Constrained Spline Function in r - r

hope all is well.
I have been exploring a few options for constraining a spline function so that it not only stays positive, but, so that it stays above the lowest value of y in the dataframe. I am assuming there is a penalized spline function out there where one can readily adapt the shape, though I have not found easily or tried yet. I have also tried nls with an exponential decay function which works, however, the last estimated point is much higher than desired (would like it to pass through, or be closer to the final value of y). see code below with the options i have tried. The ultimate goal however is to fit a spline that passes through all points and never decreases below the lowest value of y at any point while also acknowledging that yes there are only 5 data points. thanks in advance for the help.
library(tidyverse)
library(broom)
library(gnm)
library(cobs)
library(zoo)
DF <- data.frame(x = seq(1,5,1),y=c(26419753,9511111,3566667,57993,52194))
t=1:5
# option 1a and 1b: preferred method which is fitting a spline function
mod1a <- splinefun(DF$x,DF$y)
curve(mod1a, 1,5)
pred_interval_mod1a <- seq(1,5,length = 40)
interp(pred_interval_mod1a) # has that dip to negative near the end which should remain larger than y= 52,194
mod1b <- cobs(x= DF$x,y = DF$y,pointwise=rbind(c(0,52194,-1),c(0,26419753,1)))
pred_interval_mod1b <- seq(1,5,length = 40)
interp(pred_interval_mod1b)
# option 2: NLS for exponential decay with starting values
mod2 <- nls(y ~ SSasymp(t, yf, y0, log_alpha), data = DF)
qplot(t, y, data = augment(mod2)) + geom_line(aes(y = .fitted))
# option 3: similar NLS premise but with lower defined
mod3 <- nls(y ~ yf + (y0 - yf) * exp(-alpha * t), data = DF,
start = list(y0 = 26419753, yf = 52194, alpha = 1),
lower= c(-Inf,52194,-Inf),algorithm="port")
# option 4: similar to 2 and 3
a=log(52194)
mod4 <- gnm(y ~ Exp(1 + t) -1, verbose = FALSE, constrain="Exp(.+x).Intercept",
constrainTo=a, start=c(a,-0.05), data=DF)
mod4_df <- data.frame(t = seq(1,5,by=1))
mod4_pred <- predict(mod4,newdata=mod4_df)
mod4_pred

Related

Syntax for three-piece segmented regression using NLS in R when concave

My goal is to fit a three-piece (i.e., two break-point) regression model to make predictions using propagate's predictNLS function, making sure to define knots as parameters, but my model formula seems off.
I've used the segmented package to estimate the breakpoint locations (used as starting values in NLS), but would like to keep my models in the NLS format, specifically, nlsLM {minipack.lm} because I am fitting other types of curves to my data using NLS, want to allow NLS to optimize the knot values, am sometimes using variable weights, and need to be able to easily calculate the Monte Carlo confidence intervals from propagate. Though I'm very close to having the right syntax for the formula, I'm not getting the expected/required behaviour near the breakpoint(s). The segments SHOULD meet directly at the breakpoints (without any jumps), but at least on this data, I'm getting a weird local minimum at the breakpoint (see plots below).
Below is an example of my data and general process. I believe my issue to be in the NLS formula.
library(minpack.lm)
library(segmented)
y <- c(-3.99448113, -3.82447011, -3.65447803, -3.48447030, -3.31447855, -3.14448753, -2.97447972, -2.80448401, -2.63448380, -2.46448069, -2.29448796, -2.12448912, -1.95448783, -1.78448797, -1.61448563, -1.44448719, -1.27448469, -1.10448651, -0.93448525, -0.76448637, -0.59448626, -0.42448586, -0.25448588, -0.08448548, 0.08551417, 0.25551393, 0.42551411, 0.59551395, 0.76551389, 0.93551398)
x <- c(61586.1711, 60330.5550, 54219.9925, 50927.5381, 48402.8700, 45661.9175, 37375.6023, 33249.1248, 30808.6131, 28378.6508, 22533.3782, 13901.0882, 11716.5669, 11004.7305, 10340.3429, 9587.7994, 8736.3200, 8372.1482, 8074.3709, 7788.1847, 7499.6721, 7204.3168, 6870.8192, 6413.0828, 5523.8097, 3961.6114, 3460.0913, 2907.8614, 2016.1158, 452.8841)
df<- data.frame(x,y)
#Use Segmented to get estimates for parameters with 2 breakpoints
my.seg2 <- segmented(lm(y ~ x, data = df), seg.Z = ~ x, npsi = 2)
#extract knot, intercept, and coefficient values to use as NLS start points
my.knot1 <- my.seg2$psi[1,2]
my.knot2 <- my.seg2$psi[2,2]
my.m_2 <- slope(my.seg2)$x[1,1]
my.b1 <- my.seg2$coefficients[[1]]
my.b2 <- my.seg2$coefficients[[2]]
my.b3 <- my.seg2$coefficients[[3]]
#Fit a NLS model to ~replicate segmented model. Presumably my model formula is where the problem lies
my.model <- nlsLM(y~m*x+b+(b2*(ifelse(x>=knot1&x<=knot2,1,0)*(x-knot1))+(b3*ifelse(x>knot2,1,0)*(x-knot2-knot1))),data=df, start = c(m = my.m_2, b = my.b1, b2 = my.b2, b3 = my.b3, knot1 = my.knot1, knot2 = my.knot2))
How it should look
plot(my.seg2)
How it does look
plot(x, y)
lines(x=x, y=predict(my.model), col='black', lty = 1, lwd = 1)
I was pretty sure I had it "right", but when the 95% confidence intervals are plotted with the line and prediction resolution (e.g., the density of x points) is increased, things seem dramatically incorrect.
Thank you all for your help.
Define g to be a grouping vector having the same length as x which takes on values 1, 2, 3 for the 3 sections of the X axis and create an nls model from these. The resulting plot looks ok.
my.knots <- c(my.knot1, my.knot2)
g <- cut(x, c(-Inf, my.knots, Inf), label = FALSE)
fm <- nls(y ~ a[g] + b[g] * x, df, start = list(a = c(1, 1, 1), b = c(1, 1, 1)))
plot(y ~ x, df)
lines(fitted(fm) ~ x, df, col = "red")
(continued after graph)
Constraints
Although the above looks ok and may be sufficient it does not guarantee that the segments intersect at the knots. To do that we must impose the constraints that both sides are equal at the knots:
a[2] + b[2] * my.knots[1] = a[1] + b[1] * my.knots[1]
a[3] + b[3] * my.knots[2] = a[2] + b[2] * my.knots[2]
so
a[2] = a[1] + (b[1] - b[2]) * my.knots[1]
a[3] = a[2] + (b[2] - b[3]) * my.knots[2]
= a[1] + (b[1] - b[2]) * my.knots[1] + (b[2] - b[3]) * my.knots[2]
giving:
# returns a vector of the three a values
avals <- function(a1, b) unname(cumsum(c(a1, -diff(b) * my.knots)))
fm2 <- nls(y ~ avals(a1, b)[g] + b[g] * x, df, start = list(a1 = 1, b = c(1, 1, 1)))
To get the three a values we can use:
co <- coef(fm2)
avals(co[1], co[-1])
To get the residual sum of squares:
deviance(fm2)
## [1] 0.193077
Polynomial
Although it involves a large number of parameters, a polynomial fit could be used in place of the segmented linear regression. A 12th degree polynomial involves 13 parameters but has a lower residual sum of squares than the segmented linear regression. A lower degree could be used with corresponding increase in residual sum of squares. A 7th degree polynomial involves 8 parameters and visually looks not too bad although it has a higher residual sum of squares.
fm12 <- nls(y ~ cbind(1, poly(x, 12)) %*% b, df, start = list(b = rep(1, 13)))
deviance(fm12)
## [1] 0.1899218
It may, in part, reflect a limitation in segmented. segmented returns a single change point value without quantifying the associated uncertainty. Redoing the analysis using mcp which returns Bayesian posteriors, we see that the second change point is bimodally distributed:
library(mcp)
model = list(
y ~ 1 + x, # Intercept + slope in first segment
~ 0 + x, # Only slope changes in the next segments
~ 0 + x
)
# Fit it with a large number of samples and plot the change point posteriors
fit = mcp(model, data = data.frame(x, y), iter = 50000, adapt = 10000)
plot_pars(fit, regex_pars = "^cp*", type = "dens_overlay")
FYI, mcp can plot credible intervals as well (the red dashed lines):
plot(fit, q_fit = TRUE)

How to predict gam model with random effect in R?

I am working on predicting gam model with random effect to produce 3D surface plot by plot_ly.
Here is my code;
x <- runif(100)
y <- runif(100)
z <- x^2 + y + rnorm(100)
r <- rep(1,times=100) # random effect
r[51:100] <- 2 # replace 1 into 2, making two groups
df <- data.frame(x, y, z, r)
gam_fit <- gam(z ~ s(x) + s(y) + s(r,bs="re"), data = df) # fit
#create matrix data for `add_surface` function in `plot_ly`
newx <- seq(0, 1, len=20)
newy <- seq(0, 1, len=30)
newxy <- expand.grid(x = newx, y = newy)
z <- matrix(predict(gam_fit, newdata = newxy), 20, 30) # predict data as matrix
However, the last line results in error;
Error in model.frame.default(ff, data = newdata, na.action = na.act) :
variable lengths differ (found for 'r')
In addition: Warning message:
In predict.gam(gam_fit, newdata = newxy) :
not all required variables have been supplied in newdata!
Thanks to the previous answer, I am sure that above codes work without random effect, as in here.
How can I predict gam models with random effect?
Assuming you want the surface conditional upon the random effects (but not for a specific level of the random effect), there are two ways.
The first is to provide a level for the random effect but exclude that term from the predicted values using the exclude argument to predict.gam(). The second is to again use exclude but this time to not provide any data for the random effect and instead stop predict.gam() from checking the newdata using the argument newdata.guaranteed = TRUE.
Option 1:
newxy1 <- with(df, expand.grid(x = newx, y = newy, r = 2))
z1 <- predict(gam_fit, newdata = newxy1, exclude = 's(r)')
z1 <- matrix(z1, 20, 30)
Option 2:
z2 <- predict(gam_fit, newdata = newxy, exclude = 's(r)',
newdata.guaranteed=TRUE)
z2 <- matrix(z2, 20, 30)
These produce the same result:
> all.equal(z1, z2)
[1] TRUE
A couple of notes:
Which you use will depend on how complex the rest of you model is. I would generally use the first option as it provides an extra check against me doing something stupid when creating the data. But in this instance, with a simple model and set of covariates it seems safe enough to trust that newdata is OK.
Your example uses a random slope (was that intended?), not a random intercept as r is not a factor. If your real example uses a factor random effect then you'll need to be a little more careful when creating the newdata as you need to get the levels of the factor right. For example:
expand.grid(x = newx, y = newy,
r = with(df, factor(2, levels = levels(r))))
should get the right set-up for a factor r

Fit a GEE-model of type "exchangeable" with gamm

I would like to estimate a smooth effect of some covariate N in a marginal model of type "exchangeable" in R, where the clustering variable is S. From what I could find, this should be possible with:
geeglm(..., id = S, corstr = "exchangeable")
as well as:
gamm(..., correlation = corCompSymm(form = ~1|S))
Below you can find an example where the results look good in a sense that the two estimates are quite close. However, if I use the real data our project is about, the estimated smooth effects tend to be very different. I cannot publish that here, but maybe someone can still spot some problem in the code. For instance (see below), the gamm-object says Number of Groups: 1 which worries me as there clearly is more than one cluster...
(Yes, this is the realisation of a random-effects-model by construction, but this should lead to the desired model given the answer here.)
########
## Packages
########
library(ggplot2)
library(mgcv)
library(dplyr)
library(geepack)
library(splines)
########
## Data Simulation
########
f <- function(N) {return((-200+(N-25)^2)/100)}
N <- sort(sample(1:50, 10, replace = T))
S <- as.character(1:10)
S_Effect <- rnorm(length(S),0,1)
S_Effect <- rep(S_Effect,N)
S <- rep(S,N)
N <- rep(N,N)
E <- runif(length(N))
data <- data.frame(O = rep(0,length(N)),
E = E,
N = N,
S = as.factor(S),
S_Effect = S_Effect)
for (i in 1:length(N)) {
data$O[i] <- rbinom(1, 1, plogis(f(N[i]) + qlogis(E[i]) + S_Effect[i]))}
data <- data %>% mutate(E = qlogis(E))
########
## Fitting
########
formula_gamm <- as.formula("O ~ 1 + offset(E) + s(N, bs = 'bs')")
model_gamm <- gamm(formula_gamm, family = binomial(), correlation = corCompSymm(form=~1|S), data = data)
model_gamm
formula_geeglm <- as.formula("O ~ 1 + offset(E) + bs(N)")
model_geeglm <- geeglm(formula_geeglm, family = binomial(), corstr = "exchangeable", id = S, data = data)
########
## Plot
########
pred_gamm <- plot.gam(model_gamm$gam, select = 1)
x <- pred_gamm[[1]]$x
pred_geeglm <- predict(model_geeglm, type = "terms", newdata = data.frame(E = rep(0,length(x)), N = x))
z <- qnorm(0.9)
tmp <- data.frame(x = x,
y = pred_gamm[[1]]$fit,
group = rep("estimate gamm",length(x)))
tmp2 <- data.frame(x = x,
y = as.numeric(pred_geeglm),
group = rep("estimate geeglm",length(x)))
tmp3 <- data.frame(x = x,
y = f(x),
group = rep("actual function",length(x)))
data_pred = bind_rows(tmp,tmp2,tmp3) %>% mutate(group = as.factor(group))
p <- ggplot(data = data_pred, aes(x = x, y = y, color = group)) +
geom_line(size = 2) +
xlab("N") +
ylab("f(N)")
p
An additional question: The gamm-object contains enough information to plot a confidence-band around the estimated function, but how can I do this for the geeglm-estimate? You get something that looks reasonable if you simulate(model_geeglm, ...) and take the pointwise mean and so on, but that doesn't really satisfy me as (1) the documentation on simulate doesn't mention marginal models and (2) it is very primitive...
The GAMM is using penalised splines, such that the degrees of freedom used by the resulting spline (smoother) is likely to be somewhat less than the requested basis dimension, which is 10. The GEE is fitting an unpenalized model. All else equal, the unpenalised model will be more wiggly than the penalised one.
To compare these approaches on a common footing, you need to make sure that bs() and s(x, bs = 'bs') both produce the same number of basis functions (The s() version can produce one fewer as it will remove the lack identifiability with the intercept term, whereas you are omitting the intercept in the bs() version).
Having assured yourself that you get the same basis dimension, then you can make GAMM fit an unpenalized spline by adding fx = TRUE to the s(...) term in the formula.
Having done that, both models should be estimating similar smooth effects.
However, I would suggest that you use penalisation; For the GAMM model, use fx = FALSE, and then after estimating the model run gam.check(model$gam) (replacing model with your fitted model object) and see if the basis size check passes for the smoother.

Non linear model with five parameters (w/ nls R)

This is my first question, please let me know if I'm doing anything wrong. We have a df with two variables, and want to model EPR (egg production rate) as a function of temperature.
The relevant packages as per the nls page:
install.packages("tidyverse")
install.packages("nls.multstart")
install.packages("nlstools")
library(tidyverse)
library(nls.multstart)
library(nlstools)
The relevant variables from a larger df:
temp=c(9.2,9.9,12.7,12.8,14.3,14.5,16.3,16.5,18,18,19.6,19.6,19.9,19.9,22,22.4,23.2,23.4,25.3,25.6,27,27.3,28.5,30.3,20.9)
EPR=c(1.5,0,0,0,1.27,0.56,3.08,0.575,2.7,3.09,2,6.3,2,3.76,3.7,1.65,7.1,18.9,7.07,3.77,13.79,0,0,0.47,0)
df<-data.frame(temp,EPR)
Here I write the formula with the five parameters to be estimated (k1,a,b,k2,c), temp will be the x values. So far so good.
formula<-function(k1,a,b,k2,c,temp) {
modelEPR<-k1*1/(1+exp(-a*(temp-b)))-k2*exp(c*temp)
return(modelEPR)
}
This is where I'm stuck; I'm already using quite narrow start_lower and upper, since I now know the parameters by using the excel solver somewhat successfully. The values I get with this method will get me a model, albeit quite an inaccurate one. Yes, I gave the start lower and upper a much greater range in the beginning, but that didn't yield any better results.
fit <- nls_multstart(EPR ~ formula(k1,a,b,k2,c,temp),
data = df,
iter = 100,
start_lower = c(k1 = 14, a = 0.3, b = 20, k2 = 0.02, c = 0.15),
start_upper = c(k1 = 15, a = 0.5, b = 21, k2 = 0.08, c = 0.24),
supp_errors = 'Y',
na.action = na.omit)
fit
As aforementioned, I used the excel solver to successfully make the model and I got the parameter estimates, then tried to just manually insert them here in R, which makes for a much better model.
model<-df %>%
mutate(pred=(14.69/(1+exp(-0.41*(temp-20.52)))-0.05*exp(0.19 *temp))) %>%
ggplot()+
xlab("Temperature (°C)")+
ylab("EPR (Eggs per female per day")+
geom_point(aes(temp,EPR))+
geom_line(aes(temp,pred),col="red")
model
Ultimately, I have two questions;
a) What am I doing wrong? Or is it simply the data being weird? Seems to work better with excel?!
b) How do I code the bridge between fit and model? fit will yield the 5 parameters, but how do I insert them directly into the model function? Can I utilize mutate somehow here?
Would appreciate any help!
A. Starting values and fitting model
To get starting values:
If k1 = 0 then we can rearrange the formula as follows and then use the result of fitting that linear model as a starting value for c.
log(EPR) ~ log(k2) + c * temp
b is a shift in temp and a is a scaling so choose b = mean(temp) and a = 1/sd(temp)
We can use algorithm = "plinear" to avoid having to specify starting values for the linear parameters, i.e. for k1 and k2. When using plinear the right hand side of the formula should be a matrix such that k1 times the first column plus k2 times the second column gives the predicted EPR.
This gives the following. Note that k1 and k2 will be represented by .lin1 and .lin2 in the nls output.
fm1 <- lm(log(EPR) ~ temp, df, subset = EPR > 0)
st2 <- list(c = coef(fm1)[[2]], a = 1/sd(df$temp), b = mean(df$temp))
fo2 <- EPR ~ cbind(1/(1+exp(-a*(temp-b))), -exp(c*temp))
fm2 <- nls(fo2, df, start = st2, algorithm = "plinear",
control = list(maxiter = 200))
deviance(fm2) # residual sum of squares
## [1] 333.6
Note that this represents a lower (better) residual sum of squares than the fit shown in the question:
sum((df$EPR - pred)^2) # residual sum of squares for fit shown in question
## [1] 339.7
No packages were used.
We can plot the two fits where the fit from the question is in blue and the fit done here is in red. From the plot there is some question whether the two large EFR values are outliers and whether they should be excluded.
plot(EPR ~ temp, df)
lines(fitted(fm2) ~ temp, df, subset = order(temp), col = "red")
lines(pred ~ temp, df, subset = order(temp), col = "blue")
[continued after screenshot]
B. Evaluating model at given parameters
For a given model expressed in formula notation we can evaluate it at given parameters using the nls2 package. nls2 takes similar arguments as nls but if the starting value is a data frame with one row and the algorithm is "brute" then it simply returns the value of the right hand side evaluated at the starting values. See ?nls for more information.
library(nls2)
fo <- EPR ~ k1*1/(1+exp(-a*(temp-b)))-k2*exp(c*temp)
st <- list(k1 = 14.69, a = 0.41, b = 20.52, k2 = 0.05, c = 0.19)
fm <- nls2(fo, df, start = data.frame(st), algorithm = "brute")
deviance(fm)
## [1] 339.7
fitted(fm) # predictions at parameter values given in st
or in terms of a function:
rhs <- function(a, b, c, k1, k2, temp) k1*1/(1+exp(-a*(temp-b)))-k2*exp(c*temp)
p <- do.call("rhs", c(st, list(temp = df$temp)))
all.equal(p, pred)
## [1] TRUE

project a linear regression hyper plane to a 2d plot (abline-like)

I have this code
factors<-read.csv("India_Factors.csv",header=TRUE)
marketfactor<-factors[,4]
sizefactor<-factors[,5]
valuefactor<-factors[,6]
dati<-get.hist.quote("SI", quote = "AdjClose", compression = "m")
returns<-diff(dati)
regression<-lm(returns ~ marketfactor + sizefactor + valuefactor,na.action=na.omit)
that does multilinear regression.
I want to plot on a 2D plane the returns against a factor (and this is trivial of course) with superimposed the projection of the linear regression hyperplane for the specific factor. To be more clear the result should be like this: wolfram demonstrations (see the snapshots).
Any help will be greatly appreciated.
Thank you for your time and have a nice week end.
Giorgio.
The points in my comment withstanding, here is the canonical way to generate output from a fitted model in R for combinations of predictors. It really isn't clear what the plots you want are showing, but the ones that make sense to me are partial plots; where one variable is varied over its range whilst holding the others at some common value. Here I use the sample mean when holding a variable constant.
First some dummy data, with only to covariates, but this extends to any number
set.seed(1)
dat <- data.frame(y = rnorm(100))
dat <- transform(dat,
x1 = 0.2 + (0.4 * y) + rnorm(100),
x2 = 2.4 + (2.3 * y) + rnorm(100))
Fit the regression model
mod <- lm(y ~ x1 + x2, data = dat)
Next some data values to predict at using the model. You could do all variables in a single prediction and then subset the resulting object to plot only the relevant rows. Alternatively, more clearly (though more verbose), you can deal with each variable separately. Below I create two data frames, one per covariate in the model. In a data frame I generate 100 values over the range of the covariate being varied, and repeat the mean value of the other covariate(s).
pdatx1 <- with(dat, data.frame(x1 = seq(min(x1), max(x1), length = 100),
x2 = rep(mean(x2), 100)))
pdatx2 <- with(dat, data.frame(x1 = rep(mean(x1), 100),
x2 = seq(min(x2), max(x2), length = 100)))
In the linear regression with straight lines, you really don't need 100 values --- the two end points of the range of the covariate will do. However for models where the fitted function is not linear you need to predict at more locations.
Next, use the model to predict at these data points
pdatx1 <- transform(pdatx1, yhat = predict(mod, pdatx1))
pdatx2 <- transform(pdatx2, yhat = predict(mod, pdatx2))
Now we are ready to draw the partial plots. First compute a range for the y axis - again it is mostly redundant here but if you are adding confidence intervals you will need to include their values below,
ylim <- range(pdatx1$y, pdatx2$y, dat$y)
To plot (here putting two figures on the same plot device) we can use the following code
layout(matrix(1:2, ncol = 2))
plot(y ~ x1, data = dat)
lines(yhat ~ x1, data = pdatx1, col = "red", lwd = 2)
plot(y ~ x2, data = dat)
lines(yhat ~ x2, data = pdatx2, col = "red", lwd = 2)
layout(1)
Which produces

Resources