Description

Function to extract the log-likelihood for a fitted gam model (note that the models are usually fitted by penalized likelihood maximization). Used by AIC. See details for more information on AIC computation.

Usage

Arguments

Details

Modification of logLik.glm which corrects the degrees of freedom for use with gam objects.

The function is provided so that AIC functions correctly with gam objects, and uses the appropriate degrees of freedom (accounting for penalization). See e.g. Wood, Pya and Saefken (2016) for a derivation of an appropriate AIC.

There are two possibile AIC's that might be considered for use with GAMs. Marginal AIC is based on the marginal likelihood of the GAM, that is the likelihood based on treating penalized (e.g. spline) coefficients as random and integrating them out. The degrees of freedom is then the number of smoothing/variance parameters + the number of fixed effects. The problem with Marginal AIC is that marginal likelihood underestimates variance components/oversmooths, so that the approach favours simpler models excessively (substituting REML does not work, because REML is not comparable between models with different unpenalized/fixed components). Conditional AIC uses the likelihood of all the model coefficients, evaluated at the penalized MLE. The degrees of freedom to use then is the effective degrees of freedom for the model. However, Greven and Kneib (2010) show that the neglect of smoothing parameter uncertainty can lead to this conditional AIC being excessively likely to select larger models. Wood, Pya and Saefken (2016) propose a simple correction to the effective degrees of freedom to fix this problem. mgcv applies this correction whenever possible: that is when using ML or REML smoothing parameter selection with gam or bam. The correction is not computable when using the Extended Fellner Schall or BFGS optimizer (since the correction requires an estimate of the covariance matrix of the log smoothing parameters).

Value

Standard logLik object: see logLik.

Author(s)

Simon N. Wood simon.wood@r-project.org based directly on logLik.glm

References

Greven, S., and Kneib, T. (2010), On the Behaviour of Marginal and Conditional AIC in Linear Mixed Models, Biometrika, 97, 773-789.

Wood, S.N., N. Pya and B. Saefken (2016), Smoothing parameter and model selection for general smooth models (with discussion). Journal of the American Statistical Association 111, 1548-1575 doi: 10.1080/01621459.2016.1180986

Wood S.N. (2017) Generalized Additive Models: An Introduction with R (2nd edition). Chapman and Hall/CRC Press.

See Also

AIC