Exponential Regression by Asymmetric Maximum Likelihood Estimation
Exponential expectile regression estimated by maximizing an asymmetric likelihood function.
amlexponential(w.aml = 1, parallel = FALSE, imethod = 1, digw = 4, link = "loglink")
w.aml |
Numeric, a vector of positive constants controlling the expectiles. The larger the value the larger the fitted expectile value (the proportion of points below the “w-regression plane”). The default value of unity results in the ordinary maximum likelihood (MLE) solution. |
parallel |
If |
imethod |
Integer, either 1 or 2 or 3. Initialization method. Choose another value if convergence fails. |
digw |
Passed into |
link |
See |
The general methodology behind this VGAM family function
is given in Efron (1992) and full details can be obtained there.
This model is essentially an exponential regression model
(see exponential
) but the usual deviance is
replaced by an
asymmetric squared error loss function; it is multiplied by
w.aml for positive residuals.
The solution is the set of regression coefficients that minimize the
sum of these deviance-type values over the data set, weighted by
the weights
argument (so that it can contain frequencies).
Newton-Raphson estimation is used here.
An object of class "vglmff"
(see vglmff-class
).
The object is used by modelling functions such as vglm
and vgam
.
Note that the link
argument of exponential
and
amlexponential
are currently different: one is the
rate parameter and the other is the mean (expectile) parameter.
If w.aml
has more than one value then the value returned by
deviance
is the sum of all the (weighted) deviances taken over
all the w.aml
values. See Equation (1.6) of Efron (1992).
On fitting, the extra
slot has list components "w.aml"
and "percentile"
. The latter is the percent of observations
below the “w-regression plane”, which is the fitted values. Also,
the individual deviance values corresponding to each element of the
argument w.aml
is stored in the extra
slot.
For amlexponential
objects, methods functions for the generic
functions qtplot
and cdf
have not been written yet.
See amlpoisson
about comments on the jargon, e.g.,
expectiles etc.
In this documentation the word quantile can often be interchangeably replaced by expectile (things are informal here).
Thomas W. Yee
Efron, B. (1992). Poisson overdispersion estimates based on the method of asymmetric maximum likelihood. Journal of the American Statistical Association, 87, 98–107.
nn <- 2000 mydat <- data.frame(x = seq(0, 1, length = nn)) mydat <- transform(mydat, mu = loglink(-0 + 1.5*x + 0.2*x^2, inverse = TRUE)) mydat <- transform(mydat, mu = loglink(0 - sin(8*x), inverse = TRUE)) mydat <- transform(mydat, y = rexp(nn, rate = 1/mu)) (fit <- vgam(y ~ s(x, df=5), amlexponential(w=c(0.001, 0.1, 0.5, 5, 60)), mydat, trace = TRUE)) fit@extra ## Not run: # These plots are against the sqrt scale (to increase clarity) par(mfrow = c(1,2)) # Quantile plot with(mydat, plot(x, sqrt(y), col = "blue", las = 1, main = paste(paste(round(fit@extra$percentile, digits = 1), collapse=", "), "percentile-expectile curves"))) with(mydat, matlines(x, sqrt(fitted(fit)), lwd = 2, col = "blue", lty=1)) # Compare the fitted expectiles with the quantiles with(mydat, plot(x, sqrt(y), col = "blue", las = 1, main = paste(paste(round(fit@extra$percentile, digits = 1), collapse=", "), "percentile curves are orange"))) with(mydat, matlines(x, sqrt(fitted(fit)), lwd = 2, col = "blue", lty=1)) for (ii in fit@extra$percentile) with(mydat, matlines(x, sqrt(qexp(p = ii/100, rate = 1/mu)), col = "orange")) ## End(Not run)
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