[R-sig-ME] [ADMB Users] NLMM Model Selection
Ben Bolker
bbolker at gmail.com
Tue Feb 8 14:38:30 CET 2011
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On 11-02-08 01:45 AM, Chris Gast wrote:
> Hello Dr. Bolker,
>
> I hope you don't mind a personal email--my followup question is more
> relevant to your TREE paper than to the ADMB discussion. I'm happy to
> post this elsewhere (probably r-sig-mixed) if you prefer.
>
> Within your TREE article, you discuss using LRTs to test whether
> random effect terms should be included in the model. In the
> supplementary material for you TREE article, you provide a thorough
> dataset analysis, using lmer() to fit models and QAIC for model
> selection for random and then fixed effects. Why the difference?
> Also, I cannot seem to find any documentation for how the penalty for
> AIC is computed from lmer() (a difficult issue that you discuss in Box
> 3 of the TREE article). As you seem to be active in such discussions,
> perhaps you can provide some insight?
[I'm going to go ahead and post this back to r-sig-mixed-models for
public enlightenment (or correction, or scorn, as the case may be).]
Since we had overdispersion in the data, we chose to do a
quasi-likelihood analysis (which I would replace by an
observational-level random effect, if I were doing it again). Thus,
likelihood-based analyses in the strict sense were not available to us.
In that case we had to choose between (1) 'quasi-likelihood' F tests
(what anova.glm() does for quasi-likelihood models) or (2) QAIC. We went
for #2 (don't remember why).
As for AIC, looking deep inside the code at where the degrees of
freedom are computed for the log-likelihood (which is in turn used by
AIC to compute differences in numbers of parameters):
attr(val, "df") <-
dims[["p"]] + dims[["np"]] + as.logical(dims[["useSc"]])
This is "# fixed effect parameters" plus "# random effects parameters"
(i.e.,
independent variances and covariances + "scale parameter" (residual
variance term, if used).
This is the "marginal AIC", which is more often the one I want
(rather than the conditional AIC), although it doesn't account (as
Greven and Kneib point out) for the boundedness of the
variance-covariance space.
You could also, probably, work this out experimentally by comparing
logLik(m) and AIC(m) for various models ...
> -----------------------------
> Chris Gast
> cmgast at gmail.com
>
>
>
> On Sat, Feb 5, 2011 at 1:55 PM, Ben Bolker <bbolker at gmail.com> wrote:
> On 11-02-05 01:02 PM, Chris Gast wrote:
>>>> This isn't precisely an ADMB topic, but it seems as though ADMB users
>>>> might be knowledgeable in this regard.
>>>>
>>>> I've searched the archives and haven't found a lot of discussion
>>>> regarding model selection in nonlinear mixed models. For a given
>>>> dataset, I have a series of models which differ in combinations of
>>>> structure, number of effects considered random, and assumed distribution
>>>> of random effect components, and would like some (preferably
>>>> likelihood-based) method to rank them. Burnham and Anderson (Model
>>>> Selection and Multimodel Inference, 2002, page 310) describe a method
>>>> based on shrinkage estimators where the penalty term is computed
>>>> somewhere between 1 and the number of random components, but this
>>>> appears to require both a single random effect and a fit of the model
>>>> where each random component is considered a parameter; neither of these
>>>> is feasible with my models (or, I suspect, many others). I can't simply
>>>> use LRTs to decide between a mixed model and its fixed counterpart,
>>>> because the value of interest for the sigma parameter lies on the
>>>> boundary of its space, 0.
>
> Although you could, approximately, by doubling the p value (for a
> single random effect, the null distribution of the deviance is a 50/50
> mixture of chi^2 with df=0 and df=1; this is equivalent to halving the
> area in the tail of the distribution or equivalently doubling the p
> value. (See references in Bolker et al 2009 TREE article.)
>
>>>> I have found some instances where the problem is basically ignored
>>>> (Hall, D.B. and Clutter, M. 2004. Multivariate multilevel nonlinear
>>>> mixed effects models for timer yield predictions. Biometrics, 60:16-24).
>>>> To quote: "...the first-order approximate log likelihood is treated as
>>>> the true log likelihood, and standard errors for parameter estimates,
>>>> likelihood ratio tests for nested models, and model selection criteria
>>>> such as AIC and BIC are formed in the usual way. Although the formal
>>>> justification of this
approximately asymptotic
approach to inference
>>>> is an open problem, it is commonly used in practice, and we adopt it for
>>>> our purposes in this article."
>>>>
>>>> One simple method would be to choose the model that best reconstructs
>>>> the original data as measured by the chi-squared test statistic
>>>> sum((O-E)^2/E), but again, it would be nice to have something
>>>> likelihood-based such that the framework is a cohesive, and the
>>>> principle of parsimony is in effect.
>>>>
>>>> One additional question: these models also may include covariates.
>>>> Holding all other model features of a mixed-model constant, LRTs should
>>>> be justified for model selection of covariates only, as they result from
>>>> a mathematical restriction of some beta=0, correct? I see plenty of
>>>> information about the LASSO for covariate selection in NLMMs, but
>>>> haven't yet found the time to learn this technique.
>
> A quite technical but useful recent paper is:
>
> Greven, Sonja, and Thomas Kneib. 2010. On the Behaviour of Marginal
> and Conditional
> Akaike Information Criteria in Linear Mixed
> Models. Biometrika 97, no. 4: 773-789.
> http://www.bepress.com/jhubiostat/paper202/.
>
> There is a fundamental distinction between the 'marginal AIC' (for
> population-level predictions, i.e. where you want to predict future
> values for a different set of random effects than those measured) and
> the 'conditional AIC' (for group-level predictions where you want to
> predict future values for the same random effects measured); see
> <http://glmm.wikidot.com/faq> (recently updated) for more information.
>
>>
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