random: Specify a random intercept model in a GAMLSS formula
In mstasinopoulos/GAMLSS-original: Generalized Additive Models for Location Scale and Shape
random R Documentation
Specify a random intercept model in a GAMLSS formula
Description
They are two functions for fitting random effects within a GAMLSS model, random() and re().
The function random() is based on the original random() function of Trevor Hastie in the package gam. In our version the function has been modified to allow a "local" maximum likelihood estimation of the smoothing parameter lambda. This method is equivalent to the PQL method of Breslow and Clayton (1993) applied at the local iterations of the algorithm. In fact for a GLM model and a simple random effect it is equivalent to glmmPQL() function in the package MASS see Venables and Ripley (2002). Venables and Ripley (2002) claimed that this iterative method was first introduced by Schall (1991). Note that in order for the "local" maximum likelihood estimation procedure to operate both argument df and lambda has to be NULL.
The function re() is an interface for calling the lme() function of the package nlme. This gives the user the ability to fit complicated random effect models while the assumption of the normal distribution for the response variable is relaxed. The theoretical justification comes again from the fact that this is a PQL method, Breslow and Clayton (1993).
Usage
random(x, df = NULL, lambda = NULL, start=10)
re(fixed = ~1, random = NULL, correlation = NULL, method = "ML",
level = NULL, ...)
Arguments
x
a factor
df
the target degrees of freedom
lambda
the smoothing parameter lambda which can be viewed as a shrinkage parameter.
start
starting value for lambda if local Maximul likelihood is used.
fixed
a formula specify the fixed effects of the lme() model. This, in most cases can be also included in the gamlss parameter formula
random
a formula or list specifying the random effect part of the model as in lme() function
correlation
the correlation structure of the lme() model
method
which method, "ML" (the default), or "REML"
level
this argument has to be set to zero (0) if when use predict() you want to get the marginal contribution
...
this can be used to pass arguments for lmeControl()
Details
The function random() can be seen as a smoother for use with factors in gamlss().
It allows the fitted values for a factor predictor to be shrunk towards the overall mean,
where the amount of shrinking depends either on lambda, or on the equivalent degrees of freedom or on the estimated sigma parameter (default). Similar in spirit to smoothing splines, this fitting method can be justified on Bayesian grounds or by a random effects model. Note that the behaviour of the function is different from the original Hastie function. Here the function behaves as follows: i) if both df and lambda are NULL then the PQL method is used
ii) if lambda is not NULL, lambda is used for fitting
iii) if lambda is NULL and df is not NULL then df
is used for fitting.
Since factors are coded by model.matrix() into a set of contrasts, care has been taken to add an appropriate "contrast"
attribute to the output of random(). This zero contrast results in a column of zeros in the model matrix, which is aliased with any column and is hence ignored.
The use of the function re() requires knowledge of the use of the function lme() of the package nlme for the specification of the appropriate random effect model. Some care should betaken whether the data set is
Value
x is returned with class "smooth", with an attribute named "call" which is to be evaluated in the backfitting additive.fit()
called by gamlss()
Author(s)
For re() Mikis Stasinopoulos and Marco Enea and for random() Trevor Hastie (amended by Mikis Stasinopoulos),
References
Breslow, N. E. and Clayton, D. G. (1993) Approximate inference in generalized linear mixed models. Journal of the American Statistical Association 88, 9???25.
Chambers, J. M. and Hastie, T. J. (1991). Statistical Models in S, Chapman and Hall, London.
Pinheiro, Jose C and Bates, Douglas M (2000) Mixed effects models in S and S-PLUS
Springer.
Rigby, R. A. and Stasinopoulos D. M. (2005). Generalized additive models for location, scale and shape,(with discussion),
Appl. Statist., 54, part 3, pp 507-554.
Rigby, R. A., Stasinopoulos, D. M., Heller, G. Z., and De Bastiani, F. (2019)
Distributions for modeling location, scale, and shape: Using GAMLSS in R, Chapman and Hall/CRC. An older version can be found in https://www.gamlss.com/.
Schall, R. (1991) Estimation in generalized linear models with random effects. Biometrika 78, 719???727.
Stasinopoulos D. M. Rigby R.A. (2007) Generalized additive models for location scale and shape (GAMLSS) in R.
Journal of Statistical Software, Vol. 23, Issue 7, Dec 2007, https://www.jstatsoft.org/v23/i07/.
Stasinopoulos D. M., Rigby R.A., Heller G., Voudouris V., and De Bastiani F., (2017)
Flexible Regression and Smoothing: Using GAMLSS in R, Chapman and Hall/CRC.
(see also https://www.gamlss.com/).
Venables, W. N. and Ripley, B. D. (2002) Modern Applied Statistics with S. Fourth edition. Springer.
See Also
gamlss, gamlss.random
Examples
#------------- Example 1 from Pinheiro and Bates (2000) page 15-----------------
# bring nlme
library(nlme)
data(ergoStool)
# lme model
l1<-lme(effort~Type, data=ergoStool, random=~1|Subject, method="ML")
# use random()
t1<-gamlss(effort~Type+random(Subject), data=ergoStool )
# use re() with fixed effect within re()
t2<-gamlss(effort~re(fixed=~Type, random=~1|Subject), data=ergoStool )
# use re() with fixed effect in gamlss formula
t3<-gamlss(effort~Type+re(random=~1|Subject), data=ergoStool )
# compare lme fitted values with random
plot(fitted(l1), fitted(t1))
# compare lme fitted values with random
plot(fitted(l1), fitted(t2))
lines(fitted(l1), fitted(t3), col=2)
# getting the fitted coefficients
getSmo(t2)
#-------------------------------------------------------------------------------
## Not run:
#-------------Example 2 Hodges data---------------------------------------------
data(hodges)
plot(prind~state, data=hodges)
m1<- gamlss(prind~random(state), sigma.fo=~random(state), nu.fo=~random(state),
tau.fo=~random(state), family=BCT, data=hodges)
m2<- gamlss(prind~re(random=~1|state), sigma.fo=~re(random=~1|state),
nu.fo=~re(random=~1|state), tau.fo=~re(random=~1|state), family=BCT,
data=hodges)
# comparing the fitted effective degrees of freedom
m1$mu.df
m2$mu.df
m1$sigma.df
m2$sigma.df
m1$nu.df
m2$nu.df
m1$tau.df
m2$tau.df
# random effect for tau is not needed
m3<- gamlss(prind~random(state), sigma.fo=~random(state), nu.fo=~random(state),
family=BCT, data=hodges, start.from=m1)
plot(m3)
# term plots work for random but not at the moment for re()
op <- par(mfrow=c(2,2))
term.plot(m3, se=TRUE)
term.plot(m3, se=TRUE, what="sigma")
term.plot(m3, se=TRUE, what="nu")
par(op)
# getting information from a fitted lme object
coef(getSmo(m2))
ranef(getSmo(m2))
VarCorr(getSmo(m2))
summary(getSmo(m2))
intervals(getSmo(m2))
fitted(getSmo(m2))
fixef(getSmo(m2))
# plotting
plot(getSmo(m2))
qqnorm(getSmo(m2))
#----------------Example 3 from Pinheiro and Bates (2000) page 42---------------
data(Pixel)
l1 <- lme(pixel~ day+I(day^2), data=Pixel, random=list(Dog=~day, Side=~1),
method="ML")
# this will fail
#t1<-gamlss(pixel~re(fixed=~day+I(day^2), random=list(Dog=~day, Side=~1)),
# data=Pixel)
# but this is working
t1<-gamlss(pixel~re(fixed=~day+I(day^2), random=list(Dog=~day, Side=~1),
opt="optim"), data=Pixel)
plot(fitted(l1)~fitted(t1))
#---------------Example 4 from Pinheiro and Bates (2000)page 146----------------
data(Orthodont)
l1 <- lme(distance~ I(age-11), data=Orthodont, random=~I(age-11)|Subject,
method="ML")
t1<-gamlss(distance~I(age-11)+re(random=~I(age-11)|Subject), data=Orthodont)
plot(fitted(l1)~fitted(t1))
# checking the model
plot(t1)
wp(t1, ylim.all=2)
# two observation fat try LO
t2<-gamlss(distance~I(age-11)+re(random=~I(age-11)|Subject, opt="optim",
numIter=100), data=Orthodont, family=LO)
plot(t2)
wp(t2,ylim.all=2)
# a bit better but not satisfactory Note that 3 paramters distibutions fail
#------------example 5 from Venable and Ripley (2002)--------------------------
library(MASS)
data(bacteria)
summary(glmmPQL(y ~ trt + I(week > 2), random = ~ 1 | ID,
family = binomial, data = bacteria))
s1 <- gamlss(y ~ trt + I(week > 2)+random(ID), family = BI, data = bacteria)
s2 <- gamlss(y ~ trt + I(week > 2)+re(random=~1|ID), family = BI,
data = bacteria)
s3 <- gamlss(y ~ trt + I(week > 2)+re(random=~1|ID, method="REML"), family = BI,
data = bacteria)
# the esimate of the random effect sd sigma_b
sqrt(getSmo(s1)$tau2)
getSmo(s2)
getSmo(s3)
#-------------Example 6 from Pinheiro and Bates (2000) page 239-244-------------
# using corAR1()
data(Ovary)
# AR1
l1 <- lme(follicles~sin(2*pi*Time)+cos(2*pi*Time), data=Ovary,
random=pdDiag(~sin(2*pi*Time)), correlation=corAR1())
# ARMA
l2 <- lme(follicles~sin(2*pi*Time)+cos(2*pi*Time), data=Ovary,
random=pdDiag(~sin(2*pi*Time)), correlation=corARMA(q=2))
# now gamlss
# AR1
t1 <- gamlss(follicles~re(fixed=~sin(2*pi*Time)+cos(2*pi*Time),
random=pdDiag(~sin(2*pi*Time)),
correlation=corAR1()), data=Ovary)
plot(fitted(l1)~fitted(t1))
# ARMA
t2 <- gamlss(follicles~re(fixed=~sin(2*pi*Time)+cos(2*pi*Time),
random=pdDiag(~sin(2*pi*Time)),
correlation=corARMA(q=2)), data=Ovary)
plot(fitted(l2)~fitted(t2))
AIC(t1,t2)
wp(t2, ylim.all=1)
#-------------------------------------------------------------------------------
## End(Not run)
mstasinopoulos/GAMLSS-original documentation built on March 27, 2024, 7:11 a.m.
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| random | R Documentation |
Specify a random intercept model in a GAMLSS formula
Description
They are two functions for fitting random effects within a GAMLSS model, random() and re().
The function random() is based on the original random() function of Trevor Hastie in the package gam. In our version the function has been modified to allow a "local" maximum likelihood estimation of the smoothing parameter lambda. This method is equivalent to the PQL method of Breslow and Clayton (1993) applied at the local iterations of the algorithm. In fact for a GLM model and a simple random effect it is equivalent to glmmPQL() function in the package MASS see Venables and Ripley (2002). Venables and Ripley (2002) claimed that this iterative method was first introduced by Schall (1991). Note that in order for the "local" maximum likelihood estimation procedure to operate both argument df and lambda has to be NULL.
The function re() is an interface for calling the lme() function of the package nlme. This gives the user the ability to fit complicated random effect models while the assumption of the normal distribution for the response variable is relaxed. The theoretical justification comes again from the fact that this is a PQL method, Breslow and Clayton (1993).
Usage
random(x, df = NULL, lambda = NULL, start=10)
re(fixed = ~1, random = NULL, correlation = NULL, method = "ML",
level = NULL, ...)
Arguments
x |
a factor |
df |
the target degrees of freedom |
lambda |
the smoothing parameter lambda which can be viewed as a shrinkage parameter. |
start |
starting value for lambda if local Maximul likelihood is used. |
fixed |
a formula specify the fixed effects of the |
random |
a formula or list specifying the random effect part of the model as in |
correlation |
the correlation structure of the |
method |
which method, "ML" (the default), or "REML" |
level |
this argument has to be set to zero (0) if when use |
... |
this can be used to pass arguments for |
Details
The function random() can be seen as a smoother for use with factors in gamlss().
It allows the fitted values for a factor predictor to be shrunk towards the overall mean,
where the amount of shrinking depends either on lambda, or on the equivalent degrees of freedom or on the estimated sigma parameter (default). Similar in spirit to smoothing splines, this fitting method can be justified on Bayesian grounds or by a random effects model. Note that the behaviour of the function is different from the original Hastie function. Here the function behaves as follows: i) if both df and lambda are NULL then the PQL method is used
ii) if lambda is not NULL, lambda is used for fitting
iii) if lambda is NULL and df is not NULL then df
is used for fitting.
Since factors are coded by model.matrix() into a set of contrasts, care has been taken to add an appropriate "contrast" attribute to the output of random(). This zero contrast results in a column of zeros in the model matrix, which is aliased with any column and is hence ignored.
The use of the function re() requires knowledge of the use of the function lme() of the package nlme for the specification of the appropriate random effect model. Some care should betaken whether the data set is
Value
x is returned with class "smooth", with an attribute named "call" which is to be evaluated in the backfitting additive.fit()
called by gamlss()
Author(s)
For re() Mikis Stasinopoulos and Marco Enea and for random() Trevor Hastie (amended by Mikis Stasinopoulos),
References
Breslow, N. E. and Clayton, D. G. (1993) Approximate inference in generalized linear mixed models. Journal of the American Statistical Association 88, 9???25.
Chambers, J. M. and Hastie, T. J. (1991). Statistical Models in S, Chapman and Hall, London.
Pinheiro, Jose C and Bates, Douglas M (2000) Mixed effects models in S and S-PLUS Springer.
Rigby, R. A. and Stasinopoulos D. M. (2005). Generalized additive models for location, scale and shape,(with discussion), Appl. Statist., 54, part 3, pp 507-554.
Rigby, R. A., Stasinopoulos, D. M., Heller, G. Z., and De Bastiani, F. (2019) Distributions for modeling location, scale, and shape: Using GAMLSS in R, Chapman and Hall/CRC. An older version can be found in https://www.gamlss.com/.
Schall, R. (1991) Estimation in generalized linear models with random effects. Biometrika 78, 719???727.
Stasinopoulos D. M. Rigby R.A. (2007) Generalized additive models for location scale and shape (GAMLSS) in R. Journal of Statistical Software, Vol. 23, Issue 7, Dec 2007, https://www.jstatsoft.org/v23/i07/.
Stasinopoulos D. M., Rigby R.A., Heller G., Voudouris V., and De Bastiani F., (2017) Flexible Regression and Smoothing: Using GAMLSS in R, Chapman and Hall/CRC.
(see also https://www.gamlss.com/).
Venables, W. N. and Ripley, B. D. (2002) Modern Applied Statistics with S. Fourth edition. Springer.
See Also
gamlss, gamlss.random
Examples
#------------- Example 1 from Pinheiro and Bates (2000) page 15-----------------
# bring nlme
library(nlme)
data(ergoStool)
# lme model
l1<-lme(effort~Type, data=ergoStool, random=~1|Subject, method="ML")
# use random()
t1<-gamlss(effort~Type+random(Subject), data=ergoStool )
# use re() with fixed effect within re()
t2<-gamlss(effort~re(fixed=~Type, random=~1|Subject), data=ergoStool )
# use re() with fixed effect in gamlss formula
t3<-gamlss(effort~Type+re(random=~1|Subject), data=ergoStool )
# compare lme fitted values with random
plot(fitted(l1), fitted(t1))
# compare lme fitted values with random
plot(fitted(l1), fitted(t2))
lines(fitted(l1), fitted(t3), col=2)
# getting the fitted coefficients
getSmo(t2)
#-------------------------------------------------------------------------------
## Not run:
#-------------Example 2 Hodges data---------------------------------------------
data(hodges)
plot(prind~state, data=hodges)
m1<- gamlss(prind~random(state), sigma.fo=~random(state), nu.fo=~random(state),
tau.fo=~random(state), family=BCT, data=hodges)
m2<- gamlss(prind~re(random=~1|state), sigma.fo=~re(random=~1|state),
nu.fo=~re(random=~1|state), tau.fo=~re(random=~1|state), family=BCT,
data=hodges)
# comparing the fitted effective degrees of freedom
m1$mu.df
m2$mu.df
m1$sigma.df
m2$sigma.df
m1$nu.df
m2$nu.df
m1$tau.df
m2$tau.df
# random effect for tau is not needed
m3<- gamlss(prind~random(state), sigma.fo=~random(state), nu.fo=~random(state),
family=BCT, data=hodges, start.from=m1)
plot(m3)
# term plots work for random but not at the moment for re()
op <- par(mfrow=c(2,2))
term.plot(m3, se=TRUE)
term.plot(m3, se=TRUE, what="sigma")
term.plot(m3, se=TRUE, what="nu")
par(op)
# getting information from a fitted lme object
coef(getSmo(m2))
ranef(getSmo(m2))
VarCorr(getSmo(m2))
summary(getSmo(m2))
intervals(getSmo(m2))
fitted(getSmo(m2))
fixef(getSmo(m2))
# plotting
plot(getSmo(m2))
qqnorm(getSmo(m2))
#----------------Example 3 from Pinheiro and Bates (2000) page 42---------------
data(Pixel)
l1 <- lme(pixel~ day+I(day^2), data=Pixel, random=list(Dog=~day, Side=~1),
method="ML")
# this will fail
#t1<-gamlss(pixel~re(fixed=~day+I(day^2), random=list(Dog=~day, Side=~1)),
# data=Pixel)
# but this is working
t1<-gamlss(pixel~re(fixed=~day+I(day^2), random=list(Dog=~day, Side=~1),
opt="optim"), data=Pixel)
plot(fitted(l1)~fitted(t1))
#---------------Example 4 from Pinheiro and Bates (2000)page 146----------------
data(Orthodont)
l1 <- lme(distance~ I(age-11), data=Orthodont, random=~I(age-11)|Subject,
method="ML")
t1<-gamlss(distance~I(age-11)+re(random=~I(age-11)|Subject), data=Orthodont)
plot(fitted(l1)~fitted(t1))
# checking the model
plot(t1)
wp(t1, ylim.all=2)
# two observation fat try LO
t2<-gamlss(distance~I(age-11)+re(random=~I(age-11)|Subject, opt="optim",
numIter=100), data=Orthodont, family=LO)
plot(t2)
wp(t2,ylim.all=2)
# a bit better but not satisfactory Note that 3 paramters distibutions fail
#------------example 5 from Venable and Ripley (2002)--------------------------
library(MASS)
data(bacteria)
summary(glmmPQL(y ~ trt + I(week > 2), random = ~ 1 | ID,
family = binomial, data = bacteria))
s1 <- gamlss(y ~ trt + I(week > 2)+random(ID), family = BI, data = bacteria)
s2 <- gamlss(y ~ trt + I(week > 2)+re(random=~1|ID), family = BI,
data = bacteria)
s3 <- gamlss(y ~ trt + I(week > 2)+re(random=~1|ID, method="REML"), family = BI,
data = bacteria)
# the esimate of the random effect sd sigma_b
sqrt(getSmo(s1)$tau2)
getSmo(s2)
getSmo(s3)
#-------------Example 6 from Pinheiro and Bates (2000) page 239-244-------------
# using corAR1()
data(Ovary)
# AR1
l1 <- lme(follicles~sin(2*pi*Time)+cos(2*pi*Time), data=Ovary,
random=pdDiag(~sin(2*pi*Time)), correlation=corAR1())
# ARMA
l2 <- lme(follicles~sin(2*pi*Time)+cos(2*pi*Time), data=Ovary,
random=pdDiag(~sin(2*pi*Time)), correlation=corARMA(q=2))
# now gamlss
# AR1
t1 <- gamlss(follicles~re(fixed=~sin(2*pi*Time)+cos(2*pi*Time),
random=pdDiag(~sin(2*pi*Time)),
correlation=corAR1()), data=Ovary)
plot(fitted(l1)~fitted(t1))
# ARMA
t2 <- gamlss(follicles~re(fixed=~sin(2*pi*Time)+cos(2*pi*Time),
random=pdDiag(~sin(2*pi*Time)),
correlation=corARMA(q=2)), data=Ovary)
plot(fitted(l2)~fitted(t2))
AIC(t1,t2)
wp(t2, ylim.all=1)
#-------------------------------------------------------------------------------
## End(Not run)
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