bam.update: Update a strictly additive bam model for new data.

In mgcv: Mixed GAM Computation Vehicle with Automatic Smoothness Estimation

Update a strictly additive bam model for new data.

Description

Gaussian with identity link models fitted by bam can be efficiently updated as new data becomes available, by simply updating the QR decomposition on which estimation is based, and re-optimizing the smoothing parameters, starting from the previous estimates. This routine implements this.

Usage

bam.update(b,data,chunk.size=10000)

Arguments

b	A gam object fitted by bam and representing a strictly additive model (i.e. gaussian errors, identity link).
data	Extra data to augment the original data used to obtain b. Must include a weights column if the original fit was weighted and a AR.start column if AR.start was non NULL in original fit.
chunk.size	size of subsets of data to process in one go when getting fitted values.

Details

bam.update updates the QR decomposition of the (weighted) model matrix of the GAM represented by b to take account of the new data. The orthogonal factor multiplied by the response vector is also updated. Given these updates the model and smoothing parameters can be re-estimated, as if the whole dataset (original and the new data) had been fitted in one go. The function will use the same AR1 model for the residuals as that employed in the original model fit (see rho parameter of bam).

Note that there may be small numerical differences in fit between fitting the data all at once, and fitting in stages by updating, if the smoothing bases used have any of their details set with reference to the data (e.g. default knot locations).

Value

An object of class "gam" as described in gamObject.

WARNINGS

AIC computation does not currently take account of AR model, if used.

Author(s)

Simon N. Wood [e-mail]

References

https://www.maths.ed.ac.uk/~swood34/

See Also

mgcv-package, bam

Examples

library(mgcv)
## following is not *very* large, for obvious reasons...
set.seed(8)
n <- 5000
dat <- gamSim(1,n=n,dist="normal",scale=5)
dat[c(50,13,3000,3005,3100),]<- NA
dat1 <- dat[(n-999):n,]
dat0 <- dat[1:(n-1000),]
bs <- "ps";k <- 20
method <- "GCV.Cp"
b <- bam(y ~ s(x0,bs=bs,k=k)+s(x1,bs=bs,k=k)+s(x2,bs=bs,k=k)+
           s(x3,bs=bs,k=k),data=dat0,method=method)

b1 <- bam.update(b,dat1)

b2 <- bam.update(bam.update(b,dat1[1:500,]),dat1[501:1000,])
 
b3 <- bam(y ~ s(x0,bs=bs,k=k)+s(x1,bs=bs,k=k)+s(x2,bs=bs,k=k)+
           s(x3,bs=bs,k=k),data=dat,method=method)
b1;b2;b3

## example with AR1 errors...

e <- rnorm(n)
for (i in 2:n) e[i] <- e[i-1]*.7 + e[i]
dat$y <- dat$f + e*3
dat[c(50,13,3000,3005,3100),]<- NA
dat1 <- dat[(n-999):n,]
dat0 <- dat[1:(n-1000),]

b <- bam(y ~ s(x0,bs=bs,k=k)+s(x1,bs=bs,k=k)+s(x2,bs=bs,k=k)+
           s(x3,bs=bs,k=k),data=dat0,rho=0.7)

b1 <- bam.update(b,dat1)


summary(b1);summary(b2);summary(b3)

mgcv documentation built on May 29, 2024, 4:34 a.m.