DeltaMedStd: Delta Method Sampling Variance-Covariance Matrix for the Standardized Total, Direct, and Indirect Effects of X on Y Through M Over a Specific Time Interval or a Range of Time Intervals

Description

This function computes the delta method sampling variance-covariance matrix for the standardized total, direct, and indirect effects of the independent variable $X$ on the dependent variable $Y$ through mediator variables $\mathbf{m}$ over a specific time interval $\Delta t$ or a range of time intervals using the first-order stochastic differential equation model's drift matrix $\boldsymbol{\Phi}$ and process noise covariance matrix $\boldsymbol{\Sigma}$.

Usage

DeltaMedStd(
  phi,
  sigma,
  vcov_theta,
  delta_t,
  from,
  to,
  med,
  ncores = NULL,
  tol = 0.01
)

Value

Returns an object of class ctmeddelta which is a list with the following elements:

call: Function call.
args: Function arguments.
fun: Function used ("DeltaMedStd").
output: A list the length of which is equal to the length of delta_t.

Each element in the output list has the following elements:

delta_t: Time interval.
jacobian: Jacobian matrix.
est: Estimated standardized total, direct, and indirect effects.
vcov: Sampling variance-covariance matrix of the estimated standardized total, direct, and indirect effects.

Arguments

phi: Numeric matrix. The drift matrix ($\boldsymbol{\Phi}$). phi should have row and column names pertaining to the variables in the system.
sigma: Numeric matrix. The process noise covariance matrix ($\boldsymbol{\Sigma}$).
vcov_theta: Numeric matrix. The sampling variance-covariance matrix of $\mathrm{vec} \left( \boldsymbol{\Phi} \right)$ and $\mathrm{vech} \left( \boldsymbol{\Sigma} \right)$
delta_t: Numeric. Time interval ($\Delta t$).
from: Character string. Name of the independent variable $X$ in phi.
to: Character string. Name of the dependent variable $Y$ in phi.
med: Character vector. Name/s of the mediator variable/s in phi.
ncores: Positive integer. Number of cores to use. If ncores = NULL, use a single core. Consider using multiple cores when number of replications R is a large value.
tol: Numeric. Smallest possible time interval to allow.

Author

Ivan Jacob Agaloos Pesigan

Details

See TotalStd(), DirectStd(), and IndirectStd() for more details.

Delta Method

Let $\boldsymbol{\theta}$ be a vector that combines $\mathrm{vec} \left( \boldsymbol{\Phi} \right)$, that is, the elements of the $\boldsymbol{\Phi}$ matrix in vector form sorted column-wise and $\mathrm{vech} \left( \boldsymbol{\Sigma} \right)$, that is, the unique elements of the $\boldsymbol{\Sigma}$ matrix in vector form sorted column-wise. Let $\hat{\boldsymbol{\theta}}$ be a vector that combines $\mathrm{vec} \left( \hat{\boldsymbol{\Phi}} \right)$ and $\mathrm{vech} \left( \hat{\boldsymbol{\Sigma}} \right)$. By the multivariate central limit theory, the function $\mathbf{g}$ using $\hat{\boldsymbol{\theta}}$ as input can be expressed as:

$$ \sqrt{n} \left( \mathbf{g} \left( \hat{\boldsymbol{\theta}} \right) - \mathbf{g} \left( \boldsymbol{\theta} \right) \right) \xrightarrow[]{ \mathrm{D} } \mathcal{N} \left( 0, \mathbf{J} \boldsymbol{\Gamma} \mathbf{J}^{\prime} \right) $$

where $\mathbf{J}$ is the matrix of first-order derivatives of the function $\mathbf{g}$ with respect to the elements of $\boldsymbol{\theta}$ and $\boldsymbol{\Gamma}$ is the asymptotic variance-covariance matrix of $\hat{\boldsymbol{\theta}}$.

From the former, we can derive the distribution of $\mathbf{g} \left( \hat{\boldsymbol{\theta}} \right)$ as follows:

$$ \mathbf{g} \left( \hat{\boldsymbol{\theta}} \right) \approx \mathcal{N} \left( \mathbf{g} \left( \boldsymbol{\theta} \right) , n^{-1} \mathbf{J} \boldsymbol{\Gamma} \mathbf{J}^{\prime} \right) $$

The uncertainty associated with the estimator $\mathbf{g} \left( \hat{\boldsymbol{\theta}} \right)$ is, therefore, given by $n^{-1} \mathbf{J} \boldsymbol{\Gamma} \mathbf{J}^{\prime}$ . When $\boldsymbol{\Gamma}$ is unknown, by substitution, we can use the estimated sampling variance-covariance matrix of $\hat{\boldsymbol{\theta}}$, that is, $\hat{\mathbb{V}} \left( \hat{\boldsymbol{\theta}} \right)$ for $n^{-1} \boldsymbol{\Gamma}$. Therefore, the sampling variance-covariance matrix of $\mathbf{g} \left( \hat{\boldsymbol{\theta}} \right)$ is given by

$$ \mathbf{g} \left( \hat{\boldsymbol{\theta}} \right) \approx \mathcal{N} \left( \mathbf{g} \left( \boldsymbol{\theta} \right) , \mathbf{J} \hat{\mathbb{V}} \left( \hat{\boldsymbol{\theta}} \right) \mathbf{J}^{\prime} \right) . $$

References

Bollen, K. A. (1987). Total, direct, and indirect effects in structural equation models. Sociological Methodology, 17, 37. tools:::Rd_expr_doi("10.2307/271028")

Deboeck, P. R., & Preacher, K. J. (2015). No need to be discrete: A method for continuous time mediation analysis. Structural Equation Modeling: A Multidisciplinary Journal, 23 (1), 61–75. tools:::Rd_expr_doi("10.1080/10705511.2014.973960")

Ryan, O., & Hamaker, E. L. (2021). Time to intervene: A continuous-time approach to network analysis and centrality. Psychometrika, 87 (1), 214–252. tools:::Rd_expr_doi("10.1007/s11336-021-09767-0")

Examples

Run this code

phi <- matrix(
  data = c(
    -0.357, 0.771, -0.450,
    0.0, -0.511, 0.729,
    0, 0, -0.693
  ),
  nrow = 3
)
colnames(phi) <- rownames(phi) <- c("x", "m", "y")
sigma <- matrix(
  data = c(
    0.24455556, 0.02201587, -0.05004762,
    0.02201587, 0.07067800, 0.01539456,
    -0.05004762, 0.01539456, 0.07553061
  ),
  nrow = 3
)
vcov_theta <- matrix(
  data = c(
    0.00843, 0.00040, -0.00151, -0.00600, -0.00033,
    0.00110, 0.00324, 0.00020, -0.00061, -0.00115,
    0.00011, 0.00015, 0.00001, -0.00002, -0.00001,
    0.00040, 0.00374, 0.00016, -0.00022, -0.00273,
    -0.00016, 0.00009, 0.00150, 0.00012, -0.00010,
    -0.00026, 0.00002, 0.00012, 0.00004, -0.00001,
    -0.00151, 0.00016, 0.00389, 0.00103, -0.00007,
    -0.00283, -0.00050, 0.00000, 0.00156, 0.00021,
    -0.00005, -0.00031, 0.00001, 0.00007, 0.00006,
    -0.00600, -0.00022, 0.00103, 0.00644, 0.00031,
    -0.00119, -0.00374, -0.00021, 0.00070, 0.00064,
    -0.00015, -0.00005, 0.00000, 0.00003, -0.00001,
    -0.00033, -0.00273, -0.00007, 0.00031, 0.00287,
    0.00013, -0.00014, -0.00170, -0.00012, 0.00006,
    0.00014, -0.00001, -0.00015, 0.00000, 0.00001,
    0.00110, -0.00016, -0.00283, -0.00119, 0.00013,
    0.00297, 0.00063, -0.00004, -0.00177, -0.00013,
    0.00005, 0.00017, -0.00002, -0.00008, 0.00001,
    0.00324, 0.00009, -0.00050, -0.00374, -0.00014,
    0.00063, 0.00495, 0.00024, -0.00093, -0.00020,
    0.00006, -0.00010, 0.00000, -0.00001, 0.00004,
    0.00020, 0.00150, 0.00000, -0.00021, -0.00170,
    -0.00004, 0.00024, 0.00214, 0.00012, -0.00002,
    -0.00004, 0.00000, 0.00006, -0.00005, -0.00001,
    -0.00061, 0.00012, 0.00156, 0.00070, -0.00012,
    -0.00177, -0.00093, 0.00012, 0.00223, 0.00004,
    -0.00002, -0.00003, 0.00001, 0.00003, -0.00013,
    -0.00115, -0.00010, 0.00021, 0.00064, 0.00006,
    -0.00013, -0.00020, -0.00002, 0.00004, 0.00057,
    0.00001, -0.00009, 0.00000, 0.00000, 0.00001,
    0.00011, -0.00026, -0.00005, -0.00015, 0.00014,
    0.00005, 0.00006, -0.00004, -0.00002, 0.00001,
    0.00012, 0.00001, 0.00000, -0.00002, 0.00000,
    0.00015, 0.00002, -0.00031, -0.00005, -0.00001,
    0.00017, -0.00010, 0.00000, -0.00003, -0.00009,
    0.00001, 0.00014, 0.00000, 0.00000, -0.00005,
    0.00001, 0.00012, 0.00001, 0.00000, -0.00015,
    -0.00002, 0.00000, 0.00006, 0.00001, 0.00000,
    0.00000, 0.00000, 0.00010, 0.00001, 0.00000,
    -0.00002, 0.00004, 0.00007, 0.00003, 0.00000,
    -0.00008, -0.00001, -0.00005, 0.00003, 0.00000,
    -0.00002, 0.00000, 0.00001, 0.00005, 0.00001,
    -0.00001, -0.00001, 0.00006, -0.00001, 0.00001,
    0.00001, 0.00004, -0.00001, -0.00013, 0.00001,
    0.00000, -0.00005, 0.00000, 0.00001, 0.00012
  ),
  nrow = 15
)

# Specific time interval ----------------------------------------------------
DeltaMedStd(
  phi = phi,
  sigma = sigma,
  vcov_theta = vcov_theta,
  delta_t = 1,
  from = "x",
  to = "y",
  med = "m"
)

# Range of time intervals ---------------------------------------------------
delta <- DeltaMedStd(
  phi = phi,
  sigma = sigma,
  vcov_theta = vcov_theta,
  delta_t = 1:5,
  from = "x",
  to = "y",
  med = "m"
)
plot(delta)

# Methods -------------------------------------------------------------------
# DeltaMedStd has a number of methods including
# print, summary, confint, and plot
print(delta)
summary(delta)
confint(delta, level = 0.95)
plot(delta)

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