README.md
In glmmsel: Generalised Linear Mixed Model Selection

glmmsel

An R package for generalised linear mixed model (GLMM) selection. glmmsel uses an $\ell_0$ regulariser to simultaneously select fixed and random effects. A hierarchical constraint is included that a random effect cannot be selected unless its corresponding fixed effect is also selected. Gaussian and binomial families are currently supported.

To install the latest version from GitHub, run the following code:

devtools::install_github('ryan-thompson/glmmsel')

The glmmsel() function fits a sparse GLMM over a sequence of the regularisation parameter $\lambda$, with different values yielding different sparsity levels. The cv.glmmsel() function provides a convenient method for automatically cross-validating $\lambda$.

library(glmmsel)

# Generate some clustered data
n <- 100 # Number of observations
m <- 4 # Number of clusters
p <- 5 # Number of predictors
s.fix <- 2 # Number of nonzero fixed effects
s.rand <- 1 # Number of nonzero random effects
x <- matrix(rnorm(n * p), n, p) # Predictor matrix
beta <- c(rep(1, s.fix), rep(0, p - s.fix)) # True fixed effects
u <- cbind(matrix(rnorm(m * s.rand), m, s.rand), matrix(0, m, p - s.rand)) # True random effects
cluster <- sample(1:m, n, replace = TRUE) # Cluster labels
xb <- rowSums(x * sweep(u, 2, beta, '+')[cluster, ]) # x %*% (beta + u) matrix
y <- rnorm(n, xb) # Response vector

# Fit the ℓ0 regularisation path
fit <- glmmsel(x, y, cluster)
coef(fit, lambda = 10)

##           [,1]       [,2]     [,3] [,4]      [,5] [,6]
## [1,] 0.2011281  4.4667421 1.057887    0 0.1274537    0
## [2,] 0.2011281  2.2780872 1.057887    0 0.1274537    0
## [3,] 0.2011281  1.8789984 1.057887    0 0.1274537    0
## [4,] 0.2011281 -0.7071298 1.057887    0 0.1274537    0

# Cross-validate the ℓ0 regularisation path
fit <- cv.glmmsel(x, y, cluster)
coef(fit)

##           [,1]       [,2]     [,3] [,4] [,5] [,6]
## [1,] 0.1940913  4.5180991 1.056909    0    0    0
## [2,] 0.1940913  2.3148964 1.056909    0    0    0
## [3,] 0.1940913  1.8666893 1.056909    0    0    0
## [4,] 0.1940913 -0.7452709 1.056909    0    0    0