[R-sig-ME] using lme for cov structures?

Ben Pelzer b.pelzer at maw.ru.nl
Thu Jul 27 11:16:38 CEST 2017


Dear Thierry,

Thanks for your help with these models. I wasn't sure how to formulate 
them. At the department of sciology where I work (Radboud University) 
longitudinal data are getting more common bussiness. And very often, 
we'd like to estimate random country or municipality influences for 
repeated measures on the same person. This is not a big problem as long 
as we use growth modelling with random intercept and random time 
influence, but the covariance structure implied by such models is, say, 
limited. Knowing how to specify the cov. structures in R is really 
helpful and broadens prespective.

After fiddling around with all the possibilities, the picture is slowly 
getting clearer here. I was puzzled by the heterogeneous compound 
symmetry structure and how to specify this. With specification:

heteroCS1 <- lme(opp ~ 1,opposites,
     random = ~1|id,
     correlation=corCompSymm(form = ~ wave),
     weights=varIdent(form = ~1|wave), method="REML")

the random person effect is estimated apart from the residuals. On the 
other hand, with:

heteroCS2 <- lme(opp ~ 1,opposites,
     random = ~1|one,
     correlation=corCompSymm(form = ~wave | one/id),
     weights=varIdent(form = ~1|wave), method="REML"))

the random person effect is kept part of the residuals, because it is 
not estimated explicitly. As a result, heteroCS2 gives the same results 
as obtained with the more straightforward gls specification:

hetroCS3 <- gls(opp ~ 1, opposites,
     correlation = corCompSymm(form = ~ wave|id),
     weights = varIdent(form = ~ 1 | wave))

In general, I think I would prefer to have the random person effect as 
part the residual term instead of seperating it from the residual. That 
is, by cutting the random person effect away from the residual, you 
remove the very part that causes correlation between the observations 
over time. The only specification (I could think of) that keeps the 
random person effect IN the residual is heteroCS2. But maybe something 
less artificial can be found....

And the strange thing that remains is: how can lme estimate a random 
effect variance in case of one single group, as in:

strangemodel <- lme(opp ~1, random = ~1|one, opposites)

which produces the summary:

Linear mixed-effects model fit by REML
  Data: opposites
      AIC      BIC    logLik
   1473.5 1482.303 -733.7498

Random effects:
  Formula: ~1 | one
         (Intercept) Residual
StdDev:    10.50729 46.62148

Fixed effects: opp ~ 1
                Value Std.Error  DF  t-value p-value
(Intercept) 204.8143  11.22179 139 18.25148       0


Do you have any thoughts about this strange model's estimate of the 
intercept variance 10.50729?

Best regards, Ben.


On 26-7-2017 22:05, Thierry Onkelinx wrote:
> Dear Ben,
>
> The correlation structure always works at the most detailed level of 
> the random effects. E.g. at the id level in the example below, not at 
> the group level. The correlation is only effective among observations 
> from the same id. Two observation within the same group but different 
> id have uncorrelated residuals by definition. Likewise are two 
> residuals from different groups uncorrelated. The correlation matrix 
> of the residuals is hence always a block diagonal matrix, with blocks 
> defined by the most detailed level of the random effects.
>
> opposites <- 
> read.table("https://stats.idre.ucla.edu/stat/r/examples/alda/data/opposites_pp.txt",header=TRUE,sep=",")
> opposites$group <- opposites$id %% 6
> library(nlme)
> lme(opp ~ 1, random = ~1|group/id, data = opposites)
> lme(opp ~ 1, random = ~1|group/id, data = opposites, correlation = 
> corAR1(form = ~wave))
>
> Best regards,
>
>
> ir. Thierry Onkelinx
> Instituut voor natuur- en bosonderzoek / Research Institute for Nature 
> and Forest
> team Biometrie & Kwaliteitszorg / team Biometrics & Quality Assurance
> Kliniekstraat 25
> 1070 Anderlecht
> Belgium
>
> To call in the statistician after the experiment is done may be no 
> more than asking him to perform a post-mortem examination: he may be 
> able to say what the experiment died of. ~ Sir Ronald Aylmer Fisher
> The plural of anecdote is not data. ~ Roger Brinner
> The combination of some data and an aching desire for an answer does 
> not ensure that a reasonable answer can be extracted from a given body 
> of data. ~ John Tukey
>
> 2017-07-26 21:45 GMT+02:00 Ben Pelzer <b.pelzer at maw.ru.nl 
> <mailto:b.pelzer at maw.ru.nl>>:
>
>     Dear Thierry and Wolfgang,
>
>     Thanks for responding so quickly. Here is the reproducible example of
>     the two models that I'm interested in.
>
>     # Read data.
>     opposites <-
>     read.table("https://stats.idre.ucla.edu/stat/r/examples/alda/dat/opposites_pp.txt
>     <https://stats.idre.ucla.edu/stat/r/examples/alda/dat/opposites_pp.txt>",header=TRUE,sep=",")
>
>     # Open library.
>     library(nlme)
>
>     # Define group "one" with value 1 for all cases.
>     one <- rep(1, 140)
>
>     #----- Model estimated with gls.
>     comsym.gls <- gls(opp~1,opposites,
>                        correlation=corCompSymm(form = ~ 1 |id),
>     method="REML")
>     summary(comsym.gls)
>
>
>     #----- Same model estimated with lme.
>     comsym.lme <- lme(opp~1,opposites,
>                        random= ~1|one,
>                        correlation=corCompSymm(form = ~ 1 |one/id),
>     method="REML")
>     summary(comsym.lme)
>
>
>     #----- Wolfgang's gls suggestion for heterogeneous CS.
>
>     summary(gls(opp ~ 1, opposites, correlation = corCompSymm(form = ~ 1 |
>     id), weights = varIdent(form = ~ 1 | wave)))
>
>     # Does not work with lme.
>     summary(hetercom <- lme(opp ~ 1,opposites,
>                      correlation=corCompSymm(form = ~ 1 |id),
>                      weights=varIdent(form = ~1|wave), method="REML"))
>
>     # But does work with the "one" trick.
>     summary(lme(opp ~ 1,opposites,
>          random = ~1|one,
>          correlation=corCompSymm(form = ~ 1 |one/id),
>          weights=varIdent(form = ~1|wave), method="REML"))
>
>
>
>     The main reason of my mailing to the list is this. I was wondering
>     whether with lme it is possible to also estimate models with the
>     individuals nested in higher levels like schools or hospitals etc
>     and at
>     the same time letting the residuals correlate within individuals over
>     time with one of the nice covar structures. However, I do NOT have a
>     reproducible example of such more complex models at the moment. I only
>     hoped that if the lme version of the model presented above has no
>     further problems than a (slightly) different AIC, BIC and std.
>     error of
>     the fixed intercept, it would be meaningful to proceed in this
>     way, i.e.
>     using lme instead of gls, since lme provides the important possibility
>     of additional random effects in the model.
>
>     As to Wolfgang's suggestion for heretogeneous CS using:
>
>     gls(opp ~ 1, correlation = corCompSymm(form = ~ 1 | id), weights =
>     varIdent(form = ~ 1 | timepoint))
>
>     I didn't find a way to estimate such a model with lme, except for the
>     method with the "trick". Using:
>
>     lme(opp ~ 1,opposites,
>                  correlation=corCompSymm(form = ~ 1 |id),
>                  weights=varIdent(form = ~1|wave), method="REML")
>
>     leads to error-message:
>
>     Error in lme.formula(opp ~ 1, opposites, correlation =
>     corCompSymm(form
>     = ~1 | : incompatible formulas for groups in 'random' and
>     'correlation'
>
>
>     whereas
>
>     lme(opp ~ 1,opposites,
>                  random = ~1|one,
>                  correlation=corCompSymm(form = ~ 1 |one/id),
>                  weights=varIdent(form = ~1|wave), method="REML")
>
>     leads to similar results as your gls suggestion.
>
>
>     Best regards, Ben.
>
>
>     On 26-7-2017 14:44, Thierry Onkelinx wrote:
>     > Dear Ben,
>     >
>     > Please be more specific on the kind of model you want to fit. That
>     > would lead to a more relevant discussion that your potential
>     misuse of
>     > lme. A reproducible example is always useful...
>     >
>     > Best regards,
>     >
>     >
>     > ir. Thierry Onkelinx
>     > Instituut voor natuur- en bosonderzoek / Research Institute for
>     Nature
>     > and Forest
>     > team Biometrie & Kwaliteitszorg / team Biometrics & Quality
>     Assurance
>     > Kliniekstraat 25
>     > 1070 Anderlecht
>     > Belgium
>     >
>     > To call in the statistician after the experiment is done may be no
>     > more than asking him to perform a post-mortem examination: he may be
>     > able to say what the experiment died of. ~ Sir Ronald Aylmer Fisher
>     > The plural of anecdote is not data. ~ Roger Brinner
>     > The combination of some data and an aching desire for an answer does
>     > not ensure that a reasonable answer can be extracted from a
>     given body
>     > of data. ~ John Tukey
>     >
>     > 2017-07-26 13:36 GMT+02:00 Ben Pelzer <b.pelzer at maw.ru.nl
>     <mailto:b.pelzer at maw.ru.nl>
>     > <mailto:b.pelzer at maw.ru.nl <mailto:b.pelzer at maw.ru.nl>>>:
>     >
>     >     Dear list,
>     >
>     >     With longitudinal data, the package nlme offers the
>     possibility to
>     >     specify particular covariance structures for the residuals.
>     In the
>     >     examples below I used data from 35 individuals measured at 4
>     time
>     >     points, so we have 4 observations nested in each of 35
>     individuals.
>     >     These data are discussed in Singer and Willett, Applied
>     Longitudinal
>     >     Data Analysis, chapter 7.
>     >
>     >     In several sources I found that e.g. compound symmetry can
>     easily be
>     >     obtained with gls from package nlme, by using the correlation
>     >     structure
>     >     corCompSymm, as in:
>     >
>     >          comsym <- gls(opp~1,opposites,
>     >                        correlation=corCompSymm(form = ~ 1 |id),
>     >     method="REML")
>     >
>     >     where id is subject-identifier for the individual. With gls
>     >     however one
>     >     cannot specify random effects, as opposed to lme. To have
>     lme estimate
>     >     compound symmetry is simple, one would not even need have to
>     specify a
>     >     particular correlation structure, it would suffice to say
>     >     "random=~1|id". However, for more complex covariance
>     structures, e.g.
>     >     heterogeneous compound symmetry, I was only able to find syntax
>     >     for gls,
>     >     but not for lme.
>     >
>     >     Then I thought that tricking lme might be an option by having a
>     >     kind of
>     >     "fake" random effect. That is, I constructed a variable
>     "one" which
>     >     takes value 1 for all cases, and let the intercept be random
>     >     across "all
>     >     one groups". This led to the following lme model:
>     >
>     >
>     >          comsym.lme <- lme(opp~1,opposites, random= ~1|one,
>     >                            correlation=corCompSymm(form = ~ 1
>     |one/id),
>     >     method="REML")
>     >
>     >     And actually to my surprise, the results of this lme are highly
>     >     similar
>     >     to those of the gls above.
>     >     The output of both is attached below. The loglik's are
>     identical, the
>     >     AIC and BIC are not, which I can understand, as the lme has
>     an extra
>     >     variance to be estimated, compared to the gls. Also, the fixed
>     >     intercept's standard error is different, the one of the lme
>     being
>     >     about
>     >     twice as large.
>     >
>     >     I added some independent variables (not shown below) but the
>     >     similarities between gls and lme remain, with only the AIC
>     and BIC and
>     >     the standard error of the fixed intercept being different
>     for the two
>     >     models.
>     >
>     >     My question is threefold.
>     >     1) Suppose the individuals (say pupils) would be nested in
>     >     schools, then
>     >     I assume that with lme I could add school as a random
>     effect, and
>     >     run a
>     >     "usual" model, with pupils nested in schools and observations in
>     >     pupils,
>     >     and then use any of the possible residual covariance structures
>     >     for the
>     >     observations in pupils. Would you agree with this? (with gls one
>     >     cannot
>     >     use an additional random effect, like e.g. school)
>     >     2) Are the lme results indeed to be trusted when using this
>     "fake"
>     >     random effect, apart from the differences with gls mentioned?
>     >     Could you
>     >     imagine a situation where lme with this trick would produce
>     wrong
>     >     results?
>     >     3) I don't understand the variance of the intercept in the
>     lme output.
>     >     Even when I specify a very simple model: lme(opp ~ 1, random
>     = ~1|one,
>     >     opposites, method="REML")
>     >     lme is able to estimate the intercept variance...but what is
>     this
>     >     variance estimate expressing?
>     >
>     >     Thanks a lot for any help!!!
>     >
>     >     Ben.
>     >
>     >
>     >
>     >
>     >
>     >     *----------------- gls
>     >     ---------------------------------------------------
>     >
>     >      > comsym <- gls(opp~1,opposites,
>     >                      correlation=corCompSymm(form = ~ 1 |id),
>     >     method="REML")
>     >      > summary(comsym)
>     >
>     >     Generalized least squares fit by REML
>     >     Model: opp ~ 1
>     >     Data: opposites
>     >           AIC      BIC    logLik
>     >     1460.954 1469.757 -727.4769
>     >
>     >     Correlation Structure: Compound symmetry
>     >     Formula: ~1 | id
>     >     Parameter estimate(s):
>     >        Rho
>     >     0.2757052
>     >
>     >     Coefficients:
>     >                     Value Std.Error  t-value p-value
>     >     (Intercept) 204.8143  5.341965 38.34063       0
>     >
>     >     Standardized residuals:
>     >        Min          Q1         Med          Q3  Max
>     >     -2.75474868 -0.71244027  0.00397158  0.56533908 2.24944156
>     >
>     >     Residual standard error: 46.76081
>     >     Degrees of freedom: 140 total; 139 residual
>     >
>     >
>     >     #------------------ lme
>     >     ---------------------------------------------------
>     >
>     >      > comsym.lme <- lme(opp~1,opposites, random= ~1|one,
>     >                      correlation=corCompSymm(form = ~ 1 |one/id),
>     >     method="REML")
>     >      > summary(comsym.lme)
>     >
>     >     Linear mixed-effects model fit by REML
>     >     Data: opposites
>     >           AIC      BIC    logLik
>     >     1462.954 1474.692 -727.4769
>     >
>     >     Random effects:
>     >        Formula: ~1 | one
>     >              (Intercept) Residual
>     >     StdDev:    10.53875 46.76081
>     >
>     >     Correlation Structure: Compound symmetry
>     >     Formula: ~1 | one/id
>     >     Parameter estimate(s):
>     >        Rho
>     >     0.2757052
>     >     Fixed effects: opp ~ 1
>     >                     Value Std.Error  DF  t-value p-value
>     >     (Intercept) 204.8143  11.81532 139 17.33463       0
>     >
>     >     Standardized Within-Group Residuals:
>     >        Min          Q1         Med          Q3  Max
>     >     -2.75474868 -0.71244027  0.00397158  0.56533908 2.24944156
>     >
>     >     Number of Observations: 140
>     >     Number of Groups: 1
>     >
>     >
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