rms (version 6.2-0)

# bootcov: Bootstrap Covariance and Distribution for Regression Coefficients

## Description

bootcov computes a bootstrap estimate of the covariance matrix for a set of regression coefficients from ols, lrm, cph, psm, Rq, and any other fit where x=TRUE, y=TRUE was used to store the data used in making the original regression fit and where an appropriate fitter function is provided here. The estimates obtained are not conditional on the design matrix, but are instead unconditional estimates. For small sample sizes, this will make a difference as the unconditional variance estimates are larger. This function will also obtain bootstrap estimates corrected for cluster sampling (intra-cluster correlations) when a "working independence" model was used to fit data which were correlated within clusters. This is done by substituting cluster sampling with replacement for the usual simple sampling with replacement. bootcov has an option (coef.reps) that causes all of the regression coefficient estimates from all of the bootstrap re-samples to be saved, facilitating computation of nonparametric bootstrap confidence limits and plotting of the distributions of the coefficient estimates (using histograms and kernel smoothing estimates).

The loglik option facilitates the calculation of simultaneous confidence regions from quantities of interest that are functions of the regression coefficients, using the method of Tibshirani(1996). With Tibshirani's method, one computes the objective criterion (-2 log likelihood evaluated at the bootstrap estimate of $$\beta$$ but with respect to the original design matrix and response vector) for the original fit as well as for all of the bootstrap fits. The confidence set of the regression coefficients is the set of all coefficients that are associated with objective function values that are less than or equal to say the 0.95 quantile of the vector of B + 1 objective function values. For the coefficients satisfying this condition, predicted values are computed at a user-specified design matrix X, and minima and maxima of these predicted values (over the qualifying bootstrap repetitions) are computed to derive the final simultaneous confidence band.

The bootplot function takes the output of bootcov and either plots a histogram and kernel density estimate of specified regression coefficients (or linear combinations of them through the use of a specified design matrix X), or a qqnorm plot of the quantities of interest to check for normality of the maximum likelihood estimates. bootplot draws vertical lines at specified quantiles of the bootstrap distribution, and returns these quantiles for possible printing by the user. Bootstrap estimates may optionally be transformed by a user-specified function fun before plotting.

The confplot function also uses the output of bootcov but to compute and optionally plot nonparametric bootstrap pointwise confidence limits or (by default) Tibshirani (1996) simultaneous confidence sets. A design matrix must be specified to allow confplot to compute quantities of interest such as predicted values across a range of values or differences in predicted values (plots of effects of changing one or more predictor variable values).

bootplot and confplot are actually generic functions, with the particular functions bootplot.bootcov and confplot.bootcov automatically invoked for bootcov objects.

A service function called histdensity is also provided (for use with bootplot). It runs hist and density on the same plot, using twice the number of classes than the default for hist, and 1.5 times the width than the default used by density.

A comprehensive example demonstrates the use of all of the functions.

## Usage

bootcov(fit, cluster, B=200, fitter,
coef.reps=TRUE, loglik=FALSE,
pr=FALSE, maxit=15, eps=0.0001, group=NULL, stat=NULL)
bootplot(obj, which=1 : ncol(Coef), X,
conf.int=c(.9,.95,.99),
what=c('density', 'qqnorm', 'box'),
fun=function(x) x, labels., …)
confplot(obj, X, against,
method=c('simultaneous','pointwise'),
conf.int=0.95, fun=function(x)x,
histdensity(y, xlab, nclass, width, mult.width=1, …)

## Arguments

fit

a fit object containing components x and y. For fits from cph, the "strata" attribute of the x component is used to obtain the vector of stratum codes.

obj

an object created by bootcov with coef.reps=TRUE.

X

a design matrix specified to confplot. See predict.rms or contrast.rms. For bootplot, X is optional.

y

a vector to pass to histdensity. NAs are ignored.

cluster

a variable indicating groupings. cluster may be any type of vector (factor, character, integer). Unique values of cluster indicate possibly correlated groupings of observations. Note the data used in the fit and stored in fit$x and fit$y may have had observations containing missing values deleted. It is assumed that if there were any NAs, an naresid function exists for the class of fit. This function restores NAs so that the rows of the design matrix coincide with cluster.

B

number of bootstrap repetitions. Default is 200.

fitter

the name of a function with arguments (x,y) that will fit bootstrap samples. Default is taken from the class of fit if it is ols, lrm, cph, psm, Rq.

coef.reps

set to TRUE if you want to store a matrix of all bootstrap regression coefficient estimates in the returned component boot.Coef.

loglik

set to TRUE to store -2 log likelihoods for each bootstrap model, evaluated against the original x and y data. The default is to do this when coef.reps is specified as TRUE. The use of loglik=TRUE assumes that an oos.loglik method exists for the type of model being analyzed, to calculate out-of-sample -2 log likelihoods (see rmsMisc). After the B -2 log likelihoods (stored in the element named boot.loglik in the returned fit object), the B+1 element is the -2 log likelihood for the original model fit.

pr

set to TRUE to print the current sample number to monitor progress.

maxit

maximum number of iterations, to pass to fitter

eps

argument to pass to various fitters

group

a grouping variable used to stratify the sample upon bootstrapping. This allows one to handle k-sample problems, i.e., each bootstrap sample will be forced to select the same number of observations from each level of group as the number appearing in the original dataset. You may specify both group and cluster.

stat

a single character string specifying the name of a stats element produced by the fitting function to save over the bootstrap repetitions. The vector of saved statistics will be in the boot.stats part of the list returned by bootcov.

which

one or more integers specifying which regression coefficients to plot for bootplot

conf.int

a vector (for bootplot, default is c(.9,.95,.99)) or scalar (for confplot, default is .95) confidence level.

what

for bootplot, specifies whether a density or a q-q plot is made, a ggplot2 is used to produce a box plot of all coefficients over the bootstrap reps

fun

for bootplot or confplot specifies a function used to translate the quantities of interest before analysis. A common choice is fun=exp to compute anti-logs, e.g., odds ratios.

labels.

a vector of labels for labeling the axes in plots produced by bootplot. Default is row names of X if there are any, or sequential integers.

For bootplot these are optional arguments passed to histdensity. Also may be optional arguments passed to plot by confplot or optional arguments passed to hist from histdensity, such as xlim and breaks. The argument probability=TRUE is always passed to hist.

against

For confplot, specifying against causes a plot to be made (or added to). The against variable is associated with rows of X and is used as the x-coordinates.

method

specifies whether "pointwise" or "simultaneous" confidence regions are derived by confplot. The default is simultaneous.

set to TRUE to add to an existing plot, for confplot

lty.conf

line type for plotting confidence bands in confplot. Default is 2 for dotted lines.

xlab

label for x-axis for histdensity. Default is label attribute or argument name if there is no label.

nclass

passed to hist if present

width

passed to density if present

mult.width

multiplier by which to adjust the default width passed to density. Default is 1.

## Value

a new fit object with class of the original object and with the element orig.var added. orig.var is the covariance matrix of the original fit. Also, the original var component is replaced with the new bootstrap estimates. The component boot.coef is also added. This contains the mean bootstrap estimates of regression coefficients (with a log scale element added if applicable). boot.Coef is added if coef.reps=TRUE. boot.loglik is added if loglik=TRUE. If stat is specified an additional vector boot.stats will be contained in the returned object. B contains the number of successfully fitted bootstrap resamples. A component clusterInfo is added to contain elements name and n holding the name of the cluster variable and the number of clusters.

bootplot returns a (possible matrix) of quantities of interest and the requested quantiles of them. confplot returns three vectors: fitted, lower, and upper.

## Side Effects

bootcov prints if pr=TRUE

## Details

If the fit has a scale parameter (e.g., a fit from psm), the log of the individual bootstrap scale estimates are added to the vector of parameter estimates and and column and row for the log scale are added to the new covariance matrix (the old covariance matrix also has this row and column).

For Rq fits, the tau, method, and hs arguments are taken from the original fit.

## References

Feng Z, McLerran D, Grizzle J (1996): A comparison of statistical methods for clustered data analysis with Gaussian error. Stat in Med 15:1793--1806.

Tibshirani R, Knight K (1996): Model search and inference by bootstrap "bumping". Department of Statistics, University of Toronto. Technical report available from

http://www-stat.stanford.edu/~tibs/. Presented at the Joint Statistical Meetings, Chicago, August 1996.

robcov, sample, rms, lm.fit, lrm.fit, survival-internal, predab.resample, rmsMisc, Predict, gendata, contrast.rms, Predict, setPb, multiwayvcov::cluster.boot

## Examples

# NOT RUN {
set.seed(191)
x <- exp(rnorm(200))
logit <- 1 + x/2
y <- ifelse(runif(200) <= plogis(logit), 1, 0)
f <- lrm(y ~ pol(x,2), x=TRUE, y=TRUE)
g <- bootcov(f, B=50, pr=TRUE)
anova(g)    # using bootstrap covariance estimates
fastbw(g)   # using bootstrap covariance estimates
beta <- g$boot.Coef[,1] hist(beta, nclass=15) #look at normality of parameter estimates qqnorm(beta) # bootplot would be better than these last two commands # A dataset contains a variable number of observations per subject, # and all observations are laid out in separate rows. The responses # represent whether or not a given segment of the coronary arteries # is occluded. Segments of arteries may not operate independently # in the same patient. We assume a "working independence model" to # get estimates of the coefficients, i.e., that estimates assuming # independence are reasonably efficient. The job is then to get # unbiased estimates of variances and covariances of these estimates. set.seed(2) n.subjects <- 30 ages <- rnorm(n.subjects, 50, 15) sexes <- factor(sample(c('female','male'), n.subjects, TRUE)) logit <- (ages-50)/5 prob <- plogis(logit) # true prob not related to sex id <- sample(1:n.subjects, 300, TRUE) # subjects sampled multiple times table(table(id)) # frequencies of number of obs/subject age <- ages[id] sex <- sexes[id] # In truth, observations within subject are independent: y <- ifelse(runif(300) <= prob[id], 1, 0) f <- lrm(y ~ lsp(age,50)*sex, x=TRUE, y=TRUE) g <- bootcov(f, id, B=50) # usually do B=200 or more diag(g$var)/diag(f$var) # add ,group=w to re-sample from within each level of w anova(g) # cluster-adjusted Wald statistics # fastbw(g) # cluster-adjusted backward elimination plot(Predict(g, age=30:70, sex='female')) # cluster-adjusted confidence bands # Get design effects based on inflation of the variances when compared # with bootstrap estimates which ignore clustering g2 <- bootcov(f, B=50) diag(g$var)/diag(g2$var) # Get design effects based on pooled tests of factors in model anova(g2)[,1] / anova(g)[,1] # Simulate binary data where there is a strong # age x sex interaction with linear age effects # for both sexes, but where not knowing that # we fit a quadratic model. Use the bootstrap # to get bootstrap distributions of various # effects, and to get pointwise and simultaneous # confidence limits set.seed(71) n <- 500 age <- rnorm(n, 50, 10) sex <- factor(sample(c('female','male'), n, rep=TRUE)) L <- ifelse(sex=='male', 0, .1*(age-50)) y <- ifelse(runif(n)<=plogis(L), 1, 0) f <- lrm(y ~ sex*pol(age,2), x=TRUE, y=TRUE) b <- bootcov(f, B=50, loglik=TRUE, pr=TRUE) # better: B=500 par(mfrow=c(2,3)) # Assess normality of regression estimates bootplot(b, which=1:6, what='qq') # They appear somewhat non-normal # Plot histograms and estimated densities # for 6 coefficients w <- bootplot(b, which=1:6) # Print bootstrap quantiles w$quantiles

# Show box plots for bootstrap reps for all coefficients
bootplot(b, what='box')

# Estimate regression function for females
# for a sequence of ages
ages <- seq(25, 75, length=100)
label(ages) <- 'Age'

# Plot fitted function and pointwise normal-
# theory confidence bands
par(mfrow=c(1,1))
p <- Predict(f, age=ages, sex='female')
plot(p)
# Save curve coordinates for later automatic
# labeling using labcurve in the Hmisc library
curves <- vector('list',8)
curves[[1]] <- with(p, list(x=age, y=lower))
curves[[2]] <- with(p, list(x=age, y=upper))

# bands using unconditional variance-covariance
# matrix from the 500 bootstrap reps
p <- Predict(b, age=ages, sex='female')
curves[[3]] <- with(p, list(x=age, y=lower))
curves[[4]] <- with(p, list(x=age, y=upper))

dframe <- expand.grid(sex='female', age=ages)
X <- predict(f, dframe, type='x')  # Full design matrix

# confidence limits
p <- confplot(b, X=X, against=ages, method='pointwise',
curves[[5]] <- list(x=ages, y=p$lower) curves[[6]] <- list(x=ages, y=p$upper)

# Add simultaneous bootstrap confidence band
p <- confplot(b, X=X, against=ages, add=TRUE, lty.conf=5)
curves[[7]] <- list(x=ages, y=p$lower) curves[[8]] <- list(x=ages, y=p$upper)
lab <- c('a','a','b','b','c','c','d','d')
labcurve(curves, lab, pl=TRUE)

# Now get bootstrap simultaneous confidence set for
# female:male odds ratios for a variety of ages

dframe <- expand.grid(age=ages, sex=c('female','male'))
X <- predict(f, dframe, type='x')  # design matrix
f.minus.m <- X[1:100,] - X[101:200,]
# First 100 rows are for females.  By subtracting
# design matrices are able to get Xf*Beta - Xm*Beta
# = (Xf - Xm)*Beta

confplot(b, X=f.minus.m, against=ages,
method='pointwise', ylab='F:M Log Odds Ratio')
confplot(b, X=f.minus.m, against=ages,

# contrast.rms makes it easier to compute the design matrix for use
# in bootstrapping contrasts:

f.minus.m <- contrast(f, list(sex='female',age=ages),
list(sex='male',  age=ages))$X confplot(b, X=f.minus.m) # For a quadratic binary logistic regression model use bootstrap # bumping to estimate coefficients under a monotonicity constraint set.seed(177) n <- 400 x <- runif(n) logit <- 3*(x^2-1) y <- rbinom(n, size=1, prob=plogis(logit)) f <- lrm(y ~ pol(x,2), x=TRUE, y=TRUE) k <- coef(f) k vertex <- -k[2]/(2*k[3]) vertex # Outside [0,1] so fit satisfies monotonicity constraint within # x in [0,1], i.e., original fit is the constrained MLE g <- bootcov(f, B=50, coef.reps=TRUE, loglik=TRUE) bootcoef <- g$boot.Coef    # 100x3 matrix
vertex <- -bootcoef[,2]/(2*bootcoef[,3])
table(cut2(vertex, c(0,1)))
mono <- !(vertex >= 0 & vertex <= 1)
mean(mono)    # estimate of Prob{monotonicity in [0,1]}

var(bootcoef)   # var-cov matrix for unconstrained estimates
var(bootcoef[mono,])   # for constrained estimates

# Find second-best vector of coefficient estimates, i.e., best
# from among bootstrap estimates
g$boot.Coef[order(g$boot.loglik[-length(g$boot.loglik)])[1],] # Note closeness to MLE # } # NOT RUN { # Get the bootstrap distribution of the difference in two ROC areas for # two binary logistic models fitted on the same dataset. This analysis # does not adjust for the bias ROC area (C-index) due to overfitting. # The same random number seed is used in two runs to enforce pairing. set.seed(17) x1 <- rnorm(100) x2 <- rnorm(100) y <- sample(0:1, 100, TRUE) f <- lrm(y ~ x1, x=TRUE, y=TRUE) g <- lrm(y ~ x1 + x2, x=TRUE, y=TRUE) set.seed(3) f <- bootcov(f, stat='C') set.seed(3) g <- bootcov(g, stat='C') dif <- g$boot.stats - f$boot.stats hist(dif) quantile(dif, c(.025,.25,.5,.75,.975)) # Compute a z-test statistic. Note that comparing ROC areas is far less # powerful than likelihood or Brier score-based methods z <- (g$stats['C'] - f\$stats['C'])/sd(dif)
names(z) <- NULL
c(z=z, P=2*pnorm(-abs(z)))
# }