Criteria for comparing two multi-state models with nested state spaces

Description

A modification of Akaike's information criterion, and a leave-one-out likelihood cross-validation criterion, for comparing the predictive ability of two Markov multi-state models with nested state spaces. This is evaluated based on the restricted or aggregated data which the models have in common.

Note that standard AIC can be computed for one or more fitted msm models x,y,... using AIC(x,y,...), and this can be used to compare models fitted to the same data. draic.msm and drlcv.msm are designed for models fitted to data with differently-aggregated state spaces.

Usage

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draic.msm(msm.full, msm.coarse, likelihood.only=FALSE,
         information=c("expected","observed"), tl=0.95)
drlcv.msm(msm.full, msm.coarse, tl=0.95, cores=NULL,
          verbose=TRUE,outfile=NULL)

Arguments

msm.full

Model on the bigger state space.

msm.coarse

Model on the smaller state space.

The two models must both be non-hidden Markov models without censored states.

The two models must be fitted to the same datasets, except that the state space of the coarse model must be an aggregated version of the state space of the full model. That is, every state in the full dataset must correspond to a unique state in the coarse dataset. For example, for the full state variable c(1,1,2,2,3,4), the corresponding coarse states could be c(1,1,2,2,2,3), but not c(1,2,3,4,4,4).

The structure of allowed transitions in the coarse model must also be a collapsed version of the big model structure, but no check is currently made for this in the code.

To use these functions, all objects which were used in the calls to fit msm.full and msm.coarse must be in the working environment, for example, datasets and definitions of transition matrices.

likelihood.only

Don't calculate Hessians and trace term (DRAIC).

information

Use observed or expected information in the DRAIC trace term. Expected is the default, and much faster, though is only available for models fitted to pure panel data (all obstype=1 in the call to msm, thus not exact transition times or exact death times)

tl

Width of symmetric tracking interval, by default 0.95 for a 95% interval.

cores

Number of processor cores to use in drlcv for cross-validation by parallel processing. Requires the doParallel package to be installed. If not specified, parallel processing is not used. If cores is set to the string "default", the default methods of makeCluster (on Windows) or registerDoParallel (on Unix-like) are used.

verbose

Print intermediate results of each iteration of cross-validation to the console while running. May not work with parallel processing.

outfile

Output file to print intermediate results of cross-validation. Useful to track execution speed when using parallel processing, where output to the console may not work.

Details

The difference in restricted AIC (Liquet and Commenges, 2011), as computed by this function, is defined as

D_RAIC = l(gamma_n |x'' ) - l(theta_n |x'' ) + trace ( J(theta_n |x'')J(theta_n |x)^{-1} - J(gamma_n |x'' )J(gamma_n |x' )^{-1})

where gamma and theta are the maximum likelihood estimates of the smaller and bigger models, fitted to the smaller and bigger data, respectively.

l(gamma_n |x'') represents the likelihood of the simpler model evaluated on the restricted data.

l(theta_n |x'') represents the likelihood of the complex model evaluated on the restricted data. This is a hidden Markov model, with a misclassification matrix and initial state occupancy probabilities as described by Thom et al (2014).

J() are the corresponding (expected or observed, as specified by the user) information matrices.

x is the expanded data, to which the bigger model was originally fitted, and x' is the data to which the smaller model was originally fitted. x'' is the restricted data which the two models have in common. x'' = x in this implementation, so the models are nested.

The difference in likelihood cross-validatory criteria (Liquet and Commenges, 2011) is defined as

D_{RLCV} = 1/n ∑_{i=1}^n log( h_{X''}(x_i'' | gamma_{-i}) / g_{X''}(x_i''| theta_{-i}))

where γ_{-i} and θ_{-i} are the maximum likelihood estimates from the smaller and bigger models fitted to datasets with subject i left out, g() and h() are the densities of the corresponding models, and x_i'' is the restricted data from subject i.

Tracking intervals are analogous to confidence intervals, but not strictly the same, since the quantity which D_RAIC aims to estimate, the difference in expected Kullback-Leibler discrepancy for predicting a replicate dataset, depends on the sample size. See the references.

Positive values for these criteria indicate the coarse model is preferred, while negative values indicate the full model is preferred.

Value

A list containing D_RAIC (draic.msm) or D_RLCV (drlcv.msm), its component terms, and tracking intervals.

Author(s)

C. H. Jackson chris.jackson@mrc-bsu.cam.ac.uk, H. H. Z. Thom howard.thom@bristol.ac.uk

References

Thom, H. and Jackson, C. and Commenges, D. and Sharples, L. (2015) State selection in multistate models with application to quality of life in psoriatic arthritis. Statistics In Medicine 34(16) 2381 - 2480.

Liquet, B. and Commenges D. (2011) Choice of estimators based on different observations: Modified AIC and LCV criteria. Scandinavian Journal of Statistics; 38:268-287.

See Also

logLik.msm

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