1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 165 166 167 168 169 170 171 172 173 174 175 176 177 178 179 180 181 182 183 184 185 186 187 188 189 190 191 192 193 194 195 196 197 198 199 200 201 202 203 204 205 206 207 208 209 210 211 212 213 214 215 216 217 218 219 220 221 222 223 224 225 226 227 228 229 230 231 232 233 234 235 236 237 238 239 240 241 242 243 244 245 246 247 248 249 250 251 252 253 254 255 256 257 258 259 260 261 262 263 264 265 266 267 268 269 270 271 272 273 274 275 276 277 278 279 280 281 282 283 284 285 286 287 288 289 290 291 292 293 294 295 296 297 298 299 300 301 302 303 304 305 306 307 308 309 310 311 312 313 314 315 316 317 318 319 320 321 322 323 324 325 326 327 328 329 330 331 332 333 334 335 336 337 338 339 340 341 342 343 344 345 346 347 348 349 350 351 352 353 354 355 356 357 358 359 360 361 362 363 364 365 366 367 368 369 370 371 372 373 374 375 376 377 378 379 380 381 382 383 384 385 386 387 388 389 390 391 392 393 394 395 396 397 398 399 400 401 402 403 404 405 406 407 408 409 410 411 412 413 414 415 416 417 418 419 420 421 422 423 424 425 426 427 428 429 430 431 432 433 434 435 436 437 438 439 440 441 442 443 444 445 446 447 448 449 450 451 452 453 454 455 456 457 458 459 460 461 462 463 464 465 466 467 468 469 470 471 472 473 474 475 476 477 478 479 480 481 482 483 484 485 486 487 488 489 490 491 492 493 494 495 496 497 498 499 500 501 502 503 504 505 506 507 508 509 510 511 512 513 514 515 516 517 518 519 520 521 522 523 524 525 526 527 528 529 530 531 532 533 534 535 536 537 538 539 540 541 542 543 544 545 546 547 548 549 550 551 552 553 554 555 556 557 558 559 560 561 562 563 564 565 566 567 568 569 570 571 572 573 574 575 576 577 578 579 580 581 582 583 584 585 586 587 588 589 590 591 592 593 594 595 596 597 598 599 600 601 602 603 604 605 606 607 608 609 610 611 612 613 614 615 616 617 618 619 620 621 622 623 624 625 626 627 628 629 630 631 632 633 634 635 636 637 638 639 640 641 642 643 644 645 646 647 648 649 650 651 652 653 654 655 656 657 658 659 660 661 662 663 664 665 666 667 668 669 670 671 672 673 674 675 676 677 678 679 680 681 682 683 684 685 686 687 688 689 690 691 692 693 694 695 696 697 698 699 700 701 702 703 704 705 706 707 708 709 710 711 712 713 714 715 716 717 718 719 720 721 722 723 724 725 726 727 728 729 730 731 732 733 734 735 736 737 738 739 740 741 742 743 744 745 746 747 748 749 750 751 752 753 754 755 756 757 758 759 760 761 762 763 764 765 766 767 768 769 770 771 772 773 774 775 776 777 778 779 780 781 782 783 784 785 786 787 788 789 790 791 792 793 794 795 796 797 798 799 800 801 802 803 804 805 806 807 808 809 810 811 812 813 814 815 816 817 818 819 820 821 822 823 824 825 826 827 828 829 830 831 832 833 834 835 836 837 838 839 840 841 842 843 844 845 846 847 848 849 850 851
|
#' Reference model and more general information
#'
#' @description
#'
#' Function [get_refmodel()] is a generic function whose methods usually call
#' [init_refmodel()] which is the underlying workhorse (and may also be used
#' directly without a call to [get_refmodel()]).
#'
#' Both, [get_refmodel()] and [init_refmodel()], create an object containing
#' information needed for the projection predictive variable selection, namely
#' about the reference model, the submodels, and how the projection should be
#' carried out. For the sake of simplicity, the documentation may refer to the
#' resulting object also as "reference model" or "reference model object", even
#' though it also contains information about the submodels and the projection.
#'
#' A "typical" reference model object is created by [get_refmodel.stanreg()] and
#' [brms::get_refmodel.brmsfit()], either implicitly by a call to a top-level
#' function such as [project()], [varsel()], and [cv_varsel()] or explicitly by
#' a call to [get_refmodel()]. All non-"typical" reference model objects will be
#' called "custom" reference model objects.
#'
#' Some arguments are for \eqn{K}-fold cross-validation (\eqn{K}-fold CV) only;
#' see [cv_varsel()] for the use of \eqn{K}-fold CV in \pkg{projpred}.
#'
#' @name refmodel-init-get
#'
#' @param object For [init_refmodel()], an object that the functions from
#' arguments `extract_model_data` and `ref_predfun` can be applied to, with a
#' `NULL` object being treated specially (see section "Value" below). For
#' [get_refmodel.default()], an object of type `list` that (i) function
#' [family()] can be applied to in order to retrieve the family (if argument
#' `family` is `NULL`) and (ii) has an element called `data` containing the
#' original dataset (see argument `data` of [init_refmodel()]), additionally
#' to the properties required for [init_refmodel()]. For non-default methods
#' of [get_refmodel()], an object of the corresponding class.
#' @param data A `data.frame` containing the data to use for the projection
#' predictive variable selection. Any `contrasts` attributes of the dataset's
#' columns are silently removed. For custom reference models, the columns of
#' `data` do not necessarily have to coincide with those of the dataset used
#' for fitting the reference model, but keep in mind that a row-subset of
#' `data` is used for argument `newdata` of `ref_predfun` during \eqn{K}-fold
#' CV.
#' @param formula The full formula to use for the search procedure. For custom
#' reference models, this does not necessarily coincide with the reference
#' model's formula. For general information on formulas in \R, see
#' [`formula`]. For multilevel formulas, see also package \pkg{lme4} (in
#' particular, functions [lme4::lmer()] and [lme4::glmer()]). For additive
#' formulas, see also packages \pkg{mgcv} (in particular, function
#' [mgcv::gam()]) and \pkg{gamm4} (in particular, function [gamm4::gamm4()])
#' as well as the notes in section "Formula terms" below.
#' @param ref_predfun Prediction function for the linear predictor of the
#' reference model, including offsets (if existing). See also section
#' "Arguments `ref_predfun`, `proj_predfun`, and `div_minimizer`" below. If
#' `object` is `NULL`, `ref_predfun` is ignored and an internal default is
#' used instead.
#' @param proj_predfun Prediction function for the linear predictor of a
#' submodel onto which the reference model is projected. See also section
#' "Arguments `ref_predfun`, `proj_predfun`, and `div_minimizer`" below.
#' @param div_minimizer A function for minimizing the Kullback-Leibler (KL)
#' divergence from the reference model to a submodel (i.e., for performing the
#' projection of the reference model onto a submodel). The output of
#' `div_minimizer` is used, e.g., by `proj_predfun`'s argument `fits`. See
#' also section "Arguments `ref_predfun`, `proj_predfun`, and `div_minimizer`"
#' below.
#' @param extract_model_data A function for fetching some variables (response,
#' observation weights, offsets) from the original dataset (supplied to
#' argument `data`) or from a new dataset. See also section "Argument
#' `extract_model_data`" below.
#' @param family An object of class `family` representing the observation model
#' (i.e., the distributional family for the response) of the *submodels*.
#' (However, the link and the inverse-link function of this `family` are also
#' used for quantities like predictions and fitted values related to the
#' *reference model*.) May be `NULL` for [get_refmodel.default()] in which
#' case the family is retrieved from `object`. For custom reference models,
#' `family` does not have to coincide with the family of the reference model
#' (if the reference model possesses a formal `family` at all). In typical
#' reference models, however, these families do coincide.
#' @param cvfits For \eqn{K}-fold CV only. A `list` containing a sub-`list`
#' called `fits` containing the \eqn{K} model fits from which reference model
#' structures are created. The `cvfits` `list` (i.e., the super-`list`) needs
#' to have attributes `K` and `folds`: `K` has to be a single integer giving
#' the number of folds and `folds` has to be an integer vector giving the fold
#' indices (one fold index per observation). Each element of `cvfits$fits`
#' (i.e., each of the \eqn{K} model fits) needs to be a list. Only one of
#' `cvfits` and `cvfun` needs to be provided (for \eqn{K}-fold CV). Note that
#' `cvfits` takes precedence over `cvfun`, i.e., if both are provided,
#' `cvfits` is used.
#' @param cvfun For \eqn{K}-fold CV only. A function that, given a fold indices
#' vector, fits the reference model separately for each fold and returns the
#' \eqn{K} model fits as a `list`. Each of the \eqn{K} model fits needs to be
#' a `list`. If `object` is `NULL`, `cvfun` may be `NULL` for using an
#' internal default. Only one of `cvfits` and `cvfun` needs to be provided
#' (for \eqn{K}-fold CV). Note that `cvfits` takes precedence over `cvfun`,
#' i.e., if both are provided, `cvfits` is used.
#' @param cvrefbuilder For \eqn{K}-fold CV only. A function that, given a
#' reference model fit for fold \eqn{k \in \{1, ..., K\}}{k = 1, ..., K} (this
#' model fit is the \eqn{k}-th element of the return value of `cvfun` or the
#' \eqn{k}-th element of `cvfits$fits`, extended by elements `omitted`
#' (containing the indices of the left-out observations in that fold) and
#' `projpred_k` (containing the integer \eqn{k})), returns an object of the
#' same type as [init_refmodel()] does. Argument `cvrefbuilder` may be `NULL`
#' for using an internal default: [get_refmodel()] if `object` is not `NULL`
#' and a function calling [init_refmodel()] appropriately (with the assumption
#' `dis = 0`) if `object` is `NULL`.
#' @param dis A vector of posterior draws for the reference model's dispersion
#' parameter or---more precisely---the posterior values for the reference
#' model's parameter-conditional predictive variance (assuming that this
#' variance is the same for all observations). May be `NULL` if the submodels
#' have no dispersion parameter or if the submodels do have a dispersion
#' parameter, but `object` is `NULL` (in which case `0` is used for `dis`).
#' Note that for the [gaussian()] `family`, `dis` is the standard deviation,
#' not the variance.
#' @param ... For [get_refmodel.default()] and [get_refmodel.stanreg()]:
#' arguments passed to [init_refmodel()]. For the [get_refmodel()] generic:
#' arguments passed to the appropriate method. Else: ignored.
#'
#' @details
#'
#' # Formula terms
#'
#' For additive models (still an experimental feature), only [mgcv::s()] and
#' [mgcv::t2()] are currently supported as smooth terms. Furthermore, these need
#' to be called without any arguments apart from the predictor names (symbols).
#' For example, for smoothing the effect of a predictor `x`, only `s(x)` or
#' `t2(x)` are allowed. As another example, for smoothing the joint effect of
#' two predictors `x` and `z`, only `s(x, z)` or `t2(x, z)` are allowed (and
#' analogously for higher-order joint effects, e.g., of three predictors).
#'
#' # Arguments `ref_predfun`, `proj_predfun`, and `div_minimizer`
#'
#' Arguments `ref_predfun`, `proj_predfun`, and `div_minimizer` may be `NULL`
#' for using an internal default (see [projpred-package] for the functions used
#' by the default divergence minimizer). Otherwise, let \eqn{N} denote the
#' number of observations (in case of CV, these may be reduced to each fold),
#' \eqn{S_{\mathrm{ref}}}{S_ref} the number of posterior draws for the reference
#' model's parameters, and \eqn{S_{\mathrm{prj}}}{S_prj} the number of draws for
#' the parameters of a submodel that the reference model has been projected onto
#' (short: the number of projected draws). Then the functions supplied to these
#' arguments need to have the following prototypes:
#' * `ref_predfun`: `ref_predfun(fit, newdata = NULL)` where:
#' + `fit` accepts the reference model fit as given in argument `object`
#' (but possibly re-fitted to a subset of the observations, as done in
#' \eqn{K}-fold CV).
#' + `newdata` accepts either `NULL` (for using the original dataset,
#' typically stored in `fit`) or data for new observations (at least in the
#' form of a `data.frame`).
#' * `proj_predfun`: `proj_predfun(fits, newdata)` where:
#' + `fits` accepts a `list` of length \eqn{S_{\mathrm{prj}}}{S_prj}
#' containing this number of submodel fits. This `list` is the same as that
#' returned by [project()] in its output element `submodl` (which in turn is
#' the same as the return value of `div_minimizer`, except if [project()]
#' was used with an `object` of class `vsel` based on an L1 search as well
#' as with `refit_prj = FALSE`).
#' + `newdata` accepts data for new observations (at least in the form of a
#' `data.frame`).
#' * `div_minimizer` does not need to have a specific prototype, but it needs to
#' be able to be called with the following arguments:
#' + `formula` accepts either a standard [`formula`] with a single response
#' (if \eqn{S_{\mathrm{prj}} = 1}{S_prj = 1}) or a [`formula`] with
#' \eqn{S_{\mathrm{prj}} > 1}{S_prj > 1} response variables [cbind()]-ed on
#' the left-hand side in which case the projection has to be performed for
#' each of the response variables separately.
#' + `data` accepts a `data.frame` to be used for the projection.
#' + `family` accepts an object of class `family`.
#' + `weights` accepts either observation weights (at least in the form of a
#' numeric vector) or `NULL` (for using a vector of ones as weights).
#' + `projpred_var` accepts an \eqn{N \times S_{\mathrm{prj}}}{N x S_prj}
#' matrix of predictive variances (necessary for \pkg{projpred}'s internal
#' GLM fitter).
#' + `projpred_regul` accepts a single numeric value as supplied to argument
#' `regul` of [project()], for example.
#' + `...` accepts further arguments specified by the user.
#'
#' The return value of these functions needs to be:
#' * `ref_predfun`: an \eqn{N \times S_{\mathrm{ref}}}{N x S_ref} matrix.
#' * `proj_predfun`: an \eqn{N \times S_{\mathrm{prj}}}{N x S_prj} matrix.
#' * `div_minimizer`: a `list` of length \eqn{S_{\mathrm{prj}}}{S_prj}
#' containing this number of submodel fits.
#'
#' # Argument `extract_model_data`
#'
#' The function supplied to argument `extract_model_data` needs to have the
#' prototype
#' ```{r, eval = FALSE}
#' extract_model_data(object, newdata, wrhs = NULL, orhs = NULL, extract_y = TRUE)
#' ```
#' where:
#' * `object` accepts the reference model fit as given in argument `object` (but
#' possibly re-fitted to a subset of the observations, as done in \eqn{K}-fold
#' CV).
#' * `newdata` accepts either `NULL` (for using the original dataset, typically
#' stored in `object`) or data for new observations (at least in the form of a
#' `data.frame`).
#' * `wrhs` accepts at least either `NULL` (for using a vector of ones) or a
#' right-hand side formula consisting only of the variable in `newdata`
#' containing the weights.
#' * `orhs` accepts at least either `NULL` (for using a vector of zeros) or a
#' right-hand side formula consisting only of the variable in `newdata`
#' containing the offsets.
#' * `extract_y` accepts a single logical value indicating whether output
#' element `y` (see below) shall be `NULL` (`TRUE`) or not (`FALSE`).
#'
#' The return value of `extract_model_data` needs to be a `list` with elements
#' `y`, `weights`, and `offset`, each being a numeric vector containing the data
#' for the response, the observation weights, and the offsets, respectively. An
#' exception is that `y` may also be `NULL` (depending on argument `extract_y`)
#' or a `factor`.
#'
#' The weights and offsets returned by `extract_model_data` will be assumed to
#' hold for the reference model as well as for the submodels.
#'
#' @return An object that can be passed to all the functions that take the
#' reference model fit as the first argument, such as [varsel()],
#' [cv_varsel()], [project()], [proj_linpred()], and [proj_predict()].
#' Usually, the returned object is of class `refmodel`. However, if `object`
#' is `NULL`, the returned object is of class `datafit` as well as of class
#' `refmodel` (with `datafit` being first). Objects of class `datafit` are
#' handled differently at several places throughout this package.
#'
#' @examples
#' if (requireNamespace("rstanarm", quietly = TRUE)) {
#' # Data:
#' dat_gauss <- data.frame(y = df_gaussian$y, df_gaussian$x)
#'
#' # The "stanreg" fit which will be used as the reference model (with small
#' # values for `chains` and `iter`, but only for technical reasons in this
#' # example; this is not recommended in general):
#' fit <- rstanarm::stan_glm(
#' y ~ X1 + X2 + X3 + X4 + X5, family = gaussian(), data = dat_gauss,
#' QR = TRUE, chains = 2, iter = 500, refresh = 0, seed = 9876
#' )
#'
#' # Define the reference model explicitly:
#' ref <- get_refmodel(fit)
#' print(class(ref)) # gives `"refmodel"`
#' # Now see, for example, `?varsel`, `?cv_varsel`, and `?project` for
#' # possible post-processing functions. Most of the post-processing functions
#' # call get_refmodel() internally at the beginning, so you will rarely need
#' # to call get_refmodel() yourself.
#'
#' # A custom reference model which may be used in a variable selection where
#' # the candidate predictors are not a subset of those used for the reference
#' # model's predictions:
#' ref_cust <- init_refmodel(
#' fit,
#' data = dat_gauss,
#' formula = y ~ X6 + X7,
#' family = gaussian(),
#' extract_model_data = function(object, newdata = NULL, wrhs = NULL,
#' orhs = NULL, extract_y = TRUE) {
#' if (!extract_y) {
#' resp_form <- NULL
#' } else {
#' resp_form <- ~ y
#' }
#'
#' if (is.null(newdata)) {
#' newdata <- dat_gauss
#' }
#'
#' args <- projpred:::nlist(object, newdata, wrhs, orhs, resp_form)
#' return(projpred::do_call(projpred:::.extract_model_data, args))
#' },
#' cvfun = function(folds) {
#' kfold(
#' fit, K = max(folds), save_fits = TRUE, folds = folds, cores = 1
#' )$fits[, "fit"]
#' },
#' dis = as.matrix(fit)[, "sigma"]
#' )
#' # Now, the post-processing functions mentioned above (for example,
#' # varsel(), cv_varsel(), and project()) may be applied to `ref_cust`.
#' }
#'
NULL
#' Predictions or log predictive densities from a reference model
#'
#' This is the [predict()] method for `refmodel` objects (returned by
#' [get_refmodel()] or [init_refmodel()]). It offers three types of output which
#' are all based on the reference model and new (or old) observations: Either
#' the linear predictor on link scale, the linear predictor transformed to
#' response scale, or the log predictive density.
#'
#' @template args-newdata
#' @param object An object of class `refmodel` (returned by [get_refmodel()] or
#' [init_refmodel()]).
#' @param ynew If not `NULL`, then this needs to be a vector of new (or old)
#' response values. See section "Value" below.
#' @param type Only relevant if `is.null(ynew)`. The scale on which the
#' predictions are returned, either `"link"` or `"response"` (see
#' [predict.glm()] but note that [predict.refmodel()] does not adhere to the
#' typical \R convention of a default prediction on link scale). For both
#' scales, the predictions are averaged across the posterior draws.
#' @param ... Currently ignored.
#'
#' @details Argument `weightsnew` is only relevant if `!is.null(ynew)`.
#'
#' @return Either a vector of predictions (with the scale depending on argument
#' `type`) or, if `!is.null(ynew)`, a vector of log predictive densities
#' evaluated at `ynew`.
#'
#' @export
predict.refmodel <- function(object, newdata = NULL, ynew = NULL,
offsetnew = NULL, weightsnew = NULL,
type = "response", ...) {
if (!type %in% c("response", "link")) {
stop("type should be one of ('response', 'link')")
}
if (inherits(object, "datafit")) {
stop("Cannot make predictions for an `object` of class \"datafit\".")
}
if (!is.null(ynew) && (!is.numeric(ynew) || NCOL(ynew) != 1)) {
stop("Argument `ynew` must be a numeric vector.")
}
if (!is.null(newdata)) {
newdata <- na.fail(newdata)
}
w_o <- object$extract_model_data(object$fit, newdata = newdata,
wrhs = weightsnew, orhs = offsetnew)
weightsnew <- w_o$weights
offsetnew <- w_o$offset
if (length(weightsnew) == 0) {
weightsnew <- rep(1, length(w_o$y))
}
if (length(offsetnew) == 0) {
offsetnew <- rep(0, length(w_o$y))
}
if (!is.null(newdata) && inherits(object$fit, "stanreg") &&
length(object$fit$offset) > 0) {
if ("projpred_internal_offs_stanreg" %in% names(newdata)) {
stop("Need to write to column `projpred_internal_offs_stanreg` of ",
"`newdata`, but that column already exists. Please rename this ",
"column in `newdata` and try again.")
}
newdata$projpred_internal_offs_stanreg <- offsetnew
}
## ref_predfun returns eta = link(mu)
eta <- object$ref_predfun(object$fit, newdata = newdata) + offsetnew
if (is.null(ynew)) {
pred <- if (type == "link") eta else object$family$linkinv(eta)
## integrate over the samples
if (NCOL(pred) > 1) {
pred <- rowMeans(pred)
}
return(pred)
} else {
## evaluate the log predictive density at the given ynew values
loglik <- object$family$ll_fun(
object$family$linkinv(eta), object$dis, ynew, weightsnew
)
S <- ncol(loglik)
lpd <- apply(loglik, 1, log_sum_exp) - log(S)
return(lpd)
}
}
fetch_data <- function(data, obs = NULL, newdata = NULL) {
if (is.null(obs)) {
if (is.null(newdata)) {
data_out <- data
} else {
data_out <- newdata
}
} else if (is.null(newdata)) {
data_out <- data[obs, , drop = FALSE]
} else {
data_out <- newdata[obs, , drop = FALSE]
}
return(as.data.frame(data_out))
}
refprd <- function(fit, newdata = NULL) {
# For safety reasons, keep `transform = FALSE` even though this should
# be the default in all posterior_linpred() methods (but we cannot be
# sure with regard to user-defined posterior_linpred() methods):
t(posterior_linpred(fit, transform = FALSE, newdata = newdata))
}
.extract_model_data <- function(object, newdata = NULL, wrhs = NULL,
orhs = NULL, resp_form = NULL) {
if (is.null(newdata)) {
newdata <- object$data
}
if (inherits(wrhs, "formula")) {
weights <- eval_rhs(wrhs, newdata)
} else if (is.null(wrhs)) {
weights <- rep(1, NROW(newdata))
} else {
weights <- wrhs
}
if (inherits(orhs, "formula")) {
offset <- eval_rhs(orhs, newdata)
} else if (is.null(orhs)) {
offset <- rep(0, NROW(newdata))
} else {
offset <- orhs
}
if (inherits(resp_form, "formula")) {
y <- eval_el2(resp_form, newdata)
} else {
y <- NULL
}
return(nlist(y, weights, offset))
}
#' @rdname refmodel-init-get
#' @export
get_refmodel <- function(object, ...) {
UseMethod("get_refmodel")
}
#' @rdname refmodel-init-get
#' @export
get_refmodel.refmodel <- function(object, ...) {
# If the object is already of class "refmodel", then simply return it as is:
object
}
#' @rdname refmodel-init-get
#' @export
get_refmodel.vsel <- function(object, ...) {
# The reference model is stored in the `object` of class "vsel":
object$refmodel
}
#' @rdname refmodel-init-get
#' @export
get_refmodel.default <- function(object, formula, family = NULL, ...) {
if (is.null(family)) {
family <- family(object)
}
extract_model_data <- function(object, newdata = NULL, wrhs = NULL,
orhs = NULL, extract_y = TRUE) {
resp_form <- if (!extract_y) NULL else lhs(formula)
args <- nlist(object, newdata, wrhs, orhs, resp_form)
return(do_call(.extract_model_data, args))
}
refmodel <- init_refmodel(
object = object, formula = formula, family = family,
extract_model_data = extract_model_data, ...
)
return(refmodel)
}
#' @rdname refmodel-init-get
#' @export
get_refmodel.stanreg <- function(object, ...) {
if (!requireNamespace("rstanarm", quietly = TRUE)) {
stop("Please install the 'rstanarm' package.")
}
# Family ------------------------------------------------------------------
family <- family(object)
# Data --------------------------------------------------------------------
data <- object$data
stopifnot(is.data.frame(data))
# Weights (for the observations):
if (family$family == "binomial" && length(object$weights) > 0) {
stop("In case of the binomial family, projpred cannot handle observation ",
"weights (apart from the numbers of trials).")
}
if (length(object$weights) > 0) {
if ("projpred_internal_wobs_stanreg" %in% names(data)) {
stop("Need to write to column `projpred_internal_wobs_stanreg` of ",
"`data`, but that column already exists. Please rename this ",
"column in `data` and try again.")
}
data$projpred_internal_wobs_stanreg <- object$weights
default_wrhs <- ~ projpred_internal_wobs_stanreg
} else {
default_wrhs <- NULL
}
# Offsets:
if (length(object$offset) > 0) {
# Element `stan_function` (needed here for handling rstanarm issue #546) is
# not documented in `?rstanarm::`stanreg-objects``, so check at least its
# length and type:
if (length(object$stan_function) != 1 ||
!is.vector(object$stan_function, mode = "character")) {
stop("Unexpected value of `object$stan_function`. Please notify the ",
"package maintainer.")
}
if (object$stan_function == "stan_gamm4") {
stop("Because of rstanarm issue #546 (see GitHub), projpred cannot ",
"allow offsets for additive models (fit with ",
"rstanarm::stan_gamm4()).")
}
if ("projpred_internal_offs_stanreg" %in% names(data)) {
stop("Need to write to column `projpred_internal_offs_stanreg` of ",
"`data`, but that column already exists. Please rename this ",
"column in `data` and try again.")
}
data$projpred_internal_offs_stanreg <- object$offset
default_orhs <- ~ projpred_internal_offs_stanreg
} else {
default_orhs <- NULL
}
# Formula -----------------------------------------------------------------
if (inherits(object, "gamm4")) {
formula <- formula.gamm4(object)
} else {
formula <- formula(object)
}
stopifnot(inherits(formula, "formula"))
formula <- expand_formula(formula, data)
response_name <- extract_terms_response(formula)$response
if (length(response_name) == 2) {
if (family$family != "binomial") {
stop("For non-binomial families, a two-column response is not allowed.")
}
default_wrhs <- as.formula(paste(
"~", response_name[2], "+", response_name[1]
))
response_name <- response_name[1]
} else if (length(response_name) > 2) {
stop("The response is not allowed to have more than two columns.")
}
resp_form <- as.formula(paste("~", response_name))
formula <- update(formula, as.formula(paste(response_name, "~ .")))
# Functions ---------------------------------------------------------------
extract_model_data <- function(object, newdata = NULL, wrhs = default_wrhs,
orhs = default_orhs, extract_y = TRUE) {
if (!extract_y) {
resp_form <- NULL
}
if (is.null(newdata)) {
newdata <- data
}
args <- nlist(object, newdata, wrhs, orhs, resp_form)
return(do_call(.extract_model_data, args))
}
ref_predfun <- function(fit, newdata = NULL) {
# The easiest way to deal with rstanarm issue #541 and rstanarm issue #542,
# changes between rstanarm versions 2.21.2 and 2.21.3 with respect to these
# issues, and the fact that offsets may be specified via argument `offset`
# of the respective model-fitting function (e.g., rstanarm::stan_glm()) is
# to include offsets explicitly in the call to
# rstanarm:::posterior_linpred.stanreg().
# Observation weights are not needed here, so use `wrhs = NULL` to avoid
# potential conflicts for a non-`NULL` default `wrhs`:
offs <- extract_model_data(fit, newdata = newdata, wrhs = NULL)$offset
n_obs <- nrow(newdata %||% data)
if (length(offs) == 0) {
offs <- rep(0, n_obs)
} else if (length(offs) == 1) {
offs <- rep(offs, n_obs)
} else if (length(offs) != n_obs) {
stop("Unexpected length of element `offset` returned by ",
"extract_model_data() (see `?init_refmodel`).")
}
return(t(posterior_linpred(fit, newdata = newdata, offset = offs)))
}
cvfun <- function(folds) {
# Use `cores = 1` because of rstanarm issue #551. In fact, this issue only
# affects Windows systems, but since `cores = 1` leads to an *inner*
# parallelization (i.e., across chains, not across CV folds) with
# `stan_cores <- getOption("mc.cores", 1)` cores, this should also be
# suitable for other systems:
kfold(
object, K = max(folds), save_fits = TRUE, folds = folds, cores = 1
)$fits[, "fit"]
}
cvrefbuilder <- function(cvfit) {
get_refmodel(cvfit, ...)
}
# Miscellaneous -----------------------------------------------------------
if (.has_dispersion(family)) {
dis <- data.frame(object)[, "sigma"]
} else {
dis <- NULL
}
# Output ------------------------------------------------------------------
return(init_refmodel(
object = object, data = data, formula = formula, family = family,
ref_predfun = ref_predfun, extract_model_data = extract_model_data,
dis = dis, cvfun = cvfun, cvrefbuilder = cvrefbuilder, ...
))
}
#' @rdname refmodel-init-get
#' @export
init_refmodel <- function(object, data, formula, family, ref_predfun = NULL,
div_minimizer = NULL, proj_predfun = NULL,
extract_model_data, cvfun = NULL,
cvfits = NULL, dis = NULL, cvrefbuilder = NULL, ...) {
# Family ------------------------------------------------------------------
if (family$family == "Student_t") {
warning("Support for the `Student_t` family is still experimental.")
} else if (family$family == "Gamma") {
warning("Support for the `Gamma` family is still experimental.")
}
family <- extend_family(family)
family$mu_fun <- function(fits, obs = NULL, newdata = NULL, offset = NULL,
transform = TRUE) {
newdata <- fetch_data(data, obs = obs, newdata = newdata)
if (is.null(offset)) {
offset <- rep(0, nrow(newdata))
} else {
stopifnot(length(offset) %in% c(1L, nrow(newdata)))
}
pred_sub <- proj_predfun(fits, newdata = newdata) + offset
if (transform) {
pred_sub <- family$linkinv(pred_sub)
}
return(pred_sub)
}
# Special case: `datafit` -------------------------------------------------
proper_model <- !is.null(object)
# Formula -----------------------------------------------------------------
stopifnot(inherits(formula, "formula"))
data <- na.fail(data)
stopifnot(is.data.frame(data))
formula <- expand_formula(formula, data)
response_name <- extract_terms_response(formula)$response
if (length(response_name) == 2) {
if (family$family != "binomial") {
stop("For non-binomial families, a two-column response is not allowed.")
}
} else if (length(response_name) > 2) {
stop("The response is not allowed to have more than two columns.")
}
# Remove parentheses from the response:
response_name <- gsub("[()]", "", response_name)
formula <- update(formula, paste(response_name[1], "~ ."))
if (formula_contains_additive_terms(formula) &&
isTRUE(getOption("projpred.warn_additive_experimental", TRUE))) {
warning("Support for additive models is still experimental.")
}
# Data --------------------------------------------------------------------
model_data <- extract_model_data(object, newdata = data)
weights <- model_data$weights
offset <- model_data$offset
y <- model_data$y
# Add (transformed) response under the (possibly) new name:
data[, response_name] <- y
target <- .get_standard_y(y, weights, family)
y <- target$y
weights <- target$weights
if (family$family == "binomial") {
if (!all(.is.wholenumber(y))) {
stop("In projpred, the response must contain numbers of successes (not ",
"proportions of successes), in contrast to glm() where this is ",
"possible for a 1-column response if the multiplication with the ",
"weights gives whole numbers.")
} else if (all(y %in% c(0, 1)) &&
length(response_name) == 1 &&
!all(weights == 1)) {
warning("Assuming that the response contains numbers of successes (not ",
"proportions of successes), in contrast to glm().")
}
}
if (is.null(offset)) {
offset <- rep(0, NROW(y))
}
if (!proper_model && !all(offset == 0)) {
# Disallow offsets for `datafit`s because the submodel fitting does not take
# offsets into account (but `<refmodel>$mu` contains the observed response
# values which inevitably "include" the offsets):
stop("For a `datafit`, offsets are not allowed.")
}
# For avoiding the warning "contrasts dropped from factor <factor_name>" when
# predicting for each projected draw, e.g., for submodels fit with lm()/glm():
has_contr <- sapply(data, function(data_col) {
!is.null(attr(data_col, "contrasts"))
})
for (idx_col in which(has_contr)) {
attr(data[[idx_col]], "contrasts") <- NULL
}
# Functions ---------------------------------------------------------------
if (proper_model) {
if (is.null(ref_predfun)) {
ref_predfun <- refprd
}
# Since posterior_linpred() is supposed to include any offsets but (at least
# currently) projpred expects the final ref_predfun() to exclude any offsets
# (see issue #186), the offsets have to be subtracted here by a wrapper
# function:
ref_predfun_usr <- ref_predfun
ref_predfun <- function(fit, newdata = NULL) {
linpred_out <- ref_predfun_usr(fit = fit, newdata = newdata)
if (!is.matrix(linpred_out)) {
stop("Unexpected structure for `linpred_out`. Does the return value ",
"of `ref_predfun` have the correct structure?")
}
linpred_out <- unname(linpred_out)
# Observation weights are not needed here, so use `wrhs = NULL` to avoid
# potential conflicts for a non-`NULL` default `wrhs`:
offs <- extract_model_data(fit, newdata = newdata, wrhs = NULL)$offset
if (length(offs) > 0) {
stopifnot(length(offs) %in% c(1L, nrow(linpred_out)))
linpred_out <- linpred_out - offs
}
return(linpred_out)
}
} else {
if (!is.null(ref_predfun)) {
warning("Ignoring argument `ref_predfun` because `object` is `NULL`.")
}
ref_predfun <- function(fit, newdata = NULL) {
stopifnot(is.null(fit))
if (is.null(newdata)) {
return(matrix(rep(NA, NROW(y))))
} else {
return(matrix(rep(NA, NROW(newdata))))
}
}
}
if (is.null(div_minimizer)) {
div_minimizer <- divmin
}
if (is.null(proj_predfun)) {
proj_predfun <- subprd
}
fetch_data_wrapper <- function(obs = NULL) {
fetch_data(data, obs = obs)
}
if (is.null(cvfun)) {
if (!proper_model) {
# This is a dummy definition for cvfun(), but it will lead to standard CV
# for `datafit`s; see cv_varsel() and .get_kfold():
cvfun <- function(folds) {
lapply(seq_len(max(folds)), function(k) list())
}
}
}
if (is.null(cvrefbuilder)) {
if (proper_model) {
cvrefbuilder <- get_refmodel
} else {
cvrefbuilder <- function(cvfit) {
init_refmodel(
object = NULL,
data = fetch_data_wrapper(obs = setdiff(seq_along(y), cvfit$omitted)),
formula = formula,
family = family,
div_minimizer = div_minimizer,
proj_predfun = proj_predfun,
extract_model_data = extract_model_data
)
}
}
}
# mu ----------------------------------------------------------------------
if (proper_model) {
eta <- ref_predfun(object)
mu <- family$linkinv(eta)
} else {
if (family$family != "binomial") {
mu <- y
} else {
mu <- y / weights
}
mu <- matrix(mu)
eta <- family$linkfun(mu)
}
# Miscellaneous -----------------------------------------------------------
ndraws <- ncol(mu)
if (is.null(dis)) {
if (!.has_dispersion(family)) {
dis <- rep(NA, ndraws)
} else {
if (proper_model) {
stop("Please supply argument `dis`.")
} else {
dis <- 0
}
}
} else {
stopifnot(length(dis) == ndraws)
}
# Equal sample (draws) weights by default:
wsample <- rep(1 / ndraws, ndraws)
intercept <- as.logical(attr(terms(formula), "intercept"))
if (!intercept) {
stop("Reference models without an intercept are currently not supported.")
}
# Output ------------------------------------------------------------------
refmodel <- nlist(
fit = object, formula, div_minimizer, family, mu, eta, dis, y, intercept,
proj_predfun, fetch_data = fetch_data_wrapper, wobs = weights, wsample,
offset, cvfun, cvfits, extract_model_data, ref_predfun, cvrefbuilder
)
if (proper_model) {
class(refmodel) <- "refmodel"
} else {
class(refmodel) <- c("datafit", "refmodel")
}
return(refmodel)
}
|