Sampling weights for mxFitFunctionMultigroup()

Hi Manuel,

There's nothing special you need to do here. Just specify the weights in the mxData() for each group. The weights will happen to be the same for all rows within a group, and different for different groups, but there's nothing special that needs to happen with mxFitFunctionMultigroup().

Specify the data in each group with mxData(..., weight='someWeight'). The data will look like

> g1data
           x someWeight
1  0.1252453        0.6
2  1.1185059        0.6
3 -0.5192638        0.6
4  0.8916350        0.6
5  0.7211928        0.6
6 -0.1211315        0.6
> g2data
           x someWeight
1  0.6902390        0.2
2 -1.3505596        0.2
3  1.1450130        0.2
4 -0.8126846        0.2
5  0.2834178        0.2
6 -0.8290546        0.2

Hope that helps!

Ahh. Well, R shouldn't be crashing in this case. But the error message is correct: we do not currently support sample weights or row frequencies for state space models. The math should work the same as for other models, but I just don't know what it would mean. I've created an issue on GitHub to resolve the crashing problem, but I do not plan to implement this feature.

You can do what you need with an mxFitFunctionAlgebra() instead of an mxFitFunctionMultigroup(). It would look something like this

mxModel(...,
    mxAlgebra(.2*yourModel1Name.fitfunction + .8*yourModel2Name.fitfunction, name='yourWeightedFit'),
    mxFitFunctionAlgebra('yourWeightedFit')
)

If you have a large number of groups you can use mxAlgebraFromString().

weights <- round(runif(10), 2)
modFitNames <- paste0('someModel', 1:10, '.fitfunction')
weightString <- paste0(weights, '*', modFitNames, collapse=' + ')
mod <- mxModel(...,
    mxAlgebraFromString(weightString, name='yourWeightedFit'),
    mxFitFunctionAlgebra('yourWeightedFit')
)