[R] Linear regression with a rounded response variable

[peter dalgaard]

> On 21 Oct 2015, at 19:57 , Charles C. Berry <ccberry at ucsd.edu> wrote:
> 
> On Wed, 21 Oct 2015, Ravi Varadhan wrote:
> 
>> [snippage]
> 
> If half the subjects have a value of 5 seconds and the rest are split between 4 and 6, your assertion that rounding induces an error of dunif(epsilon,-0.5,0.5) is surely wrong (more positive errors in the 6 second group and more negative errors in the 4 second group under any plausible model).

Yes, and I think that the suggestion in another post to look at censored regression is more in the right direction. 

In general, I'd expect the bias caused by rounding the response to quite small, except at very high granularity. I did a few small experiments with the simplest possible linear model: estimating a mean based on highly rounded data,

> y <- round(rnorm(1e2,pi,.5))
> mean(y)
[1] 3.12
> table(y)
y
 2  3  4  5 
13 63 23  1 

Or, using a bigger sample:

> mean(round(rnorm(1e8,pi,.5)))
[1] 3.139843

in which there is a visible bias, but quite a small one: 

> pi - 3.139843
[1] 0.001749654

At lower granularity (sd=1 instead of .5), the bias has almost disappeared.

> mean(round(rnorm(1e8,pi,1)))
[1] 3.141577

If the granularity is increased sufficiently, you _will_ see a sizeable bias (because almost all observations will be round(pi)==3):

> mean(round(rnorm(1e8,pi,.1)))
[1] 3.00017


A full ML fit (with known sigma=1) is pretty easily done:

> library(stats4)
> mll <- function(mu)-sum(log(pnorm(y+.5,mu, .5)-pnorm(y-.5, mu, .5)))
> mle(mll,start=list(mu=3))

Call:
mle(minuslogl = mll, start = list(mu = 3))

Coefficients:
      mu 
3.122069 
> mean(y)
[1] 3.12

As you see, the difference is only 0.002. 

A small simulation (1000 repl.) gave (r[1,]==MLE ; r{2,]==mean)

> summary(r[1,]-r[2,])
     Min.   1st Qu.    Median      Mean   3rd Qu.      Max. 
-0.004155  0.000702  0.001495  0.001671  0.002554  0.006860 

so the corrections relative to the crude mean stay within one unit in the 2nd place. Notice  that the corrections are pretty darn close to cancelling out the bias.

-pd

> 
> 
> HTH,
> 
> Chuck
> 
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-- 
Peter Dalgaard, Professor,
Center for Statistics, Copenhagen Business School
Solbjerg Plads 3, 2000 Frederiksberg, Denmark
Phone: (+45)38153501
Email: pd.mes at cbs.dk  Priv: PDalgd at gmail.com