Using glm in R to solve simple equation - r

I have some data from a poisson distribution and have a simple equation I want to solve using glm.
The mathematical equation is observed = y * expected.
I have the observed and expected data and want to use glm to find the optimal value of y which I need to multiply expected by to get observed. I also want to get confidence intervals for y.
Should I be doing something like this
glm(observed ~ expected + offset(log(expected)) + 0, family = 'poisson', data = dataDF)
Then taking the exponential of the coefficient? I tried this but the value given is pretty different to what I get when I divide the sum of the observed by the sum of the expected, and I thought these should be similar.
Am I doing something wrong?
Thanks

Try this:
logFac <- coef( glm(observed ~ offset(expected) , family = 'poisson', data = dataDF))
Fac <- exp( logFac[1] ) # That's the intercept term
That model is really : observed ~ 1 + offset(expected) and since it's being estimated on a log scale, the intercept becomes that conversion factor to convert between 'expected' and 'observed'. The negative comments are evidence that you should have posted on CrossValidated.com where general statistics methods questions are more welcomed.

Related

Finding model predictor values that maximize the outcome

How do you find the set of values for model predictors (a mixture of linear and non-linear) that yield the highest value for the response.
Example Model:
library(lme4); library(splines)
summary(lmer(formula = Solar.R ~ 1 + bs(Ozone) + Wind + Temp + (1 | Month), data = airquality, REML = F))
Here I am interested in what conditions (predictors) produce the highest solar radation (outcome).
This question seems simple, but I've failed to find a good answer using Google.
If the model was simple, I could take the derivatives to find the maximum or minimum. Someone has suggested that if the model function can be extracted, the stats::optim() function might be used. As a last resort, I could simulate all the reasonable variations of input values and plug it into the predict() function and look for the maximum value.
The last approach mentioned doesn't seem very efficient and I imagine that this is a common enough task (e.g., finding optimal customers for advertising) that someone has built some tools for handling it. Any help is appreciated.
There are some conceptual issues here.
for the simple terms (Wind and Temp), the response is a linear (and hence both monotonic and unbounded) function of the predictors. Thus if these terms have positive parameter estimates, increasing their values to infinity (Inf) will give you an infinite response (Solar.R); values should be as small as possible (negative infinite) if the coefficients are negative. Practically speaking, then, you want to set these predictors to the minimum or maximum reasonable value if the parameter estimates are respectively negative or positive.
for the bs term, I'm not sure what the properties of the B-spline are beyond the boundary knots, but I'm pretty sure that the curves go off to positive or negative infinity, so you've got the same issue. However, for the case of bs, it's also possible that there are one or more interior maxima. For this case I would probably try to extract the basis terms and evaluate the spline over the range of the data ...
Alternatively, your mentioning optim makes me think that this is a possibility:
data(airquality)
library(lme4)
library(splines)
m1 <- lmer(formula = Solar.R ~ 1 + bs(Ozone) + Wind + Temp + (1 | Month),
data = airquality, REML = FALSE)
predval <- function(x) {
newdata <- data.frame(Ozone=x[1],Wind=x[2],Temp=x[3])
## return population-averaged prediction (no Month effect)
return(predict(m1, newdata=newdata, re.form=~0))
}
aq <- na.omit(airquality)
sval <- with(aq,c(mean(Ozone),mean(Wind),mean(Temp)))
predval(sval)
opt1 <- optim(fn=predval,
par=sval,
lower=with(aq,c(min(Ozone),min(Wind),min(Temp))),
upper=with(aq,c(max(Ozone),max(Wind),max(Temp))),
method="L-BFGS-B", ## for constrained opt.
control=list(fnscale=-1)) ## for maximization
## opt1
## $par
## [1] 70.33851 20.70000 97.00000
##
## $value
## [1] 282.9784
As expected, this is intermediate in the range of Ozone(1-168), and min/max for Wind (2.3-20.7) and Temp (57-97).
This brute force solution could be made much more efficient by automatically selecting the min/max values for the simple terms and optimizing only over the complex (polynomial/spline/etc.) terms.

Fixing a coefficient on variable in MNL [duplicate]

This question already has an answer here:
Set one or more of coefficients to a specific integer
(1 answer)
Closed 6 years ago.
In R, how can I set weights for particular variables and not observations in lm() function?
Context is as follows. I'm trying to build personal ranking system for particular products, say, for phones. I can build linear model based on price as dependent variable and other features such as screen size, memory, OS and so on as independent variables. I can then use it to predict phone real cost (as opposed to declared price), thus finding best price/goodness coefficient. This is what I have already done.
Now I want to "highlight" some features that are important for me only. For example, I may need a phone with large memory, thus I want to give it higher weight so that linear model is optimized for memory variable.
lm() function in R has weights parameter, but these are weights for observations and not variables (correct me if this is wrong). I also tried to play around with formula, but got only interpreter errors. Is there a way to incorporate weights for variables in lm()?
Of course, lm() function is not the only option. If you know how to do it with other similar solutions (e.g. glm()), this is pretty fine too.
UPD. After few comments I understood that the way I was thinking about the problem is wrong. Linear model, obtained by call to lm(), gives optimal coefficients for training examples, and there's no way (and no need) to change weights of variables, sorry for confusion I made. What I'm actually looking for is the way to change coefficients in existing linear model to manually make some parameters more important than others. Continuing previous example, let's say we've got following formula for price:
price = 300 + 30 * memory + 56 * screen_size + 12 * os_android + 9 * os_win8
This formula describes best possible linear model for dependence between price and phone parameters. However, now I want to manually change number 30 in front of memory variable to, say, 60, so it becomes:
price = 300 + 60 * memory + 56 * screen_size + 12 * os_android + 9 * os_win8
Of course, this formula doesn't reflect optimal relationship between price and phone parameters any more. Also dependent variable doesn't show actual price, just some value of goodness, taking into account that memory is twice more important for me than for average person (based on coefficients from first formula). But this value of goodness (or, more precisely, value of fraction goodness/price) is just what I need - having this I can find best (in my opinion) phone with best price.
Hope all of this makes sense. Now I have one (probably very simple) question. How can I manually set coefficients in existing linear model, obtained with lm()? That is, I'm looking for something like:
coef(model)[2] <- 60
This code doesn't work of course, but you should get the idea. Note: it is obviously possible to just double values in memory column in data frame, but I'm looking for more elegant solution, affecting model, not data.
The following code is a bit complicated because lm() minimizes residual sum of squares and with a fixed, non optimal coefficient it is no longed minimal, so that would be against what lm() is trying to do and the only way is to fix all the rest coefficients too.
To do that, we have to know coefficients of the unrestricted model first. All the adjustments have to be done by changing formula of your model, e.g. we have
price ~ memory + screen_size, and of course there is a hidden intercept. Now neither changing the data directly nor using I(c*memory) is good idea. I(c*memory) is like temporary change of data too, but to change only one coefficient by transforming the variables would be much more difficult.
So first we change price ~ memory + screen_size to price ~ offset(c1*memory) + offset(c2*screen_size). But we haven't modified the intercept, which now would try to minimize residual sum of squares and possibly become different than in original model. The final step is to remove the intercept and to add a new, fake variable, i.e. which has the same number of observations as other variables:
price ~ offset(c1*memory) + offset(c2*screen_size) + rep(c0, length(memory)) - 1
# Function to fix coefficients
setCoeffs <- function(frml, weights, len){
el <- paste0("offset(", weights[-1], "*",
unlist(strsplit(as.character(frml)[-(1:2)], " +\\+ +")), ")")
el <- c(paste0("offset(rep(", weights[1], ",", len, "))"), el)
as.formula(paste(as.character(frml)[2], "~",
paste(el, collapse = " + "), " + -1"))
}
# Example data
df <- data.frame(x1 = rnorm(10), x2 = rnorm(10, sd = 5),
y = rnorm(10, mean = 3, sd = 10))
# Writing formula explicitly
frml <- y ~ x1 + x2
# Basic model
mod <- lm(frml, data = df)
# Prime coefficients and any modifications. Note that "weights" contains
# intercept value too
weights <- mod$coef
# Setting coefficient of x1. All the rest remain the same
weights[2] <- 3
# Final model
mod2 <- update(mod, setCoeffs(frml, weights, nrow(df)))
# It is fine that mod2 returns "No coefficients"
Also, probably you are going to use mod2 only for forecasting (actually I don't know where else it could be used now) so that could be made in a simpler way, without setCoeffs:
# Data for forecasting with e.g. price unknown
df2 <- data.frame(x1 = rpois(10, 10), x2 = rpois(5, 5), y = NA)
mat <- model.matrix(frml, model.frame(frml, df2, na.action = NULL))
# Forecasts
rowSums(t(t(mat) * weights))
It looks like you are doing optimization, not model fitting (though there can be optimization within model fitting). You probably want something like the optim function or look into linear or quadratic programming (linprog and quadprog packages).
If you insist on using modeling tools like lm then use the offset argument in the formula to specify your own multiplyer rather than computing one.

Weighted censored regression in R?

I am very new to R (mostly program in SQL) but was faced with a problem that SQL couldn't help me with. I'll try to simplify the problem below.
Assume I have a set of data with 100 rows where each row has a different weight associated with it. Out of those 100 rows of data, 5 have an X value that is top-coded at 1000. Also assume that X can be represented by the linear equation X ~ Y + Z + U + 0 (want a positive value so I don't want a Y-intercept).
Now, without taking the weights of each row of data into consideration, the formula I used in R was:
fit = censReg(X ~ Y + Z + U + 0, left = -Inf, right = 1000, data = dataset)
If I computed summary(fit) I would get 0 left-censored values, 95 uncensored values, and 5 right censored values which is exactly what I want, minus the fact that the weights haven't been sufficiently added into the mix. I checked the reference manual on the censReg function and it doesn't seem like it accepts a weight argument.
Is there something I'm missing about the censReg function or is there another function that would be of better use to me? My end goal is to estimate X in the cases where it is censored (i.e. the 5 cases where it is 1000).
You should use Tobit regression for this situation, it is designed specifically to linearly model latent variables such as the one you describe.
The regression accounts for your weights and the censored observations, which can be seen in the derivation of the log-likelihood function for the Type I Tobit (upper and lower bounded).
Tobit regression can be found in the VGAM package using the vglm function with a tobit control parameter. An excellent example can be found here:
http://www.ats.ucla.edu/stat/r/dae/tobit.htm

How to get y_hat using predict() when both response variable and explanatory variables are log transformed?

I have a log-log linear function as:
lom1 = lm(log(y)~log(x1)+log(x2),data=mod_dt)
I want to get y_hat using the same data set and I did
yhat = exp(predict(lom1))
Result seems off a lot (from comparing with the y-hat I calculated manually in R).
Any reason?
The second related question is, I first added three more columns in the original data set mod_dt for the log transformations of y, x1 and x2. Say, they are named as logy, logx1 and logx2, and then I ran lm:
lom2 = lm(logy ~ logx1 + logx2, data=mod_dt)
This gives a different set of coefficients.
Can this give a correct y-hat by doing
exp(predict(lom2))
Many thanks in advance.
When a model such as your formula is estimated, it translates to Y ~ X1 * X2 on the untransformed scale. You will need to provide data for examination if you want to get more specific review of your results.
It's not an answer exactly. Just want to share some of my opinions. A linear regression model assumes E(y) = x * beta. If y is transformed by log, it becomes E(log(y)) = x * beta. However when we try to predict y, usually we don't have exp(E(log(y))) = E(y)

inverse of 'predict' function

Using predict() one can obtain the predicted value of the dependent variable (y) for a certain value of the independent variable (x) for a given model. Is there any function that predicts x for a given y?
For example:
kalythos <- data.frame(x = c(20,35,45,55,70),
n = rep(50,5), y = c(6,17,26,37,44))
kalythos$Ymat <- cbind(kalythos$y, kalythos$n - kalythos$y)
model <- glm(Ymat ~ x, family = binomial, data = kalythos)
If we want to know the predicted value of the model for x=50:
predict(model, data.frame(x=50), type = "response")
I want to know which x makes y=30, for example.
Saw the previous answer is deleted. In your case, given n=50 and the model is binomial, you would calculate x given y using:
f <- function (y,m) {
(logit(y/50) - coef(m)[["(Intercept)"]]) / coef(m)[["x"]]
}
> f(30,model)
[1] 48.59833
But when doing so, you better consult a statistician to show you how to calculate the inverse prediction interval. And please, take VitoshKa's considerations into account.
Came across this old thread but thought I would add some other info. Package MASS has function dose.p for logit/probit models. SE is via delta method.
> dose.p(model,p=.6)
Dose SE
p = 0.6: 48.59833 1.944772
Fitting the inverse model (x~y) would not makes sense here because, as #VitoshKa says, we assume x is fixed and y (the 0/1 response) is random. Besides, if the data weren’t grouped you’d have only 2 values of the explanatory variable: 0 and 1. But even though we assume x is fixed it still makes sense to calculate a confidence interval for the dose x for a given p, contrary to what #VitoshKa says. Just as we can reparameterize the model in terms of ED50, we can do so for ED60 or any other quantile. Parameters are fixed, but we still calculate CI's for them.
The chemcal package has an inverse.predict() function, which works for fits of the form y ~ x and y ~ x - 1
You just have to rearrange the regression equation, but as the comments above state this may prove tricky and not necessarily have a meaningful interpretation.
However, for the case you presented you can use:
(1/coef(model)[2])*(model$family$linkfun(30/50)-coef(model)[1])
Note I did the division by the x coefficient first to allow the name attribute to be correct.
For just a quick view (without intervals and considering additional issues) you could use the TkPredict function in the TeachingDemos package. It does not do this directly, but allows you to dynamically change the x value(s) and see what the predicted y-value is, so it would be fairly simple to move x until the desired Y is found (for given values of additional x's), this will also show possibly problems with multiple x's that would work for the same y.

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