textir (version 1.1)

mnlm: Estimation for high-dimensional Multinomial Logistic Regression

Description

MAP estimation of Multinomial logistic regression models.

Usage

mnlm(counts, covars, normalize=FALSE, lambda=NULL, start=NULL,
                  tol=0.1, tmax=1000, delta=1, dmin=0, verb=TRUE)

Arguments

counts

A matrix of multinomial response counts in ncol(counts) categories for nrow(counts) individuals/observations.

covars

A matrix of ncol(covars) covariate values for each of the nrow(counts) observations. This does not include the intercept, which is ALWAYS added in the design matrix.

normalize

Whether or not to normalize the covariate matrix to have mean zero and variance one.

lambda

Either a single fixed value, or a vector of length 3 giving initial lambda followed by gamma prior shape and rate parameters (e.g., c(init=sqrt(2), shape=2, rate=2) ). Here, lambda (>0) is a joint scale parameter for the Laplace pri

start

An initial guess for the full ncol(counts) by ncol(covars)+1 matrix of regression coefficients. The first row (usually set to zero) corresponds to our "null" category and is not updated during the model fit. Under

tol

Optimization convergence tolerance for the improvement on the un-normalized negative log posterior over a single full parameter sweep.

tmax

The maximum number of optimization iterations.

delta

An initial step size for the least upper bound approximation to parameter information; implies a starting trust region of 2*delta.

dmin

Minimum trust region delta.

verb

Level of print-statement output. TRUE prints some initial info and updates every iteration.

Value

• An mnlm object list with entries
• coef
  Regression coefficient estimates, including the intercept column
• L
  The unnormalized negative log posterior at each iteration.
• niter
  The number of iterations
• X
  simple_triplet_matrix form of the counts input matrix
• V
  Covariate matrix (including the intercept)
• covarMean
  If normalize=TRUE, the original covariate means. Otherwise empty.
• covarSD
  If normalize=TRUE, the original covariate standard deviations. Otherwise empty.
• maplam
  An indicator for whether the regularization penalty was estimated.
• lampar
  Parameters (init, shape, rate) for the regularization penalty.
• lambda
  The path of lambda estimates.
• delta
  The trust region deltas upon convergence.
• tol,tmax
  Convergence parameters, unchanged from input.
• start
  The initial coefficient estimates.

Details

Finds the posterior mode for multinomial logistic regression parameters using cyclic coordinate descent. This is designed to be useful for inverse regression analysis of sentiment in text, where the multinomial response is quite large, but should be generally useful for any large-scale multinomial logistic regression. We allow for joint estimation of regression coefficients and a Laplace regularization penalty. Full details are available in Taddy (2011).

References

Taddy (2011), Inverse Regression for Analysis of Sentiment in Text. http://arxiv.org/abs/1012.2098

See Also

congress109, we8there, plot.mnlm, pls

Examples

## See congress109 and we8there for data examples

n <- 1000
size <- 10

v <- rnorm(n)
covars <- cbind(v)

p1 <- (1+exp(-(1 + v*2)))^{-1} 
p2 <- (1+exp(-(1 - v*2)))^{-1}
y1 <- rbinom(n, size=size, prob=p1)
y2 <- rbinom(n, size=size, prob=p2)

# binomial
counts <- cbind(size-y1, y1)
print(mnlm(counts, covars)$coef)

# 3 category multinomial
counts <- cbind(2*size-y1-y2,y1,y2)
print(mnlm(counts, covars)$coef)