R: LMS Quantile Regression with a Yeo-Johnson Transformation to...

lms.yjn {VGAM} | R Documentation

## LMS Quantile Regression with a Yeo-Johnson Transformation to Normality

### Description

LMS quantile regression with the Yeo-Johnson transformation to normality.

### Usage

    lms.yjn(percentiles = c(25, 50, 75), zero = c("lambda", "sigma"),
            llambda = "identitylink", lsigma = "loge",
            idf.mu = 4, idf.sigma = 2,
            ilambda = 1, isigma = NULL, rule = c(10, 5),
            yoffset = NULL, diagW = FALSE, iters.diagW = 6)
    lms.yjn2(percentiles=c(25,50,75), zero = c("lambda", "sigma"),
             llambda = "identitylink", lmu = "identitylink", lsigma = "loge",
             idf.mu = 4, idf.sigma = 2, ilambda = 1.0,
             isigma = NULL, yoffset = NULL, nsimEIM = 250)

### Arguments

`percentiles` | A numerical vector containing values between 0 and 100, which are the quantiles. They will be returned as ‘fitted values’.
`zero` | See `lms.bcn`.
`llambda, lmu, lsigma` | See `lms.bcn`.
`idf.mu, idf.sigma` | See `lms.bcn`.
`ilambda, isigma` | See `lms.bcn`.
`rule` | Number of abscissae used in the Gaussian integration scheme to work out elements of the weight matrices. The values given are the possible choices, with the first value being the default. The larger the value, the more accurate the approximation is likely to be but involving more computational expense.
`yoffset` | A value to be added to the response y, for the purpose of centering the response before fitting the model to the data. The default value, `NULL`, means `-median(y)` is used, so that the response actually used has median zero. The `yoffset` is saved on the object and used during prediction.
`diagW` | Logical. This argument is offered because the expected information matrix may not be positive-definite. Using the diagonal elements of this matrix results in a higher chance of it being positive-definite, however convergence will be very slow. If `TRUE`, then the first `iters.diagW` iterations will use the diagonal of the expected information matrix. The default is `FALSE`, meaning faster convergence.
`iters.diagW` | Integer. Number of iterations in which the diagonal elements of the expected information matrix are used. Only used if `diagW = TRUE`.
`nsimEIM` | See `CommonVGAMffArguments` for more information.

### Details

Given a value of the covariate, this function applies a Yeo-Johnson transformation to the response to best obtain normality. The parameters chosen to do this are estimated by maximum likelihood or penalized maximum likelihood. The function `lms.yjn2()` estimates the expected information matrices using simulation (and is consequently slower) while `lms.yjn()` uses numerical integration. Try the other if one function fails.

### Value

An object of class `"vglmff"` (see `vglmff-class`). The object is used by modelling functions such as `vglm` and `vgam`.

### Warning

The computations are not simple, therefore convergence may fail. In that case, try different starting values.

The generic function `predict`, when applied to a `lms.yjn` fit, does not add back the `yoffset` value.

### Note

The response may contain both positive and negative values. In contrast, the LMS-Box-Cox-normal and LMS-Box-Cox-gamma methods only handle a positive response because the Box-Cox transformation cannot handle negative values.

Some other notes can be found at `lms.bcn`.

### Author(s)

Thomas W. Yee

### References

Yeo, I.-K. and Johnson, R. A. (2000) A new family of power transformations to improve normality or symmetry. Biometrika, 87, 954–959.

Yee, T. W. (2004) Quantile regression via vector generalized additive models. Statistics in Medicine, 23, 2295–2315.

Yee, T. W. (2002) An Implementation for Regression Quantile Estimation. Pages 3–14. In: Haerdle, W. and Ronz, B., Proceedings in Computational Statistics COMPSTAT 2002. Heidelberg: Physica-Verlag.

### See Also

`lms.bcn`, `lms.bcg`, `qtplot.lmscreg`, `deplot.lmscreg`, `cdf.lmscreg`, `bmi.nz`, `amlnormal`.

### Examples

    fit <- vgam(BMI ~ s(age, df = 4), lms.yjn, bmi.nz, trace = TRUE)
    head(predict(fit))
    head(fitted(fit))
    head(bmi.nz)
    # Person 1 is near the lower quartile of BMI amongst people his age
    head(cdf(fit))

    ## Not run:
    # Quantile plot
    par(bty = "l", mar = c(5, 4, 4, 3) + 0.1, xpd = TRUE)
    qtplot(fit, percentiles = c(5, 50, 90, 99), main = "Quantiles",
           xlim = c(15, 90), las = 1, ylab = "BMI", lwd = 2, lcol = 4)

    # Density plot
    ygrid <- seq(15, 43, len = 100)  # BMI ranges
    par(mfrow = c(1, 1), lwd = 2)
    (aa <- deplot(fit, x0 = 20, y = ygrid, xlab = "BMI", col = "black",
        main = "Density functions at Age = 20 (black), 42 (red) and 55 (blue)"))
    aa <- deplot(fit, x0 = 42, y = ygrid, add = TRUE, llty = 2, col = "red")
    aa <- deplot(fit, x0 = 55, y = ygrid, add = TRUE, llty = 4, col = "blue",
                 Attach = TRUE)
    with(aa@post, deplot)  # Contains density function values; == a@post$deplot

    ## End(Not run)

[Package VGAM version 1.0-3 Index]