if (`lenn' ~= `j') { di "{error} n must be a numlist of length J, containing integer elements." exit(198) } forvalues i = 1/`lenn' { local ni:word `i' of `n' if (`ni' <= 0 | mod(`ni', 1) ~= 0) { di "{error} n must be a numlist of length J, containing integer elements." exit(198) } } } if ("`a'" ~= "") { local lena:list sizeof a if (`lena' ~= `j') { di "{error} a must be a numlist of length J, containing integer elements." exit(198) } forvalues i = 1/`lena' { local ai:word `i' of `a' if (`ai' ~= .) { if (`ai' < 0 | mod(`ai', 1) ~= 0) { di "{error} a must be a numlist of length J, containing integer elements." exit(198) } } } } if ("`r'" ~= "") { local lenr:list sizeof r if (`lenr' ~= `j') { di "{error} r must be a numlist of length J, containing integer elements." exit(198) } forvalues i = 1/`lenr' { local ri:word `i' of `r' if (`ri' ~= .) { if (`ri' <= 0 | mod(`ri', 1) ~= 0) { di "{error} r must be a numlist of length J, containing integer elements." exit(198) } } } } if ("`a'" ~= "" & "`r'" ~= "") { forvalues i = 1/`lena' { local ai:word `i' of `a' local ri:word `i' of `r' if (`ai' >= `ri') { di "{error} Elements in a must be strictly less than their corresponding element in r." exit(198) } } } if ("`k'" ~= "") { local lenk:list sizeof k if (`lenk' >= `j') { di "{error} k must be a numlist of length at most J, containing integer elements." exit(198) } forvalues i = 1/`lenk' { local ki:word `i' of `k' if (`ki' <= 0 | mod(`ki', 1) ~= 0) { di "{error} k must be a numlist of length at most J, containing integer elements." exit(198) } } } if ((`alpha' <= 0) | (`alpha' >= 1)) { di "{error} alpha must be a real strictly between 0 and 1." exit(198) } if ("`pi'" ~= "") { local lenpi:list sizeof pi forvalues i = 1/`lenpi' { local pii:word `i' of `pi' if (`pii' > 1 | `pii' < 0) { di "{error} Elements in pi must belong to [0,1]." exit(198) } } } if ("`method'" ~= "all" & "`method'" ~= "exact" & "`method'" ~= "mid_p" & "`method'" ~= "naive") { di "{error} method must be one of: all, conditional, mle, naive, or umvue." exit(198) } if (`j' ~= 2 & ("`n'" == "" | "`a'" == "" | "`r'" == "")) { di "{error} For J not equal to 2, n, a, and r must be specified" exit(198) } // Set up matrices to pass to mata if ("`n'" ~= "") { local matan "" foreach i of local n{ if "`matan'" == "" local matan "`i'" else local matan "`matan',`i'" } mat n = (`matan') } else { mat n = . } if ("`a'" ~= "") { local mataa "" foreach i of local a{ if "`mataa'" == "" local mataa "`i'" else local mataa "`mataa',`i'" } mat a = (`mataa') } else { mat a = . } if ("`r'" ~= "") { local matar "" foreach i of local r{ if "`matar'" == "" local matar "`i'" else local matar "`matar',`i'" } mat r = (`matar') } else { mat r = . } if ("`k'" ~= "") { local matak "" foreach i of local k{ if "`matak'" == "" local matak "`i'" else local matak "`matak',`i'" } mat k = (`matak') } else { mat k = . } if ("`pi'" ~= "") { local matapi "" foreach i of local pi{ if "`matapi'" == "" local matapi "`i'" else local matapi "`matapi',`i'" } mat pi = (`matapi') } else { mat pi = . } if ("`plot'" ~= "") { if ("`plot'" ~= "coverage" & "`plot'" ~= "length") { di "{error} plot must be one of: coverage and length." exit(198) } } ///// Compute and Output /////////////////////////////////////////////////////// mata: CIGS(`j', `alpha', "`method'", `summary', "`plot'", `"`xopt'"') matrix colnames ci = s m k Method "clow(s,m)" "cupp(s,m)" "l(s,m)" return mat ci = ci matrix colnames perf = pi Method "bar(L)" "max(L)" "E(L|pi)" "Var(L|pi)" "Cover(C|pi)" return mat perf = perf return mat J = J return mat n = n return mat a = a return mat r = r return mat k = k return mat alpha = alpha return mat pi = pi return mat summary = summary restore end ///// Mata //////////////////////////////////////////////////////////////////// mata: void CIGS(J, alpha, method, summary, plot, xopt) { n = st_matrix("n") if (n == .) { n = (10, 19) } a = st_matrix("a") if (a == .) { a = (1, 5) } r = st_matrix("r") if (r == .) { r = (., 6) } k = st_matrix("k") if (k == .) { k = (1::J)' } pi = st_matrix("pi") if (pi == .) { pi = 0.01*(0::100) } ///// Print Summary ////////////////////////////////////////////////////////// ///// Main Computations ////////////////////////////////////////////////////// if (method == "all") { int_method = 1::3 } else if (method == "exact") { int_method = 1 } else if (method == "mid_p") { int_method = 2 } else { int_method = 3 } terminal = terminal_states_gs(J, a, r, n, k) ci = (vec(J(length(int_method), 1, terminal[, 1]')), vec(J(length(int_method), 1, terminal[, 2]')), vec(J(length(int_method), 1, terminal[, 3]')), J(rows(terminal), 1, int_method), J(length(int_method)*rows(terminal), 2, 0)) for (i = 1; i <= rows(ci); i++) { if (ci[i, 4] == 1) { ci[i, 5::6] = ci_gs_exact(ci[i, 1], ci[i, 2], ci[i, 3], J, a, r, n, alpha) } else if (ci[i, 4] == 2) { ci[i, 5::6] = ci_gs_mid_p(ci[i, 1], ci[i, 2], ci[i, 3], J, a, r, n, alpha) } else { ci[i, 5::6] = ci_fixed_clopper_pearson(ci[i, 1], ci[i, 2], alpha) } if (summary == 1 & mod(i, 100) == 0) { printf("{txt}...{res}%g{txt} confidence intervals determined...\n", i) } } ci = (ci, ci[, 6] - ci[, 5]) pmf = J(rows(terminal)*length(pi), 5, 0) for (i = 1; i <= length(pi); i++) { pmf[(1 + (i - 1)*rows(terminal))::(i*rows(terminal)), ] = pmf_gs(pi[i], J, a, r, n, k) } perf = (J(length(int_method), 1, pi), vec(J(length(pi), 1, int_method')), J(length(pi)*length(int_method), 5, 0)) for (i = 1; i <= rows(perf); i++) { pmf_i = select(pmf, pmf[, 1] :== perf[i, 1]) ci_i = select(ci, ci[, 4] :== perf[i, 2]) perf[i, 3] = mean(ci_i[, 7]) perf[i, 4] = max(ci_i[, 7]) perf[i, 5] = sum(pmf_i[, 5]:*ci_i[, 7]) perf[i, 6] = sum(pmf_i[, 5]:*(ci_i[, 7]:^2)) - perf[i, 5]^2 coverage = mm_which(ci_i[, 5] :<= perf[i, 1] :& ci_i[, 6] :>= perf[i, 1]) perf[i, 7] = sum(pmf_i[coverage, 5]) if (summary == 1 & mod(i, 100) == 0) { printf("{txt}...performance for {res}%g{txt} pi-method combinations evaluated...\n", i) } } plot if (plot == "length") { if (method ~= "all") { st_matrix("perf", perf) stata("qui svmat perf") stata(`"twoway line perf5 perf1, xtitle({&pi}) ytitle(E({it:L}|{&pi}))"'+ xopt) } else { perf1 = select(perf, perf[, 2] :== 1) perf2 = select(perf, perf[, 2] :== 2) perf3 = select(perf, perf[, 2] :== 3) st_matrix("perf1", perf1) st_matrix("perf2", perf2) st_matrix("perf3", perf3) stata("qui svmat perf1") stata("qui svmat perf2") stata("qui svmat perf3") stata(`"twoway (line perf15 perf11, color(black)) (line perf25 perf21, color(blue)) (line perf35 perf31, color(red)), xtitle({&pi}) ytitle(E({it:L}|{&pi})) legend(lab(1 "Exact") lab(2 "Mid-p") lab(3 "Naive"))"'+ xopt) } } else if (plot == "coverage") { if (method ~= "all") { st_matrix("perf", perf) stata("qui svmat perf") stata(`"twoway line perf7 perf1, xtitle({&pi}) ytitle(E({it:L}|{&pi}))"'+ xopt) } else { perf1 = select(perf, perf[, 2] :== 1) perf2 = select(perf, perf[, 2] :== 2) perf3 = select(perf, perf[, 2] :== 3) st_matrix("perf1", perf1) st_matrix("perf2", perf2) st_matrix("perf3", perf3) stata("qui svmat perf1") stata("qui svmat perf2") stata("qui svmat perf3") stata(`"twoway (line perf17 perf11, color(black)) (line perf27 perf21, color(blue)) (line perf37 perf31, color(red)), xtitle({&pi}) ytitle({it:Cover}({it:C}|{&pi})) legend(lab(1 "Exact") lab(2 "Mid-p") lab(3 "Naive"))"'+ xopt) } } ///// Return ///////////////////////////////////////////////////////////////// if (summary == 1) { printf("...outputting.") } st_matrix("ci", ci) st_matrix("perf", perf) st_matrix("J", J) st_matrix("n", n) st_matrix("a", a) st_matrix("r", r) st_matrix("k", k) st_matrix("alpha", alpha) st_matrix("pi", pi') st_matrix("summary", summary) } // Function to determine terminal states in a group sequential design real matrix terminal_states_gs(real scalar J, real rowvector a, real rowvector r, real rowvector n, real rowvector k) { a[mm_which(a :== .)] = J(1, length(mm_which(a :== .)), -1) r[mm_which(r :== .)] = J(1, length(mm_which(r :== .)), sum(n) + 1) terminal = J(1, 3, 0) if (a[1] >= 0) { s1 = 0::a[1] terminal = (terminal \ (s1, J(a[1] + 1, 1, n[1]), J(a[1] + 1, 1, 1))) } if (r[1] <= n[1]) { s1 = r[1]::n[1] terminal = (terminal \ (s1, J(n[1] - r[1] + 1, 1, n[1]), J(n[1] - r[1] + 1, 1, 1))) } cont = (max((0, a[1] + 1)), min((r[1] - 1, n[1]))) if (J >= 3) { for (j = 1; j <= J - 2; j++) { num_rows = cont[2] + n[j + 1] - cont[1] + 1 vals = cont[1]::(cont[2] + n[j + 1]) upd = (vals, J(num_rows, 1, sum(n[1::(j + 1)])), J(num_rows, 1, j + 1)) terminal = (terminal \ select(upd, upd[, 1] :<= a[j + 1] :| upd[, 1] :>= r[j + 1])) cont = (min(select(upd, upd[, 1] :> a[j + 1])[, 1]), max(select(upd, upd[, 1] :< r[j + 1])[, 1])) } } num_rows = cont[2] + n[J] - cont[1] + 1 vals = cont[1]::(cont[2] + n[J]) terminal = (terminal \ (vals, J(num_rows, 1, sum(n)), J(num_rows, 1, J))) keep_rows = mm_which(terminal[, 3] :== k[1]) if (length(k) > 1) { for (els = 2; els <= length(k); els++) { keep_rows = (keep_rows \ mm_which(terminal[, 3] :== k[els])) } } terminal = terminal[keep_rows, ] return(terminal) } // Function for determining pmf of group sequential design real matrix pmf_gs(real scalar pi, real scalar J, real rowvector a, real rowvector r, real rowvector n, real rowvector k,| real colvector dbinom_pi) { a[mm_which(a :== .)] = J(1, length(mm_which(a :== .)), -1) r[mm_which(r :== .)] = J(1, length(mm_which(r :== .)), sum(n) + 1) if (args() < 7) { dbinom_pi = J(max(n) + 1, J, 0) for (j = 1; j <= J; j++) { dbinom_pi[1::(n[j] + 1), j] = binomialp(n[j], 0::n[j], pi) } } pmf_mat = J(sum(n) + 1, J, 0) pmf_mat[1::(n[1] + 1), 1] = dbinom_pi[1::(n[1] + 1), 1] cont = (max((0, a[1] + 1)), min((r[1] - 1, n[1]))) for (j = 1; j <= J - 1; j++) { for (i = cont[1]; i <= cont[2]; i++) { pmf_mat[(i + 1)::(i + 1 + n[j + 1]), j + 1] = pmf_mat[(i + 1)::(i + 1 + n[j + 1]), j + 1] :+ pmf_mat[i + 1, j]*dbinom_pi[1::(n[j + 1] + 1), j + 1] } pmf_mat[(cont[1] + 1)::(cont[2] + 1), j] = J(cont[2] - cont[1] + 1, 1, 0) upd = cont[1]::(cont[2] + n[j + 1]) cont = (min(select(upd, upd :> a[j + 1])), max(select(upd, upd :< r[j + 1]))) } if (length(k) < J) { for (stage = 1; stage <= J; stage++) { if (!any(stage :== k)) { pmf_mat[, stage] = J(sum(n) + 1, 1, 0) } } pmf_mat = pmf_mat/sum(pmf_mat) } terminal = terminal_states_gs(J, a, r, n, k) if (sum(pmf_mat :> 0) > 1) { f = . for (j = 1; j <= J; j++) { f = (f \ select(pmf_mat[, j], pmf_mat[, j] :> 0)) } pmf = (J(rows(terminal), 1, pi), terminal[, 1], terminal[, 2], terminal[, 3], f[2::length(f)]) } else { pmf = (J(rows(terminal), 1, pi), terminal[, 1], terminal[, 2], terminal[, 3], J(rows(terminal), 1, 0)) non_zero = (mm_which(rowsum(pmf_mat) :> 0) - 1, mm_which(colsum(pmf_mat :> 0))) pmf[mm_which(pmf[, 2] :== non_zero[1] :& pmf[, 4] :== non_zero[2]), 5] = 1 } return(pmf) } // Function for finding p-value, based on UMVUE ordering, in a group sequential // design real scalar pval_gs_umvue(real scalar pi, real scalar s, real scalar m, real scalar k, real scalar J, real rowvector a, real rowvector r, real rowvector n,| real matrix dbinom_pi) { if (args() < 9) { pmf = pmf_gs(pi, J, a, r, n, (1::J)') } else { pmf = pmf_gs(pi, J, a, r, n, (1::J)', dbinom_pi) } umvues = J(rows(pmf), 1, 0) for (i = 1; i <= rows(pmf); i++) { umvues[i] = est_gs_umvue(pmf[i, 2], pmf[i, 3], pmf[i, 4], a, r, n) } umvue_sm = est_gs_umvue(s, m, k, a, r, n) return(sum(pmf[mm_which(umvues :>= umvue_sm), 5])) } // Function for finding UMVUE in a group sequential design real scalar est_gs_umvue(real scalar s, real scalar m, real scalar k, real rowvector a, real rowvector r, real rowvector n) { if (k == 1) { return(s/m) } else if (k == 2) { s1 = max((a[1] + 1, s - n[2], 0))::min((s, r[1] - 1, n[1])) return(sum((comb(n[1] - 1, s1 :- 1):*comb(n[2], s :- s1)))/sum((comb(n[1], s1):*comb(n[2], s :- s1)))) } else { R_ms = permutations(0::s, k) for (j = 1; j <= k - 1; j++) { cum_R_ms = rowsum(R_ms[, 1::j]) R_ms = select(R_ms, cum_R_ms :> a[j] :& cum_R_ms :< r[j]) } R_ms = select(R_ms, rowsum(R_ms) :== s) sum_num = 0 sum_denom = 0 for (i = 1; i <= rows(R_ms); i++) { sum_num = sum_num + exp(sum(log(comb(n[1::k] - (1, J(1, k - 1, 0)), R_ms[i, ] - (1, J(1, k - 1, 0)))))) sum_denom = sum_denom + exp(sum(log(comb(n[1::k], R_ms[i, ])))) } return(sum_num/sum_denom) } } real scalar ci_gs_exact_piL(real scalar pi, real scalar s, real scalar m, real scalar k, real scalar J, real rowvector a, real rowvector r, real rowvector n, real scalar alpha) { return(pval_gs_umvue(pi, s, m, k, J, a, r, n) - alpha/2) } real scalar ci_gs_exact_piU(real scalar pi, real scalar s, real scalar m, real scalar k, real scalar J, real rowvector a, real rowvector r, real rowvector n, real scalar alpha) { pmf = pmf_gs(pi, J, a, r, n, (1::J)') umvues = J(rows(pmf), 1, 0) for (i = 1; i <= rows(pmf); i++) { umvues[i] = est_gs_umvue(pmf[i, 2], pmf[i, 3], pmf[i, 4], a, r, n) } umvue_sm = est_gs_umvue(s, m, k, a, r, n) return(sum(pmf[mm_which(umvues :<= umvue_sm), 5]) - alpha/2) } // Function for finding CI, using the exact method, in a group sequential design real rowvector ci_gs_exact(real scalar s, real scalar m, real scalar k, real scalar J, real rowvector a, real rowvector r, real rowvector n, real scalar alpha) { if (s == 0) { piL = 0 } else { output = mm_root(piL = ., &ci_gs_exact_piL(), 0, 1, 0, 1000, s, m, k, J, a, r, n, alpha) if (output ~= 0) { error("Root finding algorithm did not converge") } } if (s == m) { piU = 1 } else { output = mm_root(piU = ., &ci_gs_exact_piU(), 0, 1, 0, 1000, s, m, k, J, a, r, n, alpha) if (output ~= 0) { error("Root finding algorithm did not converge") } } return((piL, piU)) } real scalar ci_gs_mid_p_piL(real scalar pi, real scalar s, real scalar m, real scalar k, real scalar J, real rowvector a, real rowvector r, real rowvector n, real scalar alpha) { pmf = pmf_gs(pi, J, a, r, n, (1::J)') umvues = J(rows(pmf), 1, 0) for (i = 1; i <= rows(pmf); i++) { umvues[i] = est_gs_umvue(pmf[i, 2], pmf[i, 3], pmf[i, 4], a, r, n) } umvue_sm = est_gs_umvue(s, m, k, a, r, n) prob_g_umvue = sum(pmf[mm_which(umvues :> umvue_sm), 5]) prob_eq_umvue = sum(pmf[mm_which(umvues :== umvue_sm), 5]) return(prob_g_umvue + 0.5*prob_eq_umvue - alpha/2) } real scalar ci_gs_mid_p_piU(real scalar pi, real scalar s, real scalar m, real scalar k, real scalar J, real rowvector a, real rowvector r, real rowvector n, real scalar alpha) { pmf = pmf_gs(pi, J, a, r, n, (1::J)') umvues = J(rows(pmf), 1, 0) for (i = 1; i <= rows(pmf); i++) { umvues[i] = est_gs_umvue(pmf[i, 2], pmf[i, 3], pmf[i, 4], a, r, n) } umvue_sm = est_gs_umvue(s, m, k, a, r, n) prob_l_umvue = sum(pmf[mm_which(umvues :< umvue_sm), 5]) prob_eq_umvue = sum(pmf[mm_which(umvues :== umvue_sm), 5]) return(prob_l_umvue + 0.5*prob_eq_umvue - alpha/2) } // Function for finding CI, using the mid-p method, in a group sequential design real rowvector ci_gs_mid_p(real scalar s, real scalar m, real scalar k, real scalar J, real rowvector a, real rowvector r, real rowvector n, real scalar alpha) { if (s == 0) { piL = 0 } else { output = mm_root(piL = ., &ci_gs_mid_p_piL(), 0, 1, 0, 1000, s, m, k, J, a, r, n, alpha) if (output ~= 0) { error("Root finding algorithm did not converge") } } if (s == m) { piU = 1 } else { output = mm_root(piU = ., &ci_gs_mid_p_piU(), 0, 1, 0, 1000, s, m, k, J, a, r, n, alpha) if (output ~= 0) { error("Root finding algorithm did not converge") } } return((piL, piU)) } // Function for determining Clopper-Pearson CI in a fixed design real rowvector ci_fixed_clopper_pearson(real scalar s, real scalar m, real scalar alpha) { if (s == 0) { piL = 0 piU = 1 - (alpha/2)^(1/m) } else if (s == m) { piL = (alpha/2)^(1/m) piU = 1 } else { piL = invibeta(s, m - s + 1, alpha/2) piU = invibeta(s + 1, m - s, 1 - alpha/2) } return((piL, piU)) } // Function to determine all permutations of length q from a vector vec with // replacement real matrix permutations(real colvector vec, real scalar q) { if (q == 1) { return(vec) } lvec = length(vec) if (lvec == 1) { return(J(1, q, vec)) } l = lvec^q allperms = J(l, q, 0) d = vec[2::lvec] :- vec[1::(lvec - 1)] ld = length(d) vl = (-sum(d) \ d) tmp = J(1, l/lvec, vl) allperms[1::l, q] = vec(tmp) elts = 1 count = 1 while (elts[count] + lvec^(q - 1) <= l) { elts = (elts \ elts[count] + lvec^(q - 1)) count = count + 1 } allperms[elts, 1] = vl if (q > 2) { for (i = 2; i <= q - 1; i++) { elts = 1 count = 1 while (elts[count] + lvec^(i - 1) <= l) { elts = (elts \ elts[count] + lvec^(i - 1)) count = count + 1 } tmp = J(1, length(elts)/(ld + 1), vl) allperms[elts, q - i + 1] = vec(tmp) } } allperms[1, 1::q] = J(1, q, vec[1]) origallperms = allperms for (i = 2; i <= l; i++) { for (j = 1; j <= q; j++) { allperms[i, j] = sum(origallperms[1::i, j]) } } return(allperms) } end