R: Multinomial Logit Model

multinomial {VGAM} | R Documentation

## Multinomial Logit Model

### Description

Fits a multinomial logit model to a (preferably unordered) factor response.

### Usage

    multinomial(zero = NULL, parallel = FALSE, nointercept = NULL,
                refLevel = "(Last)", whitespace = FALSE)

### Arguments

`zero` | Can be an integer-valued vector specifying which linear/additive predictors are modelled as intercepts only. Any values must be from the set {1,2,...,M}. The default value means none are modelled as intercept-only terms. See `CommonVGAMffArguments` for more information.
`parallel` | A logical, or formula specifying which terms have equal/unequal coefficients.
`nointercept, whitespace` | See `CommonVGAMffArguments` for more details.
`refLevel` | Either a (1) single positive integer or (2) a value of the factor or (3) a character string. If inputted as an integer then it specifies which column of the response matrix is the reference or baseline level. The default is the last one (the (M+1)th one). If used, this argument will be usually assigned the value `1`. If inputted as a value of a factor then beware of missing values of certain levels of the factor (`drop.unused.levels = TRUE` or `drop.unused.levels = FALSE`). See the example below. If inputted as a character string then this should be equal to (A) one of the levels of the factor response, else (B) one of the column names of the matrix response of counts; e.g., `vglm(cbind(normal, mild, severe) ~ let, multinomial(refLevel = "severe"), data = pneumo)` if it was (incorrectly because the response is ordinal) applied to the `pneumo` data set. Another example is `vglm(ethnicity ~ age, multinomial(refLevel = "European"), data = xs.nz)` if it was applied to the `xs.nz` data set.

### Details

In this help file the response Y is assumed to be a factor with unordered values 1,2,…,M+1, so that M is the number of linear/additive predictors eta_j.

The default model can be written

eta_j = log(P[Y=j]/ P[Y=M+1])

where eta_j is the jth linear/additive predictor. Here, j=1,…,M, and eta_{M+1} is 0 by definition. That is, the last level of the factor, or last column of the response matrix, is taken as the reference level or baseline—this is for identifiability of the parameters. The reference or baseline level can be changed with the `refLevel` argument.

In almost all the literature, the constraint matrices associated with this family of models are known. For example, setting `parallel = TRUE` will make all constraint matrices (except for the intercept) equal to a vector of M 1's. If the constraint matrices are unknown and to be estimated, then this can be achieved by fitting the model as a reduced-rank vector generalized linear model (RR-VGLM; see `rrvglm`). In particular, a multinomial logit model with unknown constraint matrices is known as a stereotype model (Anderson, 1984), and can be fitted with `rrvglm`.

### Value

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

### Warning

No check is made to verify that the response is nominal.

See `CommonVGAMffArguments` for more warnings.

### Note

The response should be either a matrix of counts (with row sums that are all positive), or a factor. In both cases, the `y` slot returned by `vglm`/`vgam`/`rrvglm` is the matrix of sample proportions.

The multinomial logit model is more appropriate for a nominal (unordered) factor response than for an ordinal (ordered) factor response. Models more suited for the latter include those based on cumulative probabilities, e.g., `cumulative`.

`multinomial` is prone to numerical difficulties if the groups are separable and/or the fitted probabilities are close to 0 or 1. The fitted values returned are estimates of the probabilities P[Y=j] for j=1,…,M+1. See safeBinaryRegression for the logistic regression case.

Here is an example of the usage of the `parallel` argument. If there are covariates `x2`, `x3` and `x4`, then `parallel = TRUE ~ x2 + x3 - 1` and `parallel = FALSE ~ x4` are equivalent. This would constrain the regression coefficients for `x2` and `x3` to be equal; those of the intercepts and `x4` would be different.

In Example 4 below, a conditional logit model is fitted to an artificial data set that explores how cost and travel time affect people's decision about how to travel to work. Walking is the baseline group. The variable `Cost.car` is the difference between the cost of travel to work by car and walking, etc. The variable `Time.car` is the difference between the travel duration/time to work by car and walking, etc. For other details about the `xij` argument see `vglm.control` and `fill`.

The `multinom` function in the nnet package uses the first level of the factor as baseline, whereas the last level of the factor is used here. Consequently the estimated regression coefficients differ.

### Author(s)

Thomas W. Yee

### References

Yee, T. W. (2010) The VGAM package for categorical data analysis. Journal of Statistical Software, 32, 1–34. http://www.jstatsoft.org/v32/i10/.

Yee, T. W. and Hastie, T. J. (2003) Reduced-rank vector generalized linear models. Statistical Modelling, 3, 15–41.

McCullagh, P. and Nelder, J. A. (1989) Generalized Linear Models, 2nd ed. London: Chapman & Hall.

Agresti, A. (2013) Categorical Data Analysis, 3rd ed. Hoboken, NJ, USA: Wiley.

Hastie, T. J., Tibshirani, R. J. and Friedman, J. H. (2009) The Elements of Statistical Learning: Data Mining, Inference and Prediction, 2nd ed. New York, USA: Springer-Verlag.

Simonoff, J. S. (2003) Analyzing Categorical Data, New York, USA: Springer-Verlag.

Anderson, J. A. (1984) Regression and ordered categorical variables. Journal of the Royal Statistical Society, Series B, Methodological, 46, 1–30.

Tutz, G. (2012) Regression for Categorical Data, Cambridge University Press.

### See Also

`margeff`, `cumulative`, `acat`, `cratio`, `sratio`, `dirichlet`, `dirmultinomial`, `rrvglm`, `fill1`, `Multinomial`, `multilogit`, `iris`. The author's homepage has further documentation about categorical data analysis using VGAM.

### Examples

    # Example 1: fit a multinomial logit model to Edgar Anderson's iris data
    data(iris)
    ## Not run:  fit <- vglm(Species ~ ., multinomial, iris)
    coef(fit, matrix = TRUE)
    ## End(Not run)

    # Example 2a: a simple example
    ycounts <- t(rmultinom(10, size = 20, prob = c(0.1, 0.2, 0.8)))  # Counts
    fit <- vglm(ycounts ~ 1, multinomial)
    head(fitted(fit))   # Proportions
    fit@prior.weights   # NOT recommended for extraction of prior weights
    weights(fit, type = "prior", matrix = FALSE)  # The better method
    depvar(fit)         # Sample proportions; same as fit@y
    constraints(fit)    # Constraint matrices

    # Example 2b: Different reference level used as the baseline
    fit2 <- vglm(ycounts ~ 1, multinomial(refLevel = 2))
    coef(fit2, matrix = TRUE)
    coef(fit , matrix = TRUE)  # Easy to reconcile this output with fit2

    # Example 3: The response is a factor.
    nn <- 10
    dframe3 <- data.frame(yfactor = gl(3, nn, labels = c("Control", "Trt1", "Trt2")),
                          x2 = runif(3 * nn))
    myrefLevel <- with(dframe3, yfactor[12])
    fit3a <- vglm(yfactor ~ x2, multinomial(refLevel = myrefLevel), dframe3)
    fit3b <- vglm(yfactor ~ x2, multinomial(refLevel = 2), dframe3)
    coef(fit3a, matrix = TRUE)  # "Treatment1" is the reference level
    coef(fit3b, matrix = TRUE)  # "Treatment1" is the reference level
    margeff(fit3b)

    # Example 4: Fit a rank-1 stereotype model
    fit4 <- rrvglm(Country ~ Width + Height + HP, multinomial, data = car.all)
    coef(fit4)  # Contains the C matrix
    constraints(fit4)$HP       # The A matrix
    coef(fit4, matrix = TRUE)  # The B matrix
    Coef(fit4)@C               # The C matrix
    concoef(fit4)              # Better to get the C matrix this way
    Coef(fit4)@A               # The A matrix
    svd(coef(fit4, matrix = TRUE)[-1, ])$d  # This has rank 1; = C %*% t(A)
    # Classification (but watch out for NAs in some of the variables):
    apply(fitted(fit4), 1, which.max)  # Classification
    colnames(fitted(fit4))[apply(fitted(fit4), 1, which.max)]  # Classification
    apply(predict(fit4, car.all, type = "response"), 1, which.max)  # Ditto

    # Example 5: The use of the xij argument (aka conditional logit model)
    set.seed(111)
    nn <- 100  # Number of people who travel to work
    M <- 3  # There are M+1 models of transport to go to work
    ycounts <- matrix(0, nn, M+1)
    ycounts[cbind(1:nn, sample(x = M+1, size = nn, replace = TRUE))] = 1
    dimnames(ycounts) <- list(NULL, c("bus","train","car","walk"))
    gotowork <- data.frame(cost.bus  = runif(nn), time.bus  = runif(nn),
                           cost.train= runif(nn), time.train= runif(nn),
                           cost.car  = runif(nn), time.car  = runif(nn),
                           cost.walk = runif(nn), time.walk = runif(nn))
    gotowork <- round(gotowork, digits = 2)  # For convenience
    gotowork <- transform(gotowork,
                          Cost.bus   = cost.bus   - cost.walk,
                          Cost.car   = cost.car   - cost.walk,
                          Cost.train = cost.train - cost.walk,
                          Cost       = cost.train - cost.walk,  # for labelling
                          Time.bus   = time.bus   - time.walk,
                          Time.car   = time.car   - time.walk,
                          Time.train = time.train - time.walk,
                          Time       = time.train - time.walk)  # for labelling
    fit <- vglm(ycounts ~ Cost + Time,
                multinomial(parall = TRUE ~ Cost + Time - 1),
                xij = list(Cost ~ Cost.bus + Cost.train + Cost.car,
                           Time ~ Time.bus + Time.train + Time.car),
                form2 =  ~ Cost + Cost.bus + Cost.train + Cost.car +
                           Time + Time.bus + Time.train + Time.car,
                data = gotowork, trace = TRUE)
    head(model.matrix(fit, type = "lm"))   # LM model matrix
    head(model.matrix(fit, type = "vlm"))  # Big VLM model matrix
    coef(fit)
    coef(fit, matrix = TRUE)
    constraints(fit)
    summary(fit)
    max(abs(predict(fit) - predict(fit, new = gotowork)))  # Should be 0

[Package VGAM version 1.0-3 Index]