| svymle {survey} | R Documentation |
Fits a user-specified likelihood parametrised by multiple linear predictors to data from a complex sample survey and computes the sandwich variance estimator of the coefficients. Note that this function maximises an estimated population likelihood, it is not the sample MLE.
svymle(loglike, gradient = NULL, design, formulas, start = NULL, control
= list(maxit=1000), na.action="na.fail", method=NULL, ...)
## S3 method for class 'svymle':
summary(object, stderr=c("robust", "model"),...)
loglike |
vectorised loglikelihood function |
gradient |
Derivative of loglike. Required for variance computation and helpful for fitting |
design |
a survey.design object |
formulas |
A list of formulas specifying the variable and linear predictors: see Details below |
start |
Starting values for parameters |
control |
control options for optim |
na.action |
Handling of NAs |
method |
"nlm" to use nlm, otherwise passed to optim |
... |
Arguments to loglike and gradient that are
not to be optimised over. |
object |
svymle object |
stderr |
Choice of standard error estimator. The default is a standard sandwich estimator. See Details below. |
Optimization is done by nlm by default or if
method=="nlm". Otherwise optim is used and method
specifies the method and control specifies control parameters.
The design object contains all the data and design information
from the survey, so all the formulas refer to variables in this object.
The formulas argument needs to specify the response variable and
a linear predictor for each freely varying argument of loglike.
Consider for example the dnorm function, with arguments
x, mean, sd and log, and suppose we want to
estimate the mean of y as a linear function of a variable
z, and to estimate a constant standard deviation. The log
argument must be fixed at FALSE to get the loglikelihood. A
formulas argument would be list(~y, mean=~z, sd=~1). Note
that the data variable y must be the first argument to
dnorm and the first formula and that all the other formulas are
labelled. It is also permitted to have the data variable as the
left-hand side of one of the formulas: eg list( mean=y~z, sd=~1).
The usual variance estimator for MLEs in a survey sample is a `sandwich'
variance that requires the score vector and the information matrix. It
requires only sampling assumptions to be valid (though some model
assumptions are required for it to be useful). This is the
stderr="robust" option, which is available only when the gradient
argument was specified.
If the model is correctly specified and the sampling is at random
conditional on variables in the model then standard errors based on just
the information matrix will be approximately valid. In particular, for
independent sampling where weights and strata depend on variables in the
model the stderr="model" should work fairly well.
An object of class svymle
Thomas Lumley
data(api)
dstrat<-svydesign(id=~1, strata=~stype, weight=~pw, fpc=~fpc, data=apistrat)
## fit with glm
m0 <- svyglm(api00~api99+ell,family="gaussian",design=dstrat)
## fit as mle (without gradient)
m1 <- svymle(loglike=dnorm,gradient=NULL, design=dstrat, formulas=list(mean=api00~api99+ell, sd=~1),start=list(c(80,1,0),c(20)), log=TRUE)
## with gradient
gr<- function(x,mean,sd,log){
dm<-2*(x - mean)/(2*sd^2)
ds<-(x-mean)^2*(2*(2 * sd))/(2*sd^2)^2 - sqrt(2*pi)/(sd*sqrt(2*pi))
cbind(dm,ds)
}
m2 <- svymle(loglike=dnorm,gradient=gr, design=dstrat, formulas=list(mean=api00~api99+ell, sd=~1),
start=list(c(80,1,0),c(20)), log=TRUE, method="BFGS")
summary(m0)
summary(m1,stderr="model")
summary(m2)
## More complicated censored data example
## showing that the response variable can be multivariate
data(pbc, package="survival")
pbc$randomized <- with(pbc, !is.na(trt) & trt>0)
biasmodel<-glm(randomized~age*edema,data=pbc)
pbc$randprob<-fitted(biasmodel)
dpbc<-svydesign(id=~1, prob=~randprob, strata=~edema,
data=subset(pbc,randomized))
lcens<-function(x,mean,sd){
ifelse(x[,2]==1,
dnorm(log(x[,1]),mean,sd,log=TRUE),
pnorm(log(x[,1]),mean,sd,log=TRUE,lower.tail=FALSE)
)
}
gcens<- function(x,mean,sd){
dz<- -dnorm(log(x[,1]),mean,sd)/pnorm(log(x[,1]),mean,sd,lower.tail=FALSE)
dm<-ifelse(x[,2]==1,
2*(log(x[,1]) - mean)/(2*sd^2),
dz*-1/sd)
ds<-ifelse(x[,2]==1,
(log(x[,1])-mean)^2*(2*(2 * sd))/(2*sd^2)^2 - sqrt(2*pi)/(sd*sqrt(2*pi)),
ds<- dz*-(log(x[,1])-mean)/(sd*sd))
cbind(dm,ds)
}
if(!is.null(pbc$albumin)){
svymle(loglike=lcens, gradient=gcens, design=dpbc,
formulas=list(mean=I(cbind(time,status>0))~bili+protime+albumin,
sd=~1),
start=list(c(10,0,0,0),c(1)))
} else {
svymle(loglike=lcens, gradient=gcens, design=dpbc,
formulas=list(mean=I(cbind(time,status>0))~bili+protime+alb,
sd=~1),
start=list(c(10,0,0,0),c(1)))
}