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Generalized linear models in Julia
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README.md

Linear models (lm's) and generalized linear models (glm's) in Julia

To install the package use

Pkg.add("GLM")

The GLM package depends on DataFrames and Distributions. Because it helps to be able to access functions from all three of these packages, load them with

using DataFrames, Distributions, GLM

The RDatasets package is useful for fitting models to compare with the results from R.

Many of the methods provided by this package have names similar to those in R.

  • coef: extract the estimates of the coefficients in the model
  • deviance: measure of the model fit, weighted residual sum of squares for lm's
  • df_residual: degrees of freedom for residuals, when meaningful
  • glm: fit a generalized linear model
  • lm: fit a linear model
  • stderr: standard errors of the coefficients
  • vcov: estimated variance-covariance matrix of the coefficient estimates

An example of a simple linear model in R is

> coef(summary(lm(optden ~ carb, Formaldehyde)))
               Estimate  Std. Error    t value     Pr(>|t|)
(Intercept) 0.005085714 0.007833679  0.6492115 5.515953e-01
carb        0.876285714 0.013534536 64.7444207 3.409192e-07

The corresponding model with the GLM package is

julia> using RDatasets, GLM

julia> form = data("datasets", "Formaldehyde")
6x2 DataFrame:
        carb optden
[1,]     0.1  0.086
[2,]     0.3  0.269
[3,]     0.5  0.446
[4,]     0.6  0.538
[5,]     0.7  0.626
[6,]     0.9  0.782

julia> fm1 = lm(:(optden ~ carb), form)

Formula: optden ~ carb

Coefficients:
2x4 DataFrame:
          Estimate  Std.Error  t value   Pr(>|t|)
[1,]    0.00508571 0.00783368 0.649211   0.551595
[2,]      0.876286  0.0135345  64.7444 3.40919e-7

julia> confint(fm1)
2x2 Float64 Array:
 -0.0166641  0.0268355
  0.838708   0.913864 

A more complex example in R is

> coef(summary(lm(sr ~ pop15 + pop75 + dpi + ddpi, LifeCycleSavings)))
                 Estimate   Std. Error    t value     Pr(>|t|)
(Intercept) 28.5660865407 7.3545161062  3.8841558 0.0003338249
pop15       -0.4611931471 0.1446422248 -3.1885098 0.0026030189
pop75       -1.6914976767 1.0835989307 -1.5609998 0.1255297940
dpi         -0.0003369019 0.0009311072 -0.3618293 0.7191731554
ddpi         0.4096949279 0.1961971276  2.0881801 0.0424711387

with the corresponding Julia code

julia> LifeCycleSavings = data("datasets", "LifeCycleSavings");

julia> fm2 = lm(:(sr ~ pop15 + pop75 + dpi + ddpi), LifeCycleSavings)

Formula: sr ~ :(+(pop15,pop75,dpi,ddpi))

Coefficients:
5x4 DataFrame:
            Estimate   Std.Error   t value    Pr(>|t|)
[1,]         28.5661     7.35452   3.88416 0.000333825
[2,]       -0.461193    0.144642  -3.18851  0.00260302
[3,]         -1.6915      1.0836    -1.561     0.12553
[4,]    -0.000336902 0.000931107 -0.361829    0.719173
[5,]        0.409695    0.196197   2.08818   0.0424711

The glm function works similarly to the corresponding R function except that the family argument is replaced by a Distribution type and, optionally, a Link type. The first example from ?glm in R is

glm> ## Dobson (1990) Page 93: Randomized Controlled Trial :
glm> counts <- c(18,17,15,20,10,20,25,13,12)

glm> outcome <- gl(3,1,9)

glm> treatment <- gl(3,3)

glm> print(d.AD <- data.frame(treatment, outcome, counts))
  treatment outcome counts
1         1       1     18
2         1       2     17
3         1       3     15
4         2       1     20
5         2       2     10
6         2       3     20
7         3       1     25
8         3       2     13
9         3       3     12

glm> glm.D93 <- glm(counts ~ outcome + treatment, family=poisson())

glm> anova(glm.D93)
Analysis of Deviance Table

Model: poisson, link: log

Response: counts

Terms added sequentially (first to last)


          Df Deviance Resid. Df Resid. Dev
NULL                          8    10.5814
outcome    2   5.4523         6     5.1291
treatment  2   0.0000         4     5.1291

glm> ## No test: 
glm> summary(glm.D93)

Call:
glm(formula = counts ~ outcome + treatment, family = poisson())

Deviance Residuals: 
       1         2         3         4         5         6         7         8  
-0.67125   0.96272  -0.16965  -0.21999  -0.95552   1.04939   0.84715  -0.09167  
       9  
-0.96656  

Coefficients:
              Estimate Std. Error z value Pr(>|z|)    
(Intercept)  3.045e+00  1.709e-01  17.815   <2e-16 ***
outcome2    -4.543e-01  2.022e-01  -2.247   0.0246 *  
outcome3    -2.930e-01  1.927e-01  -1.520   0.1285    
treatment2   3.795e-16  2.000e-01   0.000   1.0000    
treatment3   3.553e-16  2.000e-01   0.000   1.0000    
---
Signif. codes:  0***0.001**0.01*0.05 ‘.’ 0.1 ‘ ’ 1 

(Dispersion parameter for poisson family taken to be 1)

    Null deviance: 10.5814  on 8  degrees of freedom
Residual deviance:  5.1291  on 4  degrees of freedom
AIC: 56.761

Number of Fisher Scoring iterations: 4

In Julia this becomes

julia> dobson = DataFrame({[18.,17,15,20,10,20,25,13,12], gl(3,1,9), gl(3,3)},
                                 ["counts","outcome","treatment"])
9x3 DataFrame:
        counts outcome treatment
[1,]      18.0       1         1
[2,]      17.0       2         1
[3,]      15.0       3         1
[4,]      20.0       1         2
[5,]      10.0       2         2
[6,]      20.0       3         2
[7,]      25.0       1         3
[8,]      13.0       2         3
[9,]      12.0       3         3


julia> fm3 = glm(:(counts ~ outcome + treatment), dobson, Poisson())
Formula: counts ~ :(+(outcome,treatment))

Coefficients:
5x4 DataFrame:
          Estimate Std.Error    z value    Pr(>|z|)
[1,]       3.04452  0.170893    17.8153 5.37376e-71
[2,]     -0.454255  0.202152    -2.2471   0.0246337
[3,]     -0.292987  0.192728   -1.52021    0.128457
[4,]    1.92349e-8  0.199983 9.61826e-8         1.0
[5,]    8.38339e-9  0.199986 4.19198e-8         1.0

julia> deviance(fm3)    # does not agree with the value from R
46.76131840195778

Typical distributions for use with glm and their canonical link functions are Bernoulli (LogitLink) Gamma (InverseLink) Normal (IdentityLink) Poisson (LogLink)

Currently the available Link types are

CauchitLink
CloglogLink
IdentityLink
InverseLink
LogitLink
LogLink
ProbitLink

Other examples are shown in test/glmFit.jl.

Separation of response object and predictor object

The general approach in this code is to separate functionality related to the response from that related to the linear predictor. This allows for greater generality by mixing and matching different subtypes of the abstract type LinPred and the abstract type ModResp.

A LinPred type incorporates the parameter vector and the model matrix. The parameter vector is a dense numeric vector but the model matrix can be dense or sparse. A LinPred type must incorporate some form of a decomposition of the weighted model matrix that allows for the solution of a system X'W * X * delta=X'wres where W is a diagonal matrix of "X weights", provided as a vector of the square roots of the diagonal elements, and wres is a weighted residual vector.

Currently there are two dense predictor types, DensePredQR and DensePredChol, and the usual caveats apply. The Cholesky version is faster but somewhat less accurate than that QR version. The skeleton of a distributed predictor type is in the code but not yet fully fleshed out. Because Julia by default uses OpenBLAS, which is already multi-threaded on multicore machines, there may not be much advantage in using distributed predictor types.

A ModResp type must provide methods for the wtres and sqrtxwts generics. Their values are the arguments to the updatebeta methods of the LinPred types. The Float64 value returned by updatedelta is the value of the convergence criterion.

Similarly, LinPred types must provide a method for the linpred generic. In general linpred takes an instance of a LinPred type and a step factor. Methods that take only an instance of a LinPred type use a default step factor of 1. The value of linpred is the argument to the updatemu method for ModResp types. The updatemu method returns the updated deviance.

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