create_p_funs: Create a p-value functions object that can be used to...

In ale: Interpretable Machine Learning and Statistical Inference with Accumulated Local Effects (ALE)

Create a p-value functions object that can be used to generate p-values

Description

Calculating p-values is not trivial for ALE statistics because ALE is non-parametric and model-agnostic. Because ALE is non-parametric (that is, it does not assume any particular distribution of data), the ale package generates p-values by calculating ALE for many random variables; this makes the procedure somewhat slow. For this reason, they are not calculated by default; they must be explicitly requested. Because the ale package is model-agnostic (that is, it works with any kind of R model), the ale() function cannot always automatically manipulate the model object to create the p-values. It can only do so for models that follow the standard R statistical modelling conventions, which includes almost all built-in R algorithms (like stats::lm() and stats::glm()) and many widely used statistics packages (like mgcv and survival), but which excludes most machine learning algorithms (like tidymodels and caret). For non-standard algorithms, the user needs to do a little work to help the ale function correctly manipulate its model object:

• The full model call must be passed as a character string in the argument 'random_model_call_string', with two slight modifications as follows.

• In the formula that specifies the model, you must add a variable named 'random_variable'. This corresponds to the random variables that create_p_funs() will use to estimate p-values.

• The dataset on which the model is trained must be named 'rand_data'. This corresponds to the modified datasets that will be used to train the random variables.

See the example below for how this is implemented.

Usage

create_p_funs(
  data,
  model,
  ...,
  parallel = parallel::detectCores(logical = FALSE) - 1,
  model_packages = as.character(NA),
  random_model_call_string = NULL,
  random_model_call_string_vars = character(),
  y_col = NULL,
  pred_fun = function(object, newdata, type = pred_type) {
     stats::predict(object =
    object, newdata = newdata, type = type)
 },
  pred_type = "response",
  rand_it = 1000,
  silent = FALSE,
  .testing_mode = FALSE
)

Arguments

data	See documentation for ale()
model	See documentation for ale()
...	not used. Inserted to require explicit naming of subsequent arguments.
parallel	See documentation for ale()
model_packages	See documentation for ale()
random_model_call_string	character string. If NULL, create_p_funs() tries to automatically detect and construct the call for p-values. If it cannot, the function will fail early. In that case, a character string of the full call for the model must be provided that includes the random variable. See details.
random_model_call_string_vars	See documentation for model_call_string_vars in model_bootstrap(); the operation is very similar.
y_col	See documentation for ale()
pred_fun, pred_type	See documentation for ale().
rand_it	non-negative integer length 1. Number of times that the model should be retrained with a new random variable. The default of 1000 should give reasonably stable p-values. It can be reduced as low as 100 for faster test runs.
silent	See documentation for ale()
.testing_mode	logical. Internal use only.

Value

The return value is a list of class ⁠c('p_funs', 'ale', 'list'⁠) with an ale_version attribute whose value is the version of the ale package used to create the object. See examples for an illustration of how to inspect this list. Its elements are:

• value_to_p: a list of functions named for each each available ALE statistic. Each function signature is ⁠function(x)⁠ where x is a numeric. The function returns the p-value (minimum 0; maximum 1) for the respective statistic based on the random variable analysis. For an input x that returns p, its interpretation is that p% of random variables obtained the same or higher statistic value. For example, to get the p-value of a NALED of 4.2, enter p_funs$value_to_p(4.2). A return value of 0.03 means that only 3% of random variables obtained a NALED greater than or equal to 4.2.

• p_to_random_value: a list of functions named for each each available ALE statistic. These are the inverse functions of value_to_p. The signature is ⁠function(p)⁠ where p is a numeric from 0 to 1. The function returns the numeric value of the random variable statistic that would yield the provided p-value. For an input p that returns x, its interpretation is that p% of random variables obtained the same or higher statistic value. For example, to get the random variable ALED for the 0.05 p-value, enter p_funs$p_to_random_value(0.05). A return value of 102 means that only 5% of random variables obtained an ALED greater than or equal to 102.

• rand_stats: a tibble whose rows are each of the rand_it iterations of the random variable analysis and whose columns are the ALE statistics obtained for each random variable.

• residuals: the actual y_col values from data minus the predicted values from the model (without random variables) on the data. residual_distribution: the closest estimated distribution for the residuals as determined by univariateML::rml(). This is the distribution used to generate all the random variables.

Approach to calculating p-values

The ale package takes a literal frequentist approach to the calculation of p-values. That is, it literally retrains the model 1000 times, each time modifying it by adding a distinct random variable to the model. (The number of iterations is customizable with the rand_it argument.) The ALEs and ALE statistics are calculated for each random variable. The percentiles of the distribution of these random-variable ALEs are then used to determine p-values for non-random variables. Thus, p-values are interpreted as the frequency of random variable ALE statistics that exceed the value of ALE statistic of the actual variable in question. The specific steps are as follows:

• The residuals of the original model trained on the training data are calculated (residuals are the actual y target value minus the predicted values).

• The closest distribution of the residuals is detected with univariateML::model_select().

• 1000 new models are trained by generating a random variable each time with univariateML::rml() and then training a new model with that random variable added.

• The ALEs and ALE statistics are calculated for each random variable.

• For each ALE statistic, the empirical cumulative distribution function (from stats::ecdf()) is used to create a function to determine p-values according to the distribution of the random variables' ALE statistics.

References

Okoli, Chitu. 2023. “Statistical Inference Using Machine Learning and Classical Techniques Based on Accumulated Local Effects (ALE).” arXiv. https://arxiv.org/abs/2310.09877.

Examples

# Sample 1000 rows from the ggplot2::diamonds dataset (for a simple example)
set.seed(0)
diamonds_sample <- ggplot2::diamonds[sample(nrow(ggplot2::diamonds), 1000), ]

# Create a GAM model with flexible curves to predict diamond price
# Smooth all numeric variables and include all other variables
gam_diamonds <- mgcv::gam(
  price ~ s(carat) + s(depth) + s(table) + s(x) + s(y) + s(z) +
    cut + color + clarity,
  data = diamonds_sample
)
summary(gam_diamonds)

# Create p-value functions
pf_diamonds <- create_p_funs(
  diamonds_sample,
  gam_diamonds,
  # only 100 iterations for a quick demo; but usually should remain at 1000
  rand_it = 100,
)

# Examine the structure of the returned object
str(pf_diamonds)
# In RStudio: View(pf_diamonds)

# Calculate ALEs with p-values
ale_gam_diamonds <- ale(
  diamonds_sample,
  gam_diamonds,
  p_values = pf_diamonds
)

# Plot the ALE data. The horizontal bands in the plots use the p-values.
ale_gam_diamonds$plots |>
  patchwork::wrap_plots()


# For non-standard models that give errors with the default settings,
# you can use 'random_model_call_string' to specify a model for the estimation
# of p-values from random variables as in this example.
# See details above for an explanation.
pf_diamonds <- create_p_funs(
  diamonds_sample,
  gam_diamonds,
  random_model_call_string = 'mgcv::gam(
    price ~ s(carat) + s(depth) + s(table) + s(x) + s(y) + s(z) +
        cut + color + clarity + random_variable,
    data = rand_data
  )',
  # only 100 iterations for a quick demo; but usually should remain at 1000
  rand_it = 100,
)

ale documentation built on May 29, 2024, 10:33 a.m.