brnb: Bias reduction for negative binomial regression models

Description Usage Arguments Details Value Author(s) References Examples

View source: R/brnb.R

Description

brnb is a function that fits negative binomial regression models using implicit and explicit bias reduction methods.

Usage

 1
 2
 3
 4
 5
 6
 7
 8
 9
10
11
12
13
14
15
16
17
18
19
20
brnb(
  formula,
  data,
  subset,
  weights = NULL,
  offset = NULL,
  link = "log",
  start = NULL,
  etastart = NULL,
  mustart = NULL,
  control = list(...),
  na.action,
  model = TRUE,
  x = FALSE,
  y = TRUE,
  contrasts = NULL,
  intercept = TRUE,
  singular.ok = TRUE,
  ...
)

Arguments

formula

an object of class "formula" (or one that can be coerced to that class): a symbolic description of the model to be fitted. The details of model specification are given under ‘Details’.

data

an optional data frame, list or environment (or object coercible by as.data.frame to a data frame) containing the variables in the model. If not found in data, the variables are taken from environment(formula), typically the environment from which glm is called.

subset

an optional vector specifying a subset of observations to be used in the fitting process.

weights

an optional vector of ‘prior weights’ to be used in the fitting process. Should be NULL or a numeric vector.

offset

this can be used to specify an a priori known component to be included in the linear predictor during fitting. This should be NULL or a numeric vector of length equal to the number of cases. One or more offset terms can be included in the formula instead or as well, and if more than one is specified their sum is used. See model.offset.

link

The link function. Currently must be one of log, sqrt or identity.

start

starting values for the parameters in the linear predictor.

etastart

starting values for the linear predictor.

mustart

starting values for the vector of means.

control

a list of parameters for controlling the fitting process. See brglmControl for details.

na.action

a function which indicates what should happen when the data contain NAs. The default is set by the na.action setting of options, and is na.fail if that is unset. The ‘factory-fresh’ default is na.omit. Another possible value is NULL, no action. Value na.exclude can be useful.

model

a logical value indicating whether model frame should be included as a component of the returned value.

x

For glm: logical values indicating whether the response vector and model matrix used in the fitting process should be returned as components of the returned value.

For glm.fit: x is a design matrix of dimension n * p, and y is a vector of observations of length n.

y

For glm: logical values indicating whether the response vector and model matrix used in the fitting process should be returned as components of the returned value.

For glm.fit: x is a design matrix of dimension n * p, and y is a vector of observations of length n.

contrasts

an optional list. See the contrasts.arg of model.matrix.default.

intercept

logical. Should an intercept be included in the null model?

singular.ok

logical; if FALSE a singular fit is an error.

...

For glm: arguments to be used to form the default control argument if it is not supplied directly.

For weights: further arguments passed to or from other methods.

Details

A detailed description of the fitting procedure is given in the iteration vignette (see, vignette("iteration", "brglm2") and Kosmidis et al, 2020). The number of iterations when estimating parameters are controlled by the maxit argument of brglmControl.

The type of score adjustment to be used is specified through the type argument (see brglmControl for details).

The available options are:

The choice of the parameterization for the dispersion is controlled by the transformation argument (see brglmControl for details). The default is "identity". Using transformation = "inverse" uses the dispersion parameterization that glm.nb uses.

Value

A fitted model object of class brnb inheriting from negbin and brglmFit. The object is similar to the output of brglmFit but contains four additional components: theta for the maximum likelihood estimate of the dispersion parameter as in glm.nb, vcov.mean for the estimated variance-covariance matrix of the regression coefficients, vcov.dispersion for the estimated variance of the dispersion parameter in the chosen parameterization (using the expected information), and twologlik for twice the log-likelihood function.

Author(s)

Euloge Clovis Kenne Pagui [ctb] kenne@stat.unipd.it, Ioannis Kosmidis [aut, cre] ioannis.kosmidis@warwick.ac.uk

References

Cordeiro GM & McCullagh, P (1991). Bias correction in generalized linear models. *Journal of the Royal Statistical Society. Series B(Methodological)*, **53**, 629-643.

Firth D (1993). Bias reduction of maximum likelihood estimates, Biometrika. **80**, 27-38.

Kenne Pagui EC, Salvan A, and Sartori N (2017). Median bias reduction of maximum likelihood estimates. *Biometrika*, **104**, 923–938

Kosmidis I, Kenne Pagui EC, Sartori N (2020). Mean and median bias reduction in generalized linear models. *Statistics and Computing*, **30** 43–59.

Kosmidis I and Firth D (2009). Bias reduction in exponential family nonlinear models. *Biometrika*, **96**, 793-804.

Examples

 1
 2
 3
 4
 5
 6
 7
 8
 9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
# Example in Saha, K., & Paul, S. (2005). Bias-corrected maximum
# likelihood estimator of the negative binomial dispersion
# parameter.  Biometrics, 61, 179--185.
#
# Number of revertant colonies of salmonella data
salmonella <- data.frame(freq = c(15, 16, 16, 27, 33, 20,
                                  21, 18, 26, 41, 38, 27,
                                  29, 21, 33, 60, 41, 42),
                         dose = rep(c(0, 10, 33, 100, 333, 1000), 3),
                         observation = rep(1:3, each = 6))

# Maximum likelihood fit with glm.nb of MASS
salmonella_fm <- freq ~ dose + log(dose + 10)
fitML_glmnb <- MASS::glm.nb(salmonella_fm, data = salmonella)

# Maximum likelihood fit with brnb
fitML <- brnb(salmonella_fm, data = salmonella,
              link = "log", transformation = "inverse", type = "ML")

# Mean bias-reduced fit
fitBR_mean <- update(fitML, type = "AS_mean")

# Median bias-reduced fit
fitBR_median <- update(fitML, type = "AS_median")

# Mixed bias-reduced fit
fitBR_mixed <- update(fitML, type = "AS_mixed")

# Mean bias-corrected fit
fitBC_mean <- update(fitML, type = "correction")

# Penalized likelihood with Jeffreys-prior penalty
fit_Jeffreys <- update(fitML, type = "MPL_Jeffreys")

# The parameter estimates from glm.nb and brnb with type = "ML" are
# numerically the same
all.equal(c(coef(fitML_glmnb), fitML_glmnb$theta),
            coef(fitML, model = "full"), check.attributes = FALSE)

# Because of the invariance properties of the maximum likelihood,
# median reduced-bias, and mixed reduced-bias estimators the
# estimate of a monotone function of the dispersion should be
# (numerically) the same as the function of the estimate of the
# dispersion:

# ML
coef(fitML, model = "dispersion")
1 / coef(update(fitML, transformation = "identity"), model = "dispersion")

# Median BR
coef(fitBR_median, model = "dispersion")
1 / coef(update(fitBR_median, transformation = "identity"), model = "dispersion")

# Mixed BR
coef(fitBR_mixed, model = "dispersion")
1 / coef(update(fitBR_mixed, transformation = "identity"), model = "dispersion")

## The same is not true for mean BR
coef(fitBR_mean, model = "dispersion")
1 / coef(update(fitBR_mean, transformation = "identity"), model = "dispersion")


## An example  from Venables & Ripley (2002, p.169).
data("quine", package = "MASS")
quineML <- brnb(Days ~ Sex/(Age + Eth*Lrn), link = "sqrt", transformation="inverse",
                data = quine, type="ML")
quineBR_mean <- update(quineML, type = "AS_mean")
quineBR_median <- update(quineML, type = "AS_median")
quineBR_mixed <- update(quineML, type = "AS_mixed")
quine_Jeffreys <- update(quineML, type = "MPL_Jeffreys")

fits <- list(ML = quineML,
             AS_mean = quineBR_mean,
             AS_median = quineBR_median,
             AS_mixed = quineBR_mixed,
             MPL_Jeffreys = quine_Jeffreys)
sapply(fits, coef, model = "full")

ikosmidis/brglm2 documentation built on July 20, 2021, 10:48 p.m.