SimonAB / GLM.jl

Generalized linear models in Julia

Linear models (lm's) and generalized linear models (glm's) in Julia

Installation

Pkg.add("GLM")

will install this package.

The GLM package also depends on the DataFrames, Distributions and NumericExtensions packages.

The RDatasets package is useful for fitting models to compare with the results from R.

Methods applied to fitted models

Many of the methods provided by this package have names similar to those in R.

• coef: extract the estimates of the coefficients in the model
• deviance: measure of the model fit, weighted residual sum of squares for lm's
• df_residual: degrees of freedom for residuals, when meaningful
• glm: fit a generalized linear model
• lm: fit a linear model
• stderr: standard errors of the coefficients
• vcov: estimated variance-covariance matrix of the coefficient estimates

An example of a simple linear model in R is

> coef(summary(lm(optden ~ carb, Formaldehyde)))
               Estimate  Std. Error    t value     Pr(>|t|)
(Intercept) 0.005085714 0.007833679  0.6492115 5.515953e-01
carb        0.876285714 0.013534536 64.7444207 3.409192e-07

The corresponding model with the GLM package is

julia> using RDatasets, GLM

julia> form = data("datasets", "Formaldehyde")
6x2 DataFrame
|-------|------|--------|
| Row # | Carb | OptDen |
| 1     | 0.1  | 0.086  |
| 2     | 0.3  | 0.269  |
| 3     | 0.5  | 0.446  |
| 4     | 0.6  | 0.538  |
| 5     | 0.7  | 0.626  |
| 6     | 0.9  | 0.782  |

julia> fm1 = lm(OptDen ~ Carb, form)

Formula: OptDen ~ Carb

Coefficients:

2x4 DataFrame
|-------|------------|------------|----------|------------|
| Row # | Estimate   | Std.Error  | t value  | Pr(>|t|)   |
| 1     | 0.00508571 | 0.00783368 | 0.649211 | 0.551595   |
| 2     | 0.876286   | 0.0135345  | 64.7444  | 3.40919e-7 |

julia> confint(fm1)
2x2 Float64 Array:
 -0.0166641  0.0268355
  0.838708   0.913864 

A more complex example in R is

> coef(summary(lm(sr ~ pop15 + pop75 + dpi + ddpi, LifeCycleSavings)))
                 Estimate   Std. Error    t value     Pr(>|t|)
(Intercept) 28.5660865407 7.3545161062  3.8841558 0.0003338249
pop15       -0.4611931471 0.1446422248 -3.1885098 0.0026030189
pop75       -1.6914976767 1.0835989307 -1.5609998 0.1255297940
dpi         -0.0003369019 0.0009311072 -0.3618293 0.7191731554
ddpi         0.4096949279 0.1961971276  2.0881801 0.0424711387

with the corresponding Julia code

julia> LifeCycleSavings = data("datasets", "LifeCycleSavings")
50x6 DataFrame
|-------|----------------|-------|-------|-------|---------|-------|
| Row # | Country        | SR    | Pop15 | Pop75 | DPI     | DDPI  |
| 1     | Australia      | 11.43 | 29.35 | 2.87  | 2329.68 | 2.87  |
| 2     | Austria        | 12.07 | 23.32 | 4.41  | 1507.99 | 3.93  |
| 3     | Belgium        | 13.17 | 23.8  | 4.43  | 2108.47 | 3.82  |
| 4     | Bolivia        | 5.75  | 41.89 | 1.67  | 189.13  | 0.22  |
| 5     | Brazil         | 12.88 | 42.19 | 0.83  | 728.47  | 4.56  |
| 6     | Canada         | 8.79  | 31.72 | 2.85  | 2982.88 | 2.43  |
| 7     | Chile          | 0.6   | 39.74 | 1.34  | 662.86  | 2.67  |
| 8     | China          | 11.9  | 44.75 | 0.67  | 289.52  | 6.51  |
⋮
| 42    | Tunisia        | 2.81  | 46.12 | 1.21  | 249.87  | 1.13  |
| 43    | United Kingdom | 7.81  | 23.27 | 4.46  | 1813.93 | 2.01  |
| 44    | United States  | 7.56  | 29.81 | 3.43  | 4001.89 | 2.45  |
| 45    | Venezuela      | 9.22  | 46.4  | 0.9   | 813.39  | 0.53  |
| 46    | Zambia         | 18.56 | 45.25 | 0.56  | 138.33  | 5.14  |
| 47    | Jamaica        | 7.72  | 41.12 | 1.73  | 380.47  | 10.23 |
| 48    | Uruguay        | 9.24  | 28.13 | 2.72  | 766.54  | 1.88  |
| 49    | Libya          | 8.89  | 43.69 | 2.07  | 123.58  | 16.71 |
| 50    | Malaysia       | 4.71  | 47.2  | 0.66  | 242.69  | 5.08  |

julia> fm2 = lm(SR ~ Pop15 + Pop75 + DPI + DDPI, LifeCycleSavings)

Formula: SR ~ :(+(Pop15,Pop75,DPI,DDPI))

Coefficients:

5x4 DataFrame
|-------|--------------|-------------|-----------|-------------|
| Row # | Estimate     | Std.Error   | t value   | Pr(>|t|)    |
| 1     | 28.5661      | 7.35452     | 3.88416   | 0.000333825 |
| 2     | -0.461193    | 0.144642    | -3.18851  | 0.00260302  |
| 3     | -1.6915      | 1.0836      | -1.561    | 0.12553     |
| 4     | -0.000336902 | 0.000931107 | -0.361829 | 0.719173    |
| 5     | 0.409695     | 0.196197    | 2.08818   | 0.0424711   |

The glm function works similarly to the corresponding R function except that the family argument is replaced by a Distribution type and, optionally, a Link type. The first example from ?glm in R is

glm> ## Dobson (1990) Page 93: Randomized Controlled Trial :
glm> counts <- c(18,17,15,20,10,20,25,13,12)

glm> outcome <- gl(3,1,9)

glm> treatment <- gl(3,3)

glm> print(d.AD <- data.frame(treatment, outcome, counts))
  treatment outcome counts
1         1       1     18
2         1       2     17
3         1       3     15
4         2       1     20
5         2       2     10
6         2       3     20
7         3       1     25
8         3       2     13
9         3       3     12

glm> glm.D93 <- glm(counts ~ outcome + treatment, family=poisson())

glm> anova(glm.D93)
Analysis of Deviance Table

Model: poisson, link: log

Response: counts

Terms added sequentially (first to last)


          Df Deviance Resid. Df Resid. Dev
NULL                          8    10.5814
outcome    2   5.4523         6     5.1291
treatment  2   0.0000         4     5.1291

glm> ## No test: 
glm> summary(glm.D93)

Call:
glm(formula = counts ~ outcome + treatment, family = poisson())

Deviance Residuals: 
       1         2         3         4         5         6         7         8  
-0.67125   0.96272  -0.16965  -0.21999  -0.95552   1.04939   0.84715  -0.09167  
       9  
-0.96656  

Coefficients:
              Estimate Std. Error z value Pr(>|z|)    
(Intercept)  3.045e+00  1.709e-01  17.815   <2e-16 ***
outcome2    -4.543e-01  2.022e-01  -2.247   0.0246 *  
outcome3    -2.930e-01  1.927e-01  -1.520   0.1285    
treatment2   3.795e-16  2.000e-01   0.000   1.0000    
treatment3   3.553e-16  2.000e-01   0.000   1.0000    
---
Signif. codes:  0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 

(Dispersion parameter for poisson family taken to be 1)

    Null deviance: 10.5814  on 8  degrees of freedom
Residual deviance:  5.1291  on 4  degrees of freedom
AIC: 56.761

Number of Fisher Scoring iterations: 4

In Julia this becomes

julia> dobson = DataFrame(Counts = [18.,17,15,20,10,20,25,13,12],
                          Outcome = gl(3,1,9),
                          Treatment = gl(3,3))
9x3 DataFrame
|-------|--------|---------|-----------|
| Row # | Counts | Outcome | Treatment |
| 1     | 18.0   | 1       | 1         |
| 2     | 17.0   | 2       | 1         |
| 3     | 15.0   | 3       | 1         |
| 4     | 20.0   | 1       | 2         |
| 5     | 10.0   | 2       | 2         |
| 6     | 20.0   | 3       | 2         |
| 7     | 25.0   | 1       | 3         |
| 8     | 13.0   | 2       | 3         |
| 9     | 12.0   | 3       | 3         |

julia> fm3 = glm(Counts ~ Outcome + Treatment, dobson, Poisson())

Formula: Counts ~ :(+(Outcome,Treatment))

Coefficients:

5x4 DataFrame
|-------|--------------|-----------|-------------|-------------|
| Row # | Estimate     | Std.Error | z value     | Pr(>|z|)    |
| 1     | 3.04452      | 0.170899  | 17.8148     | 5.42677e-71 |
| 2     | -0.454255    | 0.202171  | -2.24689    | 0.0246471   |
| 3     | -0.292987    | 0.192742  | -1.5201     | 0.128487    |
| 4     | 2.62621e-16  | 0.2       | 1.3131e-15  | 1.0         |
| 5     | -5.44239e-18 | 0.2       | -2.7212e-17 | 1.0         |

julia> deviance(fm3)
5.129141077001146

Typical distributions for use with glm and their canonical link functions are Binomial (LogitLink) Gamma (InverseLink) Normal (IdentityLink) Poisson (LogLink)

Currently the available Link types are

CauchitLink
CloglogLink
IdentityLink
InverseLink
LogitLink
LogLink
ProbitLink

Other examples are shown in test/glmFit.jl.

Separation of response object and predictor object

The general approach in this code is to separate functionality related to the response from that related to the linear predictor. This allows for greater generality by mixing and matching different subtypes of the abstract type LinPred and the abstract type ModResp.

A LinPred type incorporates the parameter vector and the model matrix. The parameter vector is a dense numeric vector but the model matrix can be dense or sparse. A LinPred type must incorporate some form of a decomposition of the weighted model matrix that allows for the solution of a system X'W * X * delta=X'wres where W is a diagonal matrix of "X weights", provided as a vector of the square roots of the diagonal elements, and wres is a weighted residual vector.

Currently there are two dense predictor types, DensePredQR and DensePredChol, and the usual caveats apply. The Cholesky version is faster but somewhat less accurate than that QR version. The skeleton of a distributed predictor type is in the code but not yet fully fleshed out. Because Julia by default uses OpenBLAS, which is already multi-threaded on multicore machines, there may not be much advantage in using distributed predictor types.

A ModResp type must provide methods for the wtres and sqrtxwts generics. Their values are the arguments to the updatebeta methods of the LinPred types. The Float64 value returned by updatedelta is the value of the convergence criterion.

Similarly, LinPred types must provide a method for the linpred generic. In general linpred takes an instance of a LinPred type and a step factor. Methods that take only an instance of a LinPred type use a default step factor of 1. The value of linpred is the argument to the updatemu method for ModResp types. The updatemu method returns the updated deviance.

Fitting linear mixed-effects models

The lmm function is similar to the function of the same name in the lme4 package for R. The first two arguments for in the R version are formula and data. The principle method for the Julia version takes these arguments.

A model fit to the Dyestuff data from the lme4 package

The simplest example of a mixed-effects model that we use in the lme4 package for R is a model fit to the Dyestuff data.

> str(Dyestuff)
'data.frame':   30 obs. of  2 variables:
 $ Batch: Factor w/ 6 levels "A","B","C","D",..: 1 1 1 1 1 2 2 2 2 2 ...
 $ Yield: num  1545 1440 1440 1520 1580 ...
> (fm1 <- lmer(Yield ~ 1|Batch, Dyestuff, REML=FALSE))
Linear mixed model fit by maximum likelihood ['lmerMod']
Formula: Yield ~ 1 | Batch 
   Data: Dyestuff 

      AIC       BIC    logLik  deviance 
 333.3271  337.5307 -163.6635  327.3271 

Random effects:
 Groups   Name        Variance Std.Dev.
 Batch    (Intercept) 1388     37.26   
 Residual             2451     49.51   
Number of obs: 30, groups: Batch, 6

Fixed effects:
            Estimate Std. Error t value
(Intercept)  1527.50      17.69   86.33

These Dyestuff data are available in the RDatasets package for julia

julia> using MixedModels, RDatasets

julia> ds = data("lme4","Dyestuff");

julia> dump(ds)
DataFrame  30 observations of 2 variables
  Batch: PooledDataArray{ASCIIString,Uint8,1}(30) ["A", "A", "A", "A"]
  Yield: DataArray{Float64,1}(30) [1545.0, 1440.0, 1440.0, 1520.0]

The main difference from R in a simple call to lmm is the need to pass the formula as an expression, which means enclosing it in :(). Also, lmm defaults to maximum likelihood estimates.

julia> fm1 = lmm(:(Yield ~ 1|Batch), ds)
Linear mixed model fit by maximum likelihood
 logLik: -163.6635299406109, deviance: 327.3270598812218

  Variance components:
    Std. deviation scale:[37.26047449632836,49.51007020929394]
    Variance scale:[1388.342959691536,2451.2470521292157]
  Number of obs: 30; levels of grouping factors:[6]

  Fixed-effects parameters:
        Estimate Std.Error z value
[1,]      1527.5   17.6946 86.3258

(At present the formatting of the output is less than wonderful.)

Optionally the model can fit through an explicit call to the fit function, which may take a second argument indicating a verbose fit.

julia> m = fit(lmm(Formula(:(Yield ~ 1|Batch)), ds; dofit=false),true);
f_1: 327.7670216246145, [1.0]
f_2: 331.0361932224437, [1.75]
f_3: 330.6458314144857, [0.25]
f_4: 327.69511270610866, [0.97619]
f_5: 327.56630914532184, [0.928569]
f_6: 327.3825965130752, [0.833327]
f_7: 327.3531545408492, [0.807188]
f_8: 327.34662982410276, [0.799688]
f_9: 327.34100192001785, [0.792188]
f_10: 327.33252535370985, [0.777188]
f_11: 327.32733056112147, [0.747188]
f_12: 327.3286190977697, [0.739688]
f_13: 327.32706023603697, [0.752777]
f_14: 327.3270681545395, [0.753527]
f_15: 327.3270598812218, [0.752584]
FTOL_REACHED

The numeric representation of the model has type

julia> typeof(m)
LMMGeneral{Int32}

Those familiar with the lme4 package for R will see the usual suspects.

julia> fixef(m)
1-element Float64 Array:
 1527.5

julia> ranef(m)
1-element Array{Float64,2} Array:
 1x6 Float64 Array:
 -16.6283  0.369517  26.9747  -21.8015  53.5799  -42.4944

julia> ranef(m,true)  # on the U scale
1-element Array{Float64,2} Array:
 1x6 Float64 Array:
 -22.0949  0.490998  35.8428  -28.9689  71.1947  -56.4647

julia> deviance(m)
327.3270598812218

A more substantial example

Fitting a model to the Dyestuff data is trivial. The InstEval data in the lme4 package is more of a challenge in that there are nearly 75,000 evaluations by 2972 students on a total of 1128 instructors.

julia> inst = data("lme4","InstEval");

julia> dump(inst)
DataFrame  73421 observations of 7 variables
  s: PooledDataArray{ASCIIString,Uint16,1}(73421) ["1", "1", "1", "1"]
  d: PooledDataArray{ASCIIString,Uint16,1}(73421) ["1002", "1050", "1582", "2050"]
  studage: PooledDataArray{ASCIIString,Uint8,1}(73421) ["2", "2", "2", "2"]
  lectage: PooledDataArray{ASCIIString,Uint8,1}(73421) ["2", "1", "2", "2"]
  service: PooledDataArray{ASCIIString,Uint8,1}(73421) ["0", "1", "0", "1"]
  dept: PooledDataArray{ASCIIString,Uint8,1}(73421) ["2", "6", "2", "3"]
  y: DataArray{Int32,1}(73421) [5, 2, 5, 3]

julia> @time fm2 = lmm(:(y ~ dept*service + (1|s) + (1|d)), inst)
elapsed time: 8.862889736 seconds (434911572 bytes allocated)
Linear mixed model fit by maximum likelihood
 logLik: -118792.777, deviance: 237585.553

  Variance components:
    Std. deviation scale:{0.32467999999999997,0.50835,1.1767}
    Variance scale:{0.10541999999999999,0.25842,1.3847}
  Number of obs: 73421; levels of grouping factors:[2972,1128]

  Fixed-effects parameters:
           Estimate Std.Error   z value
[1,]        3.22961  0.064053   50.4209
[2,]       0.129536  0.101294   1.27882
[3,]      -0.176751 0.0881352  -2.00545
[4,]      0.0517102 0.0817524  0.632522
[5,]      0.0347319  0.085621  0.405647
[6,]        0.14594 0.0997984   1.46235
[7,]       0.151689 0.0816897   1.85689
[8,]       0.104206  0.118751  0.877517
[9,]      0.0440401 0.0962985  0.457329
[10,]     0.0517546 0.0986029  0.524879
[11,]     0.0466719  0.101942  0.457828
[12,]     0.0563461 0.0977925   0.57618
[13,]     0.0596536  0.100233   0.59515
[14,]    0.00556281  0.110867 0.0501757
[15,]      0.252025 0.0686507   3.67112
[16,]     -0.180757  0.123179  -1.46744
[17,]     0.0186492  0.110017  0.169512
[18,]     -0.282269 0.0792937  -3.55979
[19,]     -0.494464 0.0790278  -6.25683
[20,]     -0.392054  0.110313  -3.55403
[21,]     -0.278547 0.0823727  -3.38154
[22,]     -0.189526  0.111449  -1.70056
[23,]     -0.499868 0.0885423  -5.64553
[24,]     -0.497162 0.0917162  -5.42065
[25,]      -0.24042 0.0982071   -2.4481
[26,]     -0.223013 0.0890548  -2.50422
[27,]     -0.516997 0.0809077  -6.38997
[28,]     -0.384773  0.091843  -4.18946

Models with vector-valued random effects can be fit

julia> sleep = data("lme4","sleepstudy");

julia> dump(sleep)
DataFrame  180 observations of 3 variables
  Reaction: DataArray{Float64,1}(180) [249.56, 258.705, 250.801, 321.44]
  Days: DataArray{Float64,1}(180) [0.0, 1.0, 2.0, 3.0]
  Subject: PooledDataArray{ASCIIString,Uint8,1}(180) ["308", "308", "308", "308"]

julia> fm3 = lmm(:(Reaction ~ Days + (Days|Subject)), sleep))
Linear mixed model fit by maximum likelihood
 logLik: -875.97, deviance: 1751.939

  Variance components:
    Std. deviation scale:{23.784,5.697900000000001,25.592000000000002}
    Variance scale:{565.69,32.466,654.95}
    Correlations:
{
2x2 Float64 Array:
 1.0        0.0813211
 0.0813211  1.0      }
  Number of obs: 180; levels of grouping factors:[18]

  Fixed-effects parameters:
        Estimate Std.Error z value
[1,]     251.405   6.63212 37.9072
[2,]     10.4673   1.50223 6.96783

ToDo

Well, obviously I need to incorporate names for the fixed-effects coefficients and create a coefficient table.

Special cases can be tuned up. Much more calculation is being done in the fit for models with a single grouping factor, models with scalar random-effects terms only, models with strictly nested grouping factors and models with crossed or nearly crossed grouping factors.

Also, the results of at least X'X and X'y should be cached for cases where weights aren't changing.

Incorporating offsets and weights will be important for GLMMs.

Lots of work to be done.