Description Usage Arguments Details Value Author(s) References See Also Examples
This function computes estimates in least squares or logistic regression where coefficients corresponding to dummy variables of ordered factors are estimated to be in non-decreasing order and at least 0. An active set algorithm as described in Duembgen et al. (2007) is used.
1 2 |
D |
Response vector, either in R^n (least squares) or in \{0, 1\}^n (logistic). |
Z |
Matrix of predictors. Factors are coded with levels from 1 to j. |
fact |
Specify columns in Z that correspond to unordered factors. |
ordfact |
Specify columns in Z that correspond to ordered factors. |
ordering |
Vector of the same length as |
type |
Specify type of response variable. |
intercept |
If |
display |
If |
eps |
Quantity to which the criterion in the Basic Procedure 2 in Duembgen et al. (2007) is compared. |
For a detailed description of the problem and the algorithm we refer to Rufibach (2010).
L |
Value of the criterion function at the maximum. |
beta |
Computed regression coefficients. |
A |
Set A of active constraints. |
design.matrix |
Design matrix that was generated. |
Kaspar Rufibach (maintainer)
kaspar.rufibach@gmail.com
http://www.kasparrufibach.ch
Duembgen, L., Huesler, A. and Rufibach, K. (2010). Active set and EM algorithms for log-concave densities based on complete and censored data. Technical report 61, IMSV, Univ. of Bern, available at http://arxiv.org/abs/0707.4643.
Rufibach, K. (2010). An Active Set Algorithm to Estimate Parameters in Generalized Linear Models with Ordered Predictors. Comput. Statist. Data Anal., 54, 1442-1456.
ordFacRegCox
computes estimates for Cox-regression.
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 | ## ========================================================
## To illustrate least squares estimation, we generate the same data
## that was used in Rufibach (2010), Table 1.
## ========================================================
## --------------------------------------------------------
## initialization
## --------------------------------------------------------
n <- 200
Z <- NULL
intercept <- FALSE
## --------------------------------------------------------
## quantitative variables
## --------------------------------------------------------
n.q <- 3
set.seed(14012009)
if (n.q > 0){for (i in 1:n.q){Z <- cbind(Z, rnorm(n, mean = 1, sd = 2))}}
## --------------------------------------------------------
## unordered factors
## --------------------------------------------------------
un.levels <- 3
for (i in 1:length(un.levels)){Z <- cbind(Z, sample(rep(1:un.levels[i],
each = ceiling(n / un.levels)))[1:n])}
fact <- n.q + 1:length(un.levels)
## --------------------------------------------------------
## ordered factors
## --------------------------------------------------------
levels <- 8
for (i in 1:length(un.levels)){Z <- cbind(Z, sample(rep(1:levels[i],
each = ceiling(n / levels)))[1:n])}
ordfact <- n.q + length(un.levels) + 1:length(levels)
## --------------------------------------------------------
## generate data matrices
## --------------------------------------------------------
Y <- prepareData(Z, fact, ordfact, ordering = NA, intercept)$Y
## --------------------------------------------------------
## generate response
## --------------------------------------------------------
D <- apply(Y * matrix(c(rep(c(2, -3, 0), each = n), rep(c(1, 1), each = n),
rep(c(0, 2, 2, 2, 2, 5, 5), each = n)), ncol = ncol(Y)), 1, sum) +
rnorm(n, mean = 0, sd = 4)
## --------------------------------------------------------
## compute estimates
## --------------------------------------------------------
res1 <- lmLSE(D, Y)
res2 <- ordFacReg(D, Z, fact, ordfact, ordering = "i", type = "LS", intercept,
display = 1, eps = 0)
b1 <- res1$beta
g1 <- lmSS(b1, D, Y)$dL
b2 <- res2$beta
g2 <- lmSS(b2, D, Y)$dL
Ls <- c(lmSS(b1, D, Y)$L, lmSS(b2, D, Y)$L)
names(Ls) <- c("LSE", "ordFact")
disp <- cbind(1:length(b1), round(cbind(b1, g1, cumsum(g1)), 4),
round(cbind(b2, g2, cumsum(g2)), 4))
## --------------------------------------------------------
## display results
## --------------------------------------------------------
disp
Ls
## ========================================================
## Artificial data is used to illustrate logistic regression.
## ========================================================
## --------------------------------------------------------
## initialization
## --------------------------------------------------------
set.seed(1977)
n <- 500
Z <- NULL
intercept <- FALSE
## --------------------------------------------------------
## quantitative variables
## --------------------------------------------------------
n.q <- 2
if (n.q > 0){for (i in 1:n.q){Z <- cbind(Z, rnorm(n, rgamma(2, 2, 1)))}}
## --------------------------------------------------------
## unordered factors
## --------------------------------------------------------
un.levels <- c(8, 2)
for (i in 1:length(un.levels)){Z <- cbind(Z, sample(round(runif(n, 0,
un.levels[i] - 1)) + 1))}
fact <- n.q + 1:length(un.levels)
## --------------------------------------------------------
## ordered factors
## --------------------------------------------------------
levels <- c(2, 4, 10)
for (i in 1:length(levels)){Z <- cbind(Z, sample(round(runif(n, 0,
levels[i] - 1)) + 1))}
ordfact <- n.q + length(un.levels) + 1:length(levels)
## --------------------------------------------------------
## generate response
## --------------------------------------------------------
D <- sample(c(rep(0, n / 2), rep(1, n/2)))
## --------------------------------------------------------
## generate design matrix
## --------------------------------------------------------
Y <- prepareData(Z, fact, ordfact, ordering = NA, intercept)$Y
## --------------------------------------------------------
## compute estimates
## --------------------------------------------------------
res1 <- matrix(glm.fit(Y, D, family = binomial(link = logit))$coefficients, ncol = 1)
res2 <- ordFacReg(D, Z, fact, ordfact, ordering = NA, type = "logreg",
intercept = intercept, display = 1, eps = 0)
b1 <- res1
g1 <- logRegDeriv(b1, D, Y)$dL
b2 <- res2$beta
g2 <- logRegDeriv(b2, D, Y)$dL
Ls <- unlist(c(logRegLoglik(res1, D, Y), res2$L))
names(Ls) <- c("MLE", "ordFact")
disp <- cbind(1:length(b1), round(cbind(b1, g1, cumsum(g1)), 4),
round(cbind(b2, g2, cumsum(g2)), 4))
## --------------------------------------------------------
## display results
## --------------------------------------------------------
disp
Ls
## --------------------------------------------------------
## compute estimates when the third ordered factor should
## have *decreasing* estimated coefficients
## --------------------------------------------------------
res3 <- ordFacReg(D, Z, fact, ordfact, ordering = c("i", "i", "d"),
type = "logreg", intercept = intercept, display = 1, eps = 0)
b3 <- res3$beta
g3 <- logRegDeriv(b3, D, Y)$dL
Ls <- unlist(c(logRegLoglik(res1, D, Y), res2$L, res3$L))
names(Ls) <- c("MLE", "ordFact ddd", "ordFact iid")
disp <- cbind(1:length(b1), round(cbind(b1, b2, b3), 4))
## --------------------------------------------------------
## display results
## --------------------------------------------------------
disp
Ls
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