bigsplines (version 1.1-1)

bigssg: Fits Generalized Smoothing Spline ANOVA Models

Description

Given an exponential family response vector \(\mathbf{y}=\{y_{i}\}_{n\times1}\), a Generalized Smoothing Spline Anova (GSSA) has the form $$g(\mu_{i}) = \eta(\mathbf{x}_{i})$$ where \(\mu_{i}\) is the expected value of the \(i\)-th observation's respone, \(g(\cdot)\) is some invertible link function, \(\mathbf{x}_{i}=(x_{i1},\ldots,x_{ip})\) is the \(i\)-th observation's nonparametric predictor vector, and \(\eta\) is an unknown smooth function relating the response and nonparametric predictors. Function can fit additive models, and also allows for 2-way and 3-way interactions between any number of predictors. Response can be one of five non-Gaussian distributions: Binomial, Poisson, Gamma, Inverse Gaussian, or Negative Binomial (see Details and Examples).

Usage

bigssg(formula,family,data=NULL,type=NULL,nknots=NULL,rparm=NA,
       lambdas=NULL,skip.iter=TRUE,se.lp=FALSE,rseed=1234,
       gcvopts=NULL,knotcheck=TRUE,gammas=NULL,weights=NULL,
       gcvtype=c("acv","gacv","gacv.old"))

Arguments

formula

An object of class "formula": a symbolic description of the model to be fitted (see Details and Examples for more information).

family

Distribution for response. One of five options: "binomial", "poisson", "Gamma", "inverse.gaussian", or "negbin". See Response section.

data

Optional data frame, list, or environment containing the variables in formula. Or an object of class "makessg", which is output from makessg.

type

List of smoothing spline types for predictors in formula (see Details). Options include type="cub" for cubic, type="cub0" for another cubic, type="per" for cubic periodic, type="tps" for cubic thin-plate, type="ord" for ordinal, and type="nom" for nominal.

nknots

Two possible options: (a) scalar giving total number of random knots to sample, or (b) vector indexing which rows of data to use as knots.

rparm

List of rounding parameters for each predictor. See Details.

lambdas

Vector of global smoothing parameters to try. Default lambdas=10^-c(9:0).

skip.iter

Logical indicating whether to skip the iterative smoothing parameter update. Using skip.iter=FALSE should provide a more optimal solution, but the fitting time may be substantially longer. See Skip Iteration section.

se.lp

Logical indicating if the standard errors of the linear predictors (\(\eta\)) should be estimated.

rseed

Random seed for knot sampling. Input is ignored if nknots is an input vector of knot indices. Set rseed=NULL to obtain a different knot sample each time, or set rseed to any positive integer to use a different seed than the default.

gcvopts

Control parameters for optimization. List with 6 elements: (i) maxit: maximum number of outer iterations, (ii) gcvtol: covergence tolerance for iterative GACV update, (iii) alpha: tuning parameter for GACV minimization, (iv) inmaxit: maximum number of inner iterations for iteratively reweighted fitting, (v) intol: inner convergence tolerance for iteratively reweighted fitting, and (vi) insub: number of data points to subsample when checking inner convergence. gcvopts=list(maxit=5,gcvtol=10^-5,alpha=1,inmaxit=100,intol=10^-5,insub=10^4)

knotcheck

If TRUE, only unique knots are used (for stability).

gammas

List of initial smoothing parameters for each predictor. See Details.

weights

Vector of positive weights for fitting (default is vector of ones).

gcvtype

Cross-validation criterion for selecting smoothing parameters (see Details).

Value

fitted.values

Vector of fitted values (data scale) corresponding to the original data points in xvars (if rparm=NA) or the rounded data points in xunique (if rparm is used).

linear.predictors

Vector of fitted values (link scale) corresponding to the original data points in xvars (if rparm=NA) or the rounded data points in xunique (if rparm is used).

se.lp

Vector of standard errors of linear.predictors (if input se.lp=TRUE).

yvar

Response vector.

xvars

List of predictors.

type

Type of smoothing spline that was used for each predictor.

yunique

Mean of yvar for unique points after rounding (if rparm is used).

xunique

Unique rows of xvars after rounding (if rparm is used).

dispersion

Estimated dispersion parameter (see Response section).

ndf

Data frame with two elements: n is total sample size, and df is effective degrees of freedom of fit model (trace of smoothing matrix).

info

Model fit information: vector containing the GCV, multiple R-squared, AIC, and BIC of fit model.

modelspec

List containing specifics of fit model (needed for prediction).

converged

Convergence status: converged=TRUE if iterative update converged, converged=FALSE if iterative update failed to converge, and converged=NA if option skip.iter=TRUE was used.

tnames

Names of the terms in model.

family

Distribution family (same as input).

call

Called model in input formula.

Warnings

Cubic and cubic periodic splines transform the predictor to the interval [0,1] before fitting.

When using rounding parameters, output fitted.values corresponds to unique rounded predictor scores in output xunique. Use predict.bigssg function to get fitted values for full yvar vector.

Response

Only one link is permitted for each family:

family="binomial" Logit link. Response should be vector of proportions in the interval [0,1]. If response is a sample proportion, the total count should be input through weights argument.

family="poisson" Log link. Response should be vector of counts (non-negative integers).

family="Gamma" Inverse link. Response should be vector of positive real-valued data. Estimated dispersion parameter is the inverse of the shape parameter, so that the variance of the response increases as dispersion increases.

family="inverse.gaussian" Inverse-square link. Response should be vector of positive real-valued data. Estimated dispersion parameter is the inverse of the shape parameter, so that the variance of the response increases as dispersion increases.

family="negbin" Log link. Response should be vector of counts (non-negative integers). Estimated dispersion parameter is the inverse of the size parameter, so that the variance of the response increases as dispersion increases.

family=list("negbin",2) Log link. Response should be vector of counts (non-negative integers). Second element is the known (common) dispersion parameter (2 in this case). The input dispersion parameter should be the inverse of the size parameter, so that the variance of the response increases as dispersion increases.

Computational Details

To estimate \(\eta\) I minimize the (negative of the) penalized log likelihood $$-\frac{1}{n}\sum_{i=1}^{n}\left\{y_{i}\eta(\mathbf{x}_{i}) - b(\eta(\mathbf{x}_{i})) \right\} + \frac{\lambda}{2} J(\eta)$$ where \(J(\cdot)\) is a nonnegative penalty functional quantifying the roughness of \(\eta\) and \(\lambda>0\) is a smoothing parameter controlling the trade-off between fitting and smoothing the data. Note that for \(p>1\) nonparametric predictors, there are additional \(\theta_{k}\) smoothing parameters embedded in \(J\).

Following standard exponential family theory, \(\mu_{i} = \dot{b}(\eta(\mathbf{x}_{i}))\) and \(v_{i} = \ddot{b}(\eta(\mathbf{x}_{i}))a(\xi)\), where \(\dot{b}(\cdot)\) and \(\ddot{b}(\cdot)\) denote the first and second derivatives of \(b(\cdot)\), \(v_{i}\) is the variance of \(y_{i}\),and \(\xi\) is the dispersion parameter. Given fixed smoothing parameters, the optimal \(\eta\) can be estimated by iteratively minimizing the penalized reweighted least-squares functional $$\frac{1}{n}\sum_{i=1}^{n}v_{i}^{*}\left(y_{i}^{*} - \eta(\mathbf{x}_{i}) \right)^{2} + \lambda J(\eta)$$ where \(v_{i}^{*}=v_{i}/a(\xi)\) is the weight, \(y_{i}^{*}=\hat{\eta}(\mathbf{x}_{i})+(y_{i}-\hat{\mu}_{i})/v_{i}^{*}\) is the adjusted dependent variable, and \(\hat{\eta}(\mathbf{x}_{i})\) is the current estimate of \(\eta\).

The optimal smoothing parameters are chosen via direct cross-validation (see Gu & Xiang, 2001).

Setting gcvtype="acv" uses the Approximate Cross-Validation (ACV) score: $$-\frac{1}{n}\sum_{i=1}^{n}\{y_{i}\hat{\eta}(\mathbf{x}_{i}) - b(\hat{\eta}(\mathbf{x}_{i}))\} + \frac{1}{n}\sum_{i=1}^{n}\frac{s_{ii}}{(1-s_{ii})v_{i}^{*}}y_{i}(y_{i}-\hat{\mu}_{i}) $$ where \(s_{ii}\) is the i-th diagonal of the smoothing matrix \(\mathbf{S}_{\boldsymbol\lambda}\).

Setting gcvtype="gacv" uses the Generalized ACV (GACV) score: $$-\frac{1}{n}\sum_{i=1}^{n}\{y_{i}\hat{\eta}(\mathbf{x}_{i}) - b(\hat{\eta}(\mathbf{x}_{i}))\} + \frac{\mathrm{tr}(\mathbf{S}_{\boldsymbol\lambda}\mathbf{V}^{-1})}{n-\mathrm{tr}(\mathbf{S}_{\boldsymbol\lambda})}\frac{1}{n}\sum_{i=1}^{n}y_{i}(y_{i}-\hat{\mu}_{i}) $$ where \(\mathbf{S}_{\boldsymbol\lambda}\) is the smoothing matrix, and \(\mathbf{V}=\mathrm{diag}(v_{1}^{*},\ldots,v_{n}^{*})\).

Setting gcvtype="gacv.old" uses an approximation of the GACV where \(\frac{1}{n}\mathrm{tr}(\mathbf{S}_{\boldsymbol\lambda}\mathbf{V}^{-1})\) is approximated using \(\frac{1}{n^2}\mathrm{tr}(\mathbf{S}_{\boldsymbol\lambda})\mathrm{tr}(\mathbf{V}^{-1})\). This option is included for back-compatibility (ver 1.0-4 and earlier), and is not recommended because the ACV or GACV often perform better.

Note that this function uses the efficient SSA reparameterization described in Helwig (2013) and Helwig and Ma (2015); using is parameterization, there is one unique smoothing parameter per predictor (\(\gamma_{j}\)), and these \(\gamma_{j}\) parameters determine the structure of the \(\theta_{k}\) parameters in the tensor product space. To evaluate the ACV/GACV score, this function uses the improved (scalable) GSSA algorithm discussed in Helwig (in preparation).

Skip Iteration

For \(p>1\) predictors, initial values for the \(\gamma_{j}\) parameters (that determine the structure of the \(\theta_{k}\) parameters) are estimated using an extension of the smart starting algorithm described in Helwig (2013) and Helwig and Ma (2015).

Default use of this function (skip.iter=TRUE) fixes the \(\gamma_{j}\) parameters afer the smart start, and then finds the global smoothing parameter \(\lambda\) (among the input lambdas) that minimizes the GCV score. This approach typically produces a solution very similar to the more optimal solution using skip.iter=FALSE.

Setting skip.iter=FALSE uses the same smart starting algorithm as setting skip.iter=TRUE. However, instead of fixing the \(\gamma_{j}\) parameters afer the smart start, using skip.iter=FALSE iterates between estimating the optimal \(\lambda\) and the optimal \(\gamma_{j}\) parameters. The R function nlm is used to minimize the approximate GACV score with respect to the \(\gamma_{j}\) parameters, which can be time consuming for models with many predictors and/or a large number of knots.

Details

The formula syntax is similar to that used in lm and many other R regression functions. Use y~x to predict the response y from the predictor x. Use y~x1+x2 to fit an additive model of the predictors x1 and x2, and use y~x1*x2 to fit an interaction model. The syntax y~x1*x2 includes the interaction and main effects, whereas the syntax y~x1:x2 is not supported. See Computational Details for specifics about how nonparametric effects are estimated.

See bigspline for definitions of type="cub", type="cub0", and type="per" splines, which can handle one-dimensional predictors. See Appendix of Helwig and Ma (2015) for information about type="tps" and type="nom" splines. Note that type="tps" can handle one-, two-, or three-dimensional predictors. I recommend using type="cub" if the predictor scores have no extreme outliers; when outliers are present, type="tps" may produce a better result.

Using the rounding parameter input rparm can greatly speed-up and stabilize the fitting for large samples. For typical cases, I recommend using rparm=0.01 for cubic and periodic splines, but smaller rounding parameters may be needed for particularly jagged functions. For thin-plate splines, the data are NOT transformed to the interval [0,1] before fitting, so rounding parameter should be on raw data scale. Also, for type="tps" you can enter one rounding parameter for each predictor dimension. Use rparm=1 for ordinal and nominal splines.

References

Gu, C. (2013). Smoothing spline ANOVA models, 2nd edition. New York: Springer.

Gu, C. and Xiang, D. (2001). Cross-validating non-Gaussian data: Generalized approximate cross-validation revisited. Journal of Computational and Graphical Statistics, 10, 581-591.

Helwig, N. E. (2017). Regression with ordered predictors via ordinal smoothing splines. Frontiers in Applied Mathematics and Statistics, 3(15), 1-13.

Helwig, N. E. and Ma, P. (2015). Fast and stable multiple smoothing parameter selection in smoothing spline analysis of variance models with large samples. Journal of Computational and Graphical Statistics, 24, 715-732.

Helwig, N. E. and Ma, P. (2016). Smoothing spline ANOVA for super-large samples: Scalable computation via rounding parameters. Statistics and Its Interface, 9, 433-444.

Examples

# NOT RUN {
##########   EXAMPLE 1 (1-way GSSA)   ##########

# define univariate function and data
set.seed(1)
myfun <- function(x){ sin(2*pi*x) }
ndpts <- 1000
x <- runif(ndpts)

# binomial response (no weights)
set.seed(773)
lp <- myfun(x)
p <- 1/(1+exp(-lp))
y <- rbinom(n=ndpts,size=1,p=p)     ## y is binary data
gmod <- bigssg(y~x,family="binomial",type="cub",nknots=20)
crossprod( lp - gmod$linear.predictor )/length(lp)

# binomial response (with weights)
set.seed(773)
lp <- myfun(x)
p <- 1/(1+exp(-lp))
w <- sample(c(10,20,30,40,50),length(p),replace=TRUE)
y <- rbinom(n=ndpts,size=w,p=p)/w   ## y is proportion correct
gmod <- bigssg(y~x,family="binomial",type="cub",nknots=20,weights=w)
crossprod( lp - gmod$linear.predictor )/length(lp)

# poisson response
set.seed(773)
lp <- myfun(x)
mu <- exp(lp)
y <- rpois(n=ndpts,lambda=mu)
gmod <- bigssg(y~x,family="poisson",type="cub",nknots=20)
crossprod( lp - gmod$linear.predictor )/length(lp)

# Gamma response
set.seed(773)
lp <- myfun(x) + 2
mu <- 1/lp
y <- rgamma(n=ndpts,shape=4,scale=mu/4)
gmod <- bigssg(y~x,family="Gamma",type="cub",nknots=20)
1/gmod$dispersion   ## dispersion = 1/shape
crossprod( lp - gmod$linear.predictor )/length(lp)

# inverse gaussian response (not run: requires statmod package)
# require(statmod)
# set.seed(773)
# lp <- myfun(x) + 2
# mu <- sqrt(1/lp)
# y <- rinvgauss(n=ndpts,mean=mu,shape=2)
# gmod <- bigssg(y~x,family="inverse.gaussian",type="cub",nknots=20)
# 1/gmod$dispersion   ## dispersion = 1/shape
# crossprod( lp - gmod$linear.predictor )/length(lp)

# negative binomial response (known dispersion)
set.seed(773)
lp <- myfun(x)
mu <- exp(lp)
y <- rnbinom(n=ndpts,size=.5,mu=mu)
gmod <- bigssg(y~x,family=list("negbin",2),type="cub",nknots=20)
1/gmod$dispersion   ## dispersion = 1/size
crossprod( lp - gmod$linear.predictor )/length(lp)

# negative binomial response (unknown dispersion)
set.seed(773)
lp <- myfun(x)
mu <- exp(lp)
y <- rnbinom(n=ndpts,size=.5,mu=mu)
gmod <- bigssg(y~x,family="negbin",type="cub",nknots=20)
1/gmod$dispersion   ## dispersion = 1/size
crossprod( lp - gmod$linear.predictor )/length(lp)

# }
# NOT RUN {
##########   EXAMPLE 2 (2-way GSSA)   ##########

# function with two continuous predictors
set.seed(1)
myfun <- function(x1v,x2v){
  sin(2*pi*x1v) + log(x2v+.1) + cos(pi*(x1v-x2v))
}
ndpts <- 1000
x1v <- runif(ndpts)
x2v <- runif(ndpts)

# binomial response (no weights)
set.seed(773)
lp <- myfun(x1v,x2v)
p <- 1/(1+exp(-lp))
y <- rbinom(n=ndpts,size=1,p=p)     ## y is binary data
gmod <- bigssg(y~x1v*x2v,family="binomial",type=list(x1v="cub",x2v="cub"),nknots=50)
crossprod( lp - gmod$linear.predictor )/length(lp)

# binomial response (with weights)
set.seed(773)
lp <- myfun(x1v,x2v)
p <- 1/(1+exp(-lp))
w <- sample(c(10,20,30,40,50),length(p),replace=TRUE)
y <- rbinom(n=ndpts,size=w,p=p)/w   ## y is proportion correct
gmod <- bigssg(y~x1v*x2v,family="binomial",type=list(x1v="cub",x2v="cub"),nknots=50,weights=w)
crossprod( lp - gmod$linear.predictor )/length(lp)

# poisson response
set.seed(773)
lp <- myfun(x1v,x2v)
mu <- exp(lp)
y <- rpois(n=ndpts,lambda=mu)
gmod <- bigssg(y~x1v*x2v,family="poisson",type=list(x1v="cub",x2v="cub"),nknots=50)
crossprod( lp - gmod$linear.predictor )/length(lp)

# Gamma response
set.seed(773)
lp <- myfun(x1v,x2v)+6
mu <- 1/lp
y <- rgamma(n=ndpts,shape=4,scale=mu/4)
gmod <- bigssg(y~x1v*x2v,family="Gamma",type=list(x1v="cub",x2v="cub"),nknots=50)
1/gmod$dispersion   ## dispersion = 1/shape
crossprod( lp - gmod$linear.predictor )/length(lp)

# inverse gaussian response (not run: requires 'statmod' package)
# require(statmod)
# set.seed(773)
# lp <- myfun(x1v,x2v)+6
# mu <- sqrt(1/lp)
# y <- rinvgauss(n=ndpts,mean=mu,shape=2)
# gmod <- bigssg(y~x1v*x2v,family="inverse.gaussian",type=list(x1v="cub",x2v="cub"),nknots=50)
# 1/gmod$dispersion   ## dispersion = 1/shape
# crossprod( lp - gmod$linear.predictor )/length(lp)

# negative binomial response (known dispersion)
set.seed(773)
lp <- myfun(x1v,x2v)
mu <- exp(lp)
y <- rnbinom(n=ndpts,size=.5,mu=mu)
gmod <- bigssg(y~x1v*x2v,family=list("negbin",2),type=list(x1v="cub",x2v="cub"),nknots=50)
1/gmod$dispersion   ## dispersion = 1/size
crossprod( lp - gmod$linear.predictor )/length(lp)

# negative binomial response (unknown dispersion)
set.seed(773)
lp <- myfun(x1v,x2v)
mu <- exp(lp)
y <- rnbinom(n=ndpts,size=.5,mu=mu)
gmod <- bigssg(y~x1v*x2v,family="negbin",type=list(x1v="cub",x2v="cub"),nknots=50)
1/gmod$dispersion   ## dispersion = 1/size
crossprod( lp - gmod$linear.predictor )/length(lp)
# }
# NOT RUN {
# }