Re: [Rd] initialize expression in 'quasi' (PR#8486)

From: Prof Brian Ripley <ripley_at_stats.ox.ac.uk>
Date: Mon 16 Jan 2006 - 08:28:19 GMT

Bill,

As you see, R-bugs does not work with encoded (binary) attachments. Could you please send this again to R-devel with (if possible) text attachments?

The source code says

# 0.1 fudge here matches poisson: S has 1/6.

     initialize <- expression({ n <- rep.int(1, nobs); mustart <- y + 0.1 * (y == 0)})

although I believe S-PLUS has diverged here.

Brian

On Sun, 15 Jan 2006 Bill.Venables@csiro.au wrote:

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> This is not so much a bug as an infelicity in the code that can easily
> be fixed.
>
> The initialize expression in the quasi family function is, (uniformly
> for all links and all variance functions):
>
>
> initialize <- expression({
> n <- rep.int(1, nobs)
> mustart <- y + 0.1 * (y =3D=3D 0)
> })
>
> This is inappropriate (and often fails) for variance function
> "mu(1-mu)". Here is a short demo to show it:
> #################################################
>
> set.seed(666)
> dat <- data.frame(x =3D rep((-10):10, each =3D 5), w =3D rep(1:5, 21))
> dat <- transform(dat, y =3D rbinom(x, size =3D w, prob =3D pcauchy(1 + =
> 2*x)))
>
> modFit <- glm(y/w ~ x, quasi(link =3D cauchit, variance =3D "mu(1-mu)"),
> dat, weights =3D w, trace =3D T)
>
> Deviance =3D 309.2785 Iterations - 1=20
> Deviance =3D 3257.501 Iterations - 2=20
> Deviance =3D 1043.455 Iterations - 3=20
> ..
> Deviance =3D 1733.824 Iterations - 24=20
> Deviance =3D 1665.487 Iterations - 25=20
> Warning message:
> algorithm did not converge in: glm.fit(x =3D X, ...
> #################################################
>
> A comprehensive fix would involve tying the initialize expression to
> both the link and the variance function, but that would involve changing
> make.link(), which is probably not a good idea for other reasons (though
> ultimately that might be the way to go). There are at least three
> possible work-arounds:
>
> 1) use quasibinomial for this kind of model (but that's not possible
> here and an unnecessary complication if you are transferring S-PLUS
> code, which is how I found the problem) but quasibinomial could be
> extended to take this link as well, of course.
>
> 2) warn people in the help information that with quasi() they should
> always give the algorithm a bit more help and supply an appropriate
> mustart. This works fine (even if the coefficient estimates are a bit
> ropey!):
>
> #################################################
> modFit <- glm(y/w ~ x, quasi(link =3D cauchit, variance =3D "mu(1-mu)"),
> dat, weights =3D w, trace =3D T, mustart =3D pmax(0.001, pmin(0.999, =
> y/w)))
>
> Deviance =3D 218.9552 Iterations - 1=20
> Deviance =3D 123.2773 Iterations - 2=20
> Deviance =3D 86.13804 Iterations - 3=20
> Deviance =3D 74.23746 Iterations - 4=20
> Deviance =3D 72.03787 Iterations - 5=20
> Deviance =3D 71.89566 Iterations - 6=20
> Deviance =3D 71.89395 Iterations - 7=20
> Deviance =3D 71.89395 Iterations - 8=20
> Deviance =3D 71.89395 Iterations - 9=20
>> =20
> #################################################
>
> 3) change quasi() slightly to cover this case, at least, in a better
> way.
>
> I have included a minimally modified version of quasi that I think
> achieves this and the demo shown above.=20
>
> With the changed version the performance, in this case, is identical to
> what you get above when mustart is supplied. The changes cannot affect
> performance with any other variance functions and with this variance
> function should only make things better, but it just _might_ make things
> work worse in extreme and unusual cases. I have not found one, though.
>
> Bill Venables.=20
>
>
>
> --please do not edit the information below--
>
> Version:
> platform =3D i386-pc-mingw32
> arch =3D i386
> os =3D mingw32
> system =3D i386, mingw32
> status =3D=20
> major =3D 2
> minor =3D 2.1
> year =3D 2005
> month =3D 12
> day =3D 20
> svn rev =3D 36812
> language =3D R
>
> Windows XP Professional (build 2600) Service Pack 2.0
>
> Locale:
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> Search Path:
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> package:lattice, package:splines, package:methods, package:stats,
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> package:mvbutils, mvb.session.info, package:tools, package:utils,
> package:RBigData, package:RUtilities, package:RBigLibrary,
> package:g.data, Autoloads, package:base
>
> Bill Venables,=20
> CMIS, CSIRO Laboratories,=20
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-- 
Brian D. Ripley,                  ripley@stats.ox.ac.uk
Professor of Applied Statistics,  http://www.stats.ox.ac.uk/~ripley/
University of Oxford,             Tel:  +44 1865 272861 (self)
1 South Parks Road,                     +44 1865 272866 (PA)
Oxford OX1 3TG, UK                Fax:  +44 1865 272595

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