sdreport: General sdreport function.

View source: R/sdreport.R

sdreportR Documentation

General sdreport function.


After optimization of an AD model, sdreport is used to calculate standard deviations of all model parameters, including non linear functions of random effects and parameters specified through the ADREPORT() macro from the user template.


  par.fixed = NULL,
  hessian.fixed = NULL,
  getJointPrecision = FALSE,
  bias.correct = FALSE,
  bias.correct.control = list(sd = FALSE, split = NULL, nsplit = NULL),
  ignore.parm.uncertainty = FALSE,
  getReportCovariance = TRUE, = FALSE



Object returned by MakeADFun


Optional. Parameter estimate (will be known to obj when an optimization has been carried out).


Optional. Hessian wrt. parameters (will be calculated from obj if missing).


Optional. Return full joint precision matrix of random effects and parameters?


logical indicating if bias correction should be applied


a list of bias correction options; currently sd, split and nsplit are used - see details.


Optional. Ignore estimation variance of parameters?


Get full covariance matrix of ADREPORTed variables?

Skip the delta method? (FALSE by default)


First, the Hessian wrt. the parameter vector (\theta) is calculated. The parameter covariance matrix is approximated by

V(\hat\theta)=-\nabla^2 l(\hat\theta)^{-1}

where l denotes the log likelihood function (i.e. -obj$fn). If ignore.parm.uncertainty=TRUE then the Hessian calculation is omitted and a zero-matrix is used in place of V(\hat\theta).

For non-random effect models the standard delta-method is used to calculate the covariance matrix of transformed parameters. Let \phi(\theta) denote some non-linear function of \theta. Then

V(\phi(\hat\theta))\approx \nabla\phi V(\hat\theta) \nabla\phi'

The covariance matrix of reported variables V(\phi(\hat\theta)) is returned by default. This can cause high memory usage if many variables are ADREPORTed. Use getReportCovariance=FALSE to only return standard errors. In case standard deviations are not required one can completely skip the delta method using

For random effect models a generalized delta-method is used. First the joint covariance of random effect and parameter estimation error is approximated by

V \left( \begin{array}{cc} \hat u - u \cr \hat\theta - \theta \end{array} \right) \approx \left( \begin{array}{cc} H_{uu}^{-1} & 0 \cr 0 & 0 \end{array} \right) + J V(\hat\theta) J'

where H_{uu} denotes random effect block of the full joint Hessian of obj$env$f and J denotes the Jacobian of \left( \begin{array}{cc}\hat u(\theta) \cr \theta \end{array} \right) wrt. \theta. Here, the first term represents the expected conditional variance of the estimation error given the data and the second term represents the variance of the conditional mean of the estimation error given the data.

Now the delta method can be applied on a general non-linear function \phi(u,\theta) of random effects u and parameters \theta:

V\left(\phi(\hat u,\hat\theta) - \phi(u,\theta) \right)\approx \nabla\phi V \left( \begin{array}{cc} \hat u - u \cr \hat\theta - \theta \end{array} \right) \nabla\phi'

The full joint covariance is not returned by default, because it may require large amounts of memory. It may be obtained by specifying getJointPrecision=TRUE, in which case V \left( \begin{array}{cc} \hat u - u \cr \hat\theta - \theta \end{array} \right) ^{-1} will be part of the output. This matrix must be manually inverted using solve(jointPrecision) in order to get the joint covariance matrix. Note, that the parameter order will follow the original order (i.e. obj$env$par).

Using \phi(\hat u,\theta) as estimator of \phi(u,\theta) may result in substantial bias. This may be the case if either \phi is non-linear or if the distribution of u given x (data) is sufficiently non-symmetric. A generic correction is enabled with bias.correct=TRUE. It is based on the identity

E_{\theta}[\phi(u,\theta)|x] = \partial_\varepsilon\left(\log \int \exp(-f(u,\theta) + \varepsilon \phi(u,\theta))\:du\right)_{|\varepsilon=0}

stating that the conditional expectation can be written as a marginal likelihood gradient wrt. a nuisance parameter \varepsilon. The marginal likelihood is replaced by its Laplace approximation.

If bias.correct.control$sd=TRUE the variance of the estimator is calculated using

V_{\theta}[\phi(u,\theta)|x] = \partial_\varepsilon^2\left(\log \int \exp(-f(u,\theta) + \varepsilon \phi(u,\theta))\:du\right)_{|\varepsilon=0}

A further correction is added to this variance to account for the effect of replacing \theta by the MLE \hat\theta (unless ignore.parm.uncertainty=TRUE).

Bias correction can be be performed in chunks in order to reduce memory usage or in order to only bias correct a subset of variables. First option is to pass a list of indices as bias.correct.control$split. E.g. a list list(1:2,3:4) calculates the first four ADREPORTed variables in two chunks. The internal function obj$env$ADreportIndex() gives an overview of the possible indices of ADREPORTed variables.

Second option is to pass the number of chunks as bias.correct.control$nsplit in which case all ADREPORTed variables are bias corrected in the specified number of chunks. Also note that may be necessary when bias correcting a large number of variables.


Object of class sdreport

See Also

summary.sdreport, print.sdreport, as.list.sdreport


## Not run: 
runExample("linreg_parallel", thisR = TRUE) ## Non-random effect example
## End(Not run)

runExample("simple", thisR = TRUE)          ## Random effect example
rep <- sdreport(obj)
summary(rep, "random")                      ## Only random effects
summary(rep, "fixed", p.value = TRUE)       ## Only non-random effects
summary(rep, "report")                      ## Only report

## Bias correction
rep <- sdreport(obj, bias.correct = TRUE)
summary(rep, "report")                      ## Include bias correction

TMB documentation built on Nov. 27, 2023, 5:12 p.m.

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