mgcv: distribution of dev
hi
I can't tell if this is a simple error.
I'm puzzled by the distribution of dev when fitting a gam to Poisson
generated data.
I expected dev to be approximately chi-squared on residual d.f., i.e.
about 1000 in each case below.
In particular, the low values in the 3rd and 4th versions would suggest
scale < 1, yet the data is Poisson generated.
The problem isn't caused by insufficient k values in the smoother.
Does this mean that with sparse data the distribution of dev is no longer
approx chi-sq on residual df?
Does it mean the scale estimate when fitting quasipoisson should be the
Pearson version?
thanks
greg
library(mgcv)
set.seed(1)
x1<-runif(1000)
linp<-2+exp(-2*x1)*sin(8*x1)
sum(exp(linp))
dev1<-dev2<-sums<-rep(0,20)
for (j in 1:20)
{
y<-rpois(1000,exp(linp))
sums[j]<-sum(y)
m1<-gam(y~s(x1),family="poisson")
m2<-gam(y~s(x1,k=20),family="poisson")
dev1[j]=m1$dev
dev2[j]=m2$dev
}
mean(sums)
sd(sums)
mean(dev1)
sd(dev1)
mean(dev2)
sd(dev2)
#dev slighly higher than expected
linpa<--1+exp(-2*x1)*sin(8*x1)
sum(exp(linpa))
dev1a<-dev2a<-sumsa<-rep(0,20)
for (j in 1:20)
{
y<-rpois(1000,exp(linpa))
sumsa[j]<-sum(y)
m1<-gam(y~s(x1),family="poisson")
m2<-gam(y~s(x1,k=20),family="poisson")
dev1a[j]=m1$dev
dev2a[j]=m2$dev
}
mean(sumsa)
sd(sumsa)
mean(dev1a)
sd(dev1a)
mean(dev2a)
sd(dev2a)
#dev a bit lower than expected
linpb<--1.5+exp(-2*x1)*sin(8*x1)
sum(exp(linpb))
dev1b<-dev2b<-sumsb<-rep(0,20)
for (j in 1:20)
{
y<-rpois(1000,exp(linpb))
sumsb[j]<-sum(y)
m1<-gam(y~s(x1),family="poisson")
m2<-gam(y~s(x1,k=20),family="poisson")
dev1b[j]=m1$dev
dev2b[j]=m2$dev
}
mean(sumsb)
sd(sumsb)
mean(dev1b)
sd(dev1b)
mean(dev2b)
sd(dev2b)
#dev much lower than expected
m1q<-gam(y~s(x1),family="quasipoisson",scale=-1)
m1q$scale
m1q$dev/(1000-sum(m1q$edf))
#scale estimate < 1
sum((y-fitted(m1q))^2/fitted(m1q))/(1000-sum(m1q$edf))
#Pearson estimate of scale closer, but also < 1
linpc<--2+exp(-2*x1)*sin(8*x1)
sum(exp(linpc))
dev1c<-dev2c<-sumsc<-rep(0,20)
for (j in 1:20)
{
y<-rpois(1000,exp(linpc))
sumsc[j]<-sum(y)
m1<-gam(y~s(x1),family="poisson")
m2<-gam(y~s(x1,k=20),family="poisson")
dev1c[j]=m1$dev
dev2c[j]=m2$dev
}
mean(sumsc)
sd(sumsc)
mean(dev1c)
sd(dev1c)
mean(dev2c)
sd(dev2c)
#dev much lower than expected
m1q<-gam(y~s(x1),family="quasipoisson",scale=-1)
m1q$scale
m1q$sig2
m1q$dev/(1000-sum(m1q$edf))
#scale estimate < 1
sum((y-fitted(m1q))^2/fitted(m1q))/(1000-sum(m1q$edf))
#Pearson estimate of scale ok
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