---
title: "Selection of Model Parameters"
output: 
  github_document:
    toc: true
    fig_width: 10.08
    fig_height: 6
  rmarkdown::html_vignette:
    toc: true
    fig_width: 10.08
    fig_height: 6
tags: [r, parameters, variable selection, feature selection]
vignette: >
  %\VignetteIndexEntry{Parameters Selection}
  \usepackage[utf8]{inputenc}
  %\VignetteEngine{knitr::rmarkdown}
editor_options: 
  chunk_output_type: console
bibliography: bibliography.bib
---

```{r message=FALSE, warning=FALSE, include=FALSE}
library(knitr)
options(knitr.kable.NA = '')
options(digits = 2)
knitr::opts_chunk$set(comment = "#>")

if (!requireNamespace("dplyr", quietly = TRUE) ||
    !requireNamespace("performance", quietly = TRUE) ||
    !requireNamespace("lme4", quietly = TRUE)) {
  knitr::opts_chunk$set(eval = FALSE)
} else {
  library(parameters)
  library(dplyr)
}

set.seed(333)
```

Also known as [**feature selection**](https://en.wikipedia.org/wiki/Feature_selection) in machine learning, the goal of variable selection is to **identify a subset of predictors** to **simplify models**. This can benefit model interpretation, shorten fitting time, and improve generalization (by reducing overfitting).

There are many different methods. The one that is appropriate for a given problem depends on the model type, the data, the objective and the theoretical rationale.

The `parameters` package implements a helper that will **automatically pick a method deemed appropriate for the provided model**, run the variables selection and return the **optimal formula**, which you can then re-use to update the model.

## Simple linear regression

### Fit a powerful model

If you are familiar with R and the formula interface, you know of the possibility of including a dot (`.`) in the formula, signifying **"all the remaining variables"**. Curiously, few are aware of the possibility of additionally easily adding **all the interaction terms**. This can be achieved using the `*.*` notation.

Let's try that with the linear regression predicting **Sepal.Length** with the [`iris`](https://en.wikipedia.org/wiki/Iris_flower_data_set) dataset, included by default in R.

```{r message=FALSE, warning=FALSE}
model <- lm(Sepal.Length ~ .*., data=iris)
summary(model)
```

***Wow, that's a lot of parameters! And almost none of them is significant...***

Which is ***weird***, considering that **gorgeous R2! 0.882!** *I wish I had that in my research...*

### Too many parameters?

As you might know, having a **model that is too performant is not always a good thing**. For instance, it can be a marker of [**overfitting**](https://en.wikipedia.org/wiki/Overfitting): the model corresponds too closely to a particular set of data, and may therefore fail to predict future observations reliably. In multiple regressions, in can also fall under the [**Freedman's paradox**](https://en.wikipedia.org/wiki/Freedman%27s_paradox): some predictors that have actually no relation to the dependent variable being predicted will be **spuriously found to be statistically significant**.

Let's run a few checks using the [**performance**](https://github.com/easystats/performance) package:
```{r message=FALSE, warning=FALSE}
library(performance)

check_normality(model)
check_heteroscedasticity(model)
check_autocorrelation(model)
check_collinearity(model)
```

The main issue of the model seems to be the high [multicollinearity](https://en.wikipedia.org/wiki/Multicollinearity). This suggests that our model might not be able to give valid results about any individual predictor, nor tell which predictors are redundant with respect to others.

### Parameters selection

Time to do some variables selection. This can be easily done using the `select_parameters()` function, that will **automatically select the best variables** and update the model accordingly. One way of using that is in a tidy pipeline (using [`%>%`](https://cran.r-project.org/package=magrittr/README.html)), using this output to update a new model.


```{r message=FALSE, warning=FALSE}
lm(Sepal.Length ~ .*., data = iris) %>% 
  select_parameters() %>% 
  summary()
```


That's still a lot of parameters, but as you can see, but almost all of them are now significant, and the R2 did not change much. 

Although appealing, please note that these automated selection methods are [**quite criticized**](https://towardsdatascience.com/stopping-stepwise-why-stepwise-selection-is-bad-and-what-you-should-use-instead-90818b3f52df), and should not be used in place of **theoretical** or **hypothetical** reasons (*i.e.*, you should have justified hypotheses about the parameters of your model).



## Mixed and Bayesian models

For simple linear regressions as above, the selection is made using the `step()` function (available in base R). This performs a [**stepwise**](https://en.wikipedia.org/wiki/Stepwise_regression) selection. However, this procedures is not available for other types of models, such as **mixed** or **Bayesian** models.

### Mixed model


```{r message=FALSE, warning=FALSE}
library(lme4)

lmer(Sepal.Length ~ Sepal.Width * Petal.Length * Petal.Width + (1|Species), data = iris) %>%
  select_parameters() %>%
  summary()
```