The package quantregGrowth
aims to estimate the smooth, but unspecified, effect of numerical covariate(s) on one or more quantiles of the numerical response variable. The quantile regression equation can also include linear effect(s) of numerical or categorical covariates. Each flexible and unspecified relationship is expressed via a B-spline basis whose coefficients are somehow shrunken to control the wiggliness of the curve(s). The amount of smoothness is estimated as part of the model fitting as described in Muggeo et al. (2021).
The package relies on the well known quantreg
package by Roger Koenker by exploiting full functionality and efficiency of its fitter functions.
When focus is on multiple response quantiles (1%, 5%,…, 95%, say) depending on a single variable, the resulting fitted quantile curves are also referred as growth charts. Growth charts are smooth quantile trajectories at different probability values, ‘tau’, with the noncrossing property, namely the quantile curve at any specified tau value has to be always higher then the quantile curve at any lower probability value. Growth charts are used to build reference values of an outcome of interest with respect to another variable, usually age or time. Typical examples include height (or weight) or vocabulary size development versus the children’s age as investigated in wordbank website.
quantregGrowth
uses B-splines with a penalty on the coefficients and relevant smoothing parameter `selected’ within the estimation algorithm, and imposes proper constraints to prevent quantile crossing.
We build growth charts of height versus age using the data set SiChildren
shipped with the package. The main function is gcrq()
which requires the usual model formula including the ps()
function on the right hand side. gcrq()
returns quantile curves at (default) probability values c(.1, .25, .5, .75, .9)
, but in this example we choose different values via the argument tau
, and display the result by means of the plot
method function:
library(quantregGrowth)
data(SiChildren)
o <-gcrq(height ~ ps(age), tau=seq(.05,.95,l=7), data=SiChildren)
plot(o, res=TRUE, col=-1) #res=TRUE displays data too; col<0 for the default palette
In addition to the graphical output, we could look at the estimated quantile values via the function charts()
which is a simple wrapper of predict.gcrq()
to facilitate production of growth charts based on the fitted model. We display the quantiles just at some age values
charts(o, k=c(10,10.5,11,16,17)) #the quantile at the specified k values
> 0.05 0.2 0.35 0.5 0.65 0.8 0.95
> age=10 135.24 138.35 141.05 143.00 144.23 146.29 149.83
> age=10.5 133.02 136.86 140.29 142.25 144.00 146.85 151.83
> age=11 133.41 137.75 141.17 143.14 145.24 148.52 154.43
> age=16 154.36 160.47 164.16 168.39 170.16 172.18 176.94
> age=17 159.20 163.33 165.38 171.00 171.64 172.47 175.38
Results look reasonable, but there are some annoying features which need to be stressed: at around age=16 the highest quantile curve (the 95th) decreases, while some quantile curves (the 5th to the 65th) drop at early ages around 11 years and then increase again afterwards.
Broadly speaking, non monotonic growth charts could be biologically sound (for instance when modelling the body mass index), but in this example they are not. Likely, the sparseness of data on the left and right tails of age distribution, causes the drops in the fitted curves. Hence we re-fit the model by imposing positive monotonicity contraints via the argument monotone=1
in ps()
,
oM<-gcrq(height ~ ps(age, monotone=1), data=SiChildren, tau=seq(.05,.95,l=7))
In the following, we report two plots: the first one focuses on the early ages by stressing differences between the fitted curves, and the second figure could be possibly closer to the usual growth charts, with legend (set at the age value overlap=15
), underlying grid (with 15 vertical and 10 horizontal lines) and `customized’ axis labels.
par(mfrow=c(1,2))
#the 1st plot..
plot(o, xlim=c(10.2,12.5), col=1, lty=3, lwd=2)
plot(oM, add=TRUE, col=2, lty=1, lwd=2)
#the 2nd..
plot(oM, legend=TRUE, overlap=15, grid=list(x=15,y=10), col=2, lty=1,
ylab="Height (cm)", xlab="Age (years)")
Several options are available when plotting a gcrq
object, see ?plot.gcrq
.
quantregGrowth
can deal with multiple smooth terms straightforwardly. We use data simulated via mgcv::gamSim
function (example 1). We are interested in modelling nonparametrically the effect of four covariates on the median, say. At this aim, we call gcrq()
with several ps()
terms and a single tau
value,
set.seed(1515)
d<-mgcv::gamSim(n=200, eg=1, verbose=FALSE) #verbose=FALSE just suppresses the message..
o <- gcrq(y ~ ps(x0) + ps(x1) + ps(x2) + ps(x3), data=d, tau=.5)
The plots including the fitted relationships for all 4 terms are ready obtained by
# Plot the fit
plot(o, res=TRUE, col=2, conf.level=.95, shade=TRUE, cex.p=.6, split=TRUE) #cex.p<1 to reduce the points..
gcrq()
can also include standard linear terms: for instance, the above plots suggest that a simple linear term would suffice to capture the relationships for x1
and x3
. Therefore in the next model formula we include these variables outside the ps()
function. We also display the model output via summary.gcrq()
.
o1<-gcrq(y ~ ps(x0) + x1 + ps(x2) + x3, data=d, tau=.5)
#the summary method
summary(o1)
> Call:
> gcrq(formula = y ~ ps(x0) + x1 + ps(x2) + x3, tau = 0.5, data = d)
>
> -------- Percentile: 0.50 check function: 157.69 -----
>
> parametric terms:
> Est StErr |z| p-value
> (Intercept) 4.0077 0.6471 6.19 5.88e-10 ***
> x1 6.7935 0.8178 8.31 < 2e-16 ***
> x3 0.6163 0.8100 0.76 0.447
> ---
> Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
>
> smooth terms:
> edf
> ps(x0) 2.000
> ps(x2) 4.999
> =========================
>
> No. of obs = 200 No. of params = 25 (25 for each quantile)
> Overall check = 157.69 SIC = -0.105 on edf = 10 (ncross constr: FALSE)
For the parametric terms, the summary method returns point estimates, standard errors based on the sandwich formula, and \(p\)-values coming from the Wald statistic. Degrees of freedom for the smooth terms are printed next, along with some useful information of the fit.
Of course we could estimate the same ‘semiparametric’ model at several probability values
o2<-gcrq(y ~ x1 + x3 + ps(x0) + ps(x2), data=d, tau=c(.12,.25,.5,.7,.8,.9))
with the non-crossing constraints. Summary and plots can be obtained straightforwardly.
A particular case of ‘semiparametric’ model is given by the so-called varying coefficient (VC) model, wherein the linear effect of a (even categorical) covariate, \(x_1\) say, depends flexibly on a continuous variable \(x_2\). The relevant term in the linear predictor can be written \(\beta(x_2)x_1\), where \(\beta(\cdot)\) is the smooth expressed via B-splines. We simulate data via the gamSim()
function again.
d<-mgcv::gamSim(n=200, eg=3, scale=1) #simulated data with VC effect
> Continuous `by' variable example
and the fit is obtained by means of the argument by
in ps()
,
o <- gcrq(y~ x1 + ps(x2, by=x1), data=d, tau=.5)
It should be noted we also specify the linear term x1
, since ps()
makes the basis identifiable. The fitted curve can be displayed as usual via plot.gcrq()
.
When the linear covariate x1
is categorical, e.g. the gender, fitting VC terms means to fit the smooth effect of x2
into each category of x1
. We illustrate that with a simulated dataset
n=50
x0<-x1<-x<-1:n/n
y0<-10+sin(2*pi*x) #sinusoidal relationship + intercept
y1<-seq(7,11,l=n) #linear relationship + intercept
sigma<- .2
y<-c(y0,y1)+rnorm(2*n)*sigma
x<-c(x,x)
z<-rep(0:1, each=n) #numeric variable
g <-factor(z) #factor
o<-gcrq(y ~ g + ps(x, by=g), tau=.5)
Again, the same model could be obtained using a full B-spline in each group, i.e. gcrq(y ~ 0 + ps(x, by=g, dropc=FALSE, center=FALSE), tau=.5)
.
We compare the true and fitted quantile curves in the next plots
par(mfrow=c(1,2))
plot(x0, y[1:50]);lines(x0,y0)
plot(o, term=1, add=TRUE, col=2, lwd=2)
plot(x1, y[51:100]);lines(x1,y1)
plot(o, term=2, add=TRUE, col=3, lwd=2, shift=coef(o)["g1",1])
o1<-gcrq(y ~ z + ps(x) + ps(x, by=z), tau=.5)
Note the plot of the VC term ps(x, by=z)
represents the difference between the smooth relationships y1-y0
, bar a constant depending on the intercepts.
gcrq()
can fit purely linear models, i.e. with no ps()
term in the formula. Here a simple example.
n=100
x<-1:n/n
y<-2*x+rnorm(n)*rev(x)
o3 <-gcrq(y ~ x, tau=seq(.05,.95,l=10)) #fit 10 (noncrossing) regression quantiles
By means of plot.gcrq()
with proper arguments, we display in the first plot the linear growth charts, and in the 2nd figure, we portray the tau-varying coefficient by setting axis.tau=TRUE
,
par(mfrow=c(1,2))
plot(x,y)
plot(o3, add=TRUE)
plot(o3, term="x", axis.tau=TRUE, conf.level = .95, col=2)
The 2nd plot could be useful to assess if and how the specified coefficient estimate changes across the quantile curves.
A possibly useful feature of quantregGrowth
is supplying a user-defined (multiplicative) penalty via the argument pen.matrix
in ps()
. The penalty matrix \(A\), say, should be a matrix such that \(\lambda||A\beta||_1\) is the penalization in the objective to be minimized. \(\beta\) is the vector of spline coefficients and \(\lambda\) is the smoothing parameter fixed or to be estimated. The example below illustrates how a proper penalty matrix can be set to force a zero slope in the fitted curve at large values of the covariate. At this aim we consider weighted first-order differences by assigning a very large weight to the rightmost differences to fulfill the zero slope constraint. Overall, the penalty is \(\sum_j^{J-1} |\beta_j-\beta_{j-1}|w_j=||diag(w) D^{(1)}\beta||_1= ||A\beta||_1\), where \(D^{(1)}\) is the first-order differences matrix and \(w\) is the weight vector as defined below. To build the customized penalty matrix with appropriate dimension, it is probably helpful to set explicitly the number of the basis coefficients via the arguments ndx
(number of covariate intervals which defaults to \(min(n/4,12)\)) and deg
(spline degree which defaults to 3): Each basis has ndx+deg-1
identifiable coefficients.
data(growthData)
D1 <- diff(diag(23),dif=1)[,-1] #the 1st order diff matrix
w <- c(rep(1,15),rep(1000,7)) #the weight vector s.t. length(w)=nrow(D1)
A <- diag(w) %*% D1 #the penalty matrix
o4 <-gcrq(y~ps(x, ndx=20, pen.matrix=A), data=growthData, tau=.5)
The length of the zero-slope curve piece depends on number of large values in \(w\), in the above example rep(1000,7)
. Increasing (decreasing) the number of large values would lead to increase (decrease) the zero slope interval.
Figure below reports results of the aforementioned constrained fit, along with the fits obtained using unweighted first order-differences without and with additional monotonicity constraints
o5 <-gcrq(y~ps(x, d=1), data=growthData, tau=.5)
o6 <-gcrq(y~ps(x, d=1, monotone = 1), data=growthData, tau=.5)
par(mfrow=c(1,3))
plot(o4, res=TRUE, col=2, lwd=3, ylim=c(0,12))
plot(o5, res=TRUE, col=3, lwd=3, ylim=c(0,12))
plot(o6, res=TRUE, col=4, lwd=3, ylim=c(0,12))
We conclude with a simple example illustrating how quantregGrowth
can be used to perform variable selection, namely when we are interested in spotting, typically few, important covariates among a large number of candidates. To illustrate, the simulated response below depends on the variables in the columns 3, 5, and 11 of the matrix X
and on the linear covariate z
which enters the model unpenalized
n <- 50
z <-1:n/n
p <-20
set.seed(1515)
X<-matrix(runif(n*p),n,p)
true.coef <-rep(0,p)
true.coef[c(3,5,11)] <- c(.7,1.5,-1)
y<-5 + 1.5*z+ drop(X%*%true.coef) + rnorm(n)*.25
In order to discard noisy covariates we use the lasso penalty on corresponding coefficients. More specifically, the penalized objective to be minimized is \(\sum_i\rho_\tau (y_i-\beta_0-\beta_1z_i-\sum_j\gamma_jx_{ij})+\lambda \sum_j|\gamma_j|\), where \(\rho_\tau(\cdot)\) is the usual check function. Note the lasso penalty refers to the coefficients of the \(x_j\)’s only; \(\beta_0\) and \(\beta_1\) are unpenalized. The model is fitted straightforwardly by including the matrix X
in ps()
, and the unpenalized covariate in the main formula.
o <-gcrq(y~ z + ps(X), tau=.5)
plot(o, term=1)
Since version 1.6-0, it is possible to set an adaptive penalty via the weighted lasso, where the weights are updated iteratively. ad=1
specified in ps()
leads to the adaptive lasso
o1 <-gcrq(y~ z + ps(X, ad=1), tau=.5)
plot(o, term=1, ylim=c(-1.3,1.5))
plot(o1, term=1, add=TRUE, col=3, pch=2)
points(true.coef, pch=3, col=4) #true coefficients
It is also possible to fit multiple quantile curves and to display to results accordingly
o <-gcrq(y ~ z + ps(X)) #standard lasso
o1 <-gcrq(y ~ z + ps(X, ad=1)) #adaptive lasso
par(mfrow=c(1,2))
plot(o, term=1, legend=TRUE)
plot(o1, term=1, legend=TRUE)
Note each symbol refers to a specific quantile curve, and results from the adaptive lasso are closer to the true ones.
Muggeo V.M.R., Torretta F, Eilers P.H.C., Sciandra M., Attanasio M. (2021). Multiple smoothing parameters selection in additive regression quantiles, Statistical Modelling, 21, 428 - 448. https://journals.sagepub.com/doi/full/10.1177/1471082X20929802
Muggeo V.M.R. (2021). Additive Quantile regression with automatic smoothness selection: the R package quantregGrowth. https://www.researchgate.net/publication/350844895_Additive_Quantile_regression_with_automatic_smoothness_selection_the_R_package_quantregGrowth