SRE: Construct SRE object, fit and predict

In andrewzm/FRK: Fixed Rank Kriging

Construct SRE object, fit and predict

Description

The Spatial Random Effects (SRE) model is the central object in FRK. The function FRK() provides a wrapper for the construction and estimation of the SRE object from data, using the functions SRE() (the object constructor) and SRE.fit() (for fitting it to the data). Please see SRE-class for more details on the SRE object's properties and methods.

Usage

FRK(
  f,
  data,
  basis = NULL,
  BAUs = NULL,
  est_error = TRUE,
  average_in_BAU = TRUE,
  sum_variables = NULL,
  normalise_wts = TRUE,
  fs_model = "ind",
  vgm_model = NULL,
  K_type = c("block-exponential", "precision", "unstructured"),
  n_EM = 100,
  tol = 0.01,
  method = c("EM", "TMB"),
  lambda = 0,
  print_lik = FALSE,
  response = c("gaussian", "poisson", "gamma", "inverse-gaussian", "negative-binomial",
    "binomial"),
  link = c("identity", "log", "sqrt", "logit", "probit", "cloglog", "inverse",
    "inverse-squared"),
  optimiser = nlminb,
  fs_by_spatial_BAU = FALSE,
  known_sigma2fs = NULL,
  taper = NULL,
  simple_kriging_fixed = FALSE,
  ...
)

SRE(
  f,
  data,
  basis,
  BAUs,
  est_error = TRUE,
  average_in_BAU = TRUE,
  sum_variables = NULL,
  normalise_wts = TRUE,
  fs_model = "ind",
  vgm_model = NULL,
  K_type = c("block-exponential", "precision", "unstructured"),
  normalise_basis = TRUE,
  response = c("gaussian", "poisson", "gamma", "inverse-gaussian", "negative-binomial",
    "binomial"),
  link = c("identity", "log", "sqrt", "logit", "probit", "cloglog", "inverse",
    "inverse-squared"),
  include_fs = TRUE,
  fs_by_spatial_BAU = FALSE,
  ...
)

SRE.fit(
  object,
  n_EM = 100L,
  tol = 0.01,
  method = c("EM", "TMB"),
  lambda = 0,
  print_lik = FALSE,
  optimiser = nlminb,
  known_sigma2fs = NULL,
  taper = NULL,
  simple_kriging_fixed = FALSE,
  ...
)

## S4 method for signature 'SRE'
predict(
  object,
  newdata = NULL,
  obs_fs = FALSE,
  pred_time = NULL,
  covariances = FALSE,
  nsim = 400,
  type = "mean",
  k = NULL,
  percentiles = c(5, 95),
  kriging = "simple"
)

## S4 method for signature 'SRE'
logLik(object)

## S4 method for signature 'SRE'
nobs(object, ...)

## S4 method for signature 'SRE'
coef(object, ...)

## S4 method for signature 'SRE'
coef_uncertainty(
  object,
  percentiles = c(5, 95),
  nsim = 400,
  random_effects = FALSE
)

simulate(object, newdata = NULL, nsim = 400, conditional_fs = FALSE, ...)

## S4 method for signature 'SRE'
fitted(object, ...)

## S4 method for signature 'SRE'
residuals(object, type = "pearson")

## S4 method for signature 'SRE'
AIC(object, k = 2)

## S4 method for signature 'SRE'
BIC(object)

Arguments

f	R formula relating the dependent variable (or transformations thereof) to covariates
data	list of objects of class SpatialPointsDataFrame, SpatialPolygonsDataFrame, STIDF, or STFDF. If using space-time objects, the data frame must have another field, t, containing the time index of the data point
basis	object of class Basis (or TensorP_Basis)
BAUs	object of class SpatialPolygonsDataFrame, SpatialPixelsDataFrame, STIDF, or STFDF. The object's data frame must contain covariate information as well as a field fs describing the fine-scale variation up to a constant of proportionality. If the function FRK() is used directly, then BAUs are created automatically, but only coordinates can then be used as covariates
est_error	(applicable only if response = "gaussian") flag indicating whether the measurement-error variance should be estimated from variogram techniques. If this is set to 0, then data must contain a field std. Measurement-error estimation is currently not implemented for spatio-temporal datasets
average_in_BAU	if TRUE, then multiple data points falling in the same BAU are averaged; the measurement error of the averaged data point is taken as the average of the individual measurement errors
sum_variables	if average_in_BAU == TRUE, the string sum_variables indicates which data variables (can be observations or covariates) are to be summed rather than averaged
normalise_wts	if TRUE, the rows of the incidence matrices CZ and CP are normalised to sum to 1, so that the mapping represents a weighted average; if false, no normalisation of the weights occurs (i.e., the mapping corresponds to a weighted sum)
fs_model	if "ind" then the fine-scale variation is independent at the BAU level. Only the independent model is allowed for now, future implementation will include CAR/ICAR (in development)
vgm_model	(applicable only if response = "gaussian") an object of class variogramModel from the package gstat constructed using the function vgm. This object contains the variogram model that will be fit to the data. The nugget is taken as the measurement error when est_error = TRUE. If unspecified, the variogram used is gstat::vgm(1, "Lin", d, 1), where d is approximately one third of the maximum distance between any two data points
K_type	the parameterisation used for the basis-function covariance matrix, K. If method = "EM", K_type can be "unstructured" or "block-exponential". If method = "TMB", K_type can be "precision" or "block-exponential". The default is "block-exponential", however if FRK() is used and method = "TMB", for computational reasons K_type is set to "precision"
n_EM	(applicable only if method = "EM") maximum number of iterations for the EM algorithm
tol	(applicable only if method = "EM") convergence tolerance for the EM algorithm
method	parameter estimation method to employ. Currently "EM" and "TMB" are supported
lambda	(applicable only if K_type = "unstructured") ridge-regression regularisation parameter (0 by default). Can be a single number, or a vector (one parameter for each resolution)
print_lik	(applicable only if method = "EM") flag indicating whether to plot log-likelihood vs. iteration after convergence of the EM estimation algorithm
response	string indicating the assumed distribution of the response variable. It can be "gaussian", "poisson", "negative-binomial", "binomial", "gamma", or "inverse-gaussian". If method = "EM", only "gaussian" can be used. Two distributions considered in this framework, namely the binomial distribution and the negative-binomial distribution, have an assumed-known ‘size’ parameter and a ‘probability of success’ parameter; see the details below for the exact parameterisations used, and how to provide these ‘size’ parameters
link	string indicating the desired link function. Can be "log", "identity", "logit", "probit", "cloglog", "reciprocal", or "reciprocal-squared". Note that only sensible link-function and response-distribution combinations are permitted. If method = "EM", only "identity" can be used
optimiser	(applicable only if method = "TMB") the optimising function used for model fitting when method = "TMB" (default is nlminb). Users may pass in a function object or a string corresponding to a named function. Optional parameters may be passed to optimiser via .... The only requirement of optimiser is that the first three arguments correspond to the initial parameters, the objective function, and the gradient, respectively (this may be achieved by simply constructing a wrapper function)
fs_by_spatial_BAU	(applicable only in a spatio-temporal setting and if method = "TMB") if TRUE, then each spatial BAU is associated with its own fine-scale variance parameter; otherwise, a single fine-scale variance parameter is used
known_sigma2fs	known value of the fine-scale variance parameter. If NULL (the default), the fine-scale variance parameter is estimated as usual. If known_sigma2fs is not NULL, the fine-scale variance is fixed to the supplied value; this may be a scalar, or vector of length equal to the number of spatial BAUs (if fs_by_spatial_BAU = TRUE)
taper	positive numeric indicating the strength of the covariance/partial-correlation tapering. Only applicable if K_type = "block-exponential", or if K_type = "precision" and the the basis-functions are irregular or the manifold is not the plane. If taper is NULL (default) and method = "EM", no tapering is applied; if method = "TMB", tapering must be applied (for computational reasons), and we set it to 3 if it is unspecified
simple_kriging_fixed	commit to simple kriging at the fitting stage? If TRUE, model fitting is faster, but the option to conduct universal kriging at the prediction stage is removed
...	other parameters passed on to auto_basis() and auto_BAUs() when calling FRK(), or the user specified function optimiser() when calling FRK() or SRE.fit()
normalise_basis	flag indicating whether to normalise the basis functions so that they reproduce a stochastic process with approximately constant variance spatially
include_fs	(applicable only if method = "TMB") flag indicating whether the fine-scale variation should be included in the model
object	object of class SRE returned from the constructor SRE() containing all the parameters and information on the SRE model
newdata	object of class SpatialPoylgons, SpatialPoints, or STI, indicating the regions or points over which prediction will be carried out. The BAUs are used if this option is not specified.
obs_fs	flag indicating whether the fine-scale variation sits in the observation model (systematic error; indicated by obs_fs = TRUE) or in the process model (process fine-scale variation; indicated by obs_fs = FALSE, default). For non-Gaussian data models, and/or non-identity link functions, if obs_fs = TRUE, then the fine-scale variation is removed from the latent process Y; however, they are re-introduced for prediction of the conditonal mean μ and simulated data Z*
pred_time	vector of time indices at which prediction will be carried out. All time points are used if this option is not specified
covariances	(applicable only for method = "EM") logical variable indicating whether prediction covariances should be returned or not. If set to TRUE, a maximum of 4000 prediction locations or polygons are allowed
nsim	number of i) MC samples at each location when using predict or ii) response vectors when using simulate
type	(applicable only if method = "TMB") vector of strings indicating the quantities for which inference is desired. If "link" is in type, inference on the latent Gaussian process Y(\cdot) is included; if "mean" is in type, inference on the mean process \mu(\cdot) is included (and the probability process, \pi(\cdot), if applicable); if "response" is in type, inference on the noisy data Z* is included
k	(applicable only if response is "binomial" or "negative-binomial") vector of size parameters at each BAU
percentiles	(applicable only if method = "TMB") a vector of scalars in (0, 100) specifying the desired percentiles of the posterior predictive distribution; if NULL, no percentiles are computed
kriging	(applicable only if method = "TMB") string indicating the kind of kriging: "simple" ignores uncertainty due to estimation of the fixed effects, while "universal" accounts for this source of uncertainty
random_effects	logical; if set to true, confidence intervals will also be provided for the random effects random effects γ (see '?SRE' for details on these random effects)
conditional_fs	condition on the fitted fine-scale random effects?

Details

The following details provide a summary of the model and basic workflow used in FRK. See Zammit-Mangion and Cressie (2021) and Sainsbury-Dale, Zammit-Mangion and Cressie (2023) for further details.

Model description

The hierarchical model implemented in FRK is a spatial generalised linear mixed model (GLMM), which may be summarised as

Z_j | μ_Z, ψ ~ EF(μ_Zj , ψ);       j = 1, ..., m,

μ_Z = C_Z μ,

g(μ) = Y,

Y = Tα + Gγ + Sη + ξ,

η ~ N(0, K),

ξ ~ N(0, Σ_ξ ),

γ ~ N(0, Σ_γ ),

where Z_j denotes a datum, EF corresponds to a probability distribution in the exponential family with dispersion parameter \psi, μ_Z is the vector containing the conditional expectations of each datum, C_Z is a matrix which aggregates the BAU-level mean process over the observation supports, μ is the mean process evaluated over the BAUs, g is a link function, Y is a latent Gaussian process evaluated over the BAUs, the matrix T contains regression covariates at the BAU level associated with the fixed effects α, the matrix G is a design matrix at the BAU level associated with random effects γ, the matrix S contains basis-function evaluations over the BAUs associated with basis-function random effects η, and ξ is a vector containing fine-scale variation at the BAU level.

The prior distribution of the random effects, γ, is a mean-zero multivariate Gaussian with diagonal covariance matrix, with each group of random effects associated with its own variance parameter. These variance parameters are estimated during model fitting.

The prior distribution of the basis-function coefficients, η, is formulated using either a covariance matrix K or precision matrix Q, depending on the argument K_type. The parameters of these matrices are estimated during model fitting.

The prior distribution of the fine-scale random effects, ξ, is a mean-zero multivariate Gaussian with diagonal covariance matrix, Σ_ξ. By default, Σ_ξ = σ²_ξV, where V is a known, positive-definite diagonal matrix whose elements are provided in the field fs in the BAUs. In the absence of problem specific fine-scale information, fs can simply be set to 1, so that V = I. In a spatio-temporal setting, another model for Σ_ξ can be used by setting fs_by_spatial_BAU = TRUE, in which case each spatial BAU is associated with its own fine-scale variance parameter (see Sainsbury-Dale et al., 2023, Sec. 2.6). In either case, the fine-scale variance parameter(s) are either estimated during model fitting, or provided by the user via the argument known_sigma2fs.

Gaussian data model with an identity link function

When the data is Gaussian, and an identity link function is used, the preceding model simplifies considerably: Specifically,

Z = C_ZY + C_Zδ + e,

where Z is the data vector, δ is systematic error at the BAU level, and e represents independent measurement error.

Distributions with size parameters

Two distributions considered in this framework, namely the binomial distribution and the negative-binomial distribution, have an assumed-known ‘size’ parameter and a ‘probability of success’ parameter. Given the vector of size parameters associated with the data, k_Z, the parameterisation used in FRK assumes that Z_j represents either the number of ‘successes’ from k_Zj trials (binomial data model) or that it represents the number of failures before k_Zj successes (negative-binomial data model).

When model fitting, the BAU-level size parameters k are needed. The user must supply these size parameters either through the data or though the BAUs. How this is done depends on whether the data are areal or point-referenced, and whether they overlap common BAUs or not. The simplest case is when each observation is associated with a single BAU only and each BAU is associated with at most one observation support; then, it is straightforward to assign elements from k_Z to elements of k and vice-versa, and so the user may provide either k or k_Z. If each observation is associated with exactly one BAU, but some BAUs are associated with multiple observations, the user must provide k_Z, which is used to infer k ; in particular, k_i = Σ_j∈ai k_Zj , i = 1, \dots, N, where a_i denotes the indices of the observations associated with BAU A_i. If one or more observations encompass multiple BAUs, k must be provided with the BAUs, as we cannot meaningfully distribute k_Zj over multiple BAUs associated with datum Z_j. In this case, we infer k_Z using k_Zj = Σ_i∈cj k_i , j = 1, \dots, m, where c_j denotes the indices of the BAUs associated with observation Z_j.

Set-up

SRE() constructs a spatial random effects model from the user-defined formula, data object (a list of spatially-referenced data), basis functions and a set of Basic Areal Units (BAUs). It first takes each object in the list data and maps it to the BAUs – this entails binning point-referenced data into the BAUs (and averaging within the BAU if average_in_BAU = TRUE), and finding which BAUs are associated with observations. Following this, the incidence matrix, C_Z, is constructed. All required matrices (S, T, C_Z, etc.) are constructed within SRE() and returned as part of the SRE object. SRE() also intitialises the parameters and random effects using sensible defaults. Please see SRE-class for more details. The functions observed_BAUs() and unobserved_BAUs() return the indices of the observed and unobserved BAUs, respectively.

To include random effects in FRK please follow the notation as used in lme4. For example, to add a random effect according to a variable fct, simply add '(1 | fct)' to the formula used when calling FRK() or SRE(). Note that FRK only supports simple, uncorrelated random effects and that a formula term such as '(1 + x | fct)' will throw an error (since in lme4 parlance this implies that the random effect corresponding to the intercept and the slope are correlated). If one wishes to model a an intercept and linear trend for each level in fct, then one can force the intercept and slope terms to be uncorrelated by using the notation "(x || fct)", which is shorthand for "(1 | fct) + (x - 1 | x2)".

Model fitting

SRE.fit() takes an object of class SRE and estimates all unknown parameters, namely the covariance matrix K, the fine scale variance (σ²_ξ or σ²_δ, depending on whether Case 1 or Case 2 is chosen; see the vignette "FRK_intro") and the regression parameters α. There are two methods of model fitting currently implemented, both of which implement maximum likelihood estimation (MLE).

MLE via the expectation maximisation (EM) algorithm.

This method is implemented only for Gaussian data and an identity link function. The log-likelihood (given in Section 2.2 of the vignette) is evaluated at each iteration at the current parameter estimate. Optimation continues until convergence is reached (when the log-likelihood stops changing by more than tol), or when the number of EM iterations reaches n_EM. The actual computations for the E-step and M-step are relatively straightforward. The E-step contains an inverse of an r \times r matrix, where r is the number of basis functions which should not exceed 2000. The M-step first updates the matrix K, which only depends on the sufficient statistics of the basis-function coefficients η. Then, the regression parameters α are updated and a simple optimisation routine (a line search) is used to update the fine-scale variance σ²_δ or σ²_ξ. If the fine-scale errors and measurement random errors are homoscedastic, then a closed-form solution is available for the update of σ²_ξ or σ²_δ. Irrespectively, since the updates of α, and σ²_δ or σ²_ξ, are dependent, these two updates are iterated until the change in σ²_. is no more than 0.1%.

MLE via TMB.

This method is implemented for all available data models and link functions offered by FRK. Furthermore, this method facilitates the inclusion of many more basis function than possible with the EM algorithm (in excess of 10,000). TMB applies the Laplace approximation to integrate out the latent random effects from the complete-data likelihood. The resulting approximation of the marginal log-likelihood, and its derivatives with respect to the parameters, are then called from within R using the optimising function optimiser (default nlminb()).

Wrapper for set-up and model fitting

The function FRK() acts as a wrapper for the functions SRE() and SRE.fit(). An added advantage of using FRK() directly is that it automatically generates BAUs and basis functions based on the data. Hence FRK() can be called using only a list of data objects and an R formula, although the R formula can only contain space or time as covariates when BAUs are not explicitly supplied with the covariate data.

Prediction

Once the parameters are estimated, the SRE object is passed onto the function predict() in order to carry out optimal predictions over the same BAUs used to construct the SRE model with SRE(). The first part of the prediction process is to construct the matrix S over the prediction polygons. This is made computationally efficient by treating the prediction over polygons as that of the prediction over a combination of BAUs. This will yield valid results only if the BAUs are relatively small. Once the matrix S is found, a standard Gaussian inversion (through conditioning) using the estimated parameters is used for prediction.

predict() returns the BAUs (or an object specified in newdata), which are of class SpatialPixelsDataFrame, SpatialPolygonsDataFrame, or STFDF, with predictions and uncertainty quantification added. If method = "TMB", the returned object is a list, containing the previously described predictions, and a list of Monte Carlo samples. The predictions and uncertainties can be easily plotted using plot or spplot from the package sp.

References

Zammit-Mangion, A. and Cressie, N. (2021). FRK: An R package for spatial and spatio-temporal prediction with large datasets. Journal of Statistical Software, 98(4), 1-48. doi:10.18637/jss.v098.i04.

Sainsbury-Dale, M. and Zammit-Mangion, A. and Cressie, N. (2024) Modelling Big, Heterogeneous, Non-Gaussian Spatial and Spatio-Temporal Data using FRK. Journal of Statistical Software, 108(10), 1–39. doi:10.18637/jss.v108.i10.

See Also

SRE-class for details on the SRE object internals, auto_basis for automatically constructing basis functions, and auto_BAUs for automatically constructing BAUs.

Examples

library("FRK")
library("sp")
## Generate process and data
m <- 250                                                   # Sample size
zdf <- data.frame(x = runif(m), y= runif(m))               # Generate random locs
zdf$Y <- 3 + sin(7 * zdf$x) + cos(9 * zdf$y)               # Latent process
zdf$z <- rnorm(m, mean = zdf$Y)                            # Simulate data
coordinates(zdf) = ~x+y                                    # Turn into sp object

## Construct BAUs and basis functions
BAUs <- auto_BAUs(manifold = plane(), data = zdf,
                  nonconvex_hull = FALSE, cellsize = c(0.03, 0.03), type="grid")
BAUs$fs <- 1 # scalar fine-scale covariance matrix
basis <- auto_basis(manifold =  plane(), data = zdf, nres = 2)

## Construct the SRE model
S <- SRE(f = z ~ 1, list(zdf), basis = basis, BAUs = BAUs)

## Fit with 2 EM iterations so to take as little time as possible
S <- SRE.fit(S, n_EM = 2, tol = 0.01, print_lik = TRUE)

## Check fit info, final log-likelihood, and estimated regression coefficients
info_fit(S)
logLik(S)
coef(S)

## Predict over BAUs
pred <- predict(S)

## Plot
## Not run: 
plotlist <- plot(S, pred)
ggpubr::ggarrange(plotlist = plotlist, nrow = 1, align = "hv", legend = "top")
## End(Not run)

andrewzm/FRK documentation built on April 7, 2024, 11:01 a.m.