randomForest_star: EM Algorithm for Random Forest STAR

In drkowal/rSTAR: MCMC and EM algorithms for Simultaneous Transformation and Rounding (STAR) Models

EM Algorithm for Random Forest STAR

Description

Compute the MLEs and log-likelihood for the Random Forest STAR model. The STAR model requires a *transformation* and an *estimation function* for the conditional mean given observed data. The transformation can be known (e.g., log or sqrt) or unknown (Box-Cox or estimated nonparametrically) for greater flexibility. The estimator in this case is a random forest. Standard function calls including fitted() and residuals() apply.

Usage

randomForest_star(
  y,
  X,
  X.test = NULL,
  ntree = 500,
  mtry = max(floor(ncol(X)/3), 1),
  nodesize = 5,
  transformation = "np",
  y_max = Inf,
  sd_init = 10,
  tol = 10^-6,
  max_iters = 500
)

Arguments

y	n x 1 vector of observed counts
X	n x p matrix of predictors
X.test	m x p matrix of out-of-sample predictors
ntree	Number of trees to grow. This should not be set to too small a number, to ensure that every input row gets predicted at least a few times. Default is 200.
mtry	Number of variables randomly sampled as candidates at each split. Default is p/3.
nodesize	Minimum size of terminal nodes. Setting this number larger causes smaller trees to be grown (and thus take less time). Default is 5.
transformation	transformation to use for the latent data; must be one of "identity" (identity transformation) "log" (log transformation) "sqrt" (square root transformation) "np" (nonparametric transformation estimated from empirical CDF) "pois" (transformation for moment-matched marginal Poisson CDF) "neg-bin" (transformation for moment-matched marginal Negative Binomial CDF) "box-cox" (box-cox transformation with learned parameter)
y_max	a fixed and known upper bound for all observations; default is Inf
sd_init	add random noise for EM algorithm initialization scaled by sd_init times the Gaussian MLE standard deviation; default is 10
tol	tolerance for stopping the EM algorithm; default is 10^-10;
max_iters	maximum number of EM iterations before stopping; default is 1000

Details

STAR defines a count-valued probability model by (1) specifying a Gaussian model for continuous *latent* data and (2) connecting the latent data to the observed data via a *transformation and rounding* operation.

The expectation-maximization (EM) algorithm is used to produce maximum likelihood estimators (MLEs) for the parameters defined in the The fitted values are computed using out-of-bag samples. As a result, the log-likelihood is based on out-of-bag prediction, and it is similarly straightforward to compute out-of-bag squared and absolute errors.

Value

a list with the following elements:

• fitted.values: the fitted values at the MLEs based on out-of-bag samples (training)

• fitted.values.test: the fitted values at the MLEs (testing)

• g.hat a function containing the (known or estimated) transformation

• sigma.hat the MLE of the standard deviation

• mu.hat the MLE of the conditional mean (on the transformed scale)

• z.hat the estimated latent data (on the transformed scale) at the MLEs

• residuals the Dunn-Smyth residuals (randomized)

• residuals_rep the Dunn-Smyth residuals (randomized) for 10 replicates

• logLik the log-likelihood at the MLEs

• logLik0 the log-likelihood at the MLEs for the *unrounded* initialization

• lambda the Box-Cox nonlinear parameter

• rfObj: the object returned by randomForest() at the MLEs

• and other parameters that (1) track the parameters across EM iterations and (2) record the model specifications

Note

Since the random foreset produces random predictions, the EM algorithm will never converge exactly.

Infinite latent data values may occur when the transformed Gaussian model is highly inadequate. In that case, the function returns the *indices* of the data points with infinite latent values, which are significant outliers under the model. Deletion of these indices and re-running the model is one option, but care must be taken to ensure that (i) it is appropriate to treat these observations as outliers and (ii) the model is adequate for the remaining data points.

Examples

## Not run: 
# Simulate data with count-valued response y:
sim_dat = simulate_nb_friedman(n = 100, p = 10)
y = sim_dat$y; X = sim_dat$X

# EM algorithm for STAR (using the log-link)
fit_em = randomForest_star(y = y, X = X,
                 transformation = 'log',
                 max_iters = 100)

# Fitted values (out-of-bag)
y_hat = fitted(fit_em)
plot(y_hat, y);

# Residuals:
plot(residuals(fit_em))
qqnorm(residuals(fit_em)); qqline(residuals(fit_em))

# Log-likelihood at MLEs (out-of-bag):
fit_em$logLik

## End(Not run)

drkowal/rSTAR documentation built on July 5, 2023, 2:18 p.m.