anova.chandwich {chandwich} | R Documentation |
Comparison of nested models
Description
anova
method for objects of class "chandwich"
.
Compares two or more nested models using the adjusted likelihood ratio
test statistic (ALRTS) described in Section 3.5 of Chandler and Bate (2007).
The nesting must result from the simple constraint that a subset of the
parameters of the larger model is held fixed.
Usage
## S3 method for class 'chandwich'
anova(object, object2, ...)
Arguments
object |
An object of class |
object2 |
An object of class |
... |
Further objects of class |
Details
For details the adjusted likelihood ratio test see
compare_models
and Chandler and Bate (2007).
The objects of class "chandwich"
need not be provided in nested
order: they will be ordered inside anova.chandwich
based on the
values of attr(., "p_current")
.
Value
An object of class "anova"
inheriting from class
"data.frame"
, with four columns:
Model.Df |
The number of parameters in the model |
Df |
The decrease in the number of parameter compared the model in the previous row |
ALRTS |
The adjusted likelihood ratio test statistic |
Pr(>ALRTS) |
The p-value associated with the test that the model is a valid simplification of the model in the previous row. |
The row names are the names of the model objects.
References
Chandler, R. E. and Bate, S. (2007). Inference for clustered data using the independence loglikelihood. Biometrika, 94(1), 167-183. doi:10.1093/biomet/asm015
See Also
compare_models
for an adjusted likelihood ratio test
of two models.
adjust_loglik
to adjust a user-supplied
loglikelihood function.
conf_intervals
for confidence intervals for
individual parameters.
conf_region
for a confidence region for
pairs of parameters.
Examples
# -------------------------- GEV model, owtemps data -----------------------
# ------------ following Section 5.2 of Chandler and Bate (2007) -----------
gev_loglik <- function(pars, data) {
o_pars <- pars[c(1, 3, 5)] + pars[c(2, 4, 6)]
w_pars <- pars[c(1, 3, 5)] - pars[c(2, 4, 6)]
if (isTRUE(o_pars[2] <= 0 | w_pars[2] <= 0)) return(-Inf)
o_data <- data[, "Oxford"]
w_data <- data[, "Worthing"]
check <- 1 + o_pars[3] * (o_data - o_pars[1]) / o_pars[2]
if (isTRUE(any(check <= 0))) return(-Inf)
check <- 1 + w_pars[3] * (w_data - w_pars[1]) / w_pars[2]
if (isTRUE(any(check <= 0))) return(-Inf)
o_loglik <- log_gev(o_data, o_pars[1], o_pars[2], o_pars[3])
w_loglik <- log_gev(w_data, w_pars[1], w_pars[2], w_pars[3])
return(o_loglik + w_loglik)
}
# Initial estimates (method of moments for the Gumbel case)
sigma <- as.numeric(sqrt(6 * diag(var(owtemps))) / pi)
mu <- as.numeric(colMeans(owtemps) - 0.57722 * sigma)
init <- c(mean(mu), -diff(mu) / 2, mean(sigma), -diff(sigma) / 2, 0, 0)
# Log-likelihood adjustment of the full model
par_names <- c("mu[0]", "mu[1]", "sigma[0]", "sigma[1]", "xi[0]", "xi[1]")
large <- adjust_loglik(gev_loglik, data = owtemps, init = init,
par_names = par_names)
# Log-likelihood adjustment of some smaller models: xi[1] = 0 etc
medium <- adjust_loglik(larger = large, fixed_pars = "xi[1]")
small <- adjust_loglik(larger = medium, fixed_pars = c("sigma[1]", "xi[1]"))
tiny <- adjust_loglik(larger = small,
fixed_pars = c("mu[1]", "sigma[1]", "xi[1]"))
anova(large, medium, small, tiny)