gamm                  package:mgcv                  R Documentation

_G_e_n_e_r_a_l_i_z_e_d _A_d_d_i_t_i_v_e _M_i_x_e_d _M_o_d_e_l_s

_D_e_s_c_r_i_p_t_i_o_n:

     Fits the specified  generalized additive mixed model (GAMM) to
     data, by a call to 'lme' in the normal errors identity link case,
     or by  a call to 'glmmPQL' from the 'MASS' library otherwise.  In
     the latter case estimates are only approximately MLEs. The routine
     is typically  much slower than 'gam', and not quite as numerically
     robust.

     Smooths are specified as in a call to 'gam' as part of the fixed 
     effects model formula, but the wiggly components of the smooth are
     treated as  random effects. The random effects structures and
     correlation structures  availabale for 'lme' are used to specify
     other random effects and  correlations. 

     It is assumed that the random effects and correlation structures
     are employed  primarily to model residual correlation in the data
     and that the prime interest is in inference about the terms in the
     fixed effects model formula including  the smooths. For this
     reason the routine calculates a posterior covariance  matrix for
     the coefficients of all the terms in the fixed effects formula, 
     including the smooths.

_U_s_a_g_e:

     gamm(formula,random=NULL,correlation=NULL,family=gaussian(),
     data=list(),weights=NULL,subset=NULL,na.action,knots=NULL,
     control=lmeControl(niterEM=3),niterPQL=20,verbosePQL=TRUE,...)

_A_r_g_u_m_e_n_t_s:

 formula: A GAM formula (see also 'gam.models').  This is exactly like
          the formula for a glm except that smooth terms can be added
          to the right hand side of the formula (and a formula of the
          form 'y ~ .' is not allowed). Smooth terms are specified by
          expressions of the form: 
           's(var1,var2,...,k=12,fx=FALSE,bs="tp",by=a.var)' where
          'var1', 'var2', etc. are the covariates which the smooth is a
          function of and 'k' is the dimension of the basis used to
          represent the smooth term. If 'k' is not specified then
          'k=10*3^(d-1)' is used where 'd' is the number of covariates
          for this term. 'fx' is used to indicate whether or not this
          term has a fixed muber of degrees of freedom ('fx=FALSE' to
          select d.f. by GCV/UBRE). 'bs' indicates the basis to use,
          with '"cr"' indicating cubic regression spline, '"cc"' a
          periodic  cubic regression spline, and '"tp"' indicating thin
          plate regression spline: '"cr"' and '"cc"' can only be used
          with 1-d smooths. Tensor product smooths are specified using
          'te' terms. 

  random: The (optional) random effects structure as specified in a
          call to  'lme': only the 'list' form is allowed, to
          facilitate  manipulation of the random effects structure
          within 'gamm' in order to deal with smooth terms.

correlation: An optional 'corStruct' object (see 'corClasses') as used
          to define correlation  structures in 'lme'.

  family: A 'family' as used in a call to 'glm' or 'gam'. The default
          'gaussian' with identity link causes 'gamm' to fit by a
          direct call to 'lme', otherwise 'glmmPQL' from the 'MASS'
          library is used.

    data: A data frame containing the model response variable and 
          covariates required by the formula.  By default the variables
          are taken  from 'environment(formula)', typically the
          environment from  which 'gamm' is called.

 weights: prior weights on the data. Read the documentation for 'lme'
          and 'glmmPQL' very  carefully before even thinking about
          using this argument.

  subset: an optional vector specifying a subset of observations to be
          used in the fitting process.

na.action: a function which indicates what should happen when the data
          contain `NA's.  The default is set by the `na.action' setting
          of `options', and is `na.fail' if that is unset.  The
          ``factory-fresh'' default is `na.omit'.

   knots: this is an optional list containing user specified knot
          values to be used for basis construction.  For the 'cr' basis
          the user simply supplies the knots to be used, and there must
          be the same number as the basis dimension, 'k', for the
          smooth concerned. For the 'tp' basis 'knots' has two uses. 
          Firstly, for large datasets  the calculation of the 'tp'
          basis can be time-consuming. The user can retain most of the
          advantages of the t.p.r.s.  approach by supplying  a reduced
          set of covariate values from which to obtain the basis - 
          typically the number of covariate values used will be
          substantially  smaller than the number of data, and
          substantially larger than the basis dimension, 'k'. The
          second possibility  is to avoid the eigen-decomposition used
          to find the t.p.r.s. basis altogether and simply use  the
          basis implied by the chosen knots: this will happen if the
          number of knots supplied matches the  basis dimension, 'k'.
          For a given basis dimension the second option is  faster, but
          gives poorer results (and the user must be quite careful in
          choosing knot locations).  Different terms can use different 
          numbers of knots, unless they share a covariate. 

 control: A list of fit control parameters for 'lme' returned by 
          'lmeControl'. Note the default setting for the number of EM
          iterations  used by 'lme': high settings tend to lead to
          numerical problems because variance components for smooth
          terms can legitimately be non-finite.

niterPQL: Maximum number of PQL iterations (if any).

verbosePQL: Should PQL report its progress as it goes along?

     ...: further arguments for passing on e.g. to 'lme'

_D_e_t_a_i_l_s:

     The Bayesian model of spline smoothing introduced by Wahba (1983)
     and Silverman (1985) opens  up the possibility of estimating the
     degree of smoothness of terms in a generalized additive model as
     variances of the wiggly components of the smooth terms treated as
     random effects. Several authors  have recognised this (see Wang
     1998; Ruppert, Wand and Carroll, 2003) and in the normal errors,
     identity link case estimation can  be performed using general
     linear mixed effects modelling software such as 'lme'. In the
     generalized case only  approximate inference is so far available,
     for example using the Penalized Quasi-Likelihood approach of
     Breslow  and Clayton (1993) as implemented in 'glmmPQL' by
     Venables and Ripley (2002).  One advantage of this approach is
     that it allows correlated errors to be dealt with via random
     effects  or the correlation structures available in the 'nlme'
     library. 

     Some brief details of how GAMs are represented as mixed models and
     estimated using 'lme' or 'glmmPQL' in 'gamm' can be found in Wood
     (manuscript). In addition 'gamm' obtains a posterior covariance
     matrix for the parameters of all the fixed effects and the smooth
     terms. The approach is similar to that described in (Lin & Zhang,
     1999) - the covariance matrix of the data (or pseudodata in the
     generalized case) implied by the weights, correlation and random
     effects structure is obtained, based on the estimates of the
     parameters of these terms and this is used to obtain the posterior
     covariance matrix of the fixed and smooth effects. 

     The bases used to represent smooth terms are the same as those
     used in 'gam'.

_V_a_l_u_e:

     Returns a list with two items: 

     gam: an object of class 'gam', less information relating to
          GCV/UBRE model selection.

     lme: the fitted model object returned by 'lme' or 'glmmPQL'. Note
          that the model formulae and grouping  structures may appear
          to be rather bizarre, because of the manner in which the GAMM
          is split up and the calls to  'lme' and 'glmmPQL' are
          constructed.

_W_A_R_N_I_N_G_S:

     'lme' and 'glmmPQL' will not deal with offsets, so neither can
     'gamm'.

     Models like 's(z)+s(x)+s(x,z)' are not currently supported.

     'gamm' is not as numerically stable as 'gam': an 'lme' call will
     occasionally fail. Experimenting with  'niterEM' in the 'control'
     argument can sometimes help.

     'gamm' is usually much slower than 'gam'.

     Note that the weights returned in the fitted GAM object are dummy,
     and not those used by the PQL iteration: this makes partial
     residual plots look odd.

_A_u_t_h_o_r(_s):

     Simon N. Wood simon@stats.gla.ac.uk

_R_e_f_e_r_e_n_c_e_s:

     Breslow, N. E. and Clayton, D. G. (1993) Approximate inference in
     generalized linear  mixed models. Journal of the American
     Statistical Association 88, 9-25.

     Lin, X and Zhang, D. (1999) Inference in generalized additive
     mixed models by using smoothing  splines. JRSSB. 55(2):381-400

     Pinheiro J.C. and Bates, D.M. (2000) Mixed effects Models in S and
     S-PLUS. Springer

     Ruppert, D., Wand, M.P. and Carroll, R.J. (2003) Semiparametric
     Regression.  Cambridge

     Silverman, B.W. (1985) Some aspects of the spline smoothing
     approach to nonparametric regression. JRSSB 47:1-52 

     Venables, W. N. and Ripley, B. D. (2002) Modern Applied Statistics
     with S. Fourth edition.  Springer.

     Wahba, G. (1983) Bayesian confidence intervals for the cross
     validated smoothing spline.  JRSSB 45:133-150

     Wood, S.N. (in press) Stable and efficient multiple smoothing
     parameter estimation for generalized additive models. Journal of
     the American Statistical Association.

     Wood, S.N. (2003) Thin plate regression splines. J.R.Statist.Soc.B
     65(1):95-114

     Wood, S.N. (manuscript) Tensor product smooth interactions in
     Generalized Additive Mixed Models.

     Wang, Y. (1998) Mixed effects smoothing spline analysis of
     variance. J.R. Statist. Soc. B 60, 159-174

     <URL: http://www.stats.gla.ac.uk/~simon/>

_S_e_e _A_l_s_o:

     'te', 's', 'predict.gam', 'plot.gam', 'summary.gam',
     'gam.neg.bin',  'vis.gam','pdTens','gamm.setup'

_E_x_a_m_p_l_e_s:

     library(mgcv)
     set.seed(0) 
     n <- 400
     sig <- 2
     x0 <- runif(n, 0, 1)
     x1 <- runif(n, 0, 1)
     x2 <- runif(n, 0, 1)
     x3 <- runif(n, 0, 1)
     f <- 2 * sin(pi * x0)
     f <- f + exp(2 * x1) - 3.75887
     f <- f+0.2*x2^11*(10*(1-x2))^6+10*(10*x2)^3*(1-x2)^10-1.396
     e <- rnorm(n, 0, sig)
     y <- f + e
     b <- gamm(y~s(x0)+s(x1)+s(x2)+s(x3))
     plot(b$gam,pages=1)

     b <- gamm(y~te(x0,x1)+s(x2)+s(x3)) 
     op <- par(mfrow=c(2,2))
     plot(b$gam)
     par(op)

     g<-exp(f/5)
     y<-rpois(rep(1,n),g)
     b2<-gamm(y~s(x0)+s(x1)+s(x2)+s(x3),family=poisson)
     plot(b2$gam,pages=1)

     # now an example with autocorrelated errors....
     x <- 0:(n-1)/(n-1)
     f <- 0.2*x^11*(10*(1-x))^6+10*(10*x)^3*(1-x)^10-1.396
     e <- rnorm(n,0,sig)
     for (i in 2:n) e[i] <- 0.6*e[i-1] + e[i]
     y <- f + e
     op <- par(mfrow=c(2,2))
     b <- gamm(y~s(x,k=20),correlation=corAR1())
     plot(b$gam);lines(x,f-mean(f),col=2)
     b <- gamm(y~s(x,k=20))
     plot(b$gam);lines(x,f-mean(f),col=2)
     b <- gam(y~s(x,k=20))
     plot(b);lines(x,f-mean(f),col=2)
     par(op)

     # and a "spatial" example
     library(nlme);set.seed(1)
     test1<-function(x,z,sx=0.3,sz=0.4)
     { (pi**sx*sz)*(1.2*exp(-(x-0.2)^2/sx^2-(z-0.3)^2/sz^2)+
       0.8*exp(-(x-0.7)^2/sx^2-(z-0.8)^2/sz^2))
     }
     n<-200
     old.par<-par(mfrow=c(2,2))
     x<-runif(n);z<-runif(n);
     xs<-seq(0,1,length=30);zs<-seq(0,1,length=30)
     pr<-data.frame(x=rep(xs,30),z=rep(zs,rep(30,30)))
     truth <- matrix(test1(pr$x,pr$z),30,30)
     contour(xs,zs,truth)  # true function
     f <- test1(x,z)  # true expectation of response

     cstr <- corGaus(.1,form = ~x+z)  
     cstr <- Initialize(cstr,data.frame(x=x,z=z))
     V <- corMatrix(cstr) # correlation matrix for data
     Cv <- chol(V)
     e <- t(Cv) %*% rnorm(n)*0.05 # correlated errors
     y <- f + e 
     b<- gamm(y~s(x,z,k=50),correlation=corGaus(.1,form=~x+z))
     plot(b$gam) # gamm fit accounting for correlation
     # overfits when correlation ignored.....  
     b1 <- gamm(y~s(x,z,k=50));plot(b1$gam) 
     b2 <- gam(y~s(x,z,k=50));plot(b2)
     par(old.par)

