[R-sig-ME] lsmeans

Douglas Bates bates at stat.wisc.edu
Sat Jun 23 17:30:28 CEST 2007

On 6/23/07, Martin Henry H. Stevens <HStevens at muohio.edu> wrote:
> Dear Frank,
> As lmer doesn't use least squares means, I am not sure they are
> readily obtained. Predicted values may be obtained in several ways,
> including the following from Spencer Graves:

> ### From Spencer Graves
> ### For getting the predicted values from the fixed effects only.
> predict.lmer <- function(object, X){
> ## From: Spencer Graves <spencer.graves>
> ## Date: Sun, 07 May 2006 08:07:07 -0700
> # object has class "lmer"
> # X = model matrix with columns
> # matching object at X
>     if(missing(X))
>       X <- object @ X
>     b <- fixef(object)
>     X %*% b
> }

That works for class "lmer".  At the risk of confusing everyone I will
say that it doesn't work for the current "lmer2" class but it will in
the near future.

It is a dangerous practice to reach into an object and grab the
contents of slots (i.e. using the @ operator on S4 objects) or
components (using $ on S3 objects).  I continue to tweak the form of
the lmer and lmer2 objects seeking to optimize the range of
applicability, the performance and the storage requirements of the
algorithms.  Sometimes certain parts of the structure are represented
in one way and sometimes another.

The use of extractor functions such as fixef is much preferred.  I am
responsible for ensuring that the code is consistent and that such
extractor do the right thing for the current structure.
I will ensure that the model.matrix extractor works with upcoming
releases of the lme4 package and that it allows an optional argument
"which" to specify "fixed", "random" or "both".  I will also allow
such an argument for the "fitted" extractor.

> On Jun 22, 2007, at 6:21 PM, Cougar wrote:

> > I was wondering if someone could explain how to obtain LSmeans from
> > lmer.  I
> > could not find any information in the R-archives.

Thanks for checking the archive before asking, Frank.  I would
suggest, not entirely facetiously, that you also check

library(fortunes); fortune("lsmeans")

If you could explain what you want to calculate from a fitted model,
without using the term "lsmeans", I, at least, would be better able to
give advice on how to calculate it.  My big problem with lsmeans is
that I have never been able to understand how they should be
calculated and, more importantly, why one should want to calculate
them.  In other words, what do lsmeans represent and why should I be
interested in these particular values?

I have tried to understand what they are.  I have read the
explanations and looked at the formulas in, e.g. "SAS System for Mixed
Models".  Anyone who can understand that explanation and decide how
the corresponding quantities should be formulated in the
representation used in lmer is welcome to explain it to me.

It may seem surprising that I say "how the corresponding quantities
are calculated".  Many people believe that the concept corresponds to
a formula and all one needs to do is to "code up the formula".  That's
not the case.

Pardon me while I digress a bit.

The statistical concept represented by parameter estimates must be
associated with some kind of an objective function, such as "sum of
squares of residuals" or "the log-likelihood", and there are many
routes that the person designing the algorithm can take when
optimizing the objective function to obtain the parameter estimates.
This also applies to the representation of the model as data
structures.  The data structures used in lmer are very different from
those used by other software for fitting mixed models and they did not
come about by chance.  They are the result of intensive study and
extensive experimentation.  I can (and do) explain what the structures
are and how they are used but if you say, e.g. "evaluate this summary
quantity using G-inverse" that doesn't work for me because I don't
have a G matrix.  I need to go back to an explanation of what does it
represent before I can decide how to evaluate it.

This doesn't mean that everyone gets to make up their own estimation
criterion.  Consistency between implementations is a matter of
agreeing on the objective function and checking that it is evaluated
consistently.  In other words lmer should agree with SAS PROC MIXED
and HLM and MLWin and ... on what the log-likelihood or the REML
criterion is for a given model, data, parameter-value combination.
However the different implementations do not need to agree on how they
represent the information from the model and the data nor on how they
optimize the objective.

I'm sorry for such a long-winded response to your simple question.  As
you might guess I have been thinking a lot about the general issues
because I am writing the "Theory and computational methods for mixed
models" document that explains exactly how the log-likelihood in lmer,
and the Laplace approximation to the log-likelihood in nlmer and
glmer, are defined and evaluated.  One of the interesting things about
the description is that it does not deal with how the log-likelihood
or its approximation is to be optimized.  Not so much for linear mixed
models but definitely for nonlinear mixed models and generalized
linear mixed models, people confuse the algorithm and the objective.
I have been participating in a discussion (http://www.nlme.org/) of
some draft specifications for software to fit nonlinear mixed models
to population pharmacokinetic and pharmacodynamic data.  The draft
specifications state that the software should implement a variety of
methods that go by names like FO (first-order), FOCE (first-order
conditional estimates), ...  I claim that you can't tell if you have
such a method implemented properly because those methods (even the
Lindstrom-Bates method, which I know well) just tell you how you go
from one set of parameter estimates to the next.  Different
implementations, or even the same implementation but using different
hardware and systems software, may produce different answers and who
can say which is the best answer.  I advocate agreeing on a "gold
standard" evaluation of the likelihood which can be evaluated based
solely on the model and the data and parameter values.  That is, it
does not depend on how you got to those parameter values.  Then you
can compare different sets of estimates.

The situation for generalized linear mixed models is similar.  People
speak of PQL or PQL1 or PQL2 estimates as if these names could
meaningfully be applied to estimates.  These names refer to methods of
evaluating an iterative step, not an objective.  (For generalized
linear models without random effects you may say that people refer to
IRLS estimates and that just describes an iterative step.  However,
one can demonstrate that a fixed point of the IRLS iterations is the
maximum likelihood estimate so IRLS is justified on the basis of
optimizing an objective function, which can be, and is, evaluated at
the converged values.)

Returning to lsmeans, as best I can understand it, these are an
attempt to characterize a "typical" fitted response for a level of a
factor in the model, even when other terms in the model represent
interactions with that factor.  If that is the case, and let me
reiterate that I don't claim to understand exactly what they are
supposed to be, then I would claim that you need to be awfully damned
careful about what you do regarding those interactions.  There is no
universally applicable way of defining such a beast.  You must
carefully state how you are going to marginalize over the levels of
other factors involved in the interactions, which, of course, implies
that you first need to think about the marginalization and decide how
it should be done in your particular situation.

Sorry for going on at such length.  Please don't interpret the length
of my response as a criticism of your question.  I realize that those
applying statistical methods in their research to be published in
their field's literature need things like p-values and lmeans and so
on, to satisfy editors and referees in their field who believe that
these values are perfectly well-defined.  Unfortunately, I'm a purist
with extensive training in mathematics  and I only put things in my
software when I am satisfied that they are meaningful and useful and
evaluated the best way I know or can derive.  This is one of the great
pleasures of working on Open Source software.  The R Project doesn't
have a marketing department or senior management to tell us, "It
doesn't matter what you think, customers claim they need Type III sums
of squares so you have to add them whether you like it or not".  To
paraphrase Bob Dylan,  "When you ain't paid nothing, you got nothing
to lose."

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