[R-sig-ME] marginality principle for mixed effects models

Steven McKinney smckinney at bccrc.ca
Wed Apr 8 04:49:09 CEST 2009

Thanks for your thoughtful discussion.

> -----Original Message-----
> From: r-sig-mixed-models-bounces at r-project.org [mailto:r-sig-mixed-models-
> bounces at r-project.org] On Behalf Of Emmanuel Charpentier
> Sent: Monday, April 06, 2009 11:30 AM
> To: r-sig-mixed-models at r-project.org
> Subject: Re: [R-sig-ME] marginality principle for mixed effects models
> Le vendredi 03 avril 2009 à 19:17 -0700, Steven McKinney a écrit :
> >
> > Dear list,
> >
> > I'm working on mapping all my old-school fixed effects linear
> > modeling teachings into the fabulous new(er) mixed effects world.
> >
> > I've been looking at the "Oats" data used in the nlme library.
> > Here's a set of commands that build successively richer models,
> > and tests to evaluate differences due to variety.
> >
> > library("nlme")
> > library("lme4")
> > plot(Oats, inner = TRUE)
> > print(om1 <- lmer(yield ~ nitro + (1 | Block), data = Oats))
> > print(om2 <- lmer(yield ~ nitro + Variety + (1 | Block), data = Oats))
> > print(om3 <- lmer(yield ~ nitro + (1 | Block/Variety), data = Oats))
> > print(om4 <- lmer(yield ~ nitro + Variety + (1 | Block/Variety), data =
> Oats))
> >
> > anova(om4, om3) ## Does this violate the principle of marginality?
> (Testing main effect in presence of interaction?)
> > anova(om4, om2) ## Would this be the first test of variety?
> > anova(om4, om1) ## Would this not be the omnibus test for variety?
> > anova(om2, om1)
> >
> > If I wanted to assess the effect of variety, it seems to me
> > the first test I'd want to look at is model om4 versus model om2.
> > This it seems to me would be in the spirit of testing an interaction
> > term with both main effects in the model in the old fixed effects
> > world.
> >
> > An omnibus test of the importance of variety would seem to me
> > to be model om4 versus om1.
> >
> > Testing om4 versus om3 seems to me to violate the marginality
> > principle (testing a main effect in the presence of an interaction
> > involving that main effect).  Or is there something different in
> > the mixed effects world - does this marginality principle hold
> > for this scenario?  The plots and all the other tests seem to
> > strongly suggest that there are important differences due to variety,
> > but this test suggests otherwise.  This test does not seem
> > appropriate.
> >
> > Any comments?  Is this paradigm mapping reasonable?
> [ Big brutal SNIP of computations... ]
> Since it seems that you've got no "authorized" answers, here are two
> (€)cents from a mere practitioner :
> When you consider an effect as fixed, you are indeed stating that each
> of it's levels has a specific meaning and can be reproduced. Exhibiting
> an interaction on a dependant variable Y between two fixed effects A and
> B means that there is no common effect of, for example, A, and that the
> effect of A is dependant of B in a way that cannot be "explained away"
> as variability (that's exactly what you do when you reject the null
> hypothesis H0 of the absence of interaction between A and B : you
> consider that the  probability of <your results or worse> under H0 is
> too small to accept the conjunction of your results and H0 ; since you
> do not want to reject your results, you reject the other term of the
> conjunction, i. e. H0). In consequence, making a prediction on the
> effect of A on Y will involve A and B ; however it's variability will be
> a function of the variance of Y *for a given value of A and B*.
> Demonstrating an interaction between a fixed effect A and a random
> effect B means something entirely different : here, you state that B is
> a source of randomness that has to be taken into account in predicting
> the effect of A. But B is a random effect, that is something (that you
> consider) irreproductible. The consequences are different : instead of
> saying "my prediction an A's effect cannot be made without accounting
> for B", you accept that B will decrease the precision of your prediction
> of the effect of A on Y : it will involve the full variability of Y
> according to B.

Now if I add the additional random effect A:B is it always acceptable
to test the fixed effect A in the presence of the (random) A:B interaction?
This is the issue I'm trying to understand - how does the marginality
principle work in the mixed effects world?  I guess I'm coming to the conclusion that it is fine to test the fixed effect in the presence of its (random) interaction - I'm not sure it's okay to state that the factor is of no significance when it is still in the model as part of a random effects component - I'm thinking this is just a terminology issue in discussing structure in mixed effects models.

My mistake with the Oats example was not recognizing that 'Variety' and 'Plot' are confounded and the Variety:Block interaction is Plot:Block interaction.  I'm looking for a better example where the two are
separable - maybe I'm not thinking about this part properly though.

> Let's take a (not so imaginary) example, simpler than the "Oats" example
> (to which we'll get back eventually) : trying to assess the effect of a
> care organization (factor A, that we'll take to have two levels) on the
> results Y of treatments given to patients attending various hospitals of
> the same hospital group (factor B). To answer this question, a
> reasonable way is to run a randomized clinical trial comparing Ys on
> patients receiving care under A1 or A2. Let's assume, for sake of
> simplicity, that care organization can be choosen at will for each
> patient (e. g. an imaging technique for a given clinical question), thus
> allowing for simple allocation scheme. Your judgement criterium will be
> (say) Y|A2-Y|A1 i. e. differences of means of Y in patients having
> received care under A1 and A2 conditions.
> To assess this difference of means in the best possible way, you will
> adjust on B (center effect) and check the homogeneité of the effect of A
> between various Bs (hospitals).
> If your point of view is the hospital's group manager, your problem is
> to determine how to equip your various centers (a known collection).
> Your analysis might be better done considering B as a fixed effect, and
> you will assess anova(lm(Y~A*B, data=yourdata)). if the A*B effect "is
> significant" (i. e. cannot be explained away as mere natural
> variability), your answer will be that there is no "good" universal
> solution to your problem, and you will have to compare for each center,
> with something along the lines of by(yourdata, yourdata$B,
> anova(lm(Y~A,...)))
> However, if your point of view is the one of a physician trying to
> assess a technique medical value, you might consider your hospital group
> as a (pseudo-)random sample of all possible hospitals. Your problem is
> to know if, *accounting for inter-centre variability*, there exist a
> systematic difference between A1 and A2 nonwhistanding B
> "value" (irreproductible by definition). You might try to assess this by
> building lmer(Y~A+(A|B), data=yourdata, REML=FALSE) and assessing A2
> coefficient.
> Having a "significant" A:B interaction means that the A effect exhibits
> some nonnegligible variation according to B, but the whole point of the
> mixed models exercice is to assess A *against the various sources of
> variability.*

Right - so if I want to assess whether a given factor shows some 
structure beyond statistical noise, if that factor comprises a
fixed effect and has an interaction term with another random
effect, then presumably that factor is demonstrating structure
in the levels taken by the dependent variable (fixed effect
component) and in the variability exhibited (this is the part
I'm still trying to grok) so when we want to comment on the
'significance' of this factor, there's a variance component and
a levels component.  Does it make sense to test the levels component
and dismiss the variable from the fixed effects portion of the 
model and label it 'not significant' when it contributes to
variance structure?  Perhaps I'm just looking for reasonable
terminology to describe these different structural contributions
in the mixed effects world.

> Technical Notes : 1) if you want to make comparisons between models with
> differing fixed effects structure, you should use maximum likelihood
> maximization, not REML (see P&B chap 2) ; be aware, however, that this
> technique might "bias" your estimates more than REML (for the exact
> meaning of bias, the importance of these biases, the ways to reduce
> them, I defer to thows who know. Mr Bates, would you mind ?)

Apologies - I don't do this in practice - I should have been explicit
in the example to use ML for anova test models and REML for parameter
estimates and discussion thereof.

I also do not load the nlme library concurrently - that was just
in the example as I didn't know I could get that data from
the MEMSS library.  Thanks to Doug Bates for pointing that out.

> 2) Be aware that Douglas Bates has expressed serious doubts on the
> validity of "classical" ways to compare models (e. g. LRT tests, with
> "obvious" dof...). This subject has already suscited flows of
> ink/electrons on this list, and I don't consider myself competent
> enough to express an opinion.

"All models are wrong.  Some models are useful."
The LRT has held up well in a variety of circumstances for decades.
Until smarter people than I show that the LRT is seriously flawed 
in mixed effects models, I'll continue to use it as an indicator as to what's (relatively) important amongst the factors under review.
I'll continue to monitor Doug Bates development of MCMC and
dof methods, and look forward to the next release from his
development line.  Grokking the MCMC is next on the list of
mixed effects learning but it's a bit of a moving target right
now.  Degrees of freedom are strongly related to information 
content, so I think someday RSN some new definitions
of dof will help clear up issues there.

> 3) This explains why, in older times, people confronted with
> interactions of fixed factors were tempted to rechristen one of them as
> random and to test the other by comparison of its effect(s) not with the
> residual variance but with the interaction variance. That's a "trick" I
> learned an (uncomfortably) long time ago, which aims to answer an
> ill-formulated question along the lines of "is there a an A effect
> clearly (statistically) larger that the variations introduced by B to
> this possible A effect ?". Which might be a valid question, but
> different of the question originally answered to by the ANOVA...
> Now to get back to "Oats". Here, the difficulty is well explained in
> both V&R4 and P&B : The experimental plan is a split-plot. Having
> exactly 3 plots and 3 varieties per block makes "Variety" in
> "Block/Variety" *also* a synonym for "Plot %in% Block", which is a
> random effect : there is absolutely no reason to think that the
> properties of Plot 2 in Block IV has anything in common with Plot 2 in
> Block II, for example. Both "Variety %in% Block" and "Plot %in% Block"
> ate *arbitrary* labels.

This was part of my misunderstanding.  Since each plot has one variety,
variety is being used as an indicator for plot (the two are confounded).

> Therefore, the same ("Variety") variable designates 1) a fixed effect
> (reproductible) and 2) a source of variability (irreproductible). The
> optimization technique used in lme(r) aims to partition the total
> variability between varieties between the "Variety" (fixed) effect and
> the "PlotDisguisedAsVariety" (random) effect. R. A. Fisher has proposed
> in 1935 a way to do this oin the case of *balanced* data sets (designed
> (and well-executed) experiments), implemented in aov(). Here, P&B
> chapter 1 discuss this very data set (it's the last introductory
> example) ; the discussion in V&R4 is skimpier but gives another "look"a
> at this problem. Both are worth reading, and I won't paraphrase ...

Reading and rereading...

> I might be interested to any corrections or suggestions about this way
> to explain random effects to "laymen" (usually physicians who don't give
> a hoot about those technicalities) : that's something I have to explain
> more and more often.
> HTH,

It certainly did, thanks much
Steve M

> 					Emmanuel Charpentier
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