To install the stable version of `mcglm`, use `devtools::install_git()`. For more information, visit mcglm/README.

    library(devtools)
    install_git("wbonat/mcglm")

    library(mcglm)
    packageVersion("mcglm")

##### Abstract

The `mcglm` package implements the multivariate covariance generalized linear models (McGLMs) proposed by Bonat and J$\o$rgensen (2016). In this introductory vignette we employed the `mcglm` package for fitting a set of generalized linear models and compare our results with the ones obtained by ordinary `R` functions like `lm` and `glm`.

## Example 1 - Count data

Consider the count data obtained in Dobson (1990).

    ## Dobson (1990) Page 93: Randomized Controlled Trial :
    counts <- c(18,17,15,20,10,20,25,13,12)
    outcome <- gl(3,1,9)
    treatment <- gl(3,3)
    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

Ordinary analysis using quasi-Poisson model.

    fit.glm <- glm(counts ~ outcome + treatment, family = quasipoisson)

The orthodox quasi-Poisson model is obtained by specifying the variance function as `tweedie` and fix the power parameter at \(1\). Since, we are dealing with independent data, the matrix linear predictor is composed of a diagonal matrix.

    require(mcglm)
    require(Matrix)
    # Matrix linear predictor
    Z0 <- mc_id(d.AD)
    fit.qglm <- mcglm(linear_pred = c(counts ~ outcome + treatment),
                      matrix_pred = list("resp1" = Z0),
                      link = "log", variance = "tweedie", data = d.AD,
                      control_algorithm = list(verbose = FALSE,
                                               method = "chaser",
                                               tuning = 0.8))

    ## Automatic initial values selected.

Comparing regression parameter estimates and standard errors.

    cbind("GLM" = coef(fit.glm),
          "McGLM" = coef(fit.qglm, type = "beta")$Estimates)

    ##                       GLM         McGLM
    ## (Intercept)  3.044522e+00  3.044522e+00
    ## outcome2    -4.542553e-01 -4.542553e-01
    ## outcome3    -2.929871e-01 -2.929871e-01
    ## treatment2   1.337909e-15 -1.981259e-16
    ## treatment3   1.421085e-15 -6.040927e-17

    cbind("GLM" = sqrt(diag(vcov(fit.glm))),
          "McGLM" = coef(fit.qglm, type = "beta", std.error = TRUE)$Std.error)

    ##                   GLM     McGLM
    ## (Intercept) 0.1943517 0.1943517
    ## outcome2    0.2299154 0.2299154
    ## outcome3    0.2191931 0.2191931
    ## treatment2  0.2274467 0.2274467
    ## treatment3  0.2274467 0.2274467

## Example 2 - Continuous data with offset

Consider the example from Venables & Ripley (2002, p.189). The response variable is continuous for which we can assume the Gaussian distribution. In this example, we exemplify the use of the `offset` argument.

    # Loading the data set
    utils::data(anorexia, package = "MASS")

    # GLM fit
    anorex.1 <- glm(Postwt ~ Prewt + Treat + offset(Prewt),
                   family = gaussian, data = anorexia)

    # McGLM fit
    Z0 <- mc_id(anorexia)
    fit.anorexia <- mcglm(linear_pred = c(Postwt ~ Prewt + Treat),
                          matrix_pred = list(Z0),
                          offset = list(anorexia$Prewt),
                          power_fixed = TRUE, data = anorexia,
                          control_algorithm = list("correct" = TRUE))

    ## Automatic initial values selected.

Comparing parameter estimates and standard errors.

    # Estimates
    cbind("McGLM" = round(coef(fit.anorexia, type = "beta")$Estimates,5),
          "GLM" = round(coef(anorex.1),5))

    ##                McGLM      GLM
    ## (Intercept) 49.77111 49.77111
    ## Prewt       -0.56554 -0.56554
    ## TreatCont   -4.09707 -4.09707
    ## TreatFT      4.56306  4.56306

    # Standard errors
    cbind("McGLM" = sqrt(diag(vcov(fit.anorexia))),
          "GLM" = c(sqrt(diag(vcov(anorex.1))),NA))

    ##                  McGLM        GLM
    ## (Intercept) 13.3909581 13.3909581
    ## Prewt        0.1611824  0.1611824
    ## TreatCont    1.8934926  1.8934926
    ## TreatFT      2.1333359  2.1333359
    ##              6.1832255         NA

## Example 3 - Continuous positive data

Consider the following data set from McCullagh & Nelder (1989, pp.300-2). It is an example of Gamma regression model.

    clotting <- data.frame(
      u = c(5,10,15,20,30,40,60,80,100),
      lot1 = c(118,58,42,35,27,25,21,19,18),
      lot2 = c(69,35,26,21,18,16,13,12,12))

Analysis using generalized linear models `glm` function in `R`.

    fit.lot1 <- glm(lot1 ~ log(u), data = clotting,
                    family = Gamma(link = "inverse"))
    fit.lot2 <- glm(lot2 ~ log(u), data = clotting,
                    family = Gamma(link = "inverse"))

The code below exemplify how to use the `control_initial` argument for fixing the power parameter at \(p = 2\).

    list_initial = list()
    list_initial$regression <- list(coef(fit.lot1))
    list_initial$power <- list(c(2))
    list_initial$tau <- list(summary(fit.lot1)$dispersion)
    list_initial$rho = 0

The `control_initial` argument should be a named list with initial values for all parameters involved in the model. Note that, in this example we used the parameter estimates from the `glm` fit as initial values for the regression and dispersion parameters. The power parameter was fixed at \(p = 2\), since we want to fit Gamma regression models. In that case, we have only one response variable, but the initial value for correlation parameter \(\rho\) should be specified.

    Z0 <- mc_id(clotting)
    fit.lot1.mcglm <- mcglm(linear_pred = c(lot1 ~ log(u)),
                            matrix_pred = list(Z0),
                            link = "inverse", variance = "tweedie",
                            data = clotting,
                            control_initial = list_initial)

Comparing parameter estimates and standard errors.

    # Estimates
    cbind("mcglm" = round(coef(fit.lot1.mcglm, type = "beta")$Estimates,5),
          "glm" = round(coef(fit.lot1),5))

    ##                mcglm      glm
    ## (Intercept) -0.01655 -0.01655
    ## log(u)       0.01534  0.01534

    # Standard errors
    cbind("mcglm" = sqrt(diag(vcov(fit.lot1.mcglm))),
          "glm" = c(sqrt(diag(vcov(fit.lot1))),NA))

    ##                    mcglm          glm
    ## (Intercept) 0.0009275501 0.0009275466
    ## log(u)      0.0004149601 0.0004149596
    ##             0.0005340030           NA

Initial values for the response variable `lot2`

    list_initial$regression <- list("resp1" = coef(fit.lot2))
    list_initial$tau <- list("resp1" = c(var(1/clotting$lot2)))

Note that, since the `list_initial` object already have all components required, we just modify the `entries` regression and tau.

    fit.lot2.mcglm <- mcglm(linear_pred = c(lot2 ~ log(u)),
                            matrix_pred = list(Z0),
                            link = "inverse", variance = "tweedie",
                            data = clotting,
                            control_initial = list_initial)

Comparing parameter estimates and standard errors.

    # Estimates
    cbind("mcglm" = round(coef(fit.lot2.mcglm, type = "beta")$Estimates,5),
          "glm" = round(coef(fit.lot2),5))

    ##                mcglm      glm
    ## (Intercept) -0.02391 -0.02391
    ## log(u)       0.02360  0.02360

    # Standard errors
    cbind("mcglm" = sqrt(diag(vcov(fit.lot2.mcglm))),
          "glm" = c(sqrt(diag(vcov(fit.lot2))),NA))

    ##                    mcglm          glm
    ## (Intercept) 0.0013215825 0.0013264571
    ## log(u)      0.0005746644 0.0005767841
    ##             0.0002649003           NA

The main contribution of the `mcglm`package is that it easily fits multivariate regression models. For example, for the `clotting` data a bivariate Gamma model is a suitable choice.

    # Initial values
    list_initial = list()
    list_initial$regression <- list(coef(fit.lot1), coef(fit.lot2))
    list_initial$power <- list(c(2),c(2))
    list_initial$tau <- list(c(0.00149), c(0.001276))
    list_initial$rho = 0.80

    # Matrix linear predictor
    Z0 <- mc_id(clotting)

    # Fit bivariate Gamma model
    fit.joint.mcglm <- mcglm(linear_pred = c(lot1 ~ log(u), lot2 ~ log(u)),
                             matrix_pred = list(Z0, Z0),
                             link = c("inverse", "inverse"),
                             variance = c("tweedie", "tweedie"),
                             data = clotting,
                             control_initial = list_initial,
                             control_algorithm = list("correct" = TRUE,
                                                     "method" = "chaser",
                                                     "tuning" = 0.1,
                                                     "max_iter" = 1000))
    summary(fit.joint.mcglm)

    ## Call: lot1 ~ log(u)
    ##
    ## Link function: inverse
    ## Variance function: tweedie
    ## Covariance function: identity
    ## Regression:
    ##               Estimates    Std.error   Z value      Pr(>|z|)
    ## (Intercept) -0.01655946 0.0009226782 -17.94716  5.050529e-72
    ## log(u)       0.01534500 0.0004128619  37.16739 2.296479e-302
    ##
    ## Dispersion:
    ##     Estimates    Std.error  Z value     Pr(>|z|)
    ## 1 0.002422623 0.0005447457 4.447255 8.697457e-06
    ##
    ## Call: lot2 ~ log(u)
    ##
    ## Link function: inverse
    ## Variance function: tweedie
    ## Covariance function: identity
    ## Regression:
    ##               Estimates    Std.error   Z value     Pr(>|z|)
    ## (Intercept) -0.02385457 0.0013224002 -18.03884 9.654067e-73
    ## log(u)       0.02357948 0.0005747444  41.02603 0.000000e+00
    ##
    ## Dispersion:
    ##     Estimates    Std.error  Z value     Pr(>|z|)
    ## 1 0.001800727 0.0002773475 6.492676 8.432517e-11
    ##
    ## Correlation matrix:
    ##   Parameters Estimates Std.error Z value Pr(>|z|)
    ## 1      rho12 0.7262051       NaN     NaN      NaN
    ##
    ## Algorithm: chaser
    ## Correction: TRUE
    ## Number iterations: 47

We also can easily change the link function. The code below fit a bivariate Gamma model using the `log` link function.

    # Initial values
    list_initial = list()
    list_initial$regression <- list(c(log(mean(clotting$lot1)),0),
                                    c(log(mean(clotting$lot2)),0))
    list_initial$power <- list(c(2), c(2))
    list_initial$tau <- list(c(0.023), c(0.024))
    list_initial$rho = 0

    # Fit bivariate Gamma model
    fit.joint.log <- mcglm(linear_pred = c(lot1 ~ log(u), lot2 ~ log(u)),
                           matrix_pred = list(Z0,Z0),
                           link = c("log", "log"),
                           variance = c("tweedie", "tweedie"),
                           data = clotting,
                           control_initial = list_initial)
    summary(fit.joint.log)

    ## Call: lot1 ~ log(u)
    ##
    ## Link function: log
    ## Variance function: tweedie
    ## Covariance function: identity
    ## Regression:
    ##              Estimates  Std.error   Z value      Pr(>|z|)
    ## (Intercept)  5.5032302 0.19030106  28.91855 6.979582e-184
    ## log(u)      -0.6019177 0.05530784 -10.88304  1.388474e-27
    ##
    ## Dispersion:
    ##    Estimates   Std.error  Z value     Pr(>|z|)
    ## 1 0.02435442 0.004609548 5.283472 1.267584e-07
    ##
    ## Call: lot2 ~ log(u)
    ##
    ## Link function: log
    ## Variance function: tweedie
    ## Covariance function: identity
    ## Regression:
    ##              Estimates  Std.error   Z value      Pr(>|z|)
    ## (Intercept)  4.9187575 0.18554086  26.51037 7.359390e-155
    ## log(u)      -0.5674356 0.05392437 -10.52280  6.782394e-26
    ##
    ## Dispersion:
    ##    Estimates  Std.error  Z value     Pr(>|z|)
    ## 1 0.02315125 0.00491656 4.708832 2.491407e-06
    ##
    ## Correlation matrix:
    ##   Parameters Estimates Std.error Z value Pr(>|z|)
    ## 1      rho12 0.9807089       NaN     NaN      NaN
    ##
    ## Algorithm: chaser
    ## Correction: TRUE
    ## Number iterations: 11

## Example 4 - Binomial data

Consider the example `menarche` from the MASS `R` package.

    require(MASS)
    data(menarche)
    data <- data.frame("resp" = menarche$Menarche/menarche$Total,
                       "Ntrial" = menarche$Total,
                       "Age" = menarche$Age)

Logistic regression model.

    glm.out = glm(cbind(Menarche, Total-Menarche) ~ Age,
                  family=binomial(logit), data=menarche)

The same fitted by `mcglm` function.

    # Matrix linear predictor
    Z0 <- mc_id(data)
    fit.logit <- mcglm(linear_pred = c(resp ~ Age),
                       matrix_pred = list(Z0),
                       link = "logit", variance = "binomialP",
                       Ntrial = list(data$Ntrial), data = data)

    ## Automatic initial values selected.

Comparing parameter estimates and standard errors.

    # Estimates
    cbind("GLM" = coef(glm.out),
          "McGLM" = coef(fit.logit, type = "beta")$Estimates)

    ##                    GLM      McGLM
    ## (Intercept) -21.226395 -21.226395
    ## Age           1.631968   1.631968

    # Standard error
    cbind("GLM" = c(sqrt(diag(vcov(glm.out))),NA),
          "McGLM" =  sqrt(diag(vcov(fit.logit))))

    ##                    GLM      McGLM
    ## (Intercept) 0.77068466 0.75151473
    ## Age         0.05895308 0.05748669
    ##                     NA 0.09310035

We can estimate a more flexible model using the extended binomial variance function.

    fit.logit.power <- mcglm(linear_pred = c(resp ~ Age),
                             matrix_pred = list(Z0),
                             link = "logit", variance = "binomialP",
                             Ntrial = list(data$Ntrial),
                             power_fixed = FALSE, data = data)

    ## Automatic initial values selected.

    summary(fit.logit.power)

    ## Call: resp ~ Age
    ##
    ## Link function: logit
    ## Variance function: binomialP
    ## Covariance function: identity
    ## Regression:
    ##              Estimates  Std.error   Z value      Pr(>|z|)
    ## (Intercept) -21.378210 0.75681833 -28.24748 1.528506e-175
    ## Age           1.643005 0.05784811  28.40205 1.907701e-177
    ##
    ## Power:
    ##   Estimates Std.error  Z value     Pr(>|z|)
    ## 1  1.071814 0.0599217 17.88691 1.491508e-71
    ##
    ## Dispersion:
    ##   Estimates Std.error  Z value     Pr(>|z|)
    ## 1  1.199726 0.2431969 4.933146 8.091577e-07
    ##
    ## Algorithm: chaser
    ## Correction: TRUE
    ## Number iterations: 9