mgcv (version 1.8-31)

smooth.construct.re.smooth.spec: Simple random effects in GAMs

Description

gam can deal with simple independent random effects, by exploiting the link between smooths and random effects to treat random effects as smooths. s(x,bs="re") implements this. Such terms can can have any number of predictors, which can be any mixture of numeric or factor variables. The terms produce a parametric interaction of the predictors, and penalize the corresponding coefficients with a multiple of the identity matrix, corresponding to an assumption of i.i.d. normality. See details.

Usage

# S3 method for re.smooth.spec
smooth.construct(object, data, knots)
# S3 method for random.effect
Predict.matrix(object, data)

Arguments

object

For the smooth.construct method a smooth specification object, usually generated by a term s(x,...,bs="re",). For the predict.Matrix method an object of class "random.effect" produced by the smooth.construct method.

data

a list containing just the data (including any by variable) required by this term, with names corresponding to object$term (and object$by). The by variable is the last element.

knots

generically a list containing any knots supplied for basis setup --- unused at present.

Value

An object of class "random.effect" or a matrix mapping the coefficients of the random effect to the random effects themselves.

Details

Exactly how the random effects are implemented is best seen by example. Consider the model term s(x,z,bs="re"). This will result in the model matrix component corresponding to ~x:z-1 being added to the model matrix for the whole model. The coefficients associated with the model matrix component are assumed i.i.d. normal, with unknown variance (to be estimated). This assumption is equivalent to an identity penalty matrix (i.e. a ridge penalty) on the coefficients. Because such a penalty is full rank, random effects terms do not require centering constraints.

If the nature of the random effect specification is not clear, consider a couple more examples: s(x,bs="re") results in model.matrix(~x-1) being appended to the overall model matrix, while s(x,v,w,bs="re") would result in model.matrix(~x:v:w-1) being appended to the model matrix. In both cases the corresponding model coefficients are assumed i.i.d. normal, and are hence subject to ridge penalties.

If the random effect precision matrix is of the form \(\sum_j \lambda_j S_j\) for known matrices \(S_j\) and unknown parameters \(\lambda_j\), then a list containing the \(S_j\) can be supplied in the xt argument of s. In this case an array rank should also be supplied in xt giving the ranks of the \(S_j\) matrices. See simple example below.

Note that smooth ids are not supported for random effect terms. Unlike most smooth terms, side conditions are never applied to random effect terms in the event of nesting (since they are identifiable without side conditions).

Random effects implemented in this way do not exploit the sparse structure of many random effects, and may therefore be relatively inefficient for models with large numbers of random effects, when gamm4 or gamm may be better alternatives. Note also that gam will not support models with more coefficients than data.

The situation in which factor variable random effects intentionally have unobserved levels requires special handling. You should set drop.unused.levels=FALSE in the model fitting function, gam, bam or gamm, having first ensured that any fixed effect factors do not contain unobserved levels.

The implementation is designed so that supplying random effect factor levels to predict.gam that were not levels of the factor when fitting, will result in the corresponding random effect (or interactions involving it) being set to zero (with zero standard error) for prediction. See random.effects for an example. This is achieved by the Predict.matrix method zeroing any rows of the prediction matrix involving factors that are NA. predict.gam will set any factor observation to NA if it is a level not present in the fit data.

References

Wood, S.N. (2008) Fast stable direct fitting and smoothness selection for generalized additive models. Journal of the Royal Statistical Society (B) 70(3):495-518

See Also

gam.vcomp, gamm

Examples

# NOT RUN {
## see ?gam.vcomp

require(mgcv)
## simulate simple random effect example
set.seed(4)
nb <- 50; n <- 400
b <- rnorm(nb)*2 ## random effect
r <- sample(1:nb,n,replace=TRUE) ## r.e. levels
y <- 2 + b[r] + rnorm(n)
r <- factor(r)
## fit model....
b <- gam(y ~ s(r,bs="re"),method="REML")
gam.vcomp(b)

## example with supplied precision matrices...
b <- c(rnorm(nb/2)*2,rnorm(nb/2)*.5) ## random effect now with 2 variances
r <- sample(1:nb,n,replace=TRUE) ## r.e. levels
y <- 2 + b[r] + rnorm(n)
r <- factor(r)
## known precision matrix components...
S <- list(diag(rep(c(1,0),each=nb/2)),diag(rep(c(0,1),each=nb/2)))
b <- gam(y ~ s(r,bs="re",xt=list(S=S,rank=c(nb/2,nb/2))),method="REML")
gam.vcomp(b)
summary(b)
# }