mclust (version 6.1)

classPriorProbs: Estimation of class prior probabilities by EM algorithm

Description

A simple procedure to improve the estimation of class prior probabilities when the training data does not reflect the true a priori probabilities of the target classes. The EM algorithm used is described in Saerens et al (2002).

Usage

classPriorProbs(object, newdata = object$data, 
                itmax = 1e3, eps = sqrt(.Machine$double.eps))

Value

A vector of class prior estimates which can then be used in the predict.MclustDA to improve predictions.

Arguments

object

an object of class 'MclustDA' resulting from a call to MclustDA.

newdata

a data frame or matrix giving the data. If missing the train data obtained from the call to MclustDA are used.

itmax

an integer value specifying the maximal number of EM iterations.

eps

a scalar specifying the tolerance associated with deciding when to terminate the EM iterations.

Details

The estimation procedure employes an EM algorithm as described in Saerens et al (2002).

References

Saerens, M., Latinne, P. and Decaestecker, C. (2002) Adjusting the outputs of a classifier to new a priori probabilities: a simple procedure, Neural computation, 14 (1), 21--41.

See Also

MclustDA, predict.MclustDA

Examples

# \donttest{
# generate data from a mixture f(x) = 0.9 * N(0,1) + 0.1 * N(3,1)
n <- 10000
mixpro <- c(0.9, 0.1)
class <- factor(sample(0:1, size = n, prob = mixpro, replace = TRUE))
x <- ifelse(class == 1, rnorm(n, mean = 3, sd = 1), 
                        rnorm(n, mean = 0, sd = 1))

hist(x[class==0], breaks = 11, xlim = range(x), main = "", xlab = "x", 
     col = adjustcolor("dodgerblue2", alpha.f = 0.5), border = "white")
hist(x[class==1], breaks = 11, add = TRUE,
     col = adjustcolor("red3", alpha.f = 0.5), border = "white")
box()

# generate training data from a balanced case-control sample, i.e.
# f(x) = 0.5 * N(0,1) + 0.5 * N(3,1)
n_train <- 1000
class_train <- factor(sample(0:1, size = n_train, prob = c(0.5, 0.5), replace = TRUE))
x_train <- ifelse(class_train == 1, rnorm(n_train, mean = 3, sd = 1), 
                                    rnorm(n_train, mean = 0, sd = 1))

hist(x_train[class_train==0], breaks = 11, xlim = range(x_train), 
     main = "", xlab = "x", 
     col = adjustcolor("dodgerblue2", alpha.f = 0.5), border = "white")
hist(x_train[class_train==1], breaks = 11, add = TRUE,
     col = adjustcolor("red3", alpha.f = 0.5), border = "white")
box()

# fit a MclustDA model
mod <- MclustDA(x_train, class_train)
summary(mod, parameters = TRUE)

# test set performance
pred <- predict(mod, newdata = x)
classError(pred$classification, class)$error
BrierScore(pred$z, class)

# compute performance over a grid of prior probs
priorProp <- seq(0.01, 0.99, by = 0.01)
CE <- BS <- rep(as.double(NA), length(priorProp))
for(i in seq(priorProp))
{
  pred <- predict(mod, newdata = x, prop = c(1-priorProp[i], priorProp[i]))
  CE[i] <- classError(pred$classification, class = class)$error
  BS[i] <- BrierScore(pred$z, class)
}

# estimate the optimal class prior probs
(priorProbs <- classPriorProbs(mod, x))
pred <- predict(mod, newdata = x, prop = priorProbs)
# compute performance at the estimated class prior probs
classError(pred$classification, class = class)$error
BrierScore(pred$z, class)

matplot(priorProp, cbind(CE,BS), type = "l", lty = 1, lwd = 2,
        xlab = "Class prior probability", ylab = "", ylim = c(0,max(CE,BS)), 
        panel.first = 
          { abline(h = seq(0,1,by=0.05), col = "grey", lty = 3)
            abline(v = seq(0,1,by=0.05), col = "grey", lty = 3) 
          })
abline(v = mod$prop[2], lty = 2)              # training prop
abline(v = mean(class==1), lty = 4)           # test prop (usually unknown) 
abline(v = priorProbs[2], lty = 3, lwd = 2)      # estimated prior probs
legend("topleft", legend = c("ClassError", "BrierScore"),
       col = 1:2, lty = 1, lwd = 2, inset = 0.02)

# Summary of results:
priorProp[which.min(CE)] # best prior of class 1 according to classification error
priorProp[which.min(BS)] # best prior of class 1 according to Brier score
priorProbs               # optimal estimated class prior probabilities
# }