R: Univariate Normal Distribution as a Varying-Coefficient Model

normal.vcm {VGAM} | R Documentation

## Univariate Normal Distribution as a Varying-Coefficient Model

### Description

Maximum likelihood estimation of all the coefficients of a LM where each of the usual regression coefficients is modelled with other explanatory variables via parameter link functions. Thus this is a basic varying-coefficient model.

### Usage

    normal.vcm(link.list = list("(Default)" = "identitylink"),
               earg.list = list("(Default)" = list()),
               lsd = "loge", lvar = "loge",
               esd = list(), evar = list(),
               var.arg = FALSE, imethod = 1,
               icoefficients = NULL, isd = NULL, zero = "sd",
               sd.inflation.factor = 2.5)

### Arguments

`link.list, earg.list` | Link functions and extra arguments applied to the coefficients of the LM, excluding the standard deviation/variance. See `CommonVGAMffArguments` for more information. The default is for an identity link to be applied to each of the regression coefficients.
`lsd, esd, lvar, evar` | Link function and extra argument applied to the standard deviation/variance. See `CommonVGAMffArguments` for more information. Same as `uninormal`.
`icoefficients` | Optional initial values for the coefficients. Recycled to length M-1 (does not include the standard deviation/variance). Try using this argument if there is a link function that is not programmed explicitly to handle range restrictions in the `initialize` slot.
`var.arg, imethod, isd` | Same as, or similar to, `uninormal`.
`zero` | See `CommonVGAMffArguments` for more information. The default applies to the last one, viz. the standard deviation/variance parameter.
`sd.inflation.factor` | Numeric, should be greater than 1. The initial value of the standard deviation is multiplied by this, unless `isd` is inputted. Experience has shown that it is safer to start off with a larger value rather than a smaller one.

### Details

This function allows all the usual LM regression coefficients to be modelled as functions of other explanatory variables via parameter link functions. For example, we may want some of them to be positive. Or we may want a subset of them to be positive and add to unity. So a class of such models have been named varying-coefficient models (VCMs).

The usual linear model is specified through argument `form2`. As with all other VGAM family functions, the linear/additive predictors are specified through argument `formula`.

The `multilogit` link allows a subset of the coefficients to be positive and add to unity. Either none or more than one call to `multilogit` is allowed. The last variable will be used as the baseline/reference group, and therefore excluded from the estimation.

By default, the log of the standard deviation is the last linear/additive predictor. It is recommended that this parameter be estimated as intercept-only, for numerical stability.

Technically, the Fisher information matrix is of unit-rank for all but the last parameter (the standard deviation/variance). Hence an approximation is used that pools over all the observations.

This VGAM family function cannot handle multiple responses. Also, this function will probably not have the full capabilities of the class of varying-coefficient models as described by Hastie and Tibshirani (1993). However, it should be able to manage some simple models, especially involving the following links: `identity`, `loge`, `logoff`, `loglog`, `logit`, `probit`, `cauchit`. `cloglog`, `rhobit`, `fisherz`.

### Value

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

### Warning

This VGAM family function is fragile. One should monitor convergence, and possibly enter initial values especially when there are non-`identity`-link functions. If the initial value of the standard deviation/variance is too small then numerical problems may occur. One trick is to fit an intercept-only only model and feed its `predict()` output into argument `etastart` of a more complicated model. The use of the `zero` argument is recommended in order to keep models as simple as possible.

### Note

The standard deviation/variance parameter is best modelled as intercept-only.

Yet to do: allow an argument such as `parallel` that enables many of the coefficients to be equal. Fix a bug: `Coef()` does not work for intercept-only models.

### Author(s)

T. W. Yee

### References

Hastie, T. and Tibshirani, R. (1993) Varying-coefficient models. J. Roy. Statist. Soc. Ser. B, 55, 757–796.

### See Also

`uninormal`, `lm`.

### Examples

    ndata <- data.frame(x2 = runif(nn <- 2000))
    # Note that coeff1 + coeff2 + coeff5 == 1. So try a "multilogit" link.
    myoffset <- 10
    ndata <- transform(ndata,
               coeff1 = 0.25,  # "multilogit" link
               coeff2 = 0.25,  # "multilogit" link
               coeff3 = exp(-0.5),  # "loge" link
               coeff4 = logoff(+0.5, offset = myoffset, inverse = TRUE),  # "logoff" link
               coeff5 = 0.50,  # "multilogit" link
               coeff6 = 1.00,  # "identitylink" link
               v2 = runif(nn),
               v3 = runif(nn),
               v4 = runif(nn),
               v5 = rnorm(nn),
               v6 = rnorm(nn))
    ndata <- transform(ndata,
               Coeff1 =          0.25 - 0 * x2,
               Coeff2 =          0.25 - 0 * x2,
               Coeff3 =   logit(-0.5  - 1 * x2, inverse = TRUE),
               Coeff4 =  loglog( 0.5  - 1 * x2, inverse = TRUE),
               Coeff5 =          0.50 - 0 * x2,
               Coeff6 =          1.00 + 1 * x2)
    ndata <- transform(ndata,
                       y1 = coeff1 * 1 +
                            coeff2 * v2 +
                            coeff3 * v3 +
                            coeff4 * v4 +
                            coeff5 * v5 +
                            coeff6 * v6 + rnorm(nn, sd = exp(0)),
                       y2 = Coeff1 * 1 +
                            Coeff2 * v2 +
                            Coeff3 * v3 +
                            Coeff4 * v4 +
                            Coeff5 * v5 +
                            Coeff6 * v6 + rnorm(nn, sd = exp(0)))

    # An intercept-only model
    fit1 <- vglm(y1 ~ 1,
                 form2 = ~ 1 + v2 + v3 + v4 + v5 + v6,
                 normal.vcm(link.list = list("(Intercept)" = "multilogit",
                                             "v2"          = "multilogit",
                                             "v3"          = "loge",
                                             "v4"          = "logoff",
                                             "(Default)"   = "identitylink",
                                             "v5"          = "multilogit"),
                            earg.list = list("(Intercept)" = list(),
                                             "v2"          = list(),
                                             "v4"          = list(offset = myoffset),
                                             "v3"          = list(),
                                             "(Default)"   = list(),
                                             "v5"          = list()),
                            zero = c(1:2, 6)),
                 data = ndata, trace = TRUE)
    coef(fit1, matrix = TRUE)
    summary(fit1)
    # This works only for intercept-only models:
    multilogit(rbind(coef(fit1, matrix = TRUE)[1, c(1, 2)]), inverse = TRUE)

    # A model with covariate x2 for the regression coefficients
    fit2 <- vglm(y2 ~ 1 + x2,
                 form2 = ~ 1 + v2 + v3 + v4 + v5 + v6,
                 normal.vcm(link.list = list("(Intercept)" = "multilogit",
                                             "v2"          = "multilogit",
                                             "v3"          = "logit",
                                             "v4"          = "loglog",
                                             "(Default)"   = "identitylink",
                                             "v5"          = "multilogit"),
                            earg.list = list("(Intercept)" = list(),
                                             "v2"          = list(),
                                             "v3"          = list(),
                                             "v4"          = list(),
                                             "(Default)"   = list(),
                                             "v5"          = list()),
                            zero = c(1:2, 6)),
                 data = ndata, trace = TRUE)

    coef(fit2, matrix = TRUE)
    summary(fit2)

[Package VGAM version 1.0-3 Index]