Enriching `glm` objects

title: "Enriching glm objects" author: "Ioannis Kosmidis" date: "r Sys.Date()" output: rmarkdown::html_vignette bibliography: enrichwith.bib vignette: > %\VignetteIndexEntry{enriching glm objects} %\VignetteEngine{knitr::rmarkdown} \usepackage[utf8]{inputenc}


The enrichwith R package provides the enrich method to enrich list-like R objects with new, relevant components. The resulting objects preserve their class, so all methods associated with them still apply.

This vignette is a demo of the available enrichment options for glm objects.

Clotting data set

The following data set is provided in @mccullagh:89 [Section 8.4] and consists of observations on $n = 18$ mean clotting times of blood in seconds (time) for each combination of nine percentage concentrations of normal plasma (conc) and two lots of clotting agent (lot).

clotting <- data.frame(conc = c(5,10,15,20,30,40,60,80,100,
                       time = c(118, 58, 42, 35, 27, 25, 21, 19, 18,
                                69, 35, 26, 21, 18, 16, 13, 12, 12),
                       lot = factor(c(rep(1, 9), rep(2, 9))))

@mccullagh:89 [Section 8.4] fitted a series of nested generalized linear models assuming that the times are realisations of independent Gamma random variables whose mean varies appropriately with concentration and lot. In particular, @mccullagh:89 linked the inverse mean of the gamma random variables to the linear predictors ~ 1, ~ log(conc), ~ log(conc) + lot, ~ log(conc) * lot and carried out an analysis of deviance to conclude that the ~ log(u) * lot provides the best explanation of clotting times. The really close fit of that model to the data can be seen in the figure below.

clottingML <- glm(time ~ log(conc) * lot, family = Gamma, data = clotting)
alpha <- 0.01
pr_out <- predict(clottingML, type = "response", se.fit = TRUE)
new_data <- clotting
new_data$time <- pr_out$fit
new_data$type <- "fitted"
clotting$type <- "observed"
all_data <- rbind(clotting, new_data)
new_data <- within(new_data, {
    low <- pr_out$fit - qnorm(1 - alpha/2) * pr_out$se.fit
    upp <- pr_out$fit + qnorm(1 - alpha/2) * pr_out$se.fit
ggplot(all_data) +
    geom_point(aes(conc, time, col = type), alpha = 0.8) +
    geom_segment(data = new_data, aes(x = conc, y = low, xend = conc, yend = upp, col = type)) +
    facet_grid(. ~ lot) +
    theme_bw() +
    theme(legend.position = "top")

Key quantities in likelihood inference

Score function

The score function is the gradient of the log-likelihood and is a key object for likelihood inference.

The enrichwith R package provides methods for the enrichment of glm objects with the corresponding score function. This can either be done by enriching the glm object with auxiliary_functions and then extracting the score function

enriched_clottingML <- enrich(clottingML, with = "auxiliary functions")
scores_clottingML <- enriched_clottingML$auxiliary_functions$score

or directly using the get_score_function convenience method

scores_clottingML <- get_score_function(clottingML)

By definition, the score function has to have zero components when evaluated at the maximum likelihood estimates (only numerically zero here).


Information matrix

Another key quantity in likelihood inference is the expected information.

The auxiliary_functions enrichment option of the enrich method enriches a glm object with a function for the evaluation of the expected information.

info_clottingML <- enriched_clottingML$auxiliary_functions$information

and can also be computed directly using the get_information_function method

info_clottingML <- get_information_function(clottingML)

One of the uses of the expected information is the calculation of standard errors for the model parameters. The stats::summary.glm function already does that for glm objects, estimating the dispersion parameter (if any) using Pearson residuals.

summary_clottingML <- summary(clottingML)

Duly, info_clottingML returns (numerically) the same standard errors as the summary method does.

summary_std_errors <- coef(summary_clottingML)[, "Std. Error"]
einfo <- info_clottingML(dispersion = summary_clottingML$dispersion)
all.equal(sqrt(diag(solve(einfo)))[1:4], summary_std_errors, tolerance = 1e-05)

Another estimate of the standard errors results by the observed information, which is the negative Hessian matrix of the log-likelihood.

At least at the time of writting the current vignette, there appears to be no general implementation of the observed information for glm objects. I guess the reason for that is the dependence of the observed information on higher-order derivatives of the inverse link and variance functions, which are not readily available in base R.

enrichwith provides options for the enrichment of link-glm and family objects with such derivatives (see ?enrich.link-glm and ?enrich.family for details), and, based on those allows the enrichment of glm objects with a function to compute the observed information.

The observed and the expected information for the regression parameters coincide for GLMs with canonical link, like clottingML

oinfo <- info_clottingML(dispersion = summary_clottingML$dispersion, type = "observed")
all.equal(oinfo[1:4, 1:4], einfo[1:4, 1:4])

which is not generally true for a glm with a non-canonical link, as seen below.

clottingML_log <- update(clottingML, family = Gamma("log"))
summary_clottingML_log <- summary(clottingML_log)
info_clottingML_log <- get_information_function(clottingML_log)
einfo_log <- info_clottingML_log(dispersion = summary_clottingML_log$dispersion, type = "expected")
oinfo_log <- info_clottingML_log(dispersion = summary_clottingML_log$dispersion, type = "observed")
round(einfo_log, 3)
round(oinfo_log, 3)

Score tests

We can now use scores_clottingML and info_clottingML to carry out a score test to compare nested models.

If $l_\psi(\psi, \lambda)$ is the gradient of the log-likelihood with respect to $\psi$ evaluated at $\psi$ and $\lambda$, $i^{\psi\psi}(\psi, \lambda)$ is the $(\psi, \psi)$ block of the inverse of the expected information matrix, and $\hat\lambda_\psi$ is the maximum likelihood estimator of $\lambda$ for fixed $\psi$, then, assuming that the model is adequate [ l_\psi(\psi, \hat\lambda_\psi)^\top i^{\psi\psi}(\psi,\hat\lambda_\psi) l_\psi(\psi, \hat\lambda_\psi) ] has an asymptotic $\chi^2_{dim(\psi)}$ distribution.

The following code chunk computes the maximum likelihood estimates when the parameters for lot and log(conc):lot are fixed to zero ($\hat\lambda\psi$ for $\psi = 0$ above), along with the score and expected information matrix evaluated at them ($l(\psi,\hat\lambda_\psi) and $i(\psi,\hat\lambda_\psi)$, above).

clottingML_nested <- update(clottingML, . ~ log(conc))
enriched_clottingML_nested <- enrich(clottingML_nested, with = "mle of dispersion")
coef_full <- coef(clottingML)
coef_hypothesis <- structure(rep(0, length(coef_full)), names = names(coef_full))
coef_hypothesis_short <- coef(enriched_clottingML_nested, model = "mean")
coef_hypothesis[names(coef_hypothesis_short)] <- coef_hypothesis_short
disp_hypothesis <- coef(enriched_clottingML_nested, model = "dispersion")
scores <- scores_clottingML(coef_hypothesis, disp_hypothesis)
info <- info_clottingML(coef_hypothesis, disp_hypothesis)

The object enriched_clottingML_nested inherits from enriched_glm, glm and lm, and, as illustrated above, enrichwith provides a corresponding coef method to extract the estimates for the mean regression parameters and/or the estimate for the dispersion parameter.

The score statiistic is then

(score_statistic <- drop(scores%*%solve(info)%*%scores))

which gives a p-value of

pchisq(score_statistic, 2, lower.tail = FALSE)

For comparison, the Wald statistic for the same hypothesis is

coef_full[3:4]%*%solve(solve(info)[3:4, 3:4])%*%coef_full[3:4]

and the log-likelihood ratio statistic is

(deviance(clottingML_nested) - deviance(clottingML))/disp_hypothesis

which is close to the score statistic

Simulating from glm objects at parameter values

enrichwith also provides the get_simulate_function method for glm or lm objects. The get_simulate_function computes a function to simulate response vectors at /arbitrary/ values of the model parameters, which can be useful when setting up simulation experiments and for various inferential procedures (e.g. indirect inference).

For example, the following code chunk simulates three response vectors at the maximum likelihood estimates of the parameters for clottingML.

simulate_clottingML <- get_simulate_function(clottingML)
simulate_clottingML(nsim = 3, seed = 123)

The result is the same to what the simulate method returns

simulate(clottingML, nsim = 3, seed = 123)

but simulate_clottingML can also be used to simulate at any given parameter value

coefficients <- c(0, 0.01, 0, 0.01)
dispersion <- 0.001
samples <- simulate_clottingML(coefficients = coefficients, dispersion = dispersion, nsim = 500000, seed = 123)

The empirical means and variances based on samples agree with the exact means and variances at coefficients and dispersion

means <- 1/(model.matrix(clottingML) %*% coefficients)
variances <- dispersion * means^2
max(abs(rowMeans(samples) - means))
max(abs(apply(samples, 1, var) - variances))

pmodel, dmodel, qmodel

enrichwith also provides the get_dmodel_function, get_pmodel_function and get_qmodel_function methods, which can be used to evaluate densities or probability mass functions, distribution functions, and quantile functions, respectively at arbitrary parameter values and data settings.

For example, the following code chunk computes the density at the observations in the clotting data set under then maximum likelihood fit

cML_dmodel <- get_dmodel_function(clottingML)

We can also compute the densities at user-supplied parameter values

cML_dmodel(coefficients = c(-0.01, 0.02, -0.01, 0), dispersion = 0.1)

or even at different data points

new_data <- data.frame(conc = 5:10, time = 50:45, lot = factor(c(1, 1, 1, 2, 2, 2)))
cML_dmodel(data = new_data, coefficients = c(-0.01, 0.02, -0.01, 0), dispersion = 0.1)

We can also compute cumulative probabilities and quantile functions. So

cML_qmodel <- get_qmodel_function(clottingML)
cML_pmodel <- get_pmodel_function(clottingML)
probs <- cML_pmodel(data = new_data, coefficients = c(-0.01, 0.02, -0.01, 0), dispersion = 0.1)
cML_qmodel(probs, data = new_data, coefficients = c(-0.01, 0.02, -0.01, 0), dispersion = 0.1)

returns new_data$time.

For example the fitted densities when (conc, lot) is c(15, 1), c(15, 2), c(40, 1) or c(40, 2) are

new_data <- expand.grid(conc = c(15, 40),
                        lot = factor(1:2),
                        time = seq(0, 50, length = 100))
new_data$density <- cML_dmodel(new_data)
ggplot(data = new_data) +
    geom_line(aes(time, density)) + facet_grid(conc ~ lot) +
    theme_bw() +
    geom_vline(data = clotting[c(3, 6, 12, 15), ], aes(xintercept = time), lty = 2)

The dashed vertical lines are the observed values of time for the (conc, lot) combinations in the figure.


enrichwith provides a wrapper to the glm interface that results directly in enriched_glm objects that carry all the components described above. For example,

enriched_clottingML <- enriched_glm(time ~ log(conc) * lot, family = Gamma, data = clotting)

Links to other resources

The vignette bias of enrichwith describes how to use the auxiliary_functions to reduce the bias of the maximum likelihood estimator for generalized linear models.


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enrichwith documentation built on Nov. 17, 2017, 4 a.m.