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el_glm.R
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el_glm.R
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#' Empirical likelihood for generalized linear models
#'
#' Fits a generalized linear model with empirical likelihood.
#'
#' @param formula An object of class [`formula`] (or one that can be coerced to
#' that class): a symbolic description of the model to be fitted.
#' @param family A description of the error distribution and link function to be
#' used in the model. Only the result of a call to a family function is
#' supported. See ‘Details’.
#' @param data An optional data frame, list or environment (or object coercible
#' by [as.data.frame()] to a data frame) containing the variables in the
#' formula. If not found in data, the variables are taken from
#' `environment(formula)`.
#' @param weights An optional numeric vector of weights to be used in the
#' fitting process. Defaults to `NULL`, corresponding to identical weights. If
#' non-`NULL`, weighted empirical likelihood is computed.
#' @param 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.
#' @param start Starting values for the parameters in the linear predictor.
#' Defaults to `NULL` and is passed to [glm.fit()].
#' @param etastart Starting values for the linear predictor. Defaults to `NULL`
#' and is passed to [glm.fit()].
#' @param mustart Starting values for the vector of means. Defaults to `NULL`
#' and is passed to [glm.fit()].
#' @param offset An optional expression for specifying an \emph{a priori} known
#' component to be included in the linear predictor during fitting. This
#' should be `NULL` or a numeric vector or matrix of extents matching those of
#' the response. One or more [`offset`] terms can be included in the formula
#' instead or as well, and if more than one are specified their sum is used.
#' @param control An object of class \linkS4class{ControlEL} constructed by
#' [el_control()].
#' @param ... Additional arguments to be passed to [glm.control()].
#' @details Suppose that we observe \eqn{n} independent random variables
#' \eqn{{Z_i} \equiv {(X_i, Y_i)}} from a common distribution, where \eqn{X_i}
#' is the \eqn{p}-dimensional covariate (including the intercept if any) and
#' \eqn{Y_i} is the response. A generalized linear model specifies that
#' \eqn{{\textrm{E}(Y_i | X_i)} = {\mu_i}},
#' \eqn{{G(\mu_i)} = {X_i^\top \theta}}, and
#' \eqn{{\textrm{Var}(Y_i | X_i)} = {\phi V(\mu_i)}},
#' where \eqn{\theta = (\theta_0, \dots, \theta_{p-1})} is an unknown
#' \eqn{p}-dimensional parameter, \eqn{\phi} is an optional dispersion
#' parameter, \eqn{G} is a known smooth link function, and \eqn{V} is a known
#' variance function.
#'
#' With \eqn{H} denoting the inverse link function, define the quasi-score
#' \deqn{{g_1(Z_i, \theta)} =
#' \left\{
#' H^\prime(X_i^\top \theta) \left(Y_i - H(X_i^\top \theta)\right) /
#' \left(\phi V\left(H(X_i^\top \theta)\right)\right)
#' \right\}
#' X_i.}
#' Then we have the estimating equations
#' \eqn{\sum_{i = 1}^n g_1(Z_i, \theta) = 0}.
#' When \eqn{\phi} is known, the (profile) empirical likelihood ratio for a
#' given \eqn{\theta} is defined by
#' \deqn{R_1(\theta) =
#' \max_{p_i}\left\{\prod_{i = 1}^n np_i :
#' \sum_{i = 1}^n p_i g_1(Z_i, \theta) = 0,\
#' p_i \geq 0,\
#' \sum_{i = 1}^n p_i = 1
#' \right\}.}
#' With unknown \eqn{\phi}, we introduce another estimating function based on
#' the squared residuals. Let \eqn{{\eta} = {(\theta, \phi)}} and
#' \deqn{{g_2(Z_i, \eta)} =
#' \left(Y_i - H(X_i^\top \theta)\right)^2 /
#' \left(\phi^2 V\left(H(X_i^\top \theta)\right)\right) - 1 / \phi.}
#' Now the empirical likelihood ratio is defined by
#' \deqn{R_2(\eta) =
#' \max_{p_i}\left\{\prod_{i = 1}^n np_i :
#' \sum_{i = 1}^n p_i g_1(Z_i, \eta) = 0,\
#' \sum_{i = 1}^n p_i g_2(Z_i, \eta) = 0,\
#' p_i \geq 0,\
#' \sum_{i = 1}^n p_i = 1
#' \right\}.}
#' [el_glm()] first computes the parameter estimates by calling [glm.fit()]
#' (with `...` if any) with the `model.frame` and `model.matrix` obtained from
#' the `formula`. Note that the maximum empirical likelihood estimator is the
#' same as the the quasi-maximum likelihood estimator in our model. Next, it
#' tests hypotheses based on asymptotic chi-square distributions of the
#' empirical likelihood ratio statistics. Included in the tests are overall
#' test with
#' \deqn{H_0: \theta_1 = \theta_2 = \cdots = \theta_{p-1} = 0,}
#' and significance tests for each parameter with
#' \deqn{H_{0j}: \theta_j = 0,\ j = 0, \dots, p-1.}
#'
#' The available families and link functions are as follows:
#' * `gaussian`: `"identity"`, `"log"`, and `"inverse"`.
#' * `binomial`: `"logit"`, `"probit"`, and `"log"`.
#' * `poisson`: `"log"`, `"identity"`, and `"sqrt"`.
#' * `quasipoisson`: `"log"`, `"identity"`, and `"sqrt"`.
#' @return An object of class of \linkS4class{GLM}.
#' @references
#' Chen SX, Cui H (2003).
#' ``An Extended Empirical Likelihood for Generalized Linear Models.''
#' \emph{Statistica Sinica}, **13**(1), 69--81.
#' @references
#' Kolaczyk ED (1994).
#' ``Empirical Likelihood for Generalized Linear Models.''
#' \emph{Statistica Sinica}, **4**(1), 199--218.
#' @seealso \linkS4class{EL}, \linkS4class{GLM}, [el_lm()], [elt()],
#' [el_control()]
#' @examples
#' data("warpbreaks")
#' fit <- el_glm(wool ~ .,
#' family = binomial, data = warpbreaks, weights = NULL, na.action = na.omit,
#' start = NULL, etastart = NULL, mustart = NULL, offset = NULL
#' )
#' summary(fit)
#' @export
el_glm <- function(formula,
family = gaussian,
data,
weights = NULL,
na.action,
start = NULL,
etastart = NULL,
mustart = NULL,
offset,
control = el_control(),
...) {
assert_class(control, "ControlEL")
cl <- match.call()
if (is.character(family)) {
family <- get(family, mode = "function", envir = parent.frame())
}
if (is.function(family)) {
family <- family()
}
if (is.null(family$family)) {
print(family)
stop("`family` not recognized.")
}
if (missing(data)) {
data <- environment(formula)
}
mf <- match.call(expand.dots = FALSE)
m <- match(c(
"formula", "data", "weights", "na.action", "etastart", "mustart", "offset"
), names(mf), 0L)
mf <- mf[c(1L, m)]
mf$drop.unused.levels <- TRUE
mf[[1L]] <- quote(stats::model.frame)
mf <- eval(mf, parent.frame())
glm_control <- do.call("glm.control", list(...))
mt <- attr(mf, "terms")
y <- model.response(mf, "any")
if (length(dim(y)) == 1L) {
nm <- rownames(y)
dim(y) <- NULL
if (!is.null(nm)) {
names(y) <- nm
}
}
stopifnot(
"`el_glm()` does not support grouped data." = (isFALSE(is.matrix(y)))
)
offset <- as.vector(model.offset(mf))
if (!is.null(offset)) {
if (length(offset) != length(y)) {
stop(gettextf(
"Number of offsets is %d, should equal %d (number of observations).",
length(offset), length(y)
), domain = NA)
}
}
if (is.empty.model(mt)) {
x <- matrix(numeric(0), length(y), 0L)
if (grepl("quasi", family$family)) {
class <- "QGLM"
npar <- 1L
} else {
class <- "GLM"
npar <- 0L
}
return(new(class,
family = family, call = cl, terms = mt,
misc = list(
formula = formula, offset = offset, control = glm_control,
intercept = FALSE, method = "glm.fit", contrasts = attr(x, "contrasts"),
xlevels = .getXlevels(mt, mf), na.action = attr(mf, "na.action")
),
optim = list(
par = numeric(), lambda = numeric(), iterations = integer(),
convergence = logical(), cstr = logical()
), df = 0L, nobs = nrow(x), npar = npar, method = NA_character_,
control = control
))
} else {
x <- model.matrix(mt, mf, NULL)
}
w <- as.vector(model.weights(mf))
stopifnot(
"`weights` must be a numeric vector." =
(isTRUE(is.null(w) || is.numeric(w))),
"`weights` must be positive." = (isTRUE(is.null(w) || all(w > 0)))
)
mustart <- model.extract(mf, "mustart")
etastart <- model.extract(mf, "etastart")
intercept <- as.logical(attr(mt, "intercept"))
fit <- glm.fit(
x = x, y = y, weights = w, start = start, etastart = etastart,
mustart = mustart, offset = offset, family = family,
control = glm_control, intercept = intercept,
singular.ok = FALSE
)
pnames <- names(fit$coefficients)
method <- validate_family(fit$family)
s <- if (is.null(offset)) rep.int(0, length(y)) else offset
mm <- cbind(s, fit$y, x)
n <- nrow(mm)
p <- ncol(x)
w <- validate_weights(w, n)
names(w) <- if (length(w) != 0L) names(y) else NULL
if (fit$family$family %in% c("poisson", "binomial")) {
dispersion <- 1L
} else {
yhat <- fitted(fit)
if (length(w) == 0L) {
dispersion <- sum((fit$y - yhat)^2L / fit$family$variance(yhat)) / n
} else {
dispersion <- sum(w * ((fit$y - yhat)^2L / fit$family$variance(yhat))) / n
}
}
if (grepl("quasi", method)) {
class <- "QGLM"
npar <- p + 1L
out <- test_QGLM(
method, mm, c(fit$coefficients, dispersion), intercept, control@maxit,
control@maxit_l, control@tol, control@tol_l, control@step, control@th,
control@nthreads, w
)
optim <- validate_optim(out$optim)
names(optim$par) <- c(pnames, "phi")
optim$cstr <- intercept
} else {
class <- "GLM"
npar <- p
out <- test_GLM(
method, mm, fit$coefficients, intercept, control@maxit, control@maxit_l,
control@tol, control@tol_l, control@step, control@th, control@nthreads, w
)
optim <- validate_optim(out$optim)
names(optim$par) <- pnames
optim$cstr <- intercept
}
df <- if (intercept && p > 1L) p - 1L else p
pval <- pchisq(out$statistic, df = df, lower.tail = FALSE)
if (control@verbose) {
message(
"Convergence ",
if (out$optim$convergence) "achieved." else "failed."
)
}
new(class,
family = fit$family, dispersion = dispersion,
sigTests = lapply(out$sig_tests, setNames, pnames), call = cl, terms = mt,
misc = list(
iter = fit$iter, converged = fit$converged, boundary = fit$boundary,
formula = formula, offset = offset, control = glm_control,
intercept = intercept, method = "glm.fit",
contrasts = attr(x, "contrasts"), xlevels = .getXlevels(mt, mf),
na.action = attr(mf, "na.action")
),
optim = optim, logp = setNames(out$logp, names(y)), logl = out$logl,
loglr = out$loglr, statistic = out$statistic, df = df, pval = pval,
nobs = n, npar = npar, weights = w, coefficients = fit$coefficients,
method = method, data = if (control@keep_data) mm else NULL,
control = control
)
}