AIC: Extractors for information criteria such as AIC

In spaMM: Mixed-Effect Models, with or without Spatial Random Effects

Extractors for information criteria such as AIC

Description

get_any_IC computes model selection/information criteria such as AIC. See Details for more information about these criteria. The other extractors AIC and extractAIC are methods for HLfit objects of generic functions defined in other packages: AIC is equivalent to get_any_IC (for a single fitted-model object), and extractAIC returns the marginal AIC and the number of degrees of freedom for the fixed effects.

Usage

get_any_IC(object, nsim=0L, ..., verbose=interactive(),
           also_cAIC=TRUE, short.names=NULL)
## S3 method for class 'HLfit'
AIC(object, ..., nsim=0L, k, verbose=interactive(),
                    also_cAIC=TRUE, short.names=NULL)
## S3 method for class 'HLfit'
extractAIC(fit, scale, k, ..., verbose=FALSE)

Arguments

object, fit	A object of class HLfit, as returned by the fitting functions in spaMM.
scale, k	Currently ignored, but are required in the definitions for consistency with the generic.
verbose	Whether to print the model selection criteria or not.
also_cAIC	Whether to include the plug-in estimate of conditional AIC in the result (its computation may be slow).
nsim	Controls whether to include the bootstrap estimate of conditional AIC (see Details) in the result. If positive, nsim gives the number of bootstrap replicates.
short.names	NULL, or boolean; controls whether the return value uses short names (mAIC, etc., as shown by screen output if verbose is TRUE), or the descriptive names (" marginal AIC:", etc.) also shown in the screen output. Short names are more appropriate for programming but descriptive names may be needed for back-compatibility. The default (NULL) ensures back-compatibility by using descriptive names unless the bootstrap estimate of conditional AIC is reported.
...	For AIC.HLfit: may include more fitted-model objects, consistently with the generic. For this and the other functions: other arguments that may be needed by some method. For example, if nsim is positive, a seed argument may be passed to simulate, and the other “...” may be used to control the optional parallel execution of the bootstrap computations (by providing arguments to dopar).

Details

The AIC is a measure (by Kullback-Leibler directed distance, up to an additive constant) of quality of prediction of new data by a fitted model. Comparing information criteria may be viewed as a fast alternative to a comparison of the predictive accuracy of different models by cross-validation. Further procedures for model choice may also be useful (e.g. Williams, 1970; Lewis et al. 2010).

The conditional AIC (Vaida and Blanchard 2005) applies the AIC concept to new realizations of a mixed model, conditional on the realized values of the random effects. Lee et al. (2006) and Ha et al (2007) defined a corrected AIC [i.e., AIC(D*) in their eq. 7] which is here interpreted as the conditional AIC.

Such Kullback-Leibler relative distances cannot generally be evaluated exactly and various estimates have been discussed. get_any_IC computes, optionally prints, and returns invisibly one or more of the following quantities:
* Akaike's classical AIC (marginal AIC, mAIC, i.e., minus twice the marginal log-likelihood plus twice the number of fitted parameters);
* a plug-in estimate (cAIC) and/or a bootstrap estimate (b_cAIC) of the conditional AIC;
* a focussed AIC for dispersion parameters (dispersion AIC, dAIC).

For the conditional AIC, Vaida and Blanchard's plug-in estimator involves the conditional likelihood, and degrees of freedom for (i) estimated residual error parameters and (ii) the overall linear predictor characterized by the Effective degrees of freedom already discussed by previous authors including Lee and Nelder (1996), which gave a plug-in estimator (p_D) for it in HGLMs. By default, the plug-in estimate of both the conditional AIC and of n-p_D (GoFdf, where n is the length of the response vector) are returned by get_any_IC. But these are biased estimates of conditional AIC and effective df, and an alternative procedure is available for GLM response families if a non-default positive nsim value is used. In that case, the conditional AIC is estimated by a bootstrap version of Saefken et al. (2014)'s equation 2.5; this involves refitting the model to each bootstrap samples, so it may take time, and a full cross-validation procedure might as well be considered for model selection.

The dispersion AIC has been defined from restricted likelihood by Ha et al (2007; eq.10). The present implementation will use restricted likelihood only if made available by an REML fit, otherwise marginal likelihood is used.

Value

get_any_IC, a numeric vector whose possible elements are described in the Details, and whose names are controlled by the short.names argument. Note that the bootstrap computation actually makes sense and works also for fixed-effect models (although it is not clear how useful it is in that case). The return value will still refer to its results as conditional AIC.

For AIC, If just one fit object is provided, the same return value as for get_any_IC. If multiple objects are provided, a data.frame built from such vectors, with rows corresponding to the objects.

For extractAIC, a numeric vector of length 2, with first and second elements giving

* edf	the degree of freedom of the fixed-effect terms of the model for the fitted model fit.
* AIC	the (marginal) Akaike Information Criterion for fit.

Likelihood is broadly defined up to a constant, which opens the way for inconsistency between different likelihood and AIC computations. In spaMM, likelihood is nothing else than the probability or probability density of the data as function of model parameters. No constant is ever added, in contrast to stats::extractAIC output, so there are discrepancies with the latter function (see Examples).

References

Ha, I. D., Lee, Y. and MacKenzie, G. (2007) Model selection for multi-component frailty models. Statistics in Medicine 26: 4790-4807.

Lee Y. and Nelder. J. A. 1996. Hierarchical generalized linear models (with discussion). J. R. Statist. Soc. B, 58: 619-678.

Lewis, F., Butler, A. and Gilbert, L. (2011), A unified approach to model selection using the likelihood ratio test. Methods in Ecology and Evolution, 2: 155-162. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1111/j.2041-210X.2010.00063.x")}

Saefken B., Kneib T., van Waveren C.-S., Greven S. (2014) A unifying approach to the estimation of the conditional Akaike information in generalized linear mixed models. Electron. J. Statist. 8, 201-225.

Vaida, F., and Blanchard, S. (2005) Conditional Akaike information for mixed-effects models. Biometrika 92, 351-370.

Williams D.A. (1970) Discrimination between regression models to determine the pattern of enzyme synthesis in synchronous cell cultures. Biometrics 26: 23-32.

Examples

data("wafers")
m1 <- fitme(y ~ X1+X2+X3+X1*X3+X2*X3+I(X2^2)+(1|batch), data=wafers, 
            family=Gamma(log))

get_any_IC(m1) 
# => The plug-in estimate is stored in the 'm1' object 
#    as a result of the previous computation, and is now returned even by: 
get_any_IC(m1, also_cAIC=FALSE)

if (spaMM.getOption("example_maxtime")>4) {
 get_any_IC(m1, nsim=100L, seed=123) # provides bootstrap estimate of cAIC.
 # (parallelisation options could be used, e.g. nb_cores=detectCores(logical=FALSE)-1L)
}

extractAIC(m1)

## Not run: 
# Checking (in)consistency with glm example from help("stats::extractAIC"):
utils::example(glm) # => provides 'glm.D93' fit object
logLik(glm.D93) # logL= -23.38066 (df=5)
dataf <- data.frame(counts=counts,outcome=outcome, treatment=treatment)
extractAIC(fitme(counts ~ outcome + treatment, family = poisson(), data=dataf))
# => 56.76132 = -2 logL + 2* df
extractAIC(glm.D93) # 56.76132 too
#
# But for LM:
lm.D93 <- lm(counts ~ outcome + treatment, data=dataf)
logLik(lm.D93) # logL=-22.78576 (df=6)
extractAIC(fitme(counts ~ outcome + treatment, data=dataf)) # 57.5715 = -2 logL + 2* df
extractAIC(lm.D93) # 30.03062

### Inconsistency also apparent in drop1 output for :
# Toy data from McCullagh & Nelder (1989, pp. 300-2), as in 'glm' doc:
clotting <- data.frame(
    u = c(5,10,15,20,30,40,60,80,100),
    lot1 = c(118,58,42,35,27,25,21,19,18),
    lot2 = c(69,35,26,21,18,16,13,12,12))
#    
drop1( fitme(lot1 ~ log(u), data = clotting), test = "F") # agains reports marginal AIC
# => this  may differ strongly from those returned by drop1( < glm() fit > ),
# but the latter are not even consistent with those from drop1( < lm() fit > )
# for linear models. Compare
drop1( lm(lot1 ~ log(u), data = clotting), test = "F") # consistent with drop1.HLfit()
drop1( glm(lot1 ~ log(u), data = clotting), test = "F") # inconsistent

## Discrepancies in drop1 output with Gamma() family:

gglm <- glm(lot1 ~ 1, data = clotting, family=Gamma())
logLik(gglm) # -40.34633 (df=2)

spgglm <-  fitme(lot1 ~ 1, data = clotting, family=Gamma())
logLik(spgglm)                      # -40.33777 (slight difference: 
#   see help("method") for difference in estimation method between glm() and fitme()).
# Yet this does not explain the following:

drop1(  fitme(lot1 ~ log(u), data = clotting, family=Gamma()), test = "F") 
# => second AIC is 84.676 as expected from above logLik(spgglm).
drop1( glm(lot1 ~ log(u), data = clotting, family=Gamma()), test = "F") 
# => second AIC is 1465.27, quite different from -2*logLik(gglm) + 2*df


## End(Not run)

spaMM documentation built on June 22, 2024, 9:48 a.m.