gcrq: Growth charts regression quantiles with automatic smoothness...

In quantregGrowth: Non-Crossing Additive Regression Quantiles and Non-Parametric Growth Charts

Growth charts regression quantiles with automatic smoothness estimation

Description

Modelling unspecified nonlinear relationships between covariates and quantiles of the response conditional distribution. Typical example is estimation nonparametric growth charts (via quantile regression). Quantile curves are estimated via B-splines with a L_1 penalty on the spline coefficient differences, while non-crossing and possible monotonicity and concavity restrictions are set to obtain estimates more biologically plausible. Linear terms can be specified in the model formula. Multiple smooth terms, including varying coefficients, with automatic selection of corresponding smoothing parameters are allowed.

Usage

gcrq(formula, tau=c(.1,.25,.5,.75,.9), data, subset, weights, na.action, 
    transf=NULL, y=TRUE, n.boot=0, eps=0.001, display=FALSE, 
    method=c("REML","ML"), df.opt=2, df.nc=FALSE, lambda0=.1, h=0.8, lambda.max=1000, 
    tol=0.01, it.max=15, single.lambda=TRUE, foldid=NULL, nfolds=10, 
    lambda.ridge=0, adjX.constr=TRUE, contrasts=NULL, sparse=FALSE) 

Arguments

formula	a standard R formula to specify the response in the left hand side, and the covariates in the right hand side, such as y~ps(x)+z, see Details for further examples.
tau	a numeric vector to specify the quantile curves of interest. Default to probability values (.1,.25,.5,.75,.9).
data	the dataframe where the variables required by the formula, subset and weights arguments are stored.
subset	optional. A vector specifying a subset of observations to be used in the fitting process.
weights	optional. A numeric vector specifying weights to be assigned to the observations in the fitting process. Currently unimplemented.
na.action	a function which indicates how the possible ‘NA’s are handled.
transf	an optional character string (with "y" as argument) meaning a function to apply to the response variable before fitting. E.g. if y>=0, it could be advisable to model "log(y+0.1)". It can be useful to guarantee fitted values within a specified range. If provided, the resulting object fit refer to the model for the transformed response and it will include the corresponding inversefunction (numerically computed) to be used to back transform predictions (see argument transf in predict.gcrq and plot.gcrq).
y	logical. If TRUE (default) the returned object includes also the responses vector.

n.boot	Number of nonparametric (cases resampling) bootstrap samples to be used. If n.boot>0, the covariance matrix can be obtained as empirical covariance matrix of the bootstrap distributions, see vcov.gcrq. Notice that the smoothing parameter (if relevant) is assumed fixed. Namely it does change throughout the bootstrap replicates.
eps	A small positive constant to ensure noncrossing curves (i.e. the minimum distance between two consecutive curves). Use it at your risk! If eps is large, the resulting fitted quantile curves could appear unreasonable.
display	Logical. Should the iterative process be printed? Ignored if no smooth is specified in the formula or if all the smoothing parameters specified in ps terms are fixed.
method	character, "ML" or "REML" affecting the smoothing parameter estimation. Default is "REML" which appears to provide better performance in simulation studies. Ignored if no smoothing parameter has to be estimated.
df.opt	How the model and term-specific degrees of freedom are computed. df.opt=1 means via the null penalized coefficients, and df.opt=2 via the trace of the approximate hat matrix. Ignored if no smoothing parameter is be estimated.
df.nc	logical. If TRUE and the model refers to multiple quantile curves, the degrees of freedom account for the noncrossing constraints. Ignored for single quantile fits. Default to FALSE, as it is still experimental.
lambda0	the starting value for the lambdas to be estimated. Ignored if all the smoothing parameters specified in ps terms are fixed.
h	The step halving factor affecting estimation of the smoothing parameters. Lower values lead to slower updates in the lambda values. Ignored if all the smoothing parameters specified in ps terms are fixed.
lambda.max	The upper bound for lambda estimation. Ignored if all the smoothing parameters specified in ps terms are fixed.
tol	The tolerance value to declare convergence. Ignored if all the smoothing parameters specified in ps terms are fixed.
it.max	The maximum number of iterations in lambdas estimation. Ignored if all the smoothing parameters specified in ps terms are fixed.
single.lambda	Logical. Should the smoothing parameter (for each smooth term) to be the same across the quantile curves being estimated? Ignored when just a single quantile curve is being estimated.
foldid	optional. A numeric vector identifying the group labels to perform cross validation to select the smoothing parameter. Ignored if the lambda argument in ps() is not a vector.
nfolds	optional. If foldid is not provided, it is scalar specifying the number of ‘folds’ (groups) which should be used to perform cross validation to select the smoothing parameter. Default to 10, but it is ignored if the lambda argument in ps() is not a vector.
lambda.ridge	Numerical value (typically very small) to stabilize model estimation.

adjX.constr	logical. If TRUE, each linear covariate is shifted (by substracting its min) in order to set up effective constraints to prevent crossing. Useful only if tau is a vector and the model includes linear terms.
contrasts	an optional list. See argument contrasts.arg in model.matrix.default.
sparse	logical. If TRUE, the model is fitted via sparse algebra as implemented in the SparseM package. Typically sparse=TRUE is used when the model involves a single smooth with a very rich basis and a large sample size, see Details.

Details

The function fits regression quantiles at specified percentiles given in tau as a function of covariates specified in the formula argument. The formula may include linear terms and one or several ps terms to model nonlinear relationships with quantitative covariates, usually age in growth charts. When the lambda argument in ps() is a negative scalar, the smoothing parameter is estimated iteratively as discussed in Muggeo et al. (2021). If a positive scalar, it represents the actual smoothing parameter value.

When the model includes a single ps term, setting sparse=TRUE (introduced since version 1.7-0) could reduce the computational time especially when the sample size is large and the basis involves several terms. However when sparse=TRUE is set, no linear term is allowed and for the smooth term a full and uncentred basis is used (i.e., equivalent to setting dropc=FALSE and center=FALSE along with constr.fit=FALSE in ps()). Therefore the correct call would be

gcrq(y ~ 0+ps(x), sparse=TRUE) #if y~ps(x), a warning is printed as the intercept is not explicitly removed

which is equivalent to

gcrq(y ~ 0+ps(x, dropc=FALSE, center=FALSE)) #sparse=FALSE is the default

Smoothing parameter selection via 'K-fold' cross validation (CV) is also allowed (but not recommended) if the model includes a single ps term: lambda should be a vector of candidate values, and the final fit is returned at the ‘optimal’ lambda value. To select the smoothing parameter via CV, foldid or nfolds may be supplied. If provided, foldid overwrites nfolds, otherwise foldid is obtained via random extraction, namely sample(rep(seq(nfolds), length = n)). However selection of smoothing parameter via CV is allowed only with a unique ps term in the formula.

Value

This function returns an object of class gcrq, that is a list with the following components (only the most important are listed)

coefficients	The matrix of estimated regression parameters; the number of columns equals the number of the fitted quantile curves.
x	the design matrix of the final fit (including the dummy rows used by penalty).
edf.j	a matrix reporting the edf values for each term at each quantile curve. See the section 'Warning' below.
rho	a vector including the values of the objective functions at the solution for each quantile curve.
fitted.values	a matrix of fitted quantiles (a column for each tau value)
residuals	a matrix of residuals (a column for each tau value)
D.matrix	the penalty matrix (multiplied by the smoothing parameter value).
D.matrix.nolambda	the penalty matrix.
pLin	number of linear covariates in the model.
info.smooth	some information on the smoothing term (if included in the formula via ps).
BB	further information on the smoothing term (if present in the formula via ps), including stuff useful for plotting via plot.gcrq().
Bderiv	if the smooth term is included, the first derivative of the B spline basis.
boot.coef	The array including the estimated coefficients at different bootstrap samples (provided that n.boot>0 has been set).
y	the response vector (if gcrq() has been called with y=TRUE).
contrasts	the contrasts used, when the model contains a factor.
xlevels	the levels of the factors (when included) used in fitting.
taus	a vector of values between 0 and 1 indicating the estimated quantile curves.
call	the matched call.

Warning

Variable selection is still at an experimental stage.

When including linear terms, the covariates X_j are shifted such that min(X_j)=0.

The options 'REML' or 'ML' of the argument method, refer to how the degrees of freedom are computed to update the lambda estimates.

Currently, standard errors are obtained via the sandwich formula or the nonparametric bootstrap (case resampling). Both methods ignore uncertainty in the smoothing parameter selection.

Since version 1.2-1, computation of the approximate edf can account for the noncrossing constraints by specifying df.nc=TRUE. That could affect model estimation when the smoothing parameter(s) have to be estimated, because the term specific edf are used to update the lambda value(s). When lambda is not being estimated (it is fixed or there is no ps term in the formula), parameter estimate is independent of the df.nc value. The summary.gcrq method reports if the edf account for the noncrossing constraints.

Using ps(.., center=TRUE) in the formula leads to lower uncertainty in the fitted curve while guaranteeing noncrossing constraints.

Currently, decomposition of Bsplines (i.e. ps(..,decom=TRUE)) is incompatible with shape (monotonicity and concavity) restrictions and even with noncrossing constraints.

Note

This function is based upon the package quantreg by R. Koenker. Currently methods specific to the class "gcrq" are print.gcrq, summary.gcrq, vcov.gcrq, plot.gcrq, predict.gcrq, AIC.gcrq, and logLik.gcrq.

If the sample is not large, and/or the basis rank is large (i.e. a large number of columns) and/or there are relatively few distinct values in the covariate distribution, the fitting algorithm may fail returning error messages like the following

> Error info = 20 in stepy2: singular design

To remedy it, it suffices to change some arguments in ps(): to decrease ndx or deg (even by a small amount) or to increase (even by a small amount) the lambda value. Sometimes even by changing slightly the tau probability value (for instance from 0.80 to 0.79) can bypass the aforementioned errors.

Author(s)

Vito M. R. Muggeo, [e-mail]

References

V.M.R. Muggeo, F. Torretta, P.H.C. Eilers, M. Sciandra, M. Attanasio (2021). Multiple smoothing parameters selection in additive regression quantiles, Statistical Modelling, 21: 428-448.

V. M. R. Muggeo (2021). Additive Quantile regression with automatic smoothness selection: the R package quantregGrowth. https://www.researchgate.net/publication/350844895

V. M. R. Muggeo, M. Sciandra, A. Tomasello, S. Calvo (2013). Estimating growth charts via nonparametric quantile regression: a practical framework with application in ecology, Environ Ecol Stat, 20, 519-531.

V. M. R. Muggeo (2018). Using the R package quantregGrowth: some examples.
https://www.researchgate.net/publication/323573492

See Also

ps, plot.gcrq, predict.gcrq

Examples

## Not run: 
##=== Example 1: an additive model from ?mgcv::gam

d<-mgcv::gamSim(n=200, eg=1)
o<-gcrq(y ~ ps(x0) + ps(x1)+ ps(x2) + ps(x3), data=d, tau=.5, n.boot=50)
plot(o, res=TRUE, col=2, conf.level=.9, shade=TRUE, split=TRUE)



##=== Example 2: some simple examples involving just a single smooth

data(growthData) #load data
tauss<-seq(.1,.9,by=.1) #fix the percentiles of interest

m1<-gcrq(y~ps(x), tau=tauss, data=growthData) #lambda estimated..

m2<-gcrq(y~ps(x, lambda=0), tau=tauss, data=growthData) #unpenalized.. very wiggly curves
#strongly penalized models
m3<-gcrq(y~ps(x, lambda=1000, d=2), tau=tauss, data=growthData) #linear 
m4<-gcrq(y~ps(x, lambda=1000, d=3), tau=tauss, data=growthData) #quadratic  

#penalized model with monotonicity restrictions
m5<-gcrq(y~ps(x, monotone=1, lambda=10), tau=tauss, data=growthData)

#monotonicity constraints,lambda estimated, and varying penalty
m6<-gcrq(y~ps(x, monotone=1, lambda=10, var.pen="(1:k)"), tau=tauss, data=growthData) 
m6a<-gcrq(y~ps(x, monotone=1, lambda=10, var.pen="(1:k)^2"), tau=tauss, data=growthData) 

par(mfrow=c(2,3))
plot(m1, pch=20, res=TRUE)
plot(m2, pch=20, res=TRUE)
plot(m3, add=TRUE, lwd=2)
plot(m4, pch=20, res=TRUE)
plot(m5, pch=20, res=TRUE, legend=TRUE, col=2)
plot(m6, lwd=2, col=3)
plot(m6a, lwd=2, col=4)

#select lambda via 'K-fold' CV (only with a single smooth term)
m7<-gcrq(y~ps(x, lambda=seq(0.02,50,l=20)), tau=tauss, data=growthData) 
par(mfrow=c(1,2))
plot(m7, cv=TRUE) #display CV score versus lambda values
plot(m7, res=TRUE, grid=list(x=5, y=8), col=4) #fit at the best lambda (by CV) 


##=== Example 3: VC models

n=50
x<-1:n/n
y0<-10+sin(2*pi*x)
y1<-seq(7,11,l=n)
y<-c(y0,y1)+rnorm(2*n)*.2 #small noise.. just to illustrate..
x<-c(x,x)
z<-rep(0:1, each=n)

# approach 1: a smooth in each *factor* level 
g<-factor(z)
o <-gcrq(y~ g+ps(x,by=g), tau=.5) 
predict(o, newdata=data.frame(x=c(.3,.7), g=factor(c(0,1))))
par(mfrow=c(2,2))
plot(x[1:50],y0)
plot(x[1:50],y1)
plot(o, term=1:2, split=FALSE)

# multiple quantile curves..
y<-c(y0,y1)+rnorm(2*n)*1.2
o1 <-gcrq(y ~ g+ps(x,by=g), tau=seq(.1,.9,l=9)) 

o3 <-gcrq(y ~ 0+ps(x,by=g,dropc=FALSE, center=FALSE), tau=seq(.1,.9,l=9)) #using the full bases 

par(mfcol=c(1,2))
plot(o1,1:2)

# approach 2: a general smooth plus the (smooth) 'interaction' with a continuous covariate..
b1 <-gcrq(y~ ps(x) + z+ ps(x,by=z), tau=.5)
par(mfrow=c(2,2))
plot(x[1:50],y0)
plot(x[1:50],y1-y0)
plot(b1, split=FALSE)

predict(b1, newdata=data.frame(x=c(.3,.7), z=c(0,1)))



##=== Example 4: random intercepts example

n=50
x<-1:n/n

set.seed(69)
z<- sample(1:15, size=n, replace=TRUE)
#table(z)

#true model: linear effect + 3 non-null coeffs when z= 3, 7, and 13
y<-2*x+  I(z==3)- I(z==7)  + 2*I(z==13) + rnorm(n)*.15
id<-factor(z)

o <-gcrq(y~x+ps(id), tau=.5) 
plot(o, term=1) #plot the subject-specific intercepts


#== variable selection
n=50
p=30
p1<-10

X<-matrix(rnorm(n*p,5),n,p)
b<-rep(0,p)
id<-sample(1:p, p1)
b[id]<-round(runif(p1,.5,2),2)
b[id]<-b[id]* sign(ifelse(runif(p1)<.5,1,-1))
lp <- drop(tcrossprod(X,t(b)))
y <- 2+lp+rnorm(n)*1.5

gcrq(y~ps(X), tau=.7) 

## End(Not run)

quantregGrowth documentation built on July 9, 2023, 6:06 p.m.