[R-sig-ME] Autoregressive covariance structure for lme object and R/SAS
Philippi, Tom
tom_philippi at nps.gov
Thu Feb 19 04:00:29 CET 2015
Andreas--
If you need to understand what SAS is doing, and how it differs from nlme,
I strongly recommend you look at either Stroup's paper:
@article{stroup2014rethinking,
title={Rethinking the Analysis of Non-Normal Data in Plant and Soil Science},
author={Stroup, Walter W},
journal={Agronomy Journal},
year={2014},
publisher={The American Society of Agronomy, Inc.}
}
https://dl.sciencesocieties.org/publications/aj/articles/0/0/agronj2013.0342
or you may need to look at the whole book:
@book{stroup2012generalized,
title={Generalized linear mixed models: modern concepts, methods and
applications},
author={Stroup, Walter W},
year={2012},
publisher={CRC Press}
}
https://books.google.com/books?hl=en&lr=&id=GcGrySpkXRMC&oi=fnd&pg=PP1&dq=%22what+would+fisher+do%22+stroup&ots=jUWUpAfgVY&sig=KtAHT4Sx6zvuFnIMzMXPYRIi6QE
They're both incredibly informative and fun reads (I believe that Doug
Bates recommended it to this list last year), and will let you know exactly
what the different SAS PROCS are doing.
I hope that this helps,
Tom 2
On Wed, Feb 18, 2015 at 4:59 PM, Steve Candy <burwood70 at gmail.com> wrote:
> Andreas
> You state:
> > ...using AR1 instead of Variance Components in SAS, which fits the
> observation that AIC values (in SAS) indicate both covariance structures
> fit
> data equally well.
>
> The lme model includes both random subject effects and an CAR1 process so
> this last process is on the residuals adjusting for subject random effect
> estimates. Is the SAS model equivalent? The above statement implies its
> either random subject effects fitted or a CAR1 error process but not both
> together. The summary(m2) in terms of the error model variance
> component/parameters could be compared to the SAS output. Also you could
> plot the sample/theoretical variograms with the R-code below. My experience
> with lme suggested to me that you have to have subjects ("id") as a random
> effect when fitting corCAR1(form=~x|id) but there may be a way around this
> restriction.
>
> vg.01 <- Variogram(m2, form = ~ x|id)
> plot(y= vg.01$variog , x= vg.01$dist)
> # extract Phi (or set its value to output value)
> # over-plot the fitted CAR1 model
> lines(y=(1-Phi^(seq(1,length(vg.01$dist)))), x=seq(1,length(vg.01$dist)),
> lwd=2)
>
>
> Dr Steven G. Candy
> Director/Consultant
> SCANDY STATISTICAL MODELLING PTY LTD
>
>
> > Dear R users,
> > We are working on a data set in which we have measured repeatedly a
> > physiological response variable (y) every 20 min for 12 h (time
> > variable; 'x') in subjects ('id') beloning to one of five groups
> > ('group'; 'A' to 'E'). Data are located at:
> > https://www.dropbox.com/s/hf455aev3teb5e0/data.csv?dl=0
> >
> > We are interested to model if the response in y differences with time
> > (i.e. 'x') for the two groups. Thus:
> > require(nlme)
> > m1<-lme(y~group*x+group*I(x^2),random=~x|id,data=data.df,na.action=na.
> > omit)
> >
> > But because data are collected repeatedly over short time intervals
> > for each subject, it seemed prudent to consider an autoregressive
> > covariance structure. Thus:
> > m2<-update(m1,~.,corr=corCAR1(form=~x|id))
> >
> > AIC values indicate the latter (i.e. m2) as more appropriate:
> > anova(m1,m2)
> > # Model df AIC BIC logLik Test L.Ratio
> > p-value
> > #m1 1 19 2155.996 2260.767 -1058.9981
> > #m2 2 20 2021.944 2132.229 -990.9718 1 vs 2 136.0525 <.0001
> >
> > Fixed effects and test statistics differ between models. A look at
> > marginal ANOVA tables suggest inference might differ somewhat between
> > models:
> >
> > anova.lme(m1,type="m")
> > # numDF denDF F-value p-value
> > #(Intercept) 1 1789 63384.80 <.0001
> > #group 4 45 1.29 0.2893
> > #x 1 1789 0.05 0.8226
> > #I(x^2) 1 1789 4.02 0.0451
> > #group:x 4 1789 2.61 0.0341
> > #group:I(x^2) 4 1789 4.37 0.0016
> >
> > anova.lme(m2,type="m")
> > # numDF denDF F-value p-value
> > #(Intercept) 1 1789 59395.79 <.0001
> > #group 4 45 1.33 0.2725
> > #x 1 1789 0.04 0.8379
> > #I(x^2) 1 1789 2.28 0.1312
> > #group:x 4 1789 2.09 0.0802
> > #group:I(x^2) 4 1789 2.81 0.0244
> >
> > Now, this is all well. But: my colleagues have been running the same
> > data set using PROC MIXED in SAS and come up with substantially
> > different results when comparing SAS default covariance structure
> > (variance
> > components) and AR1. Specifically, there is virtually no change in
> > either test statistics or fitted values when using AR1 instead of
> > Variance Components in SAS, which fits the observation that AIC values
> > (in SAS) indicate both covariance structures fit data equally well.
> >
> > This is not very satisfactory to me, and I would be interesting to
> > know what is happening here. Realizing this might not be the correct
> > forum for this question, I would like to ask you all if anyone would
> > have any input as to what is going on here, e.g. am I setting up my
> > model erroneously, etc.?
> >
> > N.b. I have no desire to replicate SAS results, but I would most
> > certainly be interested to know what could possibly explain such a
> > large discrepancy between the two platforms. Any suggestions greatly
> welcomed.
> >
> > (Data are located at:
> > https://www.dropbox.com/s/hf455aev3teb5e0/data.csv?dl=0)
> >
> > With all best wishes,
> > Andreas
> >
> > [[alternative HTML version deleted]]
> >
> > _______________________________________________
> > R-sig-mixed-models at r-project.org mailing list
> > https://stat.ethz.ch/mailman/listinfo/r-sig-mixed-models
> >
>
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--
-------------------------------------------
Tom Philippi
Quantitative Ecologist & Data Therapist
Inventory and Monitoring Program
National Park Service
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