| Title: | Generalised Joint Regression Modelling |
|---|---|
| Description: | Routines for fitting various joint (and univariate) regression models, with several types of covariate effects, in the presence of equations' errors association, endogeneity, non-random sample selection or partial observability. |
| Authors: | Giampiero Marra [aut, cre], Rosalba Radice [aut] |
| Maintainer: | Giampiero Marra <[email protected]> |
| License: | GPL (>= 2) |
| Version: | 0.2-6.7 |
| Built: | 2024-10-26 03:31:04 UTC |
| Source: | CRAN |
This package provides a function for fitting various generalised joint regression models with several types of covariate effects and distributions. Many modelling options are supported and all parameters of the joint distribution can be specified as flexible functions of covariates.
The orginal name of this package was SemiParBIVProbit which was designed
to fit flexible bivariate binary response models. However, since then the package has expanded so much that its orginal name
no longer gave a clue about all modelling options available. The new name should more closely reflect past, current and future developments.
The main fitting functions are listed below.
gjrm() which fits bivariate regression models with binary responses (useful for fitting bivariate binary models in the presence of
(i) non-random sample selection or (ii) associated responses/endogeneity or (iii) partial observability), bivariate models with
binary/discrete/continuous/survival margins in the presence of
associated responses/endogeneity, bivariate sample selection models with continuous/discrete response, trivariate binary
models (with and without double sample selection). This function essentially merges all previously available fitting functions, namely
SemiParBIV(), SemiParTRIV(), copulaReg() and copulaSampleSel().
gamlss() fits flexible univariate regression models where the response can be
binary (only the extreme value distribution is allowed for), continuous, discrete and survival. The
purpose of this function was only to provide, in some cases, starting values
for the above functions, but it has now been made available in the form of a proper function should the user wish to fit
univariate models using the general estimation approach of this package.
We are currently working on several multivariate extensions.
GJRM provides functions for fitting general joint models in various situations. The estimation approach is
based on a very generic penalized maximum likelihood based framework, where any (parametric) distribution can in principle be employed,
and the smoothers (representing several types of covariate effects) are set up using penalised regression splines.
Several marginal and copula distributions are available and the
numerical routine carries out function minimization using a trust region algorithm in combination with
an adaptation of an automatic multiple smoothing parameter estimation procedure for GAMs (see mgcv for more details on this last point). The smoothers
supported by this package are those available in mgcv.
Confidence intervals for smooth components and nonlinear functions of the model
parameters are derived using a Bayesian approach. P-values for testing
individual smooth terms for equality to the zero function are also provided and based on the approach
implemented in mgcv. The usual plotting and summary functions are also available. Model/variable
selection is also possible via the use of shrinakge smoothers and/or information criteria.
Giampiero Marra (University College London, Department of Statistical Science) and Rosalba Radice (Bayes Business School, Faculty of Actuarial Science and Insurance, City, University of London)
with help and contributions from Panagiota Filippou (trivariate binary models), Francesco Donat (bivariate models with ordinal and continuous margins, and ordinal margins), Matteo Fasiolo (pdf and cdf, and related derivatives, of the Tweedie distribution), Alessia Eletti and Javier Rubio Alvarez (univariate survival models with mixed censoring and excess hazards), Kiron Das (Galambos copula), Eva Cantoni and William Aeberhard (robust gamlss).
Thanks to Bear Braumoeller for suggesting the implementation of bivariate models with partial observability, and Carmen Cadarso for suggesting the inclusion of various modelling extensions.
Maintainer: Giampiero Marra [email protected]
Part funded by EPSRC: EP/J006742/1 and EP/T033061/1
Key methodological references (ordered by year of publication):
Marra G., Radice R., Zimmer D. (2024), A Unifying Switching Regime Regression Framework with Applications in Health Economics. Econometric Reviews, 43(1), 52-70.
Eletti A., Marra G., Quaresma M., Radice R., Rubio F.J. (2022), A Unifying Framework for Flexible Excess Hazard Modeling with Applications in Cancer Epidemiology. Journal of the Royal Statistical Society Series C, 71(4), 1044-1062.
Petti D., Eletti A., Marra G., Radice R. (2022), Copula Link-Based Additive Models for Bivariate Time-to-Event Outcomes with General Censoring Scheme. Computational Statistics and Data Analysis, 107550.
Ranjbar S., Cantoni E., Chavez-Demoulin V., Marra G., Radice R., Jaton-Ogay K. (2022), Modelling the Extremes of Seasonal Viruses and Hospital Congestion: The Example of Flu in a Swiss Hospital. Journal of the Royal Statistical Society Series C, 71(4), 884-905.
Aeberhard W.H., Cantoni E., Marra G., Radice R. (2021), Robust Fitting for Generalized Additive Models for Location, Scale and Shape. Statistics and Computing, 31(11), 1-16.
Marra G., Farcomeni A., Radice R. (2021), Link-Based Survival Additive Models under Mixed Censoring to Assess Risks of Hospital-Acquired Infections. Computational Statistics and Data Analysis, 155, 107092.
Hohberg M., Donat F., Marra G., Kneib T. (2021), Beyond Unidimensional Poverty Analysis Using Distributional Copula Models for Mixed Ordered-Continuous Outcomes. Journal of the Royal Statistical Society Series C, 70(5), 1365-1390.
Dettoni R., Marra G., Radice R. (2020), Generalized Link-Based Additive Survival Models with Informative Censoring. Journal of Computational and Graphical Statistics, 29(3), 503-512.
Marra G., Radice R. (2020), Copula Link-Based Additive Models for Right-Censored Event Time Data. Journal of the American Statistical Association, 115(530), 886-895.
Filippou P., Kneib T., Marra G., Radice R. (2019), A Trivariate Additive Regression Model with Arbitrary Link Functions and Varying Correlation Matrix. Journal of Statistical Planning and Inference, 199, 236-248.
Klein N., Kneib T., Marra G., Radice R., Rokicki S., McGovern M.E. (2019), Mixed Binary-Continuous Copula Regression Models with Application to Adverse Birth Outcomes. Statistics in Medicine, 38(3), 413-436.
Filippou P., Marra G., Radice R. (2017), Penalized Likelihood Estimation of a Trivariate Additive Probit Model. Biostatistics, 18(3), 569-585.
Marra G., Radice R. (2017), Bivariate Copula Additive Models for Location, Scale and Shape. Computational Statistics and Data Analysis, 112, 99-113.
Marra G., Radice R., Barnighausen T., Wood S.N., McGovern M.E. (2017), A Simultaneous Equation Approach to Estimating HIV Prevalence with Non-Ignorable Missing Responses. Journal of the American Statistical Association, 112(518), 484-496.
Marra G., Radice R., Filippou P. (2017), Testing the Hypothesis of Exogeneity in Regression Spline Bivariate Probit Models. Communications in Statistics - Simulation and Computation, 46(3), 2283-2298.
Radice R., Marra G., Wojtys M. (2016), Copula Regression Spline Models for Binary Outcomes. Statistics and Computing, 26(5), 981-995.
Marra G., Radice R. (2013), A Penalized Likelihood Estimation Approach to Semiparametric Sample Selection Binary Response Modeling. Electronic Journal of Statistics, 7, 1432-1455.
Marra G., Radice R. (2013), Estimation of a Regression Spline Sample Selection Model. Computational Statistics and Data Analysis, 61, 158-173.
Marra G., Radice R. (2011), Estimation of a Semiparametric Recursive Bivariate Probit in the Presence of Endogeneity. Canadian Journal of Statistics, 39(2), 259-279.
For applied case studies see https://www.homepages.ucl.ac.uk/~ucakgm0/pubs.htm.
adjCov can be used to adjust the covariance matrix of a fitted gjrm object.
adjCov(x, id)adjCov(x, id)
x |
A fitted |
id |
Cluster identifier. |
This adjustment can be made when dealing with clustered data and the cluster structure is neglected when fitting the model. The basic idea is that the model is fitted as though observations were independent, and subsequently adjust the covariance matrix of the parameter estimates. Using the terminology of Liang and Zeger (1986), this would correspond to using an independence structure within the context of generalized estimating equations. The parameter estimators are still consistent but are inefficient as compared to a model which accounts for the correct cluster dependence structure. The covariance matrix of the independence estimators can be adjusted as described in Liang and Zeger (1986, Section 2).
This function returns a fitted object which is identical to that supplied in adjCov but with adjusted covariance matrix.
This correction may not be appropriate for models fitted using penalties.
Maintainer: Giampiero Marra [email protected]
Liang K.-Y. and Zeger S. (1986), Longitudinal Data Analysis Using Generalized Linear Models. Biometrika, 73(1), 13-22.
adjCovSD can be used to adjust the covariance matrix of a fitted gjrm object.
adjCovSD(x, design)adjCovSD(x, design)
x |
A fitted |
design |
A |
This function has been extracted from the survey package and adapted to the class of this package's models. It computes the sandwich
variance estimator for a copula model fitted to data from a complex sample survey (Lumley, 2004).
This function returns a fitted object which is identical to that supplied in adjCovSD but with adjusted covariance matrix.
This correction may not be appropriate for models fitted using penalties.
Maintainer: Giampiero Marra [email protected]
Lumley T. (2004), Analysis of Complex Survey Samples. Journal of Statistical Software, 9(8), 1-19.
ATE can be used to calculate the causal average treatment effect of a binary or continuous Gaussian treatment variable, with
corresponding interval obtained using posterior simulation.
ATE(x, trt, int.var = NULL, eq = NULL, joint = TRUE, n.sim = 100, prob.lev = 0.05, length.out = NULL, percentage = FALSE)ATE(x, trt, int.var = NULL, eq = NULL, joint = TRUE, n.sim = 100, prob.lev = 0.05, length.out = NULL, percentage = FALSE)
x |
A fitted |
trt |
Name of the treatment variable. |
int.var |
A vector made up of the name of the variable interacted with |
eq |
Number of equation containing the treatment variable. This is only used for trivariate models. |
joint |
If |
n.sim |
Number of simulated coefficient vectors from the posterior distribution of the estimated model parameters. It may be increased if more precision is required. |
prob.lev |
Overall probability of the left and right tails of the AT distribution used for interval calculations. |
length.out |
Length of the sequence to be used when calculating the effect that a continuous treatment has on a binary outcome. |
percentage |
Only for the Roy model, when |
ATE measures the causal average difference in outcomes under treatment (the binary predictor or treatment assumes value 1) and under control (the binary treatment assumes value 0). Posterior simulation is used to obtain a confidence/credible interval. See the references below for details.
ATE can also calculate the effect that a continuous Gaussian endogenous variable has on a binary outcome. In this case the effect will depend on the unit increment chosen (as shown by the plot produced).
res |
It returns three values: lower confidence interval limit, estimated AT and upper interval limit. |
prob.lev |
Probability level used. |
sim.ATE |
It returns a vector containing simulated values of the average treatment effect. This is used to calculate intervals. |
Effects |
For the case of continuous/discrete endogenous variable and binary outcome, it returns a matrix made up of three columns containing the effects for each incremental value in the endogenous variable and respective intervals. |
Maintainer: Giampiero Marra [email protected]
Marra G. and Radice R. (2011), Estimation of a Semiparametric Recursive Bivariate Probit in the Presence of Endogeneity. Canadian Journal of Statistics, 39(2), 259-279.
It evaluates the cdf of several copulae.
Maintainer: Giampiero Marra [email protected]
This and other similar internal functions provide the log-likelihood, gradient and observed information matrix for penalized/unpenalized maximum likelihood optimization when copula models with continuous margins are employed.
Maintainer: Giampiero Marra [email protected]
This and other similar internal functions provide the log-likelihood, gradient and observed information matrix for penalized/unpenalized maximum likelihood optimization when copula models with discrete and continuous margins are employed.
Maintainer: Giampiero Marra [email protected]
This and other similar internal functions provide the log-likelihood, gradient and observed information matrix for penalized/unpenalized maximum likelihood optimization when copula models with discrete margins are employed.
Maintainer: Giampiero Marra [email protected]
It provides the log-likelihood, gradient and observed/Fisher information matrix for penalized/unpenalized maximum likelihood optimization when copula models with binary outcomes are employed.
Maintainer: Giampiero Marra [email protected]
It provides the log-likelihood, gradient and observed information matrix for penalized/unpenalized maximum likelihood optimization when copula models with binary and continuous margins are employed.
Maintainer: Giampiero Marra [email protected]
It provides the log-likelihood, gradient and observed information matrix for penalized/unpenalized maximum likelihood optimization when copula sample selection models with continuous margins are employed.
Maintainer: Giampiero Marra [email protected]
It provides the log-likelihood, gradient and observed information matrix for penalized/unpenalized maximum likelihood optimization when fitting univariate models with discrete/continuous response.
Maintainer: Giampiero Marra [email protected]
It provides the log-likelihood, gradient and observed information matrix for penalized/unpenalized maximum likelihood optimization when copula models with binary and discrete margins are employed.
Maintainer: Giampiero Marra [email protected]
It provides the log-likelihood, gradient and observed information matrix for penalized/unpenalized maximum likelihood optimization when copula sample selection models with discrete margins are employed.
Maintainer: Giampiero Marra [email protected]
It provides the log-likelihood, gradient and observed or expected information matrix for penalized/unpenalized maximum likelihood optimization when bivariate probit models with partial observability are employed.
Maintainer: Giampiero Marra [email protected]
It provides the log-likelihood, gradient and observed/Fisher information matrix for penalized/unpenalized maximum likelihood optimization when copula sample selection models with binary outcomes are employed.
Maintainer: Giampiero Marra [email protected]
Function cond.mv can be used to calculate conditional means/variances from a copula model, with corresponding interval obtained using posterior simulation.
cond.mv(x, eq, y1 = NULL, y2 = NULL, newdata, fun = "mean", n.sim = 100, prob.lev = 0.05)cond.mv(x, eq, y1 = NULL, y2 = NULL, newdata, fun = "mean", n.sim = 100, prob.lev = 0.05)
x |
A fitted |
eq |
Equation of interest. From this, conditioning is also deduced. |
y1, y2
|
Values for y1 and y2. Depending on the fitted model, one of them may be required. |
newdata |
A data frame with one row, which must be provided. |
fun |
Either mean or variance. |
n.sim |
Number of simulated coefficient vectors from the posterior distribution of the estimated model parameters. |
prob.lev |
Overall probability of the left and right tails of the simulated distribution used for interval calculations. |
cond.mv() calculates the conditional mean or variance of copula models. Posterior simulation is used to obtain a confidence/credible interval.
res |
It returns three values: lower confidence interval limit, estimated conditional mean or variance and upper interval limit. |
prob.lev |
Probability level used. |
sim.mv |
It returns a vector containing simulated values of the conditional mean or variance. This is used to calculate intervals. |
Maintainer: Giampiero Marra [email protected]
It takes a fitted model object and produces some diagnostic information about the fitting procedure.
conv.check(x, blather = FALSE)conv.check(x, blather = FALSE)
x |
|
blather |
If |
Maintainer: Giampiero Marra [email protected]
This and other similar internal functions evaluate the first and second derivatives with respect to the margins and association parameter of several copulae.
Maintainer: Giampiero Marra [email protected]
copula.prob can be used to calculate the joint or conditional copula probabilities from a fitted simultaneous model with intervals obtained
via posterior simulation.
copula.prob(x, y1, y2, y3 = NULL, newdata, joint = TRUE, cond = 0, intervals = FALSE, n.sim = 100, prob.lev = 0.05, theta = FALSE, tau = FALSE, min.pr = 1e-323, max.pr = 1)copula.prob(x, y1, y2, y3 = NULL, newdata, joint = TRUE, cond = 0, intervals = FALSE, n.sim = 100, prob.lev = 0.05, theta = FALSE, tau = FALSE, min.pr = 1e-323, max.pr = 1)
x |
A fitted |
y1 |
Value of response for first margin. |
y2 |
Value of response for second margin. |
y3 |
Value of response for third margin if a trivariate model is employed. |
newdata |
A data frame with one row, which must be provided. |
joint |
If |
cond |
There are three possible values: 0 (joint probabilities are delivered), 1 (conditional probabilities are delivered and conditioning is with the respect to the first margin), 2 (as before but conditioning is with the respect to the second margin). |
intervals |
If |
n.sim |
Number of simulated coefficient vectors from the posterior distribution of the estimated model parameters. This is used for interval calculations. |
prob.lev |
Overall probability of the left and right tails of the probabilities' distributions used for interval calculations. |
theta |
If |
tau |
If |
min.pr, max.pr
|
Allowed minimum and maximum for estimated probabities. |
This function calculates joint or conditional copula probabilities from a fitted simultaneous model or a model assuming independence, with intervals obtained via posterior simulation.
res |
It returns several values including: estimated probabilities ( |
Maintainer: Giampiero Marra [email protected]
Internal fitting and set up function.
Maintainer: Giampiero Marra [email protected]
Internal fitting and set up function.
Maintainer: Giampiero Marra [email protected]
cv.inform carries out cross validation to help choosing the set of informative covariates.
cv.inform(x, K = 5, data, informative = "yes")cv.inform(x, K = 5, data, informative = "yes")
x |
A fitted |
K |
No. of folds. |
data |
Data. |
informative |
If no then cv is carried out for the case of no informative censoring. This is useful for comparison purposes. |
cv.inform carries out cross validation to help choosing the set of informative covariates.
sl |
Overall sum of predicted likelihood contributions. |
Maintainer: Giampiero Marra [email protected]
This and other similar internal functions evaluate the margins' derivatives needed in the likelihood function for the binary, discrete and continuous cases.
Maintainer: Giampiero Marra [email protected]
work in progress, temp function
Dpens(params, type = "lasso", lambda = 1, w.alasso = NULL, gamma = 1, a = 3.7, eps = 1e-08)Dpens(params, type = "lasso", lambda = 1, w.alasso = NULL, gamma = 1, a = 3.7, eps = 1e-08)
params |
coefficients. |
type |
lasso, alasso or scad. |
lambda |
smoothing parameter. |
w.alasso |
for alasso. |
gamma |
default 1. |
a |
for scad. |
eps |
tolerance. |
work in progress.
The function returns a penalty.
This and other similar internal functions map certain key quantities into a feasible parameter space. Some functions carry out some general consistency checks.
Maintainer: Giampiero Marra [email protected]
This and other similar internal functions calculate the score for trivariate binary models.
Author: Panagiota Filippou
Maintainer: Giampiero Marra [email protected]
gamlss fits flexible univariate regression models for several continuous and discrete distributions as well as survival outcomes, and types of covariate
effects. When first designed, the purpose of this function was only to provide, in some cases, starting values
for the simultaneous models in the package. At a later stage, it
was made available in the form of a proper function should the user wish to fit
univariate models using the general estimation approach of this package. The continuous and discrete distributions used here
are parametrised according to Rigby and Stasinopoulos (2005).
gamlss(formula, data = list(), weights = NULL, subset = NULL, offset = NULL, family = "N", cens = NULL, type.cens = "R", ub.t = NULL, left.trunc = 0, robust = FALSE, rc = 3, lB = NULL, uB = NULL, infl.fac = 1, rinit = 1, rmax = 100, iterlimsp = 50, tolsp = 1e-07, gc.l = FALSE, parscale, gev.par = -0.25, chunk.size = 10000, knots = NULL, informative = "no", inform.cov = NULL, family2 = "-cloglog", fp = FALSE, sp = NULL, drop.unused.levels = TRUE, siginit = NULL, shinit = NULL, sp.method = "perf", hrate = NULL, d.lchrate = NULL, d.rchrate = NULL, d.lchrate.td = NULL, d.rchrate.td = NULL, truncation.time = NULL, min.dn = 1e-40, min.pr = 1e-16, max.pr = 0.9999999, ygrid.tol = 1e-08)gamlss(formula, data = list(), weights = NULL, subset = NULL, offset = NULL, family = "N", cens = NULL, type.cens = "R", ub.t = NULL, left.trunc = 0, robust = FALSE, rc = 3, lB = NULL, uB = NULL, infl.fac = 1, rinit = 1, rmax = 100, iterlimsp = 50, tolsp = 1e-07, gc.l = FALSE, parscale, gev.par = -0.25, chunk.size = 10000, knots = NULL, informative = "no", inform.cov = NULL, family2 = "-cloglog", fp = FALSE, sp = NULL, drop.unused.levels = TRUE, siginit = NULL, shinit = NULL, sp.method = "perf", hrate = NULL, d.lchrate = NULL, d.rchrate = NULL, d.lchrate.td = NULL, d.rchrate.td = NULL, truncation.time = NULL, min.dn = 1e-40, min.pr = 1e-16, max.pr = 0.9999999, ygrid.tol = 1e-08)
formula |
List of equations. This should contain one or more equations. |
data |
A data frame. |
weights |
Optional vector of prior weights to be used in fitting. |
subset |
Optional vector specifying a subset of observations to be used in the fitting process. |
offset |
Optional vector specifying an offset for use in fitting. Option introduced for dealing with offset with discrete distributions. |
family |
Possible choices are normal ("N"), Tweedie ("TW"),
log-normal ("LN"), Gumbel ("GU"), reverse Gumbel ("rGU"), generelised Pareto ("GP"),
generelised Pareto II ("GPII") where the shape parameter is forced to be > -0.5,
generelised Pareto (with orthogonal parametrisation) ("GPo") where the shape parameter is forced to be > -0.5,
discrete generelised Pareto ("DGP"),
discrete generelised Pareto II ("DGPII") where the shape parameter is forced to be positive, discrete generelised Pareto derived
under the scenario in which shape = 0 ("DGP0"), logistic ("LO"), Weibull ("WEI"), Inverse Gaussian ("IG"), gamma ("GA"), Dagum ("DAGUM"),
Singh-Maddala ("SM"), beta ("BE"), Fisk ("FISK", also known as log-logistic), Poisson ("P"), truncated
Poisson ("tP"), negative binomial - type I ("NBI"), negative
binomial - type II ("NBII"), Poisson inverse Gaussian ("PIG"), truncated negative binomial - type I ("tNBI"), truncated negative
binomial - type II ("tNBII"), truncated Poisson inverse Gaussian ("tPIG"), generalised extreme value link function ("GEVlink", this
is used for binary responses and is more stable and faster than the |
cens |
This is required for a survival model. When |
type.cens |
Type of censoring mechanism. This can be "R", "L", "I" or "mixed". |
ub.t |
Variable name of right/upper bound when |
left.trunc |
Value of truncation at left. Currently done for count distributions only. |
robust |
If |
rc |
Robust constant. |
lB, uB
|
Bounds for integral in robust case. |
infl.fac |
Inflation factor for the model degrees of freedom in the approximate AIC. Smoother models can be obtained setting this parameter to a value greater than 1. |
rinit |
Starting trust region radius. The trust region radius is adjusted as the algorithm proceeds. |
rmax |
Maximum allowed trust region radius. This may be set very large. If set small, the algorithm traces a steepest descent path. |
iterlimsp |
A positive integer specifying the maximum number of loops to be performed before the smoothing parameter estimation step is terminated. |
tolsp |
Tolerance to use in judging convergence of the algorithm when automatic smoothing parameter estimation is used. |
gc.l |
This is relevant when working with big datasets. If |
parscale |
The algorithm will operate as if optimizing objfun(x / parscale, ...) where parscale is a scalar. If missing then no
rescaling is done. See the
documentation of |
gev.par |
GEV link parameter. |
chunk.size |
This is used for discrete robust models. |
knots |
Optional list containing user specified knot values to be used for basis construction. |
informative |
If "yes" then informative censoring is assumed when using a survival model. |
inform.cov |
If above is "yes" then a set of informative covariates must be provided. |
family2 |
In the informative survival case, the family for the censored equation can be different from that of the survival equation. Choices are "-cloglog" (siilar to generalised proportional hazards), "-logit" (similar to generalised proportional odds), "-probit" (generalised probit). |
fp |
If |
sp |
A vector of smoothing parameters can be provided here. Smoothing parameters must be supplied in the order that the smooth terms appear in the model equation(s). |
drop.unused.levels |
By default unused levels are dropped from factors before fitting. For some smooths involving factor variables this may have to be turned off (only use if you know what you are doing). |
siginit, shinit
|
For the GP and DGP distributions, initial values for sigma and shape may be provided. |
sp.method |
Multiple smoothing automatic parameter selection is perf. efs is an alternative and only sensible option for robust models. |
hrate |
Vector of population hazard rates computed at time of death of each uncensored patient. The length of |
d.lchrate |
Vector of differences of population cumulative excess hazards computed at the age of the patient when the left
censoring occurred and at the initial age of the patient. The length of |
d.rchrate |
Vector of differences of population cumulative excess hazards computed at the age of the patient when the at the right
interval censoring time and at the initial age of the patient. The length of |
d.lchrate.td |
Vector of differences of population cumulative excess hazards computed at the age of the patient when the left
censoring occurred and at the age of the patient when the truncation occurred. The length of |
d.rchrate.td |
Vector of differences of population cumulative excess hazards computed at the age of the patient when the right
censoring occurred and at the age of the patient when the truncation occurred. The length of |
truncation.time |
Variable name of truncation time. |
min.dn, min.pr, max.pr
|
These values are used to set, depending on the model used for modelling, the minimum and maximum allowed
for the densities and probabilities. These
parameters are employed to avoid potential overflows/underflows in the calculations and the default
values seem to offer a good compromise. Function |
ygrid.tol |
Tolerance used to choose grid of response values for robust discrete models. Values smaller than 1e-160 are not allowed for. |
The underlying algorithm is described in ?gjrm.
There are many continuous/discrete distributions to choose from and we plan to include more options. Get in touch if you are interested in a particular distribution.
The "GEVlink" option is used for binary response additive models and is more stable and faster than the R package bgeva.
This model has been incorporated into this package to take advantage of the richer set of smoother choices, and of the
estimation approach. Details on the model can be found in Calabrese, Marra and Osmetti (2016).
The function returns an object of class gamlss as described in gamlssObject.
Convergence can be checked using conv.check which provides some
information about
the score and information matrix associated with the fitted model. The former should be close to 0 and the latter positive definite.
gamlss() will produce some warnings if there is a convergence issue.
Convergence failure may sometimes occur. This is not necessarily a bad thing as it may indicate specific problems
with a fitted model. In such a situation, the user may use rescaling (see parscale). However, the user should especially consider
re-specifying/simplifying the model, and/or checking that the chosen distribution fits the response well.
In our experience, we found that convergence failure typically occurs
when the model has been misspecified and/or the sample size is low compared to the complexity of the model.
It is also worth bearing in mind that the use of three parameter distributions requires the data
to be more informative than a situation in which two parameter distributions are used instead.
Maintainer: Giampiero Marra [email protected]
Aeberhard W.H., Cantoni E., Marra G., Radice R. (2021), Robust Fitting for Generalized Additive Models for Location, Scale and Shape. Statistics and Computing, 31(11), 1-16.
Eletti A., Marra G., Quaresma M., Radice R., Rubio F.J. (2022), A Unifying Framework for Flexible Excess Hazard Modeling with Applications in Cancer Epidemiology. Journal of the Royal Statistical Society Series C, 71(4), 1044-1062.
Marra G., Farcomeni A., Radice R. (2021), Link-Based Survival Additive Models under Mixed Censoring to Assess Risks of Hospital-Acquired Infections. Computational Statistics and Data Analysis, 155, 107092.
Marra G., Radice R. (2017), Bivariate Copula Additive Models for Location, Scale and Shape. Computational Statistics and Data Analysis, 112, 99-113.
Ranjbar S., Cantoni E., Chavez-Demoulin V., Marra G., Radice R., Jaton-Ogay K. (2022), Modelling the Extremes of Seasonal Viruses and Hospital Congestion: The Example of Flu in a Swiss Hospital. Journal of the Royal Statistical Society Series C, 71(4), 884-905.
Calabrese R., Marra G., Osmetti SA (2016), Bankruptcy Prediction of Small and Medium Enterprises Using a Flexible Binary Generalized Extreme Value Model. Journal of the Operational Research Society, 67(4), 604-615.
Marincioni V., Marra G., Altamirano-Medina H. (2018), Development of Predictive Models for the Probabilistic Moisture Risk Assessment of Internal Wall Insulation. Building and Environment, 137, 5257-267.
GJRM-package, gamlssObject, conv.check, summary.gamlss
## Not run: library(GJRM) set.seed(0) n <- 400 x1 <- round(runif(n)) x2 <- runif(n) x3 <- runif(n) f1 <- function(x) cos(pi*2*x) + sin(pi*x) y1 <- -1.55 + 2*x1 + f1(x2) + rnorm(n) dataSim <- data.frame(y1, x1, x2, x3) resp.check(y1, "N") eq.mu <- y1 ~ x1 + s(x2) + s(x3) eq.s <- ~ s(x3) fl <- list(eq.mu, eq.s) out <- gamlss(fl, data = dataSim) conv.check(out) res.check(out) plot(out, eq = 1, scale = 0, pages = 1, seWithMean = TRUE) plot(out, eq = 2, seWithMean = TRUE) summary(out) AIC(out) BIC(out) ################ # Robust example ################ eq.mu <- y1 ~ x1 + x2 + x3 fl <- list(eq.mu) out <- gamlss(fl, data = dataSim, family = "N", robust = TRUE, rc = 3, lB = -Inf, uB = Inf) conv.check(out) summary(out) rob.const(out, 100) ## eq.s <- ~ x3 fl <- list(eq.mu, eq.s) out <- gamlss(fl, data = dataSim, family = "N", robust = TRUE) conv.check(out) summary(out) ## eq.mu <- y1 ~ x1 + s(x2) + s(x3) eq.s <- ~ s(x3) fl <- list(eq.mu, eq.s) out1 <- gamlss(fl, data = dataSim, family = "N", robust = TRUE, sp.method = "efs") conv.check(out1) summary(out1) AIC(out, out1) plot(out1, eq = 1, all.terms = TRUE, pages = 1, seWithMean = TRUE) plot(out1, eq = 2, seWithMean = TRUE) ########################## ## GEV link binary example ########################## # this incorporates the bgeva # model implemented in the bgeva package # however this implementation is more general, # stable and efficient set.seed(0) n <- 400 x1 <- round(runif(n)); x2 <- runif(n); x3 <- runif(n) f1 <- function(x) cos(pi*2*x) + sin(pi*x) f2 <- function(x) x+exp(-30*(x-0.5)^2) y <- ifelse(-3.55 + 2*x1 + f1(x2) + rnorm(n) > 0, 1, 0) dataSim <- data.frame(y, x1, x2, x3) out1 <- gamlss(list(y ~ x1 + x2 + x3), family = "GEVlink", data = dataSim) out2 <- gamlss(list(y ~ x1 + s(x2) + s(x3)), family = "GEVlink", data = dataSim) conv.check(out1) conv.check(out2) summary(out1) summary(out2) AIC(out1, out2) BIC(out1, out2) plot(out2, eq = 1, all.terms = TRUE, pages = 1, seWithMean = TRUE) ################## # prediction of Pr ################## # Calculate eta (that is, X*model.coef) # For a new data set the argument newdata should be used eta <- predict(out2, eq = 1, type = "link") # extract gev tail parameter gev.par <- out2$gev.par # multiply gev tail parameter by eta gevpeta <- gev.par*eta # establish for which values the model is defined gevpetaIND <- ifelse(gevpeta < -1, FALSE, TRUE) gevpeta <- gevpeta[gevpetaIND] # estimate probabilities pr <- exp(-(1 + gevpeta)^(-1/gev.par)) ################################### ## Flexible survival model examples ################################### ## Simulate proportional hazards data ## set.seed(0) n <- 2000 c <- runif(n, 3, 8) u <- runif(n, 0, 1) z1 <- rbinom(n, 1, 0.5) z2 <- runif(n, 0, 1) t <- rep(NA, n) beta_0 <- -0.2357 beta_1 <- 1 f <- function(t, beta_0, beta_1, u, z1, z2){ S_0 <- 0.7 * exp(-0.03*t^1.9) + 0.3*exp(-0.3*t^2.5) exp(-exp(log(-log(S_0))+beta_0*z1 + beta_1*z2))-u } for (i in 1:n){ t[i] <- uniroot(f, c(0, 8), tol = .Machine$double.eps^0.5, beta_0 = beta_0, beta_1 = beta_1, u = u[i], z1 = z1[i], z2 = z2[i], extendInt = "yes" )$root } delta <- ifelse(t < c, 1, 0) u <- apply(cbind(t, c), 1, min) dataSim <- data.frame(u, delta, z1, z2) 1-mean(delta) # average censoring rate # log(u) helps obtaining smoother hazards out <- gamlss(list(u ~ s(log(u), bs = "mpi") + z1 + s(z2) ), data = dataSim, family = "-cloglog", cens = delta) res.check(out) summary(out) AIC(out) BIC(out) plot(out, eq = 1, scale = 0, pages = 1) haz.surv(out, newdata = data.frame(z1 = 0, z2 = 0), shade = TRUE, n.sim = 1000, baseline = TRUE) haz.surv(out, type = "haz", newdata = data.frame(z1 = 0, z2 = 0), shade = TRUE, n.sim = 1000, baseline = TRUE) # library(mgcv) # out1 <- mgcv::gam(u ~ z1 + s(z2), family = cox.ph(), # data = dataSim, weights = delta) # summary(out1) # estimates of z1 and s(z2) are # nearly identical between out and out1 ##################################### ## Simulate proportional odds data ## ##################################### set.seed(0) n <- 2000 c <- runif(n, 4, 8) u <- runif(n, 0, 1) z <- rbinom(n, 1, 0.5) beta_0 <- -1.05 t <- rep(NA, n) f <- function(t, beta_0, u, z){ S_0 <- 0.7 * exp(-0.03*t^1.9) + 0.3*exp(-0.3*t^2.5) 1/(1 + exp(log((1-S_0)/S_0)+beta_0*z))-u } for (i in 1:n){ t[i] <- uniroot(f, c(0, 8), tol = .Machine$double.eps^0.5, beta_0 = beta_0, u = u[i], z = z[i], extendInt="yes" )$root } delta <- ifelse(t < c,1, 0) u <- apply(cbind(t, c), 1, min) dataSim <- data.frame(u, delta, z) 1-mean(delta) # average censoring rate out <- gamlss(list(u ~ s(log(u), bs = "mpi") + z ), data = dataSim, family = "-logit", cens = delta) res.check(out) summary(out) AIC(out) BIC(out) plot(out, eq = 1, scale = 0) haz.surv(out, newdata = data.frame(z = 0), shade = TRUE, n.sim = 1000, baseline = TRUE) haz.surv(out, type = "haz", newdata = data.frame(z = 0), shade = TRUE, n.sim = 1000) ############################# ## Mixed censoring example ## ############################# f1 <- function(t, u, z1, z2, z3, z4, s1, s2){ S_0 <- 0.7 * exp(-0.03*t^1.8) + 0.3*exp(-0.3*t^2.5) exp( -exp(log(-log(S_0)) + 1.3*z1 + 0.5*z2 + s1(z3) + s2(z4) ) ) - u } datagen <- function(n, z1, z2, z3, z4, s1, s2, f1){ u <- runif(n, 0, 1) t <- rep(NA, n) for (i in 1:n) t[i] <- uniroot(f1, c(0, 100), tol = .Machine$double.eps^0.5, u = u[i], s1 = s1, s2 = s2, z1 = z1[i], z2 = z2[i], z3 = z3[i], z4 = z4[i], extendInt = "yes")$root c1 <- runif(n, 0, 2) c2 <- c1 + runif(n, 0, 6) df <- data.frame(u1 = t, u2 = t, cens = character(n), stringsAsFactors = FALSE) for (i in 1:n){ if(t[i] <= c1[i]) { df[i, 1] <- c1[i] df[i, 2] <- NA df[i, 3] <- "L" }else if(c1[i] < t[i] && t[i] <= c2[i]){ df[i, 1] <- c1[i] df[i, 2] <- c2[i] df[i, 3] <- "I" }else if(t[i] > c2[i]){ df[i, 1] <- c2[i] df[i, 2] <- NA df[i, 3] <- "R"} } uncens <- (df[, 3] %in% c("L", "I")) + (rbinom(n, 1, 0.2) == 1) == 2 df[uncens, 1] <- t[uncens] df[uncens, 2] <- NA df[uncens, 3] <- "U" dataSim <- data.frame(u1 = df$u1, u2 = df$u2, cens = as.factor(df$cens), z1, z2, z3, z4, t) dataSim } set.seed(0) n <- 1000 SigmaC <- matrix(0.5, 4, 4); diag(SigmaC) <- 1 cov <- rMVN(n, rep(0,4), SigmaC) cov <- pnorm(cov) z1 <- round(cov[, 1]) z2 <- round(cov[, 2]) z3 <- cov[, 3] z4 <- cov[, 4] s1 <- function(x) -0.075*exp(3.2 * x) s2 <- function(x) sin(2*pi*x) eq1 <- u1 ~ s(log(u1), bs = "mpi") + z1 + z2 + s(z3) + s(z4) dataSim <- datagen(n, z1, z2, z3, z4, s1, s2, f1) out <- gamlss(list(eq1), data = dataSim, family = "-cloglog", cens = cens, type.cen = "mixed", ub.t = "u2") conv.check(out) summary(out) plot(out, eq = 1, scale = 0, pages = 1) ndf <- data.frame(z1 = 1, z2 = 0, z3 = 0.2, z4 = 0.5) haz.surv(out, eq = 1, newdata = ndf, type = "surv") haz.surv(out, eq = 1, newdata = ndf, type = "haz", n.sim = 1000) ## End(Not run)## Not run: library(GJRM) set.seed(0) n <- 400 x1 <- round(runif(n)) x2 <- runif(n) x3 <- runif(n) f1 <- function(x) cos(pi*2*x) + sin(pi*x) y1 <- -1.55 + 2*x1 + f1(x2) + rnorm(n) dataSim <- data.frame(y1, x1, x2, x3) resp.check(y1, "N") eq.mu <- y1 ~ x1 + s(x2) + s(x3) eq.s <- ~ s(x3) fl <- list(eq.mu, eq.s) out <- gamlss(fl, data = dataSim) conv.check(out) res.check(out) plot(out, eq = 1, scale = 0, pages = 1, seWithMean = TRUE) plot(out, eq = 2, seWithMean = TRUE) summary(out) AIC(out) BIC(out) ################ # Robust example ################ eq.mu <- y1 ~ x1 + x2 + x3 fl <- list(eq.mu) out <- gamlss(fl, data = dataSim, family = "N", robust = TRUE, rc = 3, lB = -Inf, uB = Inf) conv.check(out) summary(out) rob.const(out, 100) ## eq.s <- ~ x3 fl <- list(eq.mu, eq.s) out <- gamlss(fl, data = dataSim, family = "N", robust = TRUE) conv.check(out) summary(out) ## eq.mu <- y1 ~ x1 + s(x2) + s(x3) eq.s <- ~ s(x3) fl <- list(eq.mu, eq.s) out1 <- gamlss(fl, data = dataSim, family = "N", robust = TRUE, sp.method = "efs") conv.check(out1) summary(out1) AIC(out, out1) plot(out1, eq = 1, all.terms = TRUE, pages = 1, seWithMean = TRUE) plot(out1, eq = 2, seWithMean = TRUE) ########################## ## GEV link binary example ########################## # this incorporates the bgeva # model implemented in the bgeva package # however this implementation is more general, # stable and efficient set.seed(0) n <- 400 x1 <- round(runif(n)); x2 <- runif(n); x3 <- runif(n) f1 <- function(x) cos(pi*2*x) + sin(pi*x) f2 <- function(x) x+exp(-30*(x-0.5)^2) y <- ifelse(-3.55 + 2*x1 + f1(x2) + rnorm(n) > 0, 1, 0) dataSim <- data.frame(y, x1, x2, x3) out1 <- gamlss(list(y ~ x1 + x2 + x3), family = "GEVlink", data = dataSim) out2 <- gamlss(list(y ~ x1 + s(x2) + s(x3)), family = "GEVlink", data = dataSim) conv.check(out1) conv.check(out2) summary(out1) summary(out2) AIC(out1, out2) BIC(out1, out2) plot(out2, eq = 1, all.terms = TRUE, pages = 1, seWithMean = TRUE) ################## # prediction of Pr ################## # Calculate eta (that is, X*model.coef) # For a new data set the argument newdata should be used eta <- predict(out2, eq = 1, type = "link") # extract gev tail parameter gev.par <- out2$gev.par # multiply gev tail parameter by eta gevpeta <- gev.par*eta # establish for which values the model is defined gevpetaIND <- ifelse(gevpeta < -1, FALSE, TRUE) gevpeta <- gevpeta[gevpetaIND] # estimate probabilities pr <- exp(-(1 + gevpeta)^(-1/gev.par)) ################################### ## Flexible survival model examples ################################### ## Simulate proportional hazards data ## set.seed(0) n <- 2000 c <- runif(n, 3, 8) u <- runif(n, 0, 1) z1 <- rbinom(n, 1, 0.5) z2 <- runif(n, 0, 1) t <- rep(NA, n) beta_0 <- -0.2357 beta_1 <- 1 f <- function(t, beta_0, beta_1, u, z1, z2){ S_0 <- 0.7 * exp(-0.03*t^1.9) + 0.3*exp(-0.3*t^2.5) exp(-exp(log(-log(S_0))+beta_0*z1 + beta_1*z2))-u } for (i in 1:n){ t[i] <- uniroot(f, c(0, 8), tol = .Machine$double.eps^0.5, beta_0 = beta_0, beta_1 = beta_1, u = u[i], z1 = z1[i], z2 = z2[i], extendInt = "yes" )$root } delta <- ifelse(t < c, 1, 0) u <- apply(cbind(t, c), 1, min) dataSim <- data.frame(u, delta, z1, z2) 1-mean(delta) # average censoring rate # log(u) helps obtaining smoother hazards out <- gamlss(list(u ~ s(log(u), bs = "mpi") + z1 + s(z2) ), data = dataSim, family = "-cloglog", cens = delta) res.check(out) summary(out) AIC(out) BIC(out) plot(out, eq = 1, scale = 0, pages = 1) haz.surv(out, newdata = data.frame(z1 = 0, z2 = 0), shade = TRUE, n.sim = 1000, baseline = TRUE) haz.surv(out, type = "haz", newdata = data.frame(z1 = 0, z2 = 0), shade = TRUE, n.sim = 1000, baseline = TRUE) # library(mgcv) # out1 <- mgcv::gam(u ~ z1 + s(z2), family = cox.ph(), # data = dataSim, weights = delta) # summary(out1) # estimates of z1 and s(z2) are # nearly identical between out and out1 ##################################### ## Simulate proportional odds data ## ##################################### set.seed(0) n <- 2000 c <- runif(n, 4, 8) u <- runif(n, 0, 1) z <- rbinom(n, 1, 0.5) beta_0 <- -1.05 t <- rep(NA, n) f <- function(t, beta_0, u, z){ S_0 <- 0.7 * exp(-0.03*t^1.9) + 0.3*exp(-0.3*t^2.5) 1/(1 + exp(log((1-S_0)/S_0)+beta_0*z))-u } for (i in 1:n){ t[i] <- uniroot(f, c(0, 8), tol = .Machine$double.eps^0.5, beta_0 = beta_0, u = u[i], z = z[i], extendInt="yes" )$root } delta <- ifelse(t < c,1, 0) u <- apply(cbind(t, c), 1, min) dataSim <- data.frame(u, delta, z) 1-mean(delta) # average censoring rate out <- gamlss(list(u ~ s(log(u), bs = "mpi") + z ), data = dataSim, family = "-logit", cens = delta) res.check(out) summary(out) AIC(out) BIC(out) plot(out, eq = 1, scale = 0) haz.surv(out, newdata = data.frame(z = 0), shade = TRUE, n.sim = 1000, baseline = TRUE) haz.surv(out, type = "haz", newdata = data.frame(z = 0), shade = TRUE, n.sim = 1000) ############################# ## Mixed censoring example ## ############################# f1 <- function(t, u, z1, z2, z3, z4, s1, s2){ S_0 <- 0.7 * exp(-0.03*t^1.8) + 0.3*exp(-0.3*t^2.5) exp( -exp(log(-log(S_0)) + 1.3*z1 + 0.5*z2 + s1(z3) + s2(z4) ) ) - u } datagen <- function(n, z1, z2, z3, z4, s1, s2, f1){ u <- runif(n, 0, 1) t <- rep(NA, n) for (i in 1:n) t[i] <- uniroot(f1, c(0, 100), tol = .Machine$double.eps^0.5, u = u[i], s1 = s1, s2 = s2, z1 = z1[i], z2 = z2[i], z3 = z3[i], z4 = z4[i], extendInt = "yes")$root c1 <- runif(n, 0, 2) c2 <- c1 + runif(n, 0, 6) df <- data.frame(u1 = t, u2 = t, cens = character(n), stringsAsFactors = FALSE) for (i in 1:n){ if(t[i] <= c1[i]) { df[i, 1] <- c1[i] df[i, 2] <- NA df[i, 3] <- "L" }else if(c1[i] < t[i] && t[i] <= c2[i]){ df[i, 1] <- c1[i] df[i, 2] <- c2[i] df[i, 3] <- "I" }else if(t[i] > c2[i]){ df[i, 1] <- c2[i] df[i, 2] <- NA df[i, 3] <- "R"} } uncens <- (df[, 3] %in% c("L", "I")) + (rbinom(n, 1, 0.2) == 1) == 2 df[uncens, 1] <- t[uncens] df[uncens, 2] <- NA df[uncens, 3] <- "U" dataSim <- data.frame(u1 = df$u1, u2 = df$u2, cens = as.factor(df$cens), z1, z2, z3, z4, t) dataSim } set.seed(0) n <- 1000 SigmaC <- matrix(0.5, 4, 4); diag(SigmaC) <- 1 cov <- rMVN(n, rep(0,4), SigmaC) cov <- pnorm(cov) z1 <- round(cov[, 1]) z2 <- round(cov[, 2]) z3 <- cov[, 3] z4 <- cov[, 4] s1 <- function(x) -0.075*exp(3.2 * x) s2 <- function(x) sin(2*pi*x) eq1 <- u1 ~ s(log(u1), bs = "mpi") + z1 + z2 + s(z3) + s(z4) dataSim <- datagen(n, z1, z2, z3, z4, s1, s2, f1) out <- gamlss(list(eq1), data = dataSim, family = "-cloglog", cens = cens, type.cen = "mixed", ub.t = "u2") conv.check(out) summary(out) plot(out, eq = 1, scale = 0, pages = 1) ndf <- data.frame(z1 = 1, z2 = 0, z3 = 0.2, z4 = 0.5) haz.surv(out, eq = 1, newdata = ndf, type = "surv") haz.surv(out, eq = 1, newdata = ndf, type = "haz", n.sim = 1000) ## End(Not run)
A fitted gamlss object returned by function gamlss and of class "gamlss" and "SemiParBIV".
fit |
List of values and diagnostics extracted from the output of the algorithm. |
gam1, gam2, gam3
|
Univariate starting values' fits. |
coefficients |
The coefficients of the fitted model. |
weights |
Prior weights used during model fitting. |
sp |
Estimated smoothing parameters of the smooth components. |
iter.sp |
Number of iterations performed for the smoothing parameter estimation step. |
iter.if |
Number of iterations performed in the initial step of the algorithm. |
iter.inner |
Number of iterations performed within the smoothing parameter estimation step. |
n |
Sample size. |
X1, X2, X3, ...
|
Design matrices associated with the linear predictors. |
X1.d2, X2.d2, X3.d2, ...
|
Number of columns of |
l.sp1, l.sp2, l.sp3, ...
|
Number of smooth components in the equations. |
He |
Penalized -hessian/Fisher. This is the same as |
HeSh |
Unpenalized -hessian/Fisher. |
Vb |
Inverse of |
F |
This is obtained multiplying Vb by HeSh. |
t.edf |
Total degrees of freedom of the estimated bivariate model. It is calculated as |
edf1, edf2, edf3, ...
|
Degrees of freedom for the model's equations. |
wor.c |
Working model quantities. |
eta1, eta2, eta3, ...
|
Estimated linear predictors. |
y1 |
Response. |
logLik |
Value of the (unpenalized) log-likelihood evaluated at the (penalized or unpenalized) parameter estimates. |
Maintainer: Giampiero Marra [email protected]
penalised network, work in progress.
ggmtrust(s, n, data = NULL, lambda = 1, pen = "lasso", params = NULL, method = "BHHH", w.alasso = NULL, gamma = 1, a = 3.7)ggmtrust(s, n, data = NULL, lambda = 1, pen = "lasso", params = NULL, method = "BHHH", w.alasso = NULL, gamma = 1, a = 3.7)
s |
Sample covariance matrix. |
n |
Sample size. |
data |
Data. |
lambda |
Regularisation parameter. |
pen |
Either "lasso" or "ridge". |
params |
If different from null then these are taken as the starting values. |
method |
Either "H" or "BHHH". |
w.alasso |
weight for alasso. |
gamma |
alasso param. |
a |
scad param. |
penalised network, work in progress.
The function returns an object of class ggmtrust.
gjrm fits flexible joint models with binary/continuous/discrete/survival margins, with several types of covariate
effects, copula and marginal distributions.
gjrm(formula, data = list(), weights = NULL, subset = NULL, offset1 = NULL, offset2 = NULL, copula = "N", copula2 = "N", margins, model, dof = 3, dof2 = 3, cens1 = NULL, cens2 = NULL, cens3 = NULL, dep.cens = FALSE, ub.t1 = NULL, ub.t2 = NULL, left.trunc1 = 0, left.trunc2 = 0, uni.fit = FALSE, fp = FALSE, infl.fac = 1, rinit = 1, rmax = 100, iterlimsp = 50, tolsp = 1e-07, gc.l = FALSE, parscale, knots = NULL, penCor = "unpen", sp.penCor = 3, Chol = FALSE, gamma = 1, w.alasso = NULL, drop.unused.levels = TRUE, min.dn = 1e-40, min.pr = 1e-16, max.pr = 0.999999)gjrm(formula, data = list(), weights = NULL, subset = NULL, offset1 = NULL, offset2 = NULL, copula = "N", copula2 = "N", margins, model, dof = 3, dof2 = 3, cens1 = NULL, cens2 = NULL, cens3 = NULL, dep.cens = FALSE, ub.t1 = NULL, ub.t2 = NULL, left.trunc1 = 0, left.trunc2 = 0, uni.fit = FALSE, fp = FALSE, infl.fac = 1, rinit = 1, rmax = 100, iterlimsp = 50, tolsp = 1e-07, gc.l = FALSE, parscale, knots = NULL, penCor = "unpen", sp.penCor = 3, Chol = FALSE, gamma = 1, w.alasso = NULL, drop.unused.levels = TRUE, min.dn = 1e-40, min.pr = 1e-16, max.pr = 0.999999)
formula |
In the basic setup this will be a list of two (or three) formulas, one for equation 1, the other for equation 2 and another one
for equation 3 if a trivariate model is fitted to the data. Otherwise, more equations can be used depending on the
number of distributional parameters. |
data |
A data frame. |
weights |
Optional vector of prior weights to be used in fitting. |
subset |
Optional vector specifying a subset of observations to be used in the fitting process. |
offset1, offset2
|
They can be used to supply model offsets for use in fitting. These have been introduced for dealing with offsets in the case of discrete marginal distributions. |
copula |
Type of bivariate error distribution employed. Possible choices are "N", "C0", "C90", "C180", "C270", "GAL0", "GAL90", "GAL180", "GAL270", "J0", "J90", "J180", "J270",
"G0", "G90", "G180", "G270", "F", "AMH", "FGM", "T", "PL", "HO" which stand for bivariate normal, Clayton, rotated Clayton (90 degrees),
survival Clayton,
rotated Clayton (270 degrees), Galambos, rotated Galambos (90 degrees),
survival Galambos,
rotated Galambos (270 degrees), Joe, rotated Joe (90 degrees), survival Joe, rotated Joe (270 degrees),
Gumbel, rotated Gumbel (90 degrees), survival Gumbel, rotated Gumbel (270 degrees), Frank, Ali-Mikhail-Haq,
Farlie-Gumbel-Morgenstern, Student-t with |
copula2 |
As above but used only for Roy models. |
margins |
It indicates the distributions used for margins. Possible distributions are normal ("N"), Tweedie ("TW"), log-normal ("LN"), Gumbel ("GU"), reverse Gumbel ("rGU"), logistic ("LO"), Weibull ("WEI"), Inverse Gaussian ("IG"), gamma ("GA"), Dagum ("DAGUM"), Singh-Maddala ("SM"), beta ("BE"), Fisk ("FISK", also known as log-logistic distribution), Poisson ("P"), truncated Poisson ("tP"), negative binomial - type I ("NBI"), negative binomial - type II ("NBII"), Poisson inverse Gaussian ("PIG"), truncated negative binomial - type I ("tNBI"), truncated negative binomial - type II ("tNBII"), truncated Poisson inverse Gaussian ("tPIG"). If the responses are binary then possible link functions are "probit", "logit", "cloglog". For survival models, the margins can be "-cloglog" (similar to generalised proportional hazards), "-logit" (similar to generalised proportional odds), "-probit" (generalised probit). For ordinal marginals, the choices are "ord.probit" and "ord.logit". For extreme value models, there are also options we are working on, which are already implemented in the univariate gamlss() function. These are the generelised Pareto ("GP"), generelised Pareto II ("GPII") where the shape parameter is forced to be > -0.5, generelised Pareto (with orthogonal parametrisation) ("GPo") where the shape parameter is forced to be > -0.5, discrete generelised Pareto ("DGP"), discrete generelised Pareto II ("DGPII") where the shape parameter is forced to be positive, discrete generelised Pareto derived under the scenario in which shape = 0 ("DGP0"). Regarding the Tweedie, this margin can currently only be used together with a binary margin; we are working on the discrete/continuous margin extension. |
model |
Possible values are "B" (bivariate model), "T" (trivariate model), "BSS" (bivariate model with non-random sample selection), "TSS" (trivariate model with double non-random sample selection), "TESS" (trivariate model with endogeneity and non-random sample selection), "BPO" (bivariate model with partial observability) and "BPO0" (bivariate model with partial observability and zero correlation). Options "T", "TESS" and "TSS" are currently for trivariate binary models only. "BPO" and "BPO0" are for bivariate binary models only. "ROY" is for the Roy switching regression model. |
dof |
If |
dof2 |
As above but used only for Roy models. |
cens1 |
Censoring indicator for the first equation. For the case of right censored data only, this variable can be equal to 1 if the event occurred
and 0 otherwise. However, if there are several censoring mechanisms then |
cens2 |
Same as above but for the second equation. |
cens3 |
Binary censoring indicator employed only when |
dep.cens |
If TRUE then the dependence censored model is employed. |
ub.t1, ub.t2
|
Variable names of right/upper bounds when interval censoring is present. |
left.trunc1, left.trunc2
|
Values of truncation at left. Currently done for count distributions only. |
uni.fit |
If |
fp |
If |
infl.fac |
Inflation factor for the model degrees of freedom in the approximate AIC. Smoother models can be obtained setting this parameter to a value greater than 1. |
rinit |
Starting trust region radius. The trust region radius is adjusted as the algorithm proceeds. See the documentation
of |
rmax |
Maximum allowed trust region radius. This may be set very large. If set small, the algorithm traces a steepest descent path. |
iterlimsp |
A positive integer specifying the maximum number of loops to be performed before the smoothing parameter estimation step is terminated. |
tolsp |
Tolerance to use in judging convergence of the algorithm when automatic smoothing parameter estimation is used. |
gc.l |
This is relevant when working with big datasets. If |
parscale |
The algorithm will operate as if optimizing objfun(x / parscale, ...) where parscale is a scalar. If missing then no
rescaling is done. See the
documentation of |
knots |
Optional list containing user specified knot values to be used for basis construction. |
penCor |
This and the arguments below are only for trivariate binary models. Type of penalty for correlation coefficients. Possible values are "unpen", "lasso", "ridge", "alasso". |
sp.penCor |
Starting value for smoothing parameter of |
Chol |
If |
gamma |
Inflation factor used only for the alasso penalty. |
w.alasso |
When using the alasso penalty a weight vector made up of three values must be provided. |
drop.unused.levels |
By default unused levels are dropped from factors before fitting. For some smooths involving factor variables this may have to be turned off (only use if you know what you are doing). |
min.dn, min.pr, max.pr
|
These values are used to set, depending on the model used for modelling, the minimum and maximum allowed
for the densities and probabilities; recall that the margins of copula models have to be in the range (0,1). These
parameters are employed to avoid potential overflows/underflows in the calculations and the default
values seem to offer a good compromise. Function |
The joint models considered by this function consist of two or three model equations which depend on flexible linear predictors and whose dependence between the responses is modelled through one or more parameters of a chosen multivariate distribution. The additive predictors of the equations are flexibly specified using parametric components and smooth functions of covariates. The same can be done for the dependence parameter(s) if it makes sense. Estimation is achieved within a penalized likelihood framework with integrated automatic multiple smoothing parameter selection. The use of penalty matrices allows for the suppression of that part of smooth term complexity which has no support from the data. The trade-off between smoothness and fitness is controlled by smoothing parameters associated with the penalty matrices. Smoothing parameters are chosen to minimise an approximate AIC.
For sample selection models, if there are factors in the model then before fitting the user has to ensure that the numbers of factor variables' levels in the selected sample are the same as those in the complete dataset. Even if a model could be fitted in such a situation, the model may produce fits which are not coherent with the nature of the correction sought. As an example consider the situation in which the complete dataset contains a factor variable with five levels and that only three of them appear in the selected sample. For the outcome equation (which is the one of interest) only three levels of such variable exist in the population, but their effects will be corrected for non-random selection using a selection equation in which five levels exist instead. Having differing numbers of factors' levels between complete and selected samples will also make prediction not feasible (an aspect which may be particularly important for selection models); clearly it is not possible to predict the response of interest for the missing entries using a dataset that contains all levels of a factor variable but using an outcome model estimated using a subset of these levels.
There are many continuous/discrete/survival distributions and copula functions to choose from and we plan to include more options. Get in touch if you are interested in a particular distribution.
The function returns an object of class gjrm as described in gjrmObject.
Convergence can be checked using conv.check which provides some
information about
the score and information matrix associated with the fitted model. The former should be close to 0 and the latter positive definite.
gjrm() will produce some warnings if there is a convergence issue.
Convergence failure may sometimes occur. This is not necessarily a bad thing as it may indicate specific problems
with a fitted model.
In such a situation, the user may use rescaling (see parscale). Using uni.fit = TRUE is typically more effective than the first two options as
this will provide better calibrated starting values as compared to those obtained from the default starting value procedure.
The default option is, however, uni.fit = FALSE only because it tends to be computationally cheaper and because the
default procedure has typically been found to do a satisfactory job in most cases.
(The results obtained when using
uni.fit = FALSE and uni.fit = TRUE could also be compared to check if starting values make any difference.)
The above suggestions may help, especially the latter option. However, the user should also consider re-specifying/simplifying the model, and/or using a diferrent dependence structure and/or checking that the chosen marginal distributions fit the responses well. In our experience, we found that convergence failure typically occurs when the model has been misspecified and/or the sample size is low compared to the complexity of the model. Examples of misspecification include using a Clayton copula rotated by 90 degrees when a positive association between the margins is present instead, using marginal distributions that do not fit the responses, and employing a copula which does not accommodate the type and/or strength of the dependence between the margins (e.g., using AMH when the association between the margins is strong). When using smooth functions, if the covariate's values are too sparse then convergence may be affected by this. It is also worth bearing in mind that the use of three parameter marginal distributions requires the data to be more informative than a situation in which two parameter distributions are used instead.
In the contexts of endogeneity and non-random sample selection, extra attention is required when specifying the dependence parameter as a function of covariates. This is because in these situations the dependence parameter mainly models the association between the unobserved confounders in the two equations. Therefore, this option would make sense when it is believed that the strength of the association between the unobservables in the two equations varies based on some grouping factor or across geographical areas, for instance. In any case, a clear rationale is typically needed in such cases.
Maintainer: Giampiero Marra [email protected]
See help("GJRM-package").
adjCov, VuongClarke, GJRM-package, gjrmObject, conv.check, summary.gjrm
library(GJRM) #################################### # JOINT MODELS WITH BINARY MARGINS # #################################### ############### ## EXAMPLE 1 ## set.seed(0) n <- 400 Sigma <- matrix(0.5, 2, 2); diag(Sigma) <- 1 u <- rMVN(n, rep(0,2), Sigma) x1 <- round(runif(n)); x2 <- runif(n); x3 <- runif(n) f1 <- function(x) cos(pi*2*x) + sin(pi*x) f2 <- function(x) x+exp(-30*(x-0.5)^2) y1 <- ifelse(-1.55 + 2*x1 + f1(x2) + u[,1] > 0, 1, 0) y2 <- ifelse(-0.25 - 1.25*x1 + f2(x2) + u[,2] > 0, 1, 0) dataSim <- data.frame(y1, y2, x1, x2, x3) ## CLASSIC BIVARIATE PROBIT out <- gjrm(list(y1 ~ x1 + x2 + x3, y2 ~ x1 + x2 + x3), data = dataSim, margins = c("probit", "probit"), model = "B") conv.check(out) summary(out) AIC(out) BIC(out) ## Not run: ## BIVARIATE PROBIT with Splines out <- gjrm(list(y1 ~ x1 + s(x2) + s(x3), y2 ~ x1 + s(x2) + s(x3)), data = dataSim, margins = c("probit", "probit"), model = "B") conv.check(out) summary(out) AIC(out) ## estimated smooth function plots plot(out, eq = 1, pages = 1, seWithMean = TRUE, scale = 0) plot(out, eq = 2, pages = 1, seWithMean = TRUE, scale = 0) ## BIVARIATE PROBIT with Splines and ## varying dependence parameter eq.mu.1 <- y1 ~ x1 + s(x2) eq.mu.2 <- y2 ~ x1 + s(x2) eq.theta <- ~ x1 + s(x2) fl <- list(eq.mu.1, eq.mu.2, eq.theta) outD <- gjrm(fl, data = dataSim, margins = c("probit", "probit"), model = "B") conv.check(outD) summary(outD) summary(outD$theta) plot(outD, eq = 1, seWithMean = TRUE) plot(outD, eq = 2, seWithMean = TRUE) plot(outD, eq = 3, seWithMean = TRUE) graphics.off() ############### ## EXAMPLE 2 ## ## Generate data with one endogenous variable ## and exclusion restriction (or instrument) set.seed(0) n <- 400 Sigma <- matrix(0.5, 2, 2); diag(Sigma) <- 1 u <- rMVN(n, rep(0,2), Sigma) cov <- rMVN(n, rep(0,2), Sigma) cov <- pnorm(cov) x1 <- round(cov[,1]); x2 <- cov[,2] f1 <- function(x) cos(pi*2*x) + sin(pi*x) f2 <- function(x) x+exp(-30*(x-0.5)^2) y1 <- ifelse(-1.55 + 2*x1 + f1(x2) + u[,1] > 0, 1, 0) y2 <- ifelse(-0.25 - 1.25*y1 + f2(x2) + u[,2] > 0, 1, 0) dataSim <- data.frame(y1, y2, x1, x2) # ## Testing the hypothesis of absence of endogeneity... # LM.bpm(list(y1 ~ x1 + s(x2), y2 ~ y1 + s(x2)), dataSim, model = "B") ## CLASSIC RECURSIVE BIVARIATE PROBIT out <- gjrm(list(y1 ~ x1 + x2, y2 ~ y1 + x2), data = dataSim, margins = c("probit", "probit"), model = "B") conv.check(out) summary(out) AIC(out); BIC(out) ## FLEXIBLE RECURSIVE BIVARIATE PROBIT out <- gjrm(list(y1 ~ x1 + s(x2), y2 ~ y1 + s(x2)), data = dataSim, margins = c("probit", "probit"), model = "B") conv.check(out) summary(out) AIC(out); BIC(out) # ## Testing the hypothesis of absence of endogeneity post estimation... gt.bpm(out) # ## Causal effects ## average treatment effect, risk ratio and odds ratio with CIs mb(y1, y2, model = "B") ATE(out, trt = "y1") RR(out, trt = "y1") OR(out, trt = "y1") ATE(out, trt = "y1", joint = FALSE) ## try a Clayton copula model... outC <- gjrm(list(y1 ~ x1 + s(x2), y2 ~ y1 + s(x2)), data = dataSim, copula = "C0", margins = c("probit", "probit"), model = "B") conv.check(outC) summary(outC) ATE(outC, trt = "y1") ## try a Joe copula model... outJ <- gjrm(list(y1 ~ x1 + s(x2), y2 ~ y1 + s(x2)), data = dataSim, copula = "J0", margins = c("probit", "probit"), model = "B") conv.check(outJ) summary(outJ) ATE(outJ, "y1") VuongClarke(out, outJ) # ## recursive bivariate probit modelling with unpenalized splines ## can be achieved as follows outFP <- gjrm(list(y1 ~ x1 + s(x2, bs = "cr", k = 5), y2 ~ y1 + s(x2, bs = "cr", k = 6)), fp = TRUE, data = dataSim, margins = c("probit", "probit"), model = "B") conv.check(outFP) summary(outFP) # in the above examples a third equation could be introduced # as illustrated in Example 1 ############### ## EXAMPLE 3 ## ## Generate data with a non-random sample selection mechanism ## and exclusion restriction set.seed(0) n <- 2000 Sigma <- matrix(0.5, 2, 2); diag(Sigma) <- 1 u <- rMVN(n, rep(0,2), Sigma) SigmaC <- matrix(0.5, 3, 3); diag(SigmaC) <- 1 cov <- rMVN(n, rep(0,3), SigmaC) cov <- pnorm(cov) bi <- round(cov[,1]); x1 <- cov[,2]; x2 <- cov[,3] f11 <- function(x) -0.7*(4*x + 2.5*x^2 + 0.7*sin(5*x) + cos(7.5*x)) f12 <- function(x) -0.4*( -0.3 - 1.6*x + sin(5*x)) f21 <- function(x) 0.6*(exp(x) + sin(2.9*x)) ys <- 0.58 + 2.5*bi + f11(x1) + f12(x2) + u[, 1] > 0 y <- -0.68 - 1.5*bi + f21(x1) + + u[, 2] > 0 yo <- y*(ys > 0) dataSim <- data.frame(y, ys, yo, bi, x1, x2) # ## Testing the hypothesis of absence of non-random sample selection... LM.bpm(list(ys ~ bi + s(x1) + s(x2), yo ~ bi + s(x1)), dataSim, model = "BSS") # p-value suggests presence of sample selection # ## SEMIPARAMETRIC SAMPLE SELECTION BIVARIATE PROBIT ## the first equation MUST be the selection equation out <- gjrm(list(ys ~ bi + s(x1) + s(x2), yo ~ bi + s(x1)), data = dataSim, model = "BSS", margins = c("probit", "probit")) conv.check(out) gt.bpm(out) ## compare the two summary outputs below ## the second output produces a summary of the results obtained when ## selection bias is not accounted for summary(out) summary(out$gam2) ## corrected predicted probability that 'yo' is equal to 1 mb(ys, yo, model = "BSS") prev(out) prev(out, joint = FALSE) ## estimated smooth function plots ## the red line is the true curve ## the blue line is the univariate model curve not accounting for selection bias x1.s <- sort(x1[dataSim$ys>0]) f21.x1 <- f21(x1.s)[order(x1.s)]-mean(f21(x1.s)) plot(out, eq = 2, ylim = c(-1.65,0.95)); lines(x1.s, f21.x1, col="red") par(new = TRUE) plot(out$gam2, se = FALSE, col = "blue", ylim = c(-1.65,0.95), ylab = "", rug = FALSE) # # ## try a Clayton copula model... outC <- gjrm(list(ys ~ bi + s(x1) + s(x2), yo ~ bi + s(x1)), data = dataSim, model = "BSS", copula = "C0", margins = c("probit", "probit")) conv.check(outC) summary(outC) prev(outC) ################ ## See also ?hiv ################ ############### ## EXAMPLE 4 ## ## Generate data with partial observability set.seed(0) n <- 1000 Sigma <- matrix(0.5, 2, 2); diag(Sigma) <- 1 u <- rMVN(n, rep(0,2), Sigma) x1 <- round(runif(n)); x2 <- runif(n); x3 <- runif(n) y1 <- ifelse(-1.55 + 2*x1 + x2 + u[,1] > 0, 1, 0) y2 <- ifelse( 0.45 - x3 + u[,2] > 0, 1, 0) y <- y1*y2 dataSim <- data.frame(y, x1, x2, x3) ## BIVARIATE PROBIT with Partial Observability out <- gjrm(list(y ~ x1 + x2, y ~ x3), data = dataSim, model = "BPO", margins = c("probit", "probit")) conv.check(out) summary(out) # first ten estimated probabilities for the four events from object out cbind(out$p11, out$p10, out$p00, out$p01)[1:10,] # case with smooth function f1 <- function(x) cos(pi*2*x) + sin(pi*x) y1 <- ifelse(-1.55 + 2*x1 + f1(x2) + u[,1] > 0, 1, 0) y2 <- ifelse( 0.45 - x3 + u[,2] > 0, 1, 0) y <- y1*y2 dataSim <- data.frame(y, x1, x2, x3) out <- gjrm(list(y ~ x1 + s(x2), y ~ x3), data = dataSim, model = "BPO", margins = c("probit", "probit")) conv.check(out) summary(out) plot(out, eq = 1, scale = 0) ################ ## See also ?war ################ ###################################################### # JOINT MODELS WITH BINARY AND/OR CONTINUOUS MARGINS # ###################################################### ############### ## EXAMPLE 5 ## ## Generate data ## Correlation between the two equations 0.5 - Sample size 400 set.seed(0) n <- 400 Sigma <- matrix(0.5, 2, 2); diag(Sigma) <- 1 u <- rMVN(n, rep(0,2), Sigma) x1 <- round(runif(n)); x2 <- runif(n); x3 <- runif(n) f1 <- function(x) cos(pi*2*x) + sin(pi*x) f2 <- function(x) x+exp(-30*(x-0.5)^2) y1 <- -1.55 + 2*x1 + f1(x2) + u[,1] y2 <- -0.25 - 1.25*x1 + f2(x2) + u[,2] dataSim <- data.frame(y1, y2, x1, x2, x3) resp.check(y1, "N") resp.check(y2, "N") eq.mu.1 <- y1 ~ x1 + s(x2) + s(x3) eq.mu.2 <- y2 ~ x1 + s(x2) + s(x3) eq.sigma1 <- ~ 1 eq.sigma2 <- ~ 1 eq.theta <- ~ x1 fl <- list(eq.mu.1, eq.mu.2, eq.sigma1, eq.sigma2, eq.theta) # the order above is the one to follow when # using more than two equations out <- gjrm(fl, data = dataSim, margins = c("N", "N"), model = "B") conv.check(out) res.check(out) summary(out) AIC(out) BIC(out) nd <- data.frame(x1 = 1, x2 = 0.4, x3 = 0.6) copula.prob(out, y1 = 1.4, y2 = 2.3, newdata = nd, intervals = TRUE) ############### ## EXAMPLE 6 ## ## Generate data with one endogenous binary variable ## and continuous outcome set.seed(0) n <- 1000 Sigma <- matrix(0.5, 2, 2); diag(Sigma) <- 1 u <- rMVN(n, rep(0,2), Sigma) cov <- rMVN(n, rep(0,2), Sigma) cov <- pnorm(cov) x1 <- round(cov[,1]); x2 <- cov[,2] f1 <- function(x) cos(pi*2*x) + sin(pi*x) f2 <- function(x) x+exp(-30*(x-0.5)^2) y1 <- ifelse(-1.55 + 2*x1 + f1(x2) + u[,1] > 0, 1, 0) y2 <- -0.25 - 1.25*y1 + f2(x2) + u[,2] dataSim <- data.frame(y1, y2, x1, x2) ## RECURSIVE Model rc <- resp.check(y2, margin = "N", print.par = TRUE, loglik = TRUE) AIC(rc); BIC(rc) out <- gjrm(list(y1 ~ x1 + x2, y2 ~ y1 + x2), data = dataSim, margins = c("probit","N"), model = "B") conv.check(out) summary(out) res.check(out) ## SEMIPARAMETRIC RECURSIVE Model eq.mu.1 <- y1 ~ x1 + s(x2) eq.mu.2 <- y2 ~ y1 + s(x2) eq.sigma <- ~ 1 eq.theta <- ~ 1 fl <- list(eq.mu.1, eq.mu.2, eq.sigma, eq.theta) out <- gjrm(fl, data = dataSim, margins = c("probit","N"), uni.fit = TRUE, model = "B") conv.check(out) summary(out) res.check(out) ATE(out, trt = "y1") ATE(out, trt = "y1", joint = FALSE) # # ############### ## EXAMPLE 7 ## ## Generate data with one endogenous continuous exposure ## and binary outcome set.seed(0) n <- 1000 Sigma <- matrix(0.5, 2, 2); diag(Sigma) <- 1 u <- rMVN(n, rep(0,2), Sigma) cov <- rMVN(n, rep(0,2), Sigma) cov <- pnorm(cov) x1 <- round(cov[,1]); x2 <- cov[,2] f1 <- function(x) cos(pi*2*x) + sin(pi*x) f2 <- function(x) x+exp(-30*(x-0.5)^2) y1 <- -0.25 - 2*x1 + f2(x2) + u[,2] y2 <- ifelse(-0.25 - 0.25*y1 + f1(x2) + u[,1] > 0, 1, 0) dataSim <- data.frame(y1, y2, x1, x2) eq.mu.1 <- y2 ~ y1 + s(x2) eq.mu.2 <- y1 ~ x1 + s(x2) eq.sigma <- ~ 1 eq.theta <- ~ 1 fl <- list(eq.mu.1, eq.mu.2, eq.sigma, eq.theta) out <- gjrm(fl, data = dataSim, margins = c("probit","N"), model = "B") conv.check(out) summary(out) res.check(out) ATE(out, trt = "y1") ATE(out, trt = "y1", joint = FALSE) RR(out, trt = "y1") RR(out, trt = "y1", joint = FALSE) OR(out, trt = "y1") OR(out, trt = "y1", joint = FALSE) # # ##################### ## EXAMPLE 8 ## ## SURVIVAL MODELS ## set.seed(0) n <- 2000 c <- runif(n, 3, 8) u <- runif(n, 0, 1) z1 <- rbinom(n, 1, 0.5) z2 <- runif(n, 0, 1) t <- rep(NA, n) beta_0 <- -0.2357 beta_1 <- 1 f <- function(t, beta_0, beta_1, u, z1, z2){ S_0 <- 0.7 * exp(-0.03*t^1.9) + 0.3*exp(-0.3*t^2.5) exp(-exp(log(-log(S_0))+beta_0*z1 + beta_1*z2))-u } for (i in 1:n){ t[i] <- uniroot(f, c(0, 8), tol = .Machine$double.eps^0.5, beta_0 = beta_0, beta_1 = beta_1, u = u[i], z1 = z1[i], z2 = z2[i], extendInt = "yes" )$root } delta1 <- ifelse(t < c, 1, 0) u1 <- apply(cbind(t, c), 1, min) dataSim <- data.frame(u1, delta1, z1, z2) c <- runif(n, 4, 8) u <- runif(n, 0, 1) z <- rbinom(n, 1, 0.5) beta_0 <- -1.05 t <- rep(NA, n) f <- function(t, beta_0, u, z){ S_0 <- 0.7 * exp(-0.03*t^1.9) + 0.3*exp(-0.3*t^2.5) 1/(1 + exp(log((1-S_0)/S_0)+beta_0*z))-u } for (i in 1:n){ t[i] <- uniroot(f, c(0, 8), tol = .Machine$double.eps^0.5, beta_0 = beta_0, u = u[i], z = z[i], extendInt="yes" )$root } delta2 <- ifelse(t < c,1, 0) u2 <- apply(cbind(t, c), 1, min) dataSim$delta2 <- delta2 dataSim$u2 <- u2 dataSim$z <- z eq1 <- u1 ~ s(log(u1), bs = "mpi") + z1 + s(z2) eq2 <- u2 ~ s(log(u2), bs = "mpi") + z eq3 <- ~ s(z2) out <- gjrm(list(eq1, eq2), data = dataSim, margins = c("-cloglog", "-logit"), cens1 = delta1, cens2 = delta2, model = "B") # PH margin fit can also be compared with cox.ph from mgcv conv.check(out) res <- res.check(out) ## martingale residuals mr1 <- out$cens1 - res$qr1 mr2 <- out$cens2 - res$qr2 # can be plotted against covariates # obs index, survival time, rank order of # surv times # to determine func form, one may use # res from null model against covariate # to test for PH, use: # library(survival) # fit <- coxph(Surv(u1, delta1) ~ z1 + z2, data = dataSim) # temp <- cox.zph(fit) # print(temp) # plot(temp, resid = FALSE) summary(out) AIC(out); BIC(out) plot(out, eq = 1, scale = 0, pages = 1) plot(out, eq = 2, scale = 0, pages = 1) haz.surv(out, eq = 1, newdata = data.frame(z1 = 0, z2 = 0), shade = TRUE, n.sim = 100, baseline = TRUE) haz.surv(out, eq = 1, newdata = data.frame(z1 = 0, z2 = 0), shade = TRUE, n.sim = 100, type = "haz", baseline = TRUE, intervals = FALSE) haz.surv(out, eq = 2, newdata = data.frame(z = 0), shade = FALSE, n.sim = 100, baseline = TRUE) haz.surv(out, eq = 2, newdata = data.frame(z = 0), shade = TRUE, n.sim = 100, type = "haz", baseline = TRUE) newd0 <- newd1 <- data.frame(z = 0, z1 = mean(dataSim$z1), z2 = mean(dataSim$z2), u1 = mean(dataSim$u1) + 1, u2 = mean(dataSim$u2) + 1) newd1$z <- 1 copula.prob(out, newdata = newd0, intervals = TRUE) copula.prob(out, newdata = newd1, intervals = TRUE) out1 <- gjrm(list(eq1, eq2, eq3), data = dataSim, margins = c("-cloglog", "-logit"), cens1 = delta1, cens2 = delta2, uni.fit = TRUE, model = "B") #################################################### ## Joint continuous and survival outcomes #################################################### # this is complete, just testing, get in touch if interested # # eq1 <- z2 ~ z1 # eq2 <- u2 ~ s(u2, bs = "mpi") + z # eq3 <- ~ s(z2) # eq4 <- ~ s(z2) # # f.l <- list(eq1, eq2, eq3, eq4) # # out3 <- gjrm(f.l, data = dataSim, # margins = c("N", "-logit"), # cens1 = NULL, cens2 = delta2, # uni.fit = TRUE, model = "B") # # conv.check(out3) # res.check(out3) # summary(out3) # AIC(out3); BIC(out3) # plot(out3, eq = 2, scale = 0, pages = 1) # plot(out3, eq = 3, scale = 0, pages = 1) # plot(out3, eq = 4, scale = 0, pages = 1) # # newd <- newd1 <- data.frame(z = 0, z1 = mean(dataSim$z1), # z2 = mean(dataSim$z2), # u2 = mean(dataSim$u2) + 1) # # copula.prob(out3, y1 = 0.6, newdata = newd, intervals = TRUE) ########################################## # JOINT MODELS WITH THREE BINARY MARGINS # ########################################## ############### ## EXAMPLE 9 ## ## Generate data ## Correlation between the two equations 0.5 - Sample size 400 set.seed(0) n <- 400 Sigma <- matrix(0.5, 3, 3); diag(Sigma) <- 1 u <- rMVN(n, rep(0,3), Sigma) x1 <- round(runif(n)); x2 <- runif(n); x3 <- runif(n) f1 <- function(x) cos(pi*2*x) + sin(pi*x) f2 <- function(x) x+exp(-30*(x-0.5)^2) y1 <- ifelse(-1.55 + 2*x1 - f1(x2) + u[,1] > 0, 1, 0) y2 <- ifelse(-0.25 - 1.25*x1 + f2(x2) + u[,2] > 0, 1, 0) y3 <- ifelse(-0.75 + 0.25*x1 + u[,3] > 0, 1, 0) dataSim <- data.frame(y1, y2, y3, x1, x2) f.l <- list(y1 ~ x1 + s(x2), y2 ~ x1 + s(x2), y3 ~ x1) margs <- c("probit", "probit", "probit") out <- gjrm(f.l, data = dataSim, model = "T", margins = margs) out1 <- gjrm(f.l, data = dataSim, Chol = TRUE, model = "T", margins = margs) conv.check(out) summary(out) plot(out, eq = 1) plot(out, eq = 2) AIC(out) BIC(out) margs <- c("probit","logit","cloglog") out <- gjrm(f.l, data = dataSim, model = "T", margins = margs) out1 <- gjrm(f.l, data = dataSim, Chol = TRUE, model = "T", margins = margs) conv.check(out) summary(out) plot(out, eq = 1) plot(out, eq = 2) AIC(out) BIC(out) margs <- c("probit", "probit", "probit") f.l <- list(y1 ~ x1 + s(x2), y2 ~ x1 + s(x2), y3 ~ x1, ~ 1, ~ 1, ~ 1) out1 <- gjrm(f.l, data = dataSim, Chol = TRUE, model = "T", margins = margs) f.l <- list(y1 ~ x1 + s(x2), y2 ~ x1 + s(x2), y3 ~ x1, ~ 1, ~ s(x2), ~ 1) out2 <- gjrm(f.l, data = dataSim, Chol = TRUE, model = "T", margins = margs) f.l <- list(y1 ~ x1 + s(x2), y2 ~ x1 + s(x2), y3 ~ x1, ~ x1, ~ s(x2), ~ x1 + s(x2)) out2 <- gjrm(f.l, data = dataSim, Chol = TRUE, model = "T", margins = margs) f.l <- list(y1 ~ x1 + s(x2), y2 ~ x1 + s(x2), y3 ~ x1, ~ x1, ~ x1, ~ s(x2)) out2 <- gjrm(f.l, data = dataSim, Chol = TRUE, model = "T", margins = margs) f.l <- list(y1 ~ x1 + s(x2), y2 ~ x1 + s(x2), y3 ~ x1, ~ x1, ~ x1 + x2, ~ s(x2)) out2 <- gjrm(f.l, data = dataSim, Chol = TRUE, model = "T", margins = margs) f.l <- list(y1 ~ x1 + s(x2), y2 ~ x1 + s(x2), y3 ~ x1, ~ x1 + x2, ~ x1 + x2, ~ x1 + x2) out2 <- gjrm(f.l, data = dataSim, Chol = TRUE, model = "T", margins = margs) nw <- data.frame( x1 = 0, x2 = 0.7 ) copula.prob(out2, 1, 1, 1, newdata = nw, cond = 0, intervals = TRUE, n.sim = 100) # with endogenous variable f.l <- list(y1 ~ x1 + s(x2), y2 ~ y1 + x1 + s(x2), y3 ~ x1) margs <- c("probit", "probit", "probit") out <- gjrm(f.l, data = dataSim, model = "T", margins = margs) conv.check(out) summary(out) ATE(out, trt = "y1", eq = 2, joint = TRUE) ATE(out, trt = "y1", eq = 2, joint = FALSE) ################ ## EXAMPLE 10 ## ## Generate data ## with double sample selection set.seed(0) n <- 5000 Sigma <- matrix(c(1, 0.5, 0.4, 0.5, 1, 0.6, 0.4, 0.6, 1 ), 3, 3) u <- rMVN(n, rep(0,3), Sigma) f1 <- function(x) cos(pi*2*x) + sin(pi*x) f2 <- function(x) x+exp(-30*(x-0.5)^2) x1 <- runif(n) x2 <- runif(n) x3 <- runif(n) x4 <- runif(n) y1 <- 1 + 1.5*x1 - x2 + 0.8*x3 - f1(x4) + u[, 1] > 0 y2 <- 1 - 2.5*x1 + 1.2*x2 + x3 + u[, 2] > 0 y3 <- 1.58 + 1.5*x1 - f2(x2) + u[, 3] > 0 dataSim <- data.frame(y1, y2, y3, x1, x2, x3, x4) f.l <- list(y1 ~ x1 + x2 + x3 + s(x4), y2 ~ x1 + x2 + x3, y3 ~ x1 + s(x2)) out <- gjrm(f.l, data = dataSim, model = "TSS", margins = c("probit", "probit", "probit")) conv.check(out) summary(out) plot(out, eq = 1) plot(out, eq = 3) prev(out) prev(out, joint = FALSE) ############# ## EXAMPLE 11 set.seed(0) n <- 2000 rh <- 0.5 sigmau <- matrix(c(1, rh, rh, 1), 2, 2) u <- rMVN(n, rep(0,2), sigmau) sigmac <- matrix(rh, 3, 3); diag(sigmac) <- 1 cov <- rMVN(n, rep(0,3), sigmac) cov <- pnorm(cov) bi <- round(cov[,1]); x1 <- cov[,2]; x2 <- cov[,3] f11 <- function(x) -0.7*(4*x + 2.5*x^2 + 0.7*sin(5*x) + cos(7.5*x)) f12 <- function(x) -0.4*( -0.3 - 1.6*x + sin(5*x)) f21 <- function(x) 0.6*(exp(x) + sin(2.9*x)) ys <- 0.58 + 2.5*bi + f11(x1) + f12(x2) + u[, 1] > 0 y <- -0.68 - 1.5*bi + f21(x1) + u[, 2] yo <- y*(ys > 0) dataSim <- data.frame(ys, yo, bi, x1, x2) ## CLASSIC SAMPLE SELECTION MODEL ## the first equation MUST be the selection equation resp.check(yo[ys > 0], "N") out <- gjrm(list(ys ~ bi + x1 + x2, yo ~ bi + x1), data = dataSim, model = "BSS", margins = c("probit", "N")) conv.check(out) res.check(out) summary(out) AIC(out) BIC(out) ## SEMIPARAMETRIC SAMPLE SELECTION MODEL out <- gjrm(list(ys ~ bi + s(x1) + s(x2), yo ~ bi + s(x1)), data = dataSim, model = "BSS", margins = c("probit", "N")) conv.check(out) res.check(out) AIC(out) ## compare the two summary outputs ## the second output produces a summary of the results obtained when only ## the outcome equation is fitted, i.e. selection bias is not accounted for summary(out) summary(out$gam2) ## estimated smooth function plots ## the red line is the true curve ## the blue line is the naive curve not accounting for selection bias x1.s <- sort(x1[dataSim$ys>0]) f21.x1 <- f21(x1.s)[order(x1.s)] - mean(f21(x1.s)) plot(out, eq = 2, ylim = c(-1, 0.8)); lines(x1.s, f21.x1, col = "red") par(new = TRUE) plot(out$gam2, se = FALSE, lty = 3, lwd = 2, ylim = c(-1, 0.8), ylab = "", rug = FALSE) ## ## SEMIPARAMETRIC SAMPLE SELECTION MODEL with association ## and dispersion parameters ## depending on covariates as well eq.mu.1 <- ys ~ bi + s(x1) + s(x2) eq.mu.2 <- yo ~ bi + s(x1) eq.sigma <- ~ bi eq.theta <- ~ bi + x1 fl <- list(eq.mu.1, eq.mu.2, eq.sigma, eq.theta) out <- gjrm(fl, data = dataSim, model = "BSS", margins = c("probit", "N")) conv.check(out) res.check(out) summary(out) summary(out$sigma) summary(out$theta) nd <- data.frame(bi = 0, x1 = 0.2, x2 = 0.8) copula.prob(out, 0, 0.3, newdata = nd, intervals = TRUE) outC0 <- gjrm(fl, data = dataSim, copula = "C0", model = "BSS", margins = c("probit", "N")) conv.check(outC0) res.check(outC0) AIC(out, outC0) BIC(out, outC0) ## End(Not run)library(GJRM) #################################### # JOINT MODELS WITH BINARY MARGINS # #################################### ############### ## EXAMPLE 1 ## set.seed(0) n <- 400 Sigma <- matrix(0.5, 2, 2); diag(Sigma) <- 1 u <- rMVN(n, rep(0,2), Sigma) x1 <- round(runif(n)); x2 <- runif(n); x3 <- runif(n) f1 <- function(x) cos(pi*2*x) + sin(pi*x) f2 <- function(x) x+exp(-30*(x-0.5)^2) y1 <- ifelse(-1.55 + 2*x1 + f1(x2) + u[,1] > 0, 1, 0) y2 <- ifelse(-0.25 - 1.25*x1 + f2(x2) + u[,2] > 0, 1, 0) dataSim <- data.frame(y1, y2, x1, x2, x3) ## CLASSIC BIVARIATE PROBIT out <- gjrm(list(y1 ~ x1 + x2 + x3, y2 ~ x1 + x2 + x3), data = dataSim, margins = c("probit", "probit"), model = "B") conv.check(out) summary(out) AIC(out) BIC(out) ## Not run: ## BIVARIATE PROBIT with Splines out <- gjrm(list(y1 ~ x1 + s(x2) + s(x3), y2 ~ x1 + s(x2) + s(x3)), data = dataSim, margins = c("probit", "probit"), model = "B") conv.check(out) summary(out) AIC(out) ## estimated smooth function plots plot(out, eq = 1, pages = 1, seWithMean = TRUE, scale = 0) plot(out, eq = 2, pages = 1, seWithMean = TRUE, scale = 0) ## BIVARIATE PROBIT with Splines and ## varying dependence parameter eq.mu.1 <- y1 ~ x1 + s(x2) eq.mu.2 <- y2 ~ x1 + s(x2) eq.theta <- ~ x1 + s(x2) fl <- list(eq.mu.1, eq.mu.2, eq.theta) outD <- gjrm(fl, data = dataSim, margins = c("probit", "probit"), model = "B") conv.check(outD) summary(outD) summary(outD$theta) plot(outD, eq = 1, seWithMean = TRUE) plot(outD, eq = 2, seWithMean = TRUE) plot(outD, eq = 3, seWithMean = TRUE) graphics.off() ############### ## EXAMPLE 2 ## ## Generate data with one endogenous variable ## and exclusion restriction (or instrument) set.seed(0) n <- 400 Sigma <- matrix(0.5, 2, 2); diag(Sigma) <- 1 u <- rMVN(n, rep(0,2), Sigma) cov <- rMVN(n, rep(0,2), Sigma) cov <- pnorm(cov) x1 <- round(cov[,1]); x2 <- cov[,2] f1 <- function(x) cos(pi*2*x) + sin(pi*x) f2 <- function(x) x+exp(-30*(x-0.5)^2) y1 <- ifelse(-1.55 + 2*x1 + f1(x2) + u[,1] > 0, 1, 0) y2 <- ifelse(-0.25 - 1.25*y1 + f2(x2) + u[,2] > 0, 1, 0) dataSim <- data.frame(y1, y2, x1, x2) # ## Testing the hypothesis of absence of endogeneity... # LM.bpm(list(y1 ~ x1 + s(x2), y2 ~ y1 + s(x2)), dataSim, model = "B") ## CLASSIC RECURSIVE BIVARIATE PROBIT out <- gjrm(list(y1 ~ x1 + x2, y2 ~ y1 + x2), data = dataSim, margins = c("probit", "probit"), model = "B") conv.check(out) summary(out) AIC(out); BIC(out) ## FLEXIBLE RECURSIVE BIVARIATE PROBIT out <- gjrm(list(y1 ~ x1 + s(x2), y2 ~ y1 + s(x2)), data = dataSim, margins = c("probit", "probit"), model = "B") conv.check(out) summary(out) AIC(out); BIC(out) # ## Testing the hypothesis of absence of endogeneity post estimation... gt.bpm(out) # ## Causal effects ## average treatment effect, risk ratio and odds ratio with CIs mb(y1, y2, model = "B") ATE(out, trt = "y1") RR(out, trt = "y1") OR(out, trt = "y1") ATE(out, trt = "y1", joint = FALSE) ## try a Clayton copula model... outC <- gjrm(list(y1 ~ x1 + s(x2), y2 ~ y1 + s(x2)), data = dataSim, copula = "C0", margins = c("probit", "probit"), model = "B") conv.check(outC) summary(outC) ATE(outC, trt = "y1") ## try a Joe copula model... outJ <- gjrm(list(y1 ~ x1 + s(x2), y2 ~ y1 + s(x2)), data = dataSim, copula = "J0", margins = c("probit", "probit"), model = "B") conv.check(outJ) summary(outJ) ATE(outJ, "y1") VuongClarke(out, outJ) # ## recursive bivariate probit modelling with unpenalized splines ## can be achieved as follows outFP <- gjrm(list(y1 ~ x1 + s(x2, bs = "cr", k = 5), y2 ~ y1 + s(x2, bs = "cr", k = 6)), fp = TRUE, data = dataSim, margins = c("probit", "probit"), model = "B") conv.check(outFP) summary(outFP) # in the above examples a third equation could be introduced # as illustrated in Example 1 ############### ## EXAMPLE 3 ## ## Generate data with a non-random sample selection mechanism ## and exclusion restriction set.seed(0) n <- 2000 Sigma <- matrix(0.5, 2, 2); diag(Sigma) <- 1 u <- rMVN(n, rep(0,2), Sigma) SigmaC <- matrix(0.5, 3, 3); diag(SigmaC) <- 1 cov <- rMVN(n, rep(0,3), SigmaC) cov <- pnorm(cov) bi <- round(cov[,1]); x1 <- cov[,2]; x2 <- cov[,3] f11 <- function(x) -0.7*(4*x + 2.5*x^2 + 0.7*sin(5*x) + cos(7.5*x)) f12 <- function(x) -0.4*( -0.3 - 1.6*x + sin(5*x)) f21 <- function(x) 0.6*(exp(x) + sin(2.9*x)) ys <- 0.58 + 2.5*bi + f11(x1) + f12(x2) + u[, 1] > 0 y <- -0.68 - 1.5*bi + f21(x1) + + u[, 2] > 0 yo <- y*(ys > 0) dataSim <- data.frame(y, ys, yo, bi, x1, x2) # ## Testing the hypothesis of absence of non-random sample selection... LM.bpm(list(ys ~ bi + s(x1) + s(x2), yo ~ bi + s(x1)), dataSim, model = "BSS") # p-value suggests presence of sample selection # ## SEMIPARAMETRIC SAMPLE SELECTION BIVARIATE PROBIT ## the first equation MUST be the selection equation out <- gjrm(list(ys ~ bi + s(x1) + s(x2), yo ~ bi + s(x1)), data = dataSim, model = "BSS", margins = c("probit", "probit")) conv.check(out) gt.bpm(out) ## compare the two summary outputs below ## the second output produces a summary of the results obtained when ## selection bias is not accounted for summary(out) summary(out$gam2) ## corrected predicted probability that 'yo' is equal to 1 mb(ys, yo, model = "BSS") prev(out) prev(out, joint = FALSE) ## estimated smooth function plots ## the red line is the true curve ## the blue line is the univariate model curve not accounting for selection bias x1.s <- sort(x1[dataSim$ys>0]) f21.x1 <- f21(x1.s)[order(x1.s)]-mean(f21(x1.s)) plot(out, eq = 2, ylim = c(-1.65,0.95)); lines(x1.s, f21.x1, col="red") par(new = TRUE) plot(out$gam2, se = FALSE, col = "blue", ylim = c(-1.65,0.95), ylab = "", rug = FALSE) # # ## try a Clayton copula model... outC <- gjrm(list(ys ~ bi + s(x1) + s(x2), yo ~ bi + s(x1)), data = dataSim, model = "BSS", copula = "C0", margins = c("probit", "probit")) conv.check(outC) summary(outC) prev(outC) ################ ## See also ?hiv ################ ############### ## EXAMPLE 4 ## ## Generate data with partial observability set.seed(0) n <- 1000 Sigma <- matrix(0.5, 2, 2); diag(Sigma) <- 1 u <- rMVN(n, rep(0,2), Sigma) x1 <- round(runif(n)); x2 <- runif(n); x3 <- runif(n) y1 <- ifelse(-1.55 + 2*x1 + x2 + u[,1] > 0, 1, 0) y2 <- ifelse( 0.45 - x3 + u[,2] > 0, 1, 0) y <- y1*y2 dataSim <- data.frame(y, x1, x2, x3) ## BIVARIATE PROBIT with Partial Observability out <- gjrm(list(y ~ x1 + x2, y ~ x3), data = dataSim, model = "BPO", margins = c("probit", "probit")) conv.check(out) summary(out) # first ten estimated probabilities for the four events from object out cbind(out$p11, out$p10, out$p00, out$p01)[1:10,] # case with smooth function f1 <- function(x) cos(pi*2*x) + sin(pi*x) y1 <- ifelse(-1.55 + 2*x1 + f1(x2) + u[,1] > 0, 1, 0) y2 <- ifelse( 0.45 - x3 + u[,2] > 0, 1, 0) y <- y1*y2 dataSim <- data.frame(y, x1, x2, x3) out <- gjrm(list(y ~ x1 + s(x2), y ~ x3), data = dataSim, model = "BPO", margins = c("probit", "probit")) conv.check(out) summary(out) plot(out, eq = 1, scale = 0) ################ ## See also ?war ################ ###################################################### # JOINT MODELS WITH BINARY AND/OR CONTINUOUS MARGINS # ###################################################### ############### ## EXAMPLE 5 ## ## Generate data ## Correlation between the two equations 0.5 - Sample size 400 set.seed(0) n <- 400 Sigma <- matrix(0.5, 2, 2); diag(Sigma) <- 1 u <- rMVN(n, rep(0,2), Sigma) x1 <- round(runif(n)); x2 <- runif(n); x3 <- runif(n) f1 <- function(x) cos(pi*2*x) + sin(pi*x) f2 <- function(x) x+exp(-30*(x-0.5)^2) y1 <- -1.55 + 2*x1 + f1(x2) + u[,1] y2 <- -0.25 - 1.25*x1 + f2(x2) + u[,2] dataSim <- data.frame(y1, y2, x1, x2, x3) resp.check(y1, "N") resp.check(y2, "N") eq.mu.1 <- y1 ~ x1 + s(x2) + s(x3) eq.mu.2 <- y2 ~ x1 + s(x2) + s(x3) eq.sigma1 <- ~ 1 eq.sigma2 <- ~ 1 eq.theta <- ~ x1 fl <- list(eq.mu.1, eq.mu.2, eq.sigma1, eq.sigma2, eq.theta) # the order above is the one to follow when # using more than two equations out <- gjrm(fl, data = dataSim, margins = c("N", "N"), model = "B") conv.check(out) res.check(out) summary(out) AIC(out) BIC(out) nd <- data.frame(x1 = 1, x2 = 0.4, x3 = 0.6) copula.prob(out, y1 = 1.4, y2 = 2.3, newdata = nd, intervals = TRUE) ############### ## EXAMPLE 6 ## ## Generate data with one endogenous binary variable ## and continuous outcome set.seed(0) n <- 1000 Sigma <- matrix(0.5, 2, 2); diag(Sigma) <- 1 u <- rMVN(n, rep(0,2), Sigma) cov <- rMVN(n, rep(0,2), Sigma) cov <- pnorm(cov) x1 <- round(cov[,1]); x2 <- cov[,2] f1 <- function(x) cos(pi*2*x) + sin(pi*x) f2 <- function(x) x+exp(-30*(x-0.5)^2) y1 <- ifelse(-1.55 + 2*x1 + f1(x2) + u[,1] > 0, 1, 0) y2 <- -0.25 - 1.25*y1 + f2(x2) + u[,2] dataSim <- data.frame(y1, y2, x1, x2) ## RECURSIVE Model rc <- resp.check(y2, margin = "N", print.par = TRUE, loglik = TRUE) AIC(rc); BIC(rc) out <- gjrm(list(y1 ~ x1 + x2, y2 ~ y1 + x2), data = dataSim, margins = c("probit","N"), model = "B") conv.check(out) summary(out) res.check(out) ## SEMIPARAMETRIC RECURSIVE Model eq.mu.1 <- y1 ~ x1 + s(x2) eq.mu.2 <- y2 ~ y1 + s(x2) eq.sigma <- ~ 1 eq.theta <- ~ 1 fl <- list(eq.mu.1, eq.mu.2, eq.sigma, eq.theta) out <- gjrm(fl, data = dataSim, margins = c("probit","N"), uni.fit = TRUE, model = "B") conv.check(out) summary(out) res.check(out) ATE(out, trt = "y1") ATE(out, trt = "y1", joint = FALSE) # # ############### ## EXAMPLE 7 ## ## Generate data with one endogenous continuous exposure ## and binary outcome set.seed(0) n <- 1000 Sigma <- matrix(0.5, 2, 2); diag(Sigma) <- 1 u <- rMVN(n, rep(0,2), Sigma) cov <- rMVN(n, rep(0,2), Sigma) cov <- pnorm(cov) x1 <- round(cov[,1]); x2 <- cov[,2] f1 <- function(x) cos(pi*2*x) + sin(pi*x) f2 <- function(x) x+exp(-30*(x-0.5)^2) y1 <- -0.25 - 2*x1 + f2(x2) + u[,2] y2 <- ifelse(-0.25 - 0.25*y1 + f1(x2) + u[,1] > 0, 1, 0) dataSim <- data.frame(y1, y2, x1, x2) eq.mu.1 <- y2 ~ y1 + s(x2) eq.mu.2 <- y1 ~ x1 + s(x2) eq.sigma <- ~ 1 eq.theta <- ~ 1 fl <- list(eq.mu.1, eq.mu.2, eq.sigma, eq.theta) out <- gjrm(fl, data = dataSim, margins = c("probit","N"), model = "B") conv.check(out) summary(out) res.check(out) ATE(out, trt = "y1") ATE(out, trt = "y1", joint = FALSE) RR(out, trt = "y1") RR(out, trt = "y1", joint = FALSE) OR(out, trt = "y1") OR(out, trt = "y1", joint = FALSE) # # ##################### ## EXAMPLE 8 ## ## SURVIVAL MODELS ## set.seed(0) n <- 2000 c <- runif(n, 3, 8) u <- runif(n, 0, 1) z1 <- rbinom(n, 1, 0.5) z2 <- runif(n, 0, 1) t <- rep(NA, n) beta_0 <- -0.2357 beta_1 <- 1 f <- function(t, beta_0, beta_1, u, z1, z2){ S_0 <- 0.7 * exp(-0.03*t^1.9) + 0.3*exp(-0.3*t^2.5) exp(-exp(log(-log(S_0))+beta_0*z1 + beta_1*z2))-u } for (i in 1:n){ t[i] <- uniroot(f, c(0, 8), tol = .Machine$double.eps^0.5, beta_0 = beta_0, beta_1 = beta_1, u = u[i], z1 = z1[i], z2 = z2[i], extendInt = "yes" )$root } delta1 <- ifelse(t < c, 1, 0) u1 <- apply(cbind(t, c), 1, min) dataSim <- data.frame(u1, delta1, z1, z2) c <- runif(n, 4, 8) u <- runif(n, 0, 1) z <- rbinom(n, 1, 0.5) beta_0 <- -1.05 t <- rep(NA, n) f <- function(t, beta_0, u, z){ S_0 <- 0.7 * exp(-0.03*t^1.9) + 0.3*exp(-0.3*t^2.5) 1/(1 + exp(log((1-S_0)/S_0)+beta_0*z))-u } for (i in 1:n){ t[i] <- uniroot(f, c(0, 8), tol = .Machine$double.eps^0.5, beta_0 = beta_0, u = u[i], z = z[i], extendInt="yes" )$root } delta2 <- ifelse(t < c,1, 0) u2 <- apply(cbind(t, c), 1, min) dataSim$delta2 <- delta2 dataSim$u2 <- u2 dataSim$z <- z eq1 <- u1 ~ s(log(u1), bs = "mpi") + z1 + s(z2) eq2 <- u2 ~ s(log(u2), bs = "mpi") + z eq3 <- ~ s(z2) out <- gjrm(list(eq1, eq2), data = dataSim, margins = c("-cloglog", "-logit"), cens1 = delta1, cens2 = delta2, model = "B") # PH margin fit can also be compared with cox.ph from mgcv conv.check(out) res <- res.check(out) ## martingale residuals mr1 <- out$cens1 - res$qr1 mr2 <- out$cens2 - res$qr2 # can be plotted against covariates # obs index, survival time, rank order of # surv times # to determine func form, one may use # res from null model against covariate # to test for PH, use: # library(survival) # fit <- coxph(Surv(u1, delta1) ~ z1 + z2, data = dataSim) # temp <- cox.zph(fit) # print(temp) # plot(temp, resid = FALSE) summary(out) AIC(out); BIC(out) plot(out, eq = 1, scale = 0, pages = 1) plot(out, eq = 2, scale = 0, pages = 1) haz.surv(out, eq = 1, newdata = data.frame(z1 = 0, z2 = 0), shade = TRUE, n.sim = 100, baseline = TRUE) haz.surv(out, eq = 1, newdata = data.frame(z1 = 0, z2 = 0), shade = TRUE, n.sim = 100, type = "haz", baseline = TRUE, intervals = FALSE) haz.surv(out, eq = 2, newdata = data.frame(z = 0), shade = FALSE, n.sim = 100, baseline = TRUE) haz.surv(out, eq = 2, newdata = data.frame(z = 0), shade = TRUE, n.sim = 100, type = "haz", baseline = TRUE) newd0 <- newd1 <- data.frame(z = 0, z1 = mean(dataSim$z1), z2 = mean(dataSim$z2), u1 = mean(dataSim$u1) + 1, u2 = mean(dataSim$u2) + 1) newd1$z <- 1 copula.prob(out, newdata = newd0, intervals = TRUE) copula.prob(out, newdata = newd1, intervals = TRUE) out1 <- gjrm(list(eq1, eq2, eq3), data = dataSim, margins = c("-cloglog", "-logit"), cens1 = delta1, cens2 = delta2, uni.fit = TRUE, model = "B") #################################################### ## Joint continuous and survival outcomes #################################################### # this is complete, just testing, get in touch if interested # # eq1 <- z2 ~ z1 # eq2 <- u2 ~ s(u2, bs = "mpi") + z # eq3 <- ~ s(z2) # eq4 <- ~ s(z2) # # f.l <- list(eq1, eq2, eq3, eq4) # # out3 <- gjrm(f.l, data = dataSim, # margins = c("N", "-logit"), # cens1 = NULL, cens2 = delta2, # uni.fit = TRUE, model = "B") # # conv.check(out3) # res.check(out3) # summary(out3) # AIC(out3); BIC(out3) # plot(out3, eq = 2, scale = 0, pages = 1) # plot(out3, eq = 3, scale = 0, pages = 1) # plot(out3, eq = 4, scale = 0, pages = 1) # # newd <- newd1 <- data.frame(z = 0, z1 = mean(dataSim$z1), # z2 = mean(dataSim$z2), # u2 = mean(dataSim$u2) + 1) # # copula.prob(out3, y1 = 0.6, newdata = newd, intervals = TRUE) ########################################## # JOINT MODELS WITH THREE BINARY MARGINS # ########################################## ############### ## EXAMPLE 9 ## ## Generate data ## Correlation between the two equations 0.5 - Sample size 400 set.seed(0) n <- 400 Sigma <- matrix(0.5, 3, 3); diag(Sigma) <- 1 u <- rMVN(n, rep(0,3), Sigma) x1 <- round(runif(n)); x2 <- runif(n); x3 <- runif(n) f1 <- function(x) cos(pi*2*x) + sin(pi*x) f2 <- function(x) x+exp(-30*(x-0.5)^2) y1 <- ifelse(-1.55 + 2*x1 - f1(x2) + u[,1] > 0, 1, 0) y2 <- ifelse(-0.25 - 1.25*x1 + f2(x2) + u[,2] > 0, 1, 0) y3 <- ifelse(-0.75 + 0.25*x1 + u[,3] > 0, 1, 0) dataSim <- data.frame(y1, y2, y3, x1, x2) f.l <- list(y1 ~ x1 + s(x2), y2 ~ x1 + s(x2), y3 ~ x1) margs <- c("probit", "probit", "probit") out <- gjrm(f.l, data = dataSim, model = "T", margins = margs) out1 <- gjrm(f.l, data = dataSim, Chol = TRUE, model = "T", margins = margs) conv.check(out) summary(out) plot(out, eq = 1) plot(out, eq = 2) AIC(out) BIC(out) margs <- c("probit","logit","cloglog") out <- gjrm(f.l, data = dataSim, model = "T", margins = margs) out1 <- gjrm(f.l, data = dataSim, Chol = TRUE, model = "T", margins = margs) conv.check(out) summary(out) plot(out, eq = 1) plot(out, eq = 2) AIC(out) BIC(out) margs <- c("probit", "probit", "probit") f.l <- list(y1 ~ x1 + s(x2), y2 ~ x1 + s(x2), y3 ~ x1, ~ 1, ~ 1, ~ 1) out1 <- gjrm(f.l, data = dataSim, Chol = TRUE, model = "T", margins = margs) f.l <- list(y1 ~ x1 + s(x2), y2 ~ x1 + s(x2), y3 ~ x1, ~ 1, ~ s(x2), ~ 1) out2 <- gjrm(f.l, data = dataSim, Chol = TRUE, model = "T", margins = margs) f.l <- list(y1 ~ x1 + s(x2), y2 ~ x1 + s(x2), y3 ~ x1, ~ x1, ~ s(x2), ~ x1 + s(x2)) out2 <- gjrm(f.l, data = dataSim, Chol = TRUE, model = "T", margins = margs) f.l <- list(y1 ~ x1 + s(x2), y2 ~ x1 + s(x2), y3 ~ x1, ~ x1, ~ x1, ~ s(x2)) out2 <- gjrm(f.l, data = dataSim, Chol = TRUE, model = "T", margins = margs) f.l <- list(y1 ~ x1 + s(x2), y2 ~ x1 + s(x2), y3 ~ x1, ~ x1, ~ x1 + x2, ~ s(x2)) out2 <- gjrm(f.l, data = dataSim, Chol = TRUE, model = "T", margins = margs) f.l <- list(y1 ~ x1 + s(x2), y2 ~ x1 + s(x2), y3 ~ x1, ~ x1 + x2, ~ x1 + x2, ~ x1 + x2) out2 <- gjrm(f.l, data = dataSim, Chol = TRUE, model = "T", margins = margs) nw <- data.frame( x1 = 0, x2 = 0.7 ) copula.prob(out2, 1, 1, 1, newdata = nw, cond = 0, intervals = TRUE, n.sim = 100) # with endogenous variable f.l <- list(y1 ~ x1 + s(x2), y2 ~ y1 + x1 + s(x2), y3 ~ x1) margs <- c("probit", "probit", "probit") out <- gjrm(f.l, data = dataSim, model = "T", margins = margs) conv.check(out) summary(out) ATE(out, trt = "y1", eq = 2, joint = TRUE) ATE(out, trt = "y1", eq = 2, joint = FALSE) ################ ## EXAMPLE 10 ## ## Generate data ## with double sample selection set.seed(0) n <- 5000 Sigma <- matrix(c(1, 0.5, 0.4, 0.5, 1, 0.6, 0.4, 0.6, 1 ), 3, 3) u <- rMVN(n, rep(0,3), Sigma) f1 <- function(x) cos(pi*2*x) + sin(pi*x) f2 <- function(x) x+exp(-30*(x-0.5)^2) x1 <- runif(n) x2 <- runif(n) x3 <- runif(n) x4 <- runif(n) y1 <- 1 + 1.5*x1 - x2 + 0.8*x3 - f1(x4) + u[, 1] > 0 y2 <- 1 - 2.5*x1 + 1.2*x2 + x3 + u[, 2] > 0 y3 <- 1.58 + 1.5*x1 - f2(x2) + u[, 3] > 0 dataSim <- data.frame(y1, y2, y3, x1, x2, x3, x4) f.l <- list(y1 ~ x1 + x2 + x3 + s(x4), y2 ~ x1 + x2 + x3, y3 ~ x1 + s(x2)) out <- gjrm(f.l, data = dataSim, model = "TSS", margins = c("probit", "probit", "probit")) conv.check(out) summary(out) plot(out, eq = 1) plot(out, eq = 3) prev(out) prev(out, joint = FALSE) ############# ## EXAMPLE 11 set.seed(0) n <- 2000 rh <- 0.5 sigmau <- matrix(c(1, rh, rh, 1), 2, 2) u <- rMVN(n, rep(0,2), sigmau) sigmac <- matrix(rh, 3, 3); diag(sigmac) <- 1 cov <- rMVN(n, rep(0,3), sigmac) cov <- pnorm(cov) bi <- round(cov[,1]); x1 <- cov[,2]; x2 <- cov[,3] f11 <- function(x) -0.7*(4*x + 2.5*x^2 + 0.7*sin(5*x) + cos(7.5*x)) f12 <- function(x) -0.4*( -0.3 - 1.6*x + sin(5*x)) f21 <- function(x) 0.6*(exp(x) + sin(2.9*x)) ys <- 0.58 + 2.5*bi + f11(x1) + f12(x2) + u[, 1] > 0 y <- -0.68 - 1.5*bi + f21(x1) + u[, 2] yo <- y*(ys > 0) dataSim <- data.frame(ys, yo, bi, x1, x2) ## CLASSIC SAMPLE SELECTION MODEL ## the first equation MUST be the selection equation resp.check(yo[ys > 0], "N") out <- gjrm(list(ys ~ bi + x1 + x2, yo ~ bi + x1), data = dataSim, model = "BSS", margins = c("probit", "N")) conv.check(out) res.check(out) summary(out) AIC(out) BIC(out) ## SEMIPARAMETRIC SAMPLE SELECTION MODEL out <- gjrm(list(ys ~ bi + s(x1) + s(x2), yo ~ bi + s(x1)), data = dataSim, model = "BSS", margins = c("probit", "N")) conv.check(out) res.check(out) AIC(out) ## compare the two summary outputs ## the second output produces a summary of the results obtained when only ## the outcome equation is fitted, i.e. selection bias is not accounted for summary(out) summary(out$gam2) ## estimated smooth function plots ## the red line is the true curve ## the blue line is the naive curve not accounting for selection bias x1.s <- sort(x1[dataSim$ys>0]) f21.x1 <- f21(x1.s)[order(x1.s)] - mean(f21(x1.s)) plot(out, eq = 2, ylim = c(-1, 0.8)); lines(x1.s, f21.x1, col = "red") par(new = TRUE) plot(out$gam2, se = FALSE, lty = 3, lwd = 2, ylim = c(-1, 0.8), ylab = "", rug = FALSE) ## ## SEMIPARAMETRIC SAMPLE SELECTION MODEL with association ## and dispersion parameters ## depending on covariates as well eq.mu.1 <- ys ~ bi + s(x1) + s(x2) eq.mu.2 <- yo ~ bi + s(x1) eq.sigma <- ~ bi eq.theta <- ~ bi + x1 fl <- list(eq.mu.1, eq.mu.2, eq.sigma, eq.theta) out <- gjrm(fl, data = dataSim, model = "BSS", margins = c("probit", "N")) conv.check(out) res.check(out) summary(out) summary(out$sigma) summary(out$theta) nd <- data.frame(bi = 0, x1 = 0.2, x2 = 0.8) copula.prob(out, 0, 0.3, newdata = nd, intervals = TRUE) outC0 <- gjrm(fl, data = dataSim, copula = "C0", model = "BSS", margins = c("probit", "N")) conv.check(outC0) res.check(outC0) AIC(out, outC0) BIC(out, outC0) ## End(Not run)
A fitted joint model returned by function gjrm and of class "gjrm", "SemiParBIV", "SemiParTRIV", etc.
fit |
List of values and diagnostics extracted from the output of the algorithm. |
gam1 |
Univariate fit for equation 1. See the documentation of |
gam2, gam3, ...
|
Univariate fit for equation 2, equation 3, etc. |
coefficients |
The coefficients of the fitted model. |
weights |
Prior weights used during model fitting. |
sp |
Estimated smoothing parameters of the smooth components. |
iter.sp |
Number of iterations performed for the smoothing parameter estimation step. |
iter.if |
Number of iterations performed in the initial step of the algorithm. |
iter.inner |
Number of iterations performed within the smoothing parameter estimation step. |
theta |
Estimated dependence parameter linking the two equations. |
n |
Sample size. |
X1, X2, X3, ...
|
Design matrices associated with the linear predictors. |
X1.d2, X2.d2, X3.d2, ...
|
Number of columns of |
l.sp1, l.sp2, l.sp3, ...
|
Number of smooth components in the equations. |
He |
Penalized -hessian/Fisher. This is the same as |
HeSh |
Unpenalized -hessian/Fisher. |
Vb |
Inverse of |
F |
This is obtained multiplying Vb by HeSh. |
t.edf |
Total degrees of freedom of the estimated bivariate model. It is calculated as |
edf1, edf2, edf3, ...
|
Degrees of freedom for the two equations of the fitted bivariate model (and for the third and fourth equations if present. They are calculated when splines are used. |
bs.mgfit |
List of values and diagnostics extracted from |
conv.sp |
If |
wor.c |
Working model quantities. |
eta1, eta2, eta3, ...
|
Estimated linear predictors for the two equations (as well as the third and fourth equations if present). |
y1, y2
|
Responses of the two equations. |
logLik |
Value of the (unpenalized) log-likelihood evaluated at the (penalized or unpenalized) parameter estimates. |
respvec |
List containing response vectors. |
Maintainer: Giampiero Marra [email protected]
gt.bpm can be used to test the hypothesis of absence of endogeneity, correlated model equations/errors or non-random sample selection
in binary bivariate probit models.
gt.bpm(x)gt.bpm(x)
x |
A fitted |
The gradient test was first proposed by Terrell (2002) and it is based on classic likelihood theory. See Marra et al. (2017) for full details.
It returns a numeric p-value corresponding to the null hypothesis that the correlation, , is equal to 0.
This test's implementation is only valid for bivariate binary probit models with normal errors.
Maintainer: Giampiero Marra [email protected]
Marra G., Radice R. and Filippou P. (2017), Regression Spline Bivariate Probit Models: A Practical Approach to Testing for Exogeneity. Communications in Statistics - Simulation and Computation, 46(3), 2283-2298.
Terrell G. (2002), The Gradient Statistic. Computing Science and Statistics, 34, 206-215.
## see examples for gjrm## see examples for gjrm
This and other similar internal functions calculate the Hessian for trivariate binary models.
Author: Panagiota Filippou
Maintainer: Giampiero Marra [email protected]
This function produces estimated values, intervals and plots for the hazard, cumulative hazard and survival functions.
haz.surv(x, eq, newdata, type = "surv", t.range = NULL, t.vec = NULL, intervals = TRUE, n.sim = 100, prob.lev = 0.05, shade = FALSE, bars = FALSE, ylim, ylab, xlab, pch, ls = 100, baseline = FALSE, min.dn = 1e-200, min.pr = 1e-200, max.pr = 1, plot = TRUE, print.progress = TRUE, ...)haz.surv(x, eq, newdata, type = "surv", t.range = NULL, t.vec = NULL, intervals = TRUE, n.sim = 100, prob.lev = 0.05, shade = FALSE, bars = FALSE, ylim, ylab, xlab, pch, ls = 100, baseline = FALSE, min.dn = 1e-200, min.pr = 1e-200, max.pr = 1, plot = TRUE, print.progress = TRUE, ...)
x |
A fitted |
eq |
Equation number. This can be ignored for univariate models. |
newdata |
A data frame or list containing the values of the model covariates at which predictions are required. This must always be provided. For the individual survival/hazard/cumulative hazard function, the data frame must have one row containing the values of the model covariates corresponding to the individual of interest. For the (sub-)population survival/hazard/cumulative hazard function, the data frame must have as many rows as there are individuals in the (sub-)population of interest. Each row must contain the values of the model covariates of the corresponding individual. |
type |
Either |
t.range |
Time variable range. This must be a vector with only two elements: the minimum and maximum of the time range. If |
t.vec |
Vector of time values. This can also be a single time. Note you cannot provide both |
intervals |
If |
n.sim |
Number of simulated coefficient vectors from the posterior distribution of the estimated model parameters. This is used for interval calculations. |
prob.lev |
Overall probability of the left and right tails of the probabilities' distributions used for interval calculations. |
shade |
If |
bars |
If |
ylim, ylab, xlab, pch
|
Usual plot arguments. |
ls |
Length of sequence to use for time variable. |
baseline |
If baseline is desired; this will set all covariate/smooth effects to zero. |
min.dn, min.pr, max.pr
|
Allowed minimum and maximum for estimated probabities and densities for survival, hazard and cumulative hazard calculations. |
plot |
If |
print.progress |
If |
... |
Other arguments to pass to plot. |
It produces estimated values, intervals and plots for the hazard, cumulative hazard and survival functions.
Maintainer: Giampiero Marra [email protected]
k.tau can be used to calculate the Kendall's tau from a fitted joint model with intervals obtained
via posterior simulation.
k.tau(x, prob.lev = 0.05)k.tau(x, prob.lev = 0.05)
x |
A fitted |
prob.lev |
Overall probability of the left and right tails of the probabilities' distributions used for interval calculations. |
This function calculates the Kendall's tau a fitted simultaneous model, with intervals obtained via posterior simulation. Note that this is derived under the assumption of continuous margins.
res |
It returns the estimated tau with lower and upper interval limits. |
Maintainer: Giampiero Marra [email protected]
Log-logistic robust function.
Maintainer: Giampiero Marra [email protected]
Before fitting a bivariate probit model, LM.bpm can be used to test the hypothesis of absence of endogeneity,
correlated model equations/errors
or non-random sample selection.
LM.bpm(formula, data = list(), weights = NULL, subset = NULL, model, hess = TRUE)LM.bpm(formula, data = list(), weights = NULL, subset = NULL, model, hess = TRUE)
formula |
A list of two formulas, one for equation 1 and the other for equation 2. |
data |
An optional data frame, list or environment containing the variables in the model. If not found in |
weights |
Optional vector of prior weights to be used in fitting. |
subset |
Optional vector specifying a subset of observations to be used in the fitting process. |
model |
It indicates the type of model to be used in the analysis. Possible values are "B" (bivariate model) and "BSS" (bivariate model with sample selection). The two marginal equations have probit links. |
hess |
If |
This Lagrange multiplier test (also known as score test) is used here for testing the null
hypothesis that is equal to 0 (i.e. no endogeneity, non-random sample selection or
correlated model equations/errors, depending
on the model being fitted). Its main advantage is that it does
not require an estimate of the model parameter vector under the alternative hypothesis. Asymptotically, it takes a Chi-squared distribution
with one degree of freedom. Full details can be found in Marra et al. (2014) and Marra et al. (2017).
It returns a numeric p-value corresponding to the null hypothesis that the correlation, , is equal to 0.
This test's implementation is ONLY valid for bivariate binary probit models with normal errors.
Maintainer: Giampiero Marra [email protected]
Marra G., Radice R. and Filippou P. (2017), Regression Spline Bivariate Probit Models: A Practical Approach to Testing for Exogeneity. Communications in Statistics - Simulation and Computation, 46(3), 2283-2298.
Marra G., Radice R. and Missiroli S. (2014), Testing the Hypothesis of Absence of Unobserved Confounding in Semiparametric Bivariate Probit Models. Computational Statistics, 29(3-4), 715-741.
## see examples for gjrm## see examples for gjrm
Linear model fitting with positivity and sum-to-one constraints on the model's coefficients.
lmc(y, X, start.v = NULL, lambda = 1, pen = "none", gamma = 1, a = 3.7)lmc(y, X, start.v = NULL, lambda = 1, pen = "none", gamma = 1, a = 3.7)
y |
Response vector. |
X |
Design matrix. |
start.v |
Starting values. |
lambda |
Tuning parameter. |
pen |
Type of penalty. Choices are: none, ridge, lasso, alasso, scad. |
gamma |
Power parameter of adaptive lasso. |
a |
Scad parameter. |
Linear model fitting with positivity and sum-to-one constraints on the model's coefficients.
The function returns an object of class lmc.
## Not run: library(GJRM) set.seed(1) n <- 1000 beta <- c(0.07, 0.08, 0.21, 0.12, 0.15, 0.17, 0.2) l <- length(beta) X <- matrix(runif(n*l), n, l) y <- X%*%beta + rnorm(n) out <- lmc(y, X) conv.check(out) out1 <- lmc(y, X, start.v = beta) conv.check(out1) coef(out) # estimated coefficients round(out$c.coefficients, 3) # constrained coefficients sum(out$c.coefficients) round(out1$c.coefficients, 3) sum(out1$c.coefficients) # penalised estimation out1 <- lmc(y, X, pen = "alasso", lambda = 0.02) conv.check(out1) coef(out1) round(out1$c.coefficients, 3) sum(out1$c.coefficients) AIC(out, out1) BIC(out, out1) round(cbind(out$c.coefficients, out1$c.coefficients), 3) # scad n <- 10000 beta <- c(0.2, 0, 0, 0.02, 0.01, 0.01, 0.01, 0.08, 0.21, 0.12, 0.15, 0.17, 0.02) l <- length(beta) X <- matrix(runif(n*l), n, l) y <- X%*%beta + rnorm(n) out1 <- lmc(y, X, pen = "scad", lambda = 0.01) conv.check(out1) coef(out1) sum(out1$c.coefficients) round(cbind(beta, out1$c.coefficients), 2) ## End(Not run)## Not run: library(GJRM) set.seed(1) n <- 1000 beta <- c(0.07, 0.08, 0.21, 0.12, 0.15, 0.17, 0.2) l <- length(beta) X <- matrix(runif(n*l), n, l) y <- X%*%beta + rnorm(n) out <- lmc(y, X) conv.check(out) out1 <- lmc(y, X, start.v = beta) conv.check(out1) coef(out) # estimated coefficients round(out$c.coefficients, 3) # constrained coefficients sum(out$c.coefficients) round(out1$c.coefficients, 3) sum(out1$c.coefficients) # penalised estimation out1 <- lmc(y, X, pen = "alasso", lambda = 0.02) conv.check(out1) coef(out1) round(out1$c.coefficients, 3) sum(out1$c.coefficients) AIC(out, out1) BIC(out, out1) round(cbind(out$c.coefficients, out1$c.coefficients), 3) # scad n <- 10000 beta <- c(0.2, 0, 0, 0.02, 0.01, 0.01, 0.01, 0.08, 0.21, 0.12, 0.15, 0.17, 0.02) l <- length(beta) X <- matrix(runif(n*l), n, l) y <- X%*%beta + rnorm(n) out1 <- lmc(y, X, pen = "scad", lambda = 0.01) conv.check(out1) coef(out1) sum(out1$c.coefficients) round(cbind(beta, out1$c.coefficients), 2) ## End(Not run)
It extracts the log-likelihood for a fitted gjrm model.
## S3 method for class 'SemiParBIV' logLik(object, ...)## S3 method for class 'SemiParBIV' logLik(object, ...)
object |
A fitted |
... |
Un-used for this function. |
Modification of the classic logLik which accounts for the estimated degrees of freedom used in gjrm.
This function is provided so that information criteria work correctly by using the correct number of degrees
of freedom.
Standard logLik object.
Maintainer: Giampiero Marra [email protected]
Function marg.mv can be used to calculate marginal means/variances, with corresponding interval obtained using posterior simulation.
marg.mv(x, eq, newdata, fun = "mean", n.sim = 100, prob.lev = 0.05, bin.model = NULL)marg.mv(x, eq, newdata, fun = "mean", n.sim = 100, prob.lev = 0.05, bin.model = NULL)
x |
A fitted |
eq |
Number of equation of interest. |
newdata |
A data frame with one row, which must be provided. |
fun |
Either mean or variance. |
n.sim |
Number of simulated coefficient vectors from the posterior distribution of the estimated model parameters. |
prob.lev |
Overall probability of the left and right tails of the simulated distribution used for interval calculations. |
bin.model |
If a two part or hurdle model is used then this is the object of a binary regression model fitted using gam() from mgcv. |
marg.mv() calculates the marginal mean or variance. Posterior simulation is used to obtain a confidence/credible interval.
res |
It returns three values: lower confidence interval limit, estimated marginal mean or variance and upper interval limit. |
prob.lev |
Probability level used. |
sim.mv |
It returns a vector containing simulated values of the marginal mean or variance. This is used to calculate intervals. |
Maintainer: Giampiero Marra [email protected]
mb can be used to calculate the (worst-case and IV) Manski's bounds and confidence interval covering the true effect of interest
with a fixed probability.
mb(treat, outc, IV = NULL, model, B = 100, sig.lev = 0.05)mb(treat, outc, IV = NULL, model, B = 100, sig.lev = 0.05)
treat |
Binary treatment/selection variable. |
outc |
Binary outcome variable. |
IV |
An instrumental binary variable can be used if available. |
model |
Possible values are "B" (model with endogenous variable) and "BSS" (model with non-random sample selection). |
B |
Number of bootstrap replicates. This is used to obtain some components needed for confidence interval calculations. |
sig.lev |
Significance level. |
Based on Manski (1990), this function returns the nonparametric lower and upper (worst-case) Manski's bounds for the average
treatment effect (ATE) when model = "B" or prevalence when model = "BSS". When an IV is employed
the function returns IV Manski bounds.
For comparison, it also returns the estimated effect assuming random assignment (i.e., the treatment received or selection relies
on the assumption of ignorable observed and unobserved selection). Note that this is equivalent to
what provided by ATE or prev when type = "naive", and is different from what obtained
by ATE or prev when type = "univariate" as observed confounders are accounted for
and the assumption here is of ignorable unobserved selection.
A confidence interval covering the true ATE/prevalence with a fixed probability is also provided. This is based on the approach described in Imbens and Manski (2004). NOTE that this interval is typically very close (if not identical) to the lower and upper bounds.
The ATE can be at most 1 (or 100 in percentage) and the worst-case Manski's bounds have width 1. This means that 0 is always included within the possibilites of these bounds. Nevertheless, this may be useful to check whether the effect from a bivariate recursive model is included within the possibilites of the bounds.
When estimating a prevalance the worst-case Manski's bounds have width equal to the non-response probability, which provides a measure of the uncertainty about the prevalence caused by non-response. Again, this may be useful to check whether the prevalence from a bivariate non-random sample selection model is included within the possibilites of the bounds.
See gjrm for some examples.
LB, UP
|
Lower and upper bounds for the true effect of interest. |
CI |
Confidence interval covering the true effect of interest with a fixed probability. |
ate.ra |
Estimated effect of interest assuming random assignment. |
Maintainer: Giampiero Marra [email protected]
Manski C.F. (1990), Nonparametric Bounds on Treatment Effects. American Economic Review, Papers and Proceedings, 80(2), 319-323.
Imbens G.W. and Manski C.F (2004), Confidence Intervals for Partially Identified Parameters. Econometrica, 72(6), 1845-1857.
## see examples for gjrm## see examples for gjrm
This and other similar internal functions calculate numerical derivatives.
Maintainer: Giampiero Marra [email protected]
OR can be used to calculate the causal odds ratio of a binary/continuous treatment variable, with
corresponding interval obtained using posterior simulation.
OR(x, trt, int.var = NULL, joint = TRUE, n.sim = 100, prob.lev = 0.05, length.out = NULL)OR(x, trt, int.var = NULL, joint = TRUE, n.sim = 100, prob.lev = 0.05, length.out = NULL)
x |
A fitted |
trt |
Name of the treatment variable. |
int.var |
A vector made up of the name of the variable interacted with |
joint |
If |
n.sim |
Number of simulated coefficient vectors from the posterior distribution of the estimated model parameters. This is used
when |
prob.lev |
Overall probability of the left and right tails of the OR distribution used for interval calculations. |
length.out |
Ddesired length of the sequence to be used when calculating the effect that a continuous treatment has on a binary outcome. |
OR calculates the causal odds ratio for a binary/continuous Gaussian treatment. Posterior simulation is used to obtain a confidence/credible interval.
prob.lev |
Probability level used. |
sim.OR |
It returns a vector containing simulated values of the average OR. This is used to calculate intervals. |
Ratios |
For the case of continuous endogenous treatment and binary outcome, it returns a matrix made up of three columns containing the odds ratios for each incremental value in the endogenous variable and respective intervals. |
Maintainer: Giampiero Marra [email protected]
PE can be used to calculate the sample treatment effect from a a binary bivariate model, with
corresponding interval obtained using posterior simulation.
PE(x1, idx, n.sim = 100, prob.lev = 0.05, plot = FALSE, main = "Histogram of Simulated Average Effects", xlab = "Simulated Average Effects", ...)PE(x1, idx, n.sim = 100, prob.lev = 0.05, plot = FALSE, main = "Histogram of Simulated Average Effects", xlab = "Simulated Average Effects", ...)
x1 |
A fitted |
idx |
This is useful to pick a particular individual and must be provided. |
n.sim |
Number of simulated coefficient vectors from the posterior distribution of the estimated model parameters. This is used
when |
prob.lev |
Overall probability of the left and right tails of the AT distribution used for interval calculations. |
plot |
If |
main |
Title for the plot. |
xlab |
Title for the x axis. |
... |
Other graphics parameters to pass on to plotting commands. These are used only when |
PE measures the sample average effect from a binary bivariate model when a binary response (associated with a continuous outcome) takes values 0 and 1. Posterior simulation is used to obtain a confidence/credible interval.
Maintainer: Giampiero Marra [email protected]
It provides an overall penalty matrix in a format suitable for estimation conditional on smoothing parameters.
Maintainer: Giampiero Marra [email protected]
It takes a fitted gjrm object produced
by gjrm() and
plots the estimated smooth functions on the scale of the linear predictors. This function is a
wrapper of plot.gam() in mgcv. Please see
the documentation of plot.gam() for full details.
## S3 method for class 'SemiParBIV' plot(x, eq, ...)## S3 method for class 'SemiParBIV' plot(x, eq, ...)
x |
A fitted |
eq |
The equation from which smooth terms should be considered for printing. |
... |
Other graphics parameters to pass on to plotting commands, as described for |
This function produces plots showing the smooth terms of a fitted semiparametric bivariate probit model. In the case of 1-D smooths, the
x axis of each plot is labelled using the name of the regressor, while the y axis is labelled as s(regr, edf)
where regr is the regressor's name, and edf the effective degrees of freedom of the smooth. For 2-D smooths, perspective
plots are produced with the x axes labelled with the first and second variable names and the y axis
is labelled as s(var1, var2, edf), which indicates the variables of which the term is a function and the edf for the term.
If seWithMean = TRUE then the intervals include the uncertainty about the overall mean. Note that the smooths are still shown
centred. The theoretical arguments
and simulation study of Marra and Wood (2012) suggest that seWithMean = TRUE results in intervals with
close to nominal frequentist coverage probabilities.
The function generates plots.
The function can not deal with smooths of more than 2 variables.
Maintainer: Giampiero Marra [email protected]
Marra G. and Wood S.N. (2012), Coverage Properties of Confidence Intervals for Generalized Additive Model Components. Scandinavian Journal of Statistics, 39(1), 53-74.
This function produces a map with geographic regions defined by polygons. It is essentially the same function as
polys.plot() in mgcv but with added arguments zlim and rev.col and a wider set of choices for
scheme.
polys.map(lm, z, scheme = "gray", lab = "", zlim, rev.col = FALSE, ...)polys.map(lm, z, scheme = "gray", lab = "", zlim, rev.col = FALSE, ...)
lm |
Named list of matrices where each matrix has two columns. The matrix rows each define the vertex of a boundary polygon. |
z |
A vector of values associated with each area (item) of |
scheme |
Possible values are |
lab |
label for plot. |
zlim |
If missing then the range of z will be chosen using |
rev.col |
If |
... |
other arguments to pass to plot. |
See help file of polys.plot in mgcv.
It produces a plot.
Maintainer: Giampiero Marra [email protected]
This function creates geographic polygons in a format suitable for smoothing.
polys.setup(object)polys.setup(object)
object |
An RDS file object as extracted from http://www.gadm.org. |
It produces a list with polygons (polys), and various names (names0, names1 - first level of aggregation,
names2 - second level of aggregation).
Maintainer: Giampiero Marra [email protected]
Thanks to Guy Harling for suggesting the implementation of this function.
?hiv?hiv
It takes a fitted gamlss object produced
by gamlss() and
produces the desired quntities and respective intervals.
pred.gp(x, p = 0.5, newdata, n.sim = 100, prob.lev = 0.05)pred.gp(x, p = 0.5, newdata, n.sim = 100, prob.lev = 0.05)
x |
A fitted |
p |
Value of p. |
newdata |
A data frame or list containing the values of the model covariates at which predictions are required. If not provided then predictions corresponding to the original data are returned. When newdata is provided, it should contain all the variables needed for prediction. |
n.sim |
The number of simulated coefficient vectors from the posterior distribution of the estimated model parameters. This is used to calculate intervals. It may be increased if more precision is required. |
prob.lev |
Probability of the left and right tails of the posterior distribution used for interval calculations. |
Maintainer: Giampiero Marra [email protected]
It takes a fitted gjrm object for the ordinal-continuous case and,
for each equation, produces predictions
for a new set of values of the model covariates or the original values used for the model fit.
Standard errors of predictions can be produced and are based on the posterior distribution of the model coefficients.
## S3 method for class 'CopulaCLM' predict(object, eq, type = "link", ...)## S3 method for class 'CopulaCLM' predict(object, eq, type = "link", ...)
object |
A fitted |
eq |
The equation to be considered for prediction. |
type |
Type of prediction. |
... |
Other arguments as in |
Maintainer: Giampiero Marra [email protected]
It takes a fitted gjrm object and,
for each equation, produces predictions
for a new set of values of the model covariates or the original values used for the model fit.
Standard errors of predictions can be produced and are based on the posterior distribution of the model coefficients. This function is a
wrapper for predict.gam() in mgcv. Please see the documentation of predict.gam() for full details.
## S3 method for class 'SemiParBIV' predict(object, eq, ...)## S3 method for class 'SemiParBIV' predict(object, eq, ...)
object |
A fitted |
eq |
The equation to be considered for prediction. |
... |
Other arguments as in |
When type = "response" this function will provide prediction assuming that the identity link function is adopted.
This means that type = "link" and type = "response" will produce the same results, which for some distributions is fine.
This is because, for internal reasons, the model object used always assumes an identity link. There are other functions in the package
which will produce predictions for the response correctly and we are currently working on extending them to all models in the package.
For all the other type values the function will produce the correct results.
When predicting based on a new data set, this function can not return correct predictions for models based on a copula value of "C0C90", "C0C270", "C180C90", "C180C270", "G0G90", "G0G270", "G180G90", "G180G270", "J0J90", "J0J270", "J180J90" or "J180J270".
Maintainer: Giampiero Marra [email protected]
prev can be used to calculate the overall estimated prevalence from a sample selection model
with binay outcome, with corresponding interval
obtained using posterior simulation.
prev(x, sw = NULL, joint = TRUE, n.sim = 100, prob.lev = 0.05)prev(x, sw = NULL, joint = TRUE, n.sim = 100, prob.lev = 0.05)
x |
A fitted |
sw |
Survey weights. |
joint |
If |
n.sim |
Number of simulated coefficient vectors from the posterior distribution of the estimated model parameters. It may be increased if more precision is required. |
prob.lev |
Overall probability of the left and right tails of the prevalence distribution used for interval calculations. |
prev estimates the overall prevalence of a disease (e.g., HIV) when there are missing values that are not at random.
An interval for the estimated prevalence can be obtained using posterior simulation.
res |
It returns three values: lower confidence interval limit, estimated prevalence and upper confidence interval limit. |
prob.lev |
Probability level used. |
sim.prev |
Vector containing simulated values of the prevalence. This is used to calculate an interval. |
Authors: Giampiero Marra, Rosalba Radice, Guy Harling, Mark E McGovern
Maintainer: Giampiero Marra [email protected]
Marra G., Radice R., Barnighausen T., Wood S.N. and McGovern M.E. (2017), A Simultaneous Equation Approach to Estimating HIV Prevalence with Non-Ignorable Missing Responses. Journal of the American Statistical Association, 112(518), 484-496.
The print method for an ATE object.
## S3 method for class 'ATE' print(x, ...)## S3 method for class 'ATE' print(x, ...)
x |
|
... |
Other arguments. |
print.ATE prints the lower confidence interval limit, estimated ATE and upper confidence interval limit.
Maintainer: Giampiero Marra [email protected]
The print method for a cond.mv object.
## S3 method for class 'cond.mv' print(x, ...)## S3 method for class 'cond.mv' print(x, ...)
x |
|
... |
Other arguments. |
print.cond.mv prints the lower confidence interval limit, estimated conditonal mean or variance and upper confidence interval limit.
Maintainer: Giampiero Marra [email protected]
The print method for a copulaSampleSel object.
## S3 method for class 'copulaSampleSel' print(x, ...)## S3 method for class 'copulaSampleSel' print(x, ...)
x |
|
... |
Other arguments. |
It prints out the family, model equations, total number of observations, estimated association coefficient, etc for the penalized or unpenalized model.
Maintainer: Giampiero Marra [email protected]
The print method for a gamlss object.
## S3 method for class 'gamlss' print(x, ...)## S3 method for class 'gamlss' print(x, ...)
x |
|
... |
Other arguments. |
print.gamlss prints out the family, model equations, total number of observations, etc for the penalized or unpenalized model.
Maintainer: Giampiero Marra [email protected]
The print method for a gjrm object.
## S3 method for class 'gjrm' print(x, ...)## S3 method for class 'gjrm' print(x, ...)
x |
|
... |
Other arguments. |
print.gjrm prints out the family, model equations, total number of observations, estimated association
coefficient, etc for the penalized or unpenalized model.
Maintainer: Giampiero Marra [email protected]
The print method for a marg.mv object.
## S3 method for class 'marg.mv' print(x, ...)## S3 method for class 'marg.mv' print(x, ...)
x |
|
... |
Other arguments. |
print.marg.mv prints the lower confidence interval limit, estimated conditonal mean or variance and upper confidence interval limit.
Maintainer: Giampiero Marra [email protected]
The print method for an mb object.
## S3 method for class 'mb' print(x, ...)## S3 method for class 'mb' print(x, ...)
x |
|
... |
Other arguments. |
print.mb prints the lower and upper bounds, confidence interval, and effect assuming random assignment.
Maintainer: Giampiero Marra [email protected]
The print method for an OR object.
## S3 method for class 'OR' print(x, ...)## S3 method for class 'OR' print(x, ...)
x |
|
... |
Other arguments. |
print.OR prints the lower confidence interval limit, estimated OR and upper confidence interval limit.
Maintainer: Giampiero Marra [email protected]
The print method for an PE object.
## S3 method for class 'PE' print(x, ...)## S3 method for class 'PE' print(x, ...)
x |
|
... |
Other arguments. |
print.PE prints the lower confidence interval limit, estimated PE and upper confidence interval limit.
Maintainer: Giampiero Marra [email protected]
The print method for an prev object.
## S3 method for class 'prev' print(x, ...)## S3 method for class 'prev' print(x, ...)
x |
|
... |
Other arguments. |
print.prev prints the lower interval limit, estimated prevalence and upper interval limit.
Maintainer: Giampiero Marra [email protected]
The print method for an RR object.
## S3 method for class 'RR' print(x, ...)## S3 method for class 'RR' print(x, ...)
x |
|
... |
Other arguments. |
print.RR prints the lower confidence interval limit, estimated RR and upper confidence interval limit.
Maintainer: Giampiero Marra [email protected]
The print method for a SATE object.
## S3 method for class 'SATE' print(x, ...)## S3 method for class 'SATE' print(x, ...)
x |
|
... |
Other arguments. |
print.SATE prints the lower confidence interval limit, estimated SATE and upper confidence interval limit.
Maintainer: Giampiero Marra [email protected]
The print method for a SemiParBIV object.
## S3 method for class 'SemiParBIV' print(x, ...)## S3 method for class 'SemiParBIV' print(x, ...)
x |
|
... |
Other arguments. |
It prints out the family, model equations, total number of observations, estimated association coefficient and total effective degrees of freedom for the penalized or unpenalized model.
Maintainer: Giampiero Marra [email protected]
The print method for a SemiParROY object.
## S3 method for class 'SemiParROY' print(x, ...)## S3 method for class 'SemiParROY' print(x, ...)
x |
|
... |
Other arguments. |
It prints out the family, model equations, total number of observations, estimated association coefficient, etc for the penalized or unpenalized model.
Maintainer: Giampiero Marra [email protected]
The print method for a SemiParTRIV object.
## S3 method for class 'SemiParTRIV' print(x, ...)## S3 method for class 'SemiParTRIV' print(x, ...)
x |
|
... |
Other arguments. |
It prints out the family, model equations, total number of observations, estimated association coefficient and total effective degrees of freedom for the penalized or unpenalized model.
Maintainer: Giampiero Marra [email protected]
Internal fitting function.
Maintainer: Giampiero Marra [email protected]
It applies one of two regularisations on the information matrix if desired. These are based on the Cholesky and eigen decompositions.
Maintainer: Giampiero Marra [email protected]
It produces diagnostic plots based on (randomised) quantile residuals.
res.check(x, intervals = FALSE, n.sim = 100, prob.lev = 0.05, ...)res.check(x, intervals = FALSE, n.sim = 100, prob.lev = 0.05, ...)
x |
A fitted |
intervals |
If |
n.sim |
Number of replicate datasets used to simulate quantiles of the residual distribution. |
prob.lev |
Overall probability of the left and right tails of the probabilities' distributions used for interval calculations. |
... |
Graphics parameters to pass on to plotting commands. |
If the model fits the response well then the plots should look normally distributed.
When fitting models with discrete and/or continuous margins, four plots will be produced. In this case,
the arguments main2 and xlab2 come into play and allow for different
labelling across the plots.
qr |
It returns the (randomised) quantile residuals for the continuous or discrete margin when fitting a model that involves a binary response. |
qr1 |
As above but for first equation (this applies when fitting models with continuous/discrete margins). |
qr2 |
As above but for second equation. |
Maintainer: Giampiero Marra [email protected]
It produces a normal Q-Q plot for the (randomised) normalised quantile response. It also provides the log-likelihood for AIC calculation, for instance. It is also used for internal purposes.
resp.check(y, margin = "N", print.par = FALSE, plots = TRUE, loglik = FALSE, os = FALSE, i.f = FALSE, min.dn = 1e-40, min.pr = 1e-16, max.pr = 0.999999, left.trunc = 0)resp.check(y, margin = "N", print.par = FALSE, plots = TRUE, loglik = FALSE, os = FALSE, i.f = FALSE, min.dn = 1e-40, min.pr = 1e-16, max.pr = 0.999999, left.trunc = 0)
y |
Response. |
margin |
The distributions allowed are: normal ("N"), log-normal ("LN"), generelised Pareto ("GP"), discrete generelised Pareto ("DGP"), Gumbel ("GU"), reverse Gumbel ("rGU"), logistic ("LO"), Weibull ("WEI"), inverse Gaussian ("iG"), gamma ("GA"), Dagum ("DAGUM"), Singh-Maddala ("SM"), beta ("BE"), Fisk ("FISK"), Poisson ("P"), zero truncated Poisson ("ZTP"), negative binomial - type I ("NBI"), negative binomial - type II ("NBII"), Poisson inverse Gaussian ("PIG"). |
print.par |
If |
plots |
If |
loglik |
If |
os |
If |
i.f |
Internal fitting option. This is not for user purposes. |
min.dn, min.pr, max.pr
|
Allowed minimum and maximum for estimated probabities and densities for parameter estimation. |
left.trunc |
Value of truncation at left. Currently done for count distributions only. |
Prior to fitting a model with discrete and/or continuous margins, the distributions for the outcome variables may be chosen by checking the normalised quantile responses. These will provide a rough guide to the adequacy of the chosen distribution. The latter are defined as the quantile standard normal function of the cumulative distribution function of the response with scale and location estimated by MLE. These should behave approximately as normally distributed variables (even though the original observations are not). Therefore, a normal Q-Q plot is appropriate here.
If loglik = TRUE then this function also provides the log-likelihood for AIC calculation, for instance.
Maintainer: Giampiero Marra [email protected]
This function simply generates random multivariate normal variates.
Maintainer: Giampiero Marra [email protected]
It helps finding the robust constant for a GAMLSS.
rob.const(x, B = 100, left.trunc = 0)rob.const(x, B = 100, left.trunc = 0)
x |
A fitted |
B |
Number of bootstrap replicates. |
left.trunc |
If a truncated count distribution is employed then this is the left truncation point. |
It helps finding the robust constant for a GAMLSS based on the mean or median.
rc |
Robust constant used in fitting. |
sw |
Sum of weights for each bootstrap replicate. |
m1 |
Mean. |
m2 |
Median. |
Maintainer: Giampiero Marra [email protected]
Tool for tuning bounds of integral in robust GAMLSS with continuous distribution.
rob.int(x, rc, l.grid = 1000, tol = 1e-4, var.range = NULL)rob.int(x, rc, l.grid = 1000, tol = 1e-4, var.range = NULL)
x |
A fitted |
rc |
Robust tuning constant. |
l.grid |
Length of grid. |
tol |
Tolerance |
var.range |
Range of values, min and max, to use in calculations. |
Tool for tuning bounds of integral in robust GAMLSS.
lB, uB
|
Lower and upper bounds. |
Maintainer: Giampiero Marra [email protected]
RR can be used to calculate the causal risk ratio of a binary/continuous treatment variable, with
corresponding interval obtained using posterior simulation.
RR(x, trt, int.var = NULL, joint = TRUE, n.sim = 100, prob.lev = 0.05, length.out = NULL)RR(x, trt, int.var = NULL, joint = TRUE, n.sim = 100, prob.lev = 0.05, length.out = NULL)
x |
A fitted |
trt |
Name of the treatment variable. |
int.var |
A vector made up of the name of the variable interacted with |
joint |
If |
n.sim |
Number of simulated coefficient vectors from the posterior distribution of the estimated model parameters. This is used
when |
prob.lev |
Overall probability of the left and right tails of the RR distribution used for interval calculations. |
length.out |
Ddesired length of the sequence to be used when calculating the effect that a continuous treatment has on a binary outcome. |
RR calculates the causal risk ratio of the probabilities of positive outcome under treatment (the binary predictor or treatment assumes value 1) and under control (the binary treatment assumes value 0). Posterior simulation is used to obtain a confidence/credible interval.
RR works also for the case of continuous Gaussian endogenous treatment variable.
prob.lev |
Probability level used. |
sim.RR |
It returns a vector containing simulated values of the average RR. This is used to calculate intervals. |
Ratios |
For the case of continuous endogenous variable and binary outcome, it returns a matrix made up of three columns containing the risk ratios for each incremental value in the endogenous variable and respective intervals. |
Maintainer: Giampiero Marra [email protected]
It provides penalty matrices in a format suitable for automatic multiple smoothing parameter estimation.
Maintainer: Giampiero Marra [email protected]
SATE can be used to calculate the survival treatment effects of a binary treatment variable, with
corresponding interval obtained using posterior simulation.
SATE(x, trt, surv.t = NULL, int.var = NULL, joint = TRUE, n.sim = 100, prob.lev = 0.05, ls = 10, plot.type = "survival", ...)SATE(x, trt, surv.t = NULL, int.var = NULL, joint = TRUE, n.sim = 100, prob.lev = 0.05, ls = 10, plot.type = "survival", ...)
x |
A fitted |
trt |
Name of the treatment variable. |
surv.t |
Numeric value for time. If not provided, the function will be calculate the SATE for each time point of a grid of
lenght |
int.var |
A vector made up of the name of the variable interacted with |
joint |
If |
n.sim |
Number of simulated coefficient vectors from the posterior distribution of the estimated model parameters. It may be increased if more precision is required. |
prob.lev |
Overall probability of the left and right tails of the SAT distribution used for interval calculations. |
ls |
Length of sequence to use for time variable. Only used when |
plot.type |
Used when |
... |
Other graphics parameters to pass on to plotting commands. |
SATE measures the average survival difference in outcomes under treatment (the binary predictor or treatment assumes value 1) and under control (the binary treatment assumes value 0). Posterior simulation is used to obtain a confidence/credible interval.
res |
It returns three values: lower interval limit(s), estimated SATE(s) and upper interval limit(s). |
prob.lev |
Probability level used. |
sim.SATE |
It returns a vector containing simulated values of the survival average treatment effect for the case in which a specific time is chosen. This is used to calculate intervals. |
Maintainer: Giampiero Marra [email protected]
Internal fitting set up function.
Maintainer: Giampiero Marra [email protected]
Wrapper of core algorithm.
Maintainer: Giampiero Marra [email protected]
This and other similar internal functions calculate useful post estimation quantities.
Maintainer: Giampiero Marra [email protected]
Internal fitting set up function.
Maintainer: Giampiero Marra [email protected]
Internal fitting set up function.
Maintainer: Giampiero Marra [email protected]
It takes a fitted copulaSampleSel object and produces some summaries from it.
## S3 method for class 'copulaSampleSel' summary(object, n.sim = 100, prob.lev = 0.05, ...) ## S3 method for class 'summary.copulaSampleSel' print(x, digits = max(3, getOption("digits") - 3), signif.stars = getOption("show.signif.stars"), ...)## S3 method for class 'copulaSampleSel' summary(object, n.sim = 100, prob.lev = 0.05, ...) ## S3 method for class 'summary.copulaSampleSel' print(x, digits = max(3, getOption("digits") - 3), signif.stars = getOption("show.signif.stars"), ...)
object |
A fitted |
x |
|
n.sim |
The number of simulated coefficient vectors from the posterior distribution of the estimated model parameters. This is used to calculate intervals for the association parameter, dispersion coefficient, for instance It may be increased if more precision is required. |
prob.lev |
Probability of the left and right tails of the posterior distribution used for interval calculations. |
digits |
Number of digits printed in output. |
signif.stars |
By default significance stars are printed alongside output. |
... |
Other arguments. |
print.summary.copulaSampleSel prints model term summaries.
Maintainer: Giampiero Marra [email protected]
## see examples for gjrm## see examples for gjrm
It takes a fitted gamlss object and produces some summaries from it.
## S3 method for class 'gamlss' summary(object, n.sim = 100, prob.lev = 0.05, ...) ## S3 method for class 'summary.gamlss' print(x, digits = max(3, getOption("digits") - 3), signif.stars = getOption("show.signif.stars"), ...)## S3 method for class 'gamlss' summary(object, n.sim = 100, prob.lev = 0.05, ...) ## S3 method for class 'summary.gamlss' print(x, digits = max(3, getOption("digits") - 3), signif.stars = getOption("show.signif.stars"), ...)
object |
A fitted |
x |
|
n.sim |
The number of simulated coefficient vectors from the posterior distribution of the estimated model parameters. This is used to calculate intervals for various parameters. It may be increased if more precision is required. |
prob.lev |
Probability of the left and right tails of the posterior distribution used for interval calculations. |
digits |
Number of digits printed in output. |
signif.stars |
By default significance stars are printed alongside output. |
... |
Other arguments. |
print.summary.gamlss prints model term summaries.
tableP1 |
Table containing parametric estimates, their standard errors, z-values and p-values for equation 1. |
tableP2, tableP3
|
As above but for equations 2 and 3 if present. |
tableNP1 |
Table of nonparametric summaries for each smooth component including effective degrees of freedom, estimated rank, approximate Wald statistic for testing the null hypothesis that the smooth term is zero and corresponding p-value, for equation 1. |
tableNP2, tableNP3
|
As above but for equations 2 and 3. |
n |
Sample size. |
sigma, nu
|
Estimated distribution specific parameters. |
formula1, formula2, formula3
|
Formulas used for the model equations. |
l.sp1, l.sp2, l.sp3
|
Number of smooth components in model equation. |
t.edf |
Total degrees of freedom of the estimated bivariate model. |
CIsig, CInu
|
Intervals for distribution specific parameters. |
Maintainer: Giampiero Marra [email protected]
## see examples for gamlss## see examples for gamlss
It takes a fitted gjrm object and produces some summaries from it.
## S3 method for class 'gjrm' summary(object, n.sim = 100, prob.lev = 0.05, ...) ## S3 method for class 'summary.gjrm' print(x, digits = max(3, getOption("digits") - 3), signif.stars = getOption("show.signif.stars"), ...)## S3 method for class 'gjrm' summary(object, n.sim = 100, prob.lev = 0.05, ...) ## S3 method for class 'summary.gjrm' print(x, digits = max(3, getOption("digits") - 3), signif.stars = getOption("show.signif.stars"), ...)
object |
A fitted |
x |
|
n.sim |
The number of simulated coefficient vectors from the posterior distribution of the estimated model parameters. This is used to calculate intervals for the association parameter, dispersion coefficient etc. It may be increased if more precision is required. |
prob.lev |
Probability of the left and right tails of the posterior distribution used for interval calculations. |
digits |
Number of digits printed in output. |
signif.stars |
By default significance stars are printed alongside output. |
... |
Other arguments. |
print.summary.gjrm prints model term summaries.
tableP1 |
Table containing parametric estimates, their standard errors, z-values and p-values for equation 1. |
tableP2, tableP3, ...
|
As above but for equation 2 and equations 3 and 4 if present. |
tableNP1 |
Table of nonparametric summaries for each smooth component including effective degrees of freedom, estimated rank, approximate Wald statistic for testing the null hypothesis that the smooth term is zero and corresponding p-value, for equation 1. |
tableNP2, tableNP3, ...
|
As above but for equation 2 and equations 3 and 4 if present. |
n |
Sample size. |
theta |
Estimated dependence parameter linking the two equations. |
sigma1, sigma2
|
Estimated distribution specific parameters for equations 1 and 2. |
nu1, nu2
|
Estimated distribution specific parameters for equations 1 and 2. |
formula1, formula2, formula3, ...
|
Formulas used for the model equations. |
l.sp1, l.sp2, l.sp3, ...
|
Number of smooth components in model equations. |
t.edf |
Total degrees of freedom of the estimated bivariate model. |
CItheta |
Interval(s) for |
CIsig1, CIsig2, CInu1, CInu2
|
Intervals for distribution specific parameters |
Note that the Kendall's tau (and related interval), as implemented here, is a valid measure of dependence for continuous margins and it will only provide a crude indication of dependence in other cases.
Maintainer: Giampiero Marra [email protected]
It takes a fitted SemiParBIV object and produces some summaries from it.
## S3 method for class 'SemiParBIV' summary(object, n.sim = 100, prob.lev = 0.05, gm = FALSE, ...) ## S3 method for class 'summary.SemiParBIV' print(x, digits = max(3, getOption("digits") - 3), signif.stars = getOption("show.signif.stars"), ...)## S3 method for class 'SemiParBIV' summary(object, n.sim = 100, prob.lev = 0.05, gm = FALSE, ...) ## S3 method for class 'summary.SemiParBIV' print(x, digits = max(3, getOption("digits") - 3), signif.stars = getOption("show.signif.stars"), ...)
object |
A fitted |
x |
|
n.sim |
The number of simulated coefficient vectors from the posterior distribution of the estimated model parameters. This is used to calculate intervals for the association parameter, dispersion coefficient and other measures (e.g., gamma measure). It may be increased if more precision is required. |
prob.lev |
Probability of the left and right tails of the posterior distribution used for interval calculations. |
gm |
If TRUE then intervals for the gamma measure and odds ratio are calculated. |
digits |
Number of digits printed in output. |
signif.stars |
By default significance stars are printed alongside output. |
... |
Other arguments. |
Using some low level functions in mgcv, based on the results of Marra and Wood (2012), ‘Bayesian p-values’ are returned for the
smooth terms. These have better frequentist performance than their frequentist counterpart. See the help file of
summary.gam in mgcv for further details. Covariate selection can also be achieved
using a single penalty shrinkage approach as shown in Marra and Wood (2011).
Posterior simulation is used to obtain intervals of nonlinear functions of parameters, such as the association and dispersion parameters
as well as the odds ratio and gamma measure discussed by Tajar et al. (2001) if gm = TRUE.
print.summary.SemiParBIV prints model term summaries.
tableP1 |
Table containing parametric estimates, their standard errors, z-values and p-values for equation 1. |
tableP2, tableP3, ...
|
As above but for equation 2 and equations 3 and 4 if present. |
tableNP1 |
Table of nonparametric summaries for each smooth component including effective degrees of freedom, estimated rank, approximate Wald statistic for testing the null hypothesis that the smooth term is zero and corresponding p-value, for equation 1. |
tableNP2, tableNP3, ...
|
As above but for equation 2 and equations 3 and 4 if present. |
n |
Sample size. |
theta |
Estimated dependence parameter linking the two equations. |
formula1, formula2, formula3, ...
|
Formulas used for the model equations. |
l.sp1, l.sp2, l.sp3, ...
|
Number of smooth components in model equations. |
t.edf |
Total degrees of freedom of the estimated bivariate model. |
CItheta |
Interval(s) for |
n.sel |
Number of selected observations in the sample selection case. |
OR, CIor
|
Odds ratio and related CI. The odds ratio is a measure of association between binary random variables and is defined as p00p11/p10p01. In the case of independence this ratio is equal to 1. It can take values in the range (-Inf, Inf) and it does not depend on the marginal probabilities (Tajar et al., 2001). Interval is calculated using posterior simulation. |
GM, CIgm
|
Gamma measure and related CI. This measure of association was proposed by Goodman and Kruskal (1954). It is defined as
( |
Note that the Kendall's tau (and related interval), as implemented here, is a valid measure of dependence for continuous margins and it will only provide a crude indication of dependence in other cases.
Maintainer: Giampiero Marra [email protected]
Marra G. and Wood S.N. (2011), Practical Variable Selection for Generalized Additive Models. Computational Statistics and Data Analysis, 55(7), 2372-2387.
Marra G. and Wood S.N. (2012), Coverage Properties of Confidence Intervals for Generalized Additive Model Components. Scandinavian Journal of Statistics, 39(1), 53-74.
Tajar M., Denuit M. and Lambert P. (2001), Copula-Type Representation for Random Couples with Bernoulli Margins. Discussion Papaer 0118, Universite Catholique De Louvain.
It takes a fitted SemiParROY object and produces some summaries from it.
## S3 method for class 'SemiParROY' summary(object, n.sim = 100, prob.lev = 0.05, ...) ## S3 method for class 'summary.SemiParROY' print(x, digits = max(3, getOption("digits") - 3), signif.stars = getOption("show.signif.stars"), ...)## S3 method for class 'SemiParROY' summary(object, n.sim = 100, prob.lev = 0.05, ...) ## S3 method for class 'summary.SemiParROY' print(x, digits = max(3, getOption("digits") - 3), signif.stars = getOption("show.signif.stars"), ...)
object |
A fitted |
x |
|
n.sim |
The number of simulated coefficient vectors from the posterior distribution of the estimated model parameters. This is used to calculate intervals for the association parameter, dispersion coefficient, for instance It may be increased if more precision is required. |
prob.lev |
Probability of the left and right tails of the posterior distribution used for interval calculations. |
digits |
Number of digits printed in output. |
signif.stars |
By default significance stars are printed alongside output. |
... |
Other arguments. |
print.summary.SemiParROY prints model term summaries.
Maintainer: Giampiero Marra [email protected]
## see examples for gjrm## see examples for gjrm
It takes a fitted SemiParTRIV object and produces some summaries from it.
## S3 method for class 'SemiParTRIV' summary(object, n.sim = 100, prob.lev = 0.05, ...) ## S3 method for class 'summary.SemiParTRIV' print(x, digits = max(3, getOption("digits") - 3), signif.stars = getOption("show.signif.stars"), ...)## S3 method for class 'SemiParTRIV' summary(object, n.sim = 100, prob.lev = 0.05, ...) ## S3 method for class 'summary.SemiParTRIV' print(x, digits = max(3, getOption("digits") - 3), signif.stars = getOption("show.signif.stars"), ...)
object |
A fitted |
x |
|
n.sim |
The number of simulated coefficient vectors from the posterior distribution of the estimated model parameters. This is used to calculate intervals for the association parameter and other measures. It may be increased if more precision is required. |
prob.lev |
Probability of the left and right tails of the posterior distribution used for interval calculations. |
digits |
Number of digits printed in output. |
signif.stars |
By default significance stars are printed alongside output. |
... |
Other arguments. |
print.summary.SemiParTRIV prints model term summaries.
Maintainer: Giampiero Marra [email protected]
## see examples for gjrm## see examples for gjrm
It approximates the trivariate normal integral.
Maintainer: Giampiero Marra [email protected]
It provides score and Hessian for trivariate binary models.
Author: Panagiota Filippou
Maintainer: Giampiero Marra [email protected]
The Vuong and Clarke tests are likelihood-ratio-based tests that can be used for choosing between two non-nested models.
VuongClarke(obj1, obj2, sig.lev = 0.05)VuongClarke(obj1, obj2, sig.lev = 0.05)
obj1, obj2
|
Objects of the two fitted bivariate non-nested models. |
sig.lev |
Significance level used for testing. |
The Vuong (1989) and Clarke (2007) tests are likelihood-ratio-based tests for model selection that use the Kullback-Leibler information criterion. The implemented tests can be used for choosing between two bivariate models which are non-nested.
In the Vuong test, the null hypothesis is that the two models are equally close to the actual model, whereas
the alternative is that one model is closer. The test follows asymptotically a standard normal
distribution under the null. Assume that the critical region is , where is typically set to 1.96. If the value
of the test is higher than then we reject the null hypothesis
that the models are equivalent in favor of model obj1. Viceversa if the value is smaller than . If
the value falls in then we cannot discriminate between the two competing models given the data.
In the Clarke test, if the two models are statistically equivalent then the log-likelihood ratios of the
observations should be evenly distributed around zero
and around half of the ratios should be larger than zero. The test follows asymptotically a binomial distribution with
parameters and 0.5. Critical values can be obtained as shown in Clarke (2007). Intuitively,
model obj1 is preferred over obj2 if the value of the test
is significantly larger than its expected value under the null hypothesis (), and vice versa. If
the value is not significantly different from then obj1 can be thought of as equivalent to obj2.
It returns two decisions based on the tests and criteria discussed above.
Maintainer: Giampiero Marra [email protected]
Clarke K. (2007), A Simple Distribution-Free Test for Non-Nested Model Selection. Political Analysis, 15, 347-363.
Vuong Q.H. (1989), Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses. Econometrica, 57(2), 307-333.
## see examples for gjrm## see examples for gjrm
It efficiently calculates the working model quantities needed to implement the automatic multiple smoothing parameter estimation procedure by exploiting a result which leads to very fast and stable calculations.
Maintainer: Giampiero Marra [email protected]