dr. matteo tanadini [email protected] herbst ... · assessing normality...
TRANSCRIPT
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Angewandte statistische Regression I
Dr. Matteo [email protected]
Herbst Semester 2019 (ETHZ)
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Outline
1 Goals
2 Introductory example
3 Errors and residuals
4 Assessing the assumptions about the errors
5 Assessing a real case
6 Residual analysis: Why should I do that?
7 Summary
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Section 1
Goals
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Goals
In this lecture you will learn ...
which assumptions are being made when fitting a linear model
how to best test these assumptions
why doing a residual analysis is good practice & what the potentialgains are
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Section 2
Introductory example
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Simple example
Given a linear model:
y = β0 + β1 · x1 + β2 · x2 + . . .+ βp · xp + ε
The inference on the regression coefficients (p-values and CIs) is based onthe following assumptions about the errors.
εiid∼ N (0, σ2)
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Simple example
For simplicity we use a very simple linear model based on simulated data.set.seed(1)
N <- 20
x <- 1:N
errors <- rnorm(n = N, sd = 7)
y <- x * 2 + errors
##
plot(x, y, panel.first = grid(lty = 2, lwd = 0.5))
abline(a = 0, b = 2, col = "red")
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x
y
# abline(lm(y ~ x), col = ’red’)
y = β0 + β1 · x + ε
β0 = 0
β1 = 2
εiid∼ N (0, 72)
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Assumptions
1 The errors follow a normal distribution
2 The errors expected value is zero
3 The errors are homoscedastic (constant variance)
4 The errors are independent
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Assumptions: Normality
εiid∼ N (0, σ2)
Draw the symmetric ”bell” shapes
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y
Draw the case of asymmetric errors
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Assumptions: Expected error on zero
εiid∼ N (0, σ2)
Draw the errors
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y
Same for a non-linear relationship
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Assumptions: Homoscedasticity
εiid∼ N (0, σ2)
Draw the errors
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y
Draw heteroscedastic errors
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x
y
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Assumptions: Independence
εiid∼ N (0, σ2)
Observations must be independent!
If data is somehow grouped (e.g. repeated measures), acorresponding predictor must be included in the model.
Observations can also happen to be correlated in time and space.Extensions of the linear model exist to deal with these cases.
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Influential observations
abline(a = 0, b = 2, col = "red")
abline(lm(y ~ x), col = "green", lty = "dashed")
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x
y
True regression lineEstimated regression line
Large error
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xy
Estimated regression lineRegression line WITH new
observation
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Influential observations
Extreme x-value
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y
Estimated regression lineRegression line WITH new
observation
Large error AND extreme x-value!!!
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xy
Estimated regression lineRegression line WITH new
observation
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Influential observations
There is no formal assumption about influential observations.
However, linear models are sensitive to them and therefore it is goodpractice to check for them.
”Blindly” removing extreme x-values is bad practice.
Observations that are not clear mistakes should NOT be removedfrom the analysis.
Methods that can deal with influential observations exist.
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Section 3
Errors and residuals
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Errors vs residuals
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Errors
x
y
True regression line
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Residuals
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Estimated regression line
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Errors and residuals
Errors = yobs − ytrue
Residuals = yobs − yest
yobs = β0 + β1 · x + ε
ytrue = β0 + β1 · x
β0 = 0 β1 = 2
yest = y = β0 + β1 · x
β0 = −0.25 β1 = 2.15
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Errors and residuals
Errors and residuals are not the same thing.
Most often only residuals are available.
Residuals are an ”approximation” of the errors.
Model checking is based on residuals.
( Errors and residuals differ in some mathematical properties. )
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Section 4
Assessing the assumptions about the errors
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Assessing the assumptions
We look at the ”cats” data set and use males only.
2.0 2.5 3.0 3.5
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1012
1416
1820
Heart weight vs Body weight (Males only)
Bwt
Hw
t
Hwt = β0 + βBwt · Bwt + ε
εiid∼ N (0, σ2)
Estimate Std. Error t value Pr(>|t|)
(Intercept) -1.2 1.00 -1.2 2.4e-01
Bwt 4.3 0.34 12.7 3.6e-22
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Assessing normality
εiid∼ N (0, σ2)
Histogram of the residuals 'Cats LM'
Den
sity
−4 −2 0 2 4
0.00
0.05
0.10
0.15
0.20
0.25
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Assessing normality
Quantile-Quantile plots, QQ-plots for short, make it easier to spotdeviations from normality.
−2 −1 0 1 2
−4
−2
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4
Normal Q−Q Plot
Theoretical Quantiles
Sam
ple
Qua
ntile
s
How much deviation can be ”tolerated”?
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Assessing normality
Let’s simulate normally distributed errors and redo the QQ-plots severaltimes.
−2 −1 0 1 2−
4−
20
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Normal Q−Q Plot
Theoretical Quantiles
Sam
ple
Qua
ntile
s
−2 −1 0 1 2
−2
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Normal Q−Q Plot
Theoretical Quantiles
Sam
ple
Qua
ntile
s
−2 −1 0 1 2
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Normal Q−Q Plot
Theoretical Quantiles
Sam
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Qua
ntile
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−2 −1 0 1 2
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Normal Q−Q Plot
Theoretical Quantiles
Sam
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Qua
ntile
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Normal Q−Q Plot
Theoretical Quantiles
Sam
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Qua
ntile
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−2 −1 0 1 2
−3
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Normal Q−Q Plot
Theoretical Quantiles
Sam
ple
Qua
ntile
s
−2 −1 0 1 2
−2
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Normal Q−Q Plot
Theoretical Quantiles
Sam
ple
Qua
ntile
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−2 −1 0 1 2
−3
−1
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Normal Q−Q Plot
Theoretical Quantiles
Sam
ple
Qua
ntile
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−2 −1 0 1 2−
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Normal Q−Q Plot
Theoretical Quantiles
Sam
ple
Qua
ntile
s
Is the QQ-plot for the observed residuals ”different” from the simulatedones?
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Assessing normality
The {plgraphics} package is helpful to decide on how much ”deviation”can be tolerated.
theoretical quantiles−2 −1 0 1 2
st.s
m.r
es_H
wt
−2
02
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Assessing Error on zero
Are residuals ”on zero”? ⇒ Plot them against the predictor.
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Hearth weight vs Body weight (Males only)
Bwt
Hw
t
−2.5
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5.0
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Bwt
resi
dual
s
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Assessing Error on zero
Example where this assumption is not fulfilled: A non-linear relationship
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Apr May Jun Jul Aug Sep
MeasurementDate_AsDate
Gir
th [c
m]
Girth growth
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th [c
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Assessing Error on zero
Example where this assumption is not fulfilled: A non-linear relationship
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Apr May Jun Jul Aug Sep
MeasurementDate_AsDate
Gir
th [c
m]
Girth growth
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Res
idua
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Assessing Homoscedasticity
Note: back on ”cats” data
Is the variance of the residuals constant?
Plot the absolute residuals against the predictor1
0.0
0.5
1.0
1.5
2.0
2.0 2.5 3.0 3.5
Bwt
sqrt
(abs
(res
.lm.c
ats.
M))
fitted value10 15
|st.s
m.r
es_H
wt|
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Hwt ~ Bwt
1Often the absolute residuals are then also square-root-transformed.4. Vorlesung Angewandte statistische Regression I 29 / 40
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Assessing Independence
All design variables MUST be contained in the model (e.g. person,block, ...)
( Time correlation can be tested with the autocorrelation functions(type ?acf or ?pacf in R) )
( space correlation can be tested with the autocorrelation functions(type ?variog after loading the package {geoR} in R) )
by plotting the residuals against time or over space it can be testedgraphically whether the independence assumption is fulfilled
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Assessing influential observations
See the file ”LM ResidualAnalyis Lab.pdf”
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Section 5
Assessing a real case
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Assessing a real case
See the file ”LM ResidualAnalyis Lab.pdf” for a complete residual analysis(model with several predictors)
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Section 6
Residual analysis: Why should I do that?
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Why should I do that?
”Why should I perform model diagnostics?”
Mainly for two reasons:
To assess whether the model assumptions are fulfilled (i.e. inferencecan be trust)
To get more information out of your data
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Why should I do that?
More information: The ”Bees” example:
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Why should I do that?
”Again these ... fA Aing residuals. Why do we bother?!?”
Observed
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4. Vorlesung Angewandte statistische Regression I 37 / 40
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Section 7
Summary
4. Vorlesung Angewandte statistische Regression I 38 / 40
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Summary
Residual analysis is essential to:
draw valid inference (p-values and Confidence Intervals)
better understand data (insights)
better models ⇒ draw better conclusions
4. Vorlesung Angewandte statistische Regression I 39 / 40
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Summary
4 main plots for residual analysisI Residuals vs fitted plot: model equation, (constant variance, outliers,
influential obs)I Scale-location Plot: constant variance, (outliers, influential obs)I Residuals vs leverage plot: influential obsI Normal QQ-plot: normality
Other diagnostic plotsI Residuals vs predictor plots: non-linearities, missing interactions (i.e.
model equation), constant varianceI Residuals vs time: time correlationI Residuals over space: space correlationI ACF, PACF and Variograms: time and space correlation
4. Vorlesung Angewandte statistische Regression I 40 / 40