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ml_measurement_error_public/simulations/simulation_base.R

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18 KiB
R

library(predictionError)
library(mecor)
options(amelia.parallel="no",
amelia.ncpus=1)
library(Amelia)
library(Zelig)
library(bbmle)
library(matrixStats) # for numerically stable logsumexps
source("pl_methods.R")
source("measerr_methods.R") ## for my more generic function.
## This uses the pseudolikelihood approach from Carroll page 349.
## assumes MAR
## assumes differential error, but that only depends on Y
## inefficient, because pseudolikelihood
## This uses the pseudo-likelihood approach from Carroll page 346.
my.pseudo.mle <- function(df){
p1.est <- mean(df[w_pred==1]$y.obs==1,na.rm=T)
p0.est <- mean(df[w_pred==0]$y.obs==0,na.rm=T)
nll <- function(B0, Bxy, Bzy){
pw <- vector(mode='numeric',length=nrow(df))
dfw1 <- df[w_pred==1]
dfw0 <- df[w_pred==0]
pw[df$w_pred==1] <- plogis(B0 + Bxy * dfw1$x + Bzy * dfw1$z, log=T)
pw[df$w_pred==0] <- plogis(B0 + Bxy * dfw0$x + Bzy * dfw0$z, lower.tail=FALSE, log=T)
probs <- colLogSumExps(rbind(log(1 - p0.est), log(p1.est + p0.est - 1) + pw))
return(-1*sum(probs))
}
mlefit <- mle2(minuslogl = nll, start = list(B0=0.0, Bxy=0.0, Bzy=0.0), control=list(maxit=1e6),method='L-BFGS-B')
return(mlefit)
}
## This uses the likelihood approach from Carroll page 353.
## assumes that we have a good measurement error model
my.mle <- function(df){
## liklihood for observed responses
nll <- function(B0, Bxy, Bzy, gamma0, gamma_y, gamma_z, gamma_yz){
df.obs <- df[!is.na(y.obs)]
yobs0 <- df.obs$y==0
yobs1 <- df.obs$y==1
p.y.obs <- vector(mode='numeric', length=nrow(df.obs))
p.y.obs[yobs1] <- plogis(B0 + Bxy * df.obs[yobs1]$x + Bzy*df.obs[yobs1]$z,log=T)
p.y.obs[yobs0] <- plogis(B0 + Bxy * df.obs[yobs0]$x + Bzy*df.obs[yobs0]$z,lower.tail=FALSE,log=T)
wobs0 <- df.obs$w_pred==0
wobs1 <- df.obs$w_pred==1
p.w.obs <- vector(mode='numeric', length=nrow(df.obs))
p.w.obs[wobs1] <- plogis(gamma0 + gamma_y * df.obs[wobs1]$y + gamma_z*df.obs[wobs1]$z + df.obs[wobs1]$z*df.obs[wobs1]$y* gamma_yz, log=T)
p.w.obs[wobs0] <- plogis(gamma0 + gamma_y * df.obs[wobs0]$y + gamma_z*df.obs[wobs0]$z + df.obs[wobs0]$z*df.obs[wobs0]$y* gamma_yz, lower.tail=FALSE, log=T)
p.obs <- p.w.obs + p.y.obs
df.unobs <- df[is.na(y.obs)]
p.unobs.0 <- vector(mode='numeric',length=nrow(df.unobs))
p.unobs.1 <- vector(mode='numeric',length=nrow(df.unobs))
wunobs.0 <- df.unobs$w_pred == 0
wunobs.1 <- df.unobs$w_pred == 1
p.unobs.0[wunobs.1] <- plogis(B0 + Bxy * df.unobs[wunobs.1]$x + Bzy*df.unobs[wunobs.1]$z, log=T) + plogis(gamma0 + gamma_y + gamma_z*df.unobs[wunobs.1]$z + df.unobs[wunobs.1]$z*gamma_yz, log=T)
p.unobs.0[wunobs.0] <- plogis(B0 + Bxy * df.unobs[wunobs.0]$x + Bzy*df.unobs[wunobs.0]$z, log=T) + plogis(gamma0 + gamma_y + gamma_z*df.unobs[wunobs.0]$z + df.unobs[wunobs.0]$z*gamma_yz, lower.tail=FALSE, log=T)
p.unobs.1[wunobs.1] <- plogis(B0 + Bxy * df.unobs[wunobs.1]$x + Bzy*df.unobs[wunobs.1]$z, log=T, lower.tail=FALSE) + plogis(gamma0 + gamma_z*df.unobs[wunobs.1]$z, log=T)
p.unobs.1[wunobs.0] <- plogis(B0 + Bxy * df.unobs[wunobs.0]$x + Bzy*df.unobs[wunobs.0]$z, log=T, lower.tail=FALSE) + plogis(gamma0 + gamma_z*df.unobs[wunobs.0]$z, lower.tail=FALSE, log=T)
p.unobs <- colLogSumExps(rbind(p.unobs.1, p.unobs.0))
p <- c(p.obs, p.unobs)
return(-1*(sum(p)))
}
mlefit <- mle2(minuslogl = nll, start = list(B0=0, Bxy=0,Bzy=0, gamma0=0, gamma_y=0, gamma_z=0, gamma_yz=0), control=list(maxit=1e6),method='L-BFGS-B')
return(mlefit)
}
run_simulation_depvar <- function(df, result, outcome_formula=y~x+z, proxy_formula=w_pred~y){
(accuracy <- df[,mean(w_pred==y)])
result <- append(result, list(accuracy=accuracy))
(error.cor.z <- cor(df$z, df$y - df$w_pred))
(error.cor.x <- cor(df$x, df$y - df$w_pred))
(error.cor.y <- cor(df$y, df$y - df$w_pred))
result <- append(result, list(error.cor.x = error.cor.x,
error.cor.z = error.cor.z,
error.cor.y = error.cor.y))
model.null <- glm(y~1, data=df,family=binomial(link='logit'))
(model.true <- glm(y ~ x + z, data=df,family=binomial(link='logit')))
(lik.ratio <- exp(logLik(model.true) - logLik(model.null)))
true.ci.Bxy <- confint(model.true)['x',]
true.ci.Bzy <- confint(model.true)['z',]
result <- append(result, list(cor.xz=cor(df$x,df$z)))
result <- append(result, list(lik.ratio=lik.ratio))
result <- append(result, list(Bxy.est.true=coef(model.true)['x'],
Bzy.est.true=coef(model.true)['z'],
Bxy.ci.upper.true = true.ci.Bxy[2],
Bxy.ci.lower.true = true.ci.Bxy[1],
Bzy.ci.upper.true = true.ci.Bzy[2],
Bzy.ci.lower.true = true.ci.Bzy[1]))
(model.feasible <- glm(y.obs~x+z,data=df,family=binomial(link='logit')))
feasible.ci.Bxy <- confint(model.feasible)['x',]
result <- append(result, list(Bxy.est.feasible=coef(model.feasible)['x'],
Bxy.ci.upper.feasible = feasible.ci.Bxy[2],
Bxy.ci.lower.feasible = feasible.ci.Bxy[1]))
feasible.ci.Bzy <- confint(model.feasible)['z',]
result <- append(result, list(Bzy.est.feasible=coef(model.feasible)['z'],
Bzy.ci.upper.feasible = feasible.ci.Bzy[2],
Bzy.ci.lower.feasible = feasible.ci.Bzy[1]))
(model.naive <- glm(w_pred~x+z, data=df, family=binomial(link='logit')))
naive.ci.Bxy <- confint(model.naive)['x',]
naive.ci.Bzy <- confint(model.naive)['z',]
result <- append(result, list(Bxy.est.naive=coef(model.naive)['x'],
Bzy.est.naive=coef(model.naive)['z'],
Bxy.ci.upper.naive = naive.ci.Bxy[2],
Bxy.ci.lower.naive = naive.ci.Bxy[1],
Bzy.ci.upper.naive = naive.ci.Bzy[2],
Bzy.ci.lower.naive = naive.ci.Bzy[1]))
(model.naive.cont <- lm(w~x+z, data=df))
naivecont.ci.Bxy <- confint(model.naive.cont)['x',]
naivecont.ci.Bzy <- confint(model.naive.cont)['z',]
## my implementation of liklihood based correction
temp.df <- copy(df)
temp.df[,y:=y.obs]
mod.caroll.lik <- measerr_mle_dv(temp.df, outcome_formula=outcome_formula, proxy_formula=proxy_formula)
fischer.info <- solve(mod.caroll.lik$hessian)
coef <- mod.caroll.lik$par
ci.upper <- coef + sqrt(diag(fischer.info)) * 1.96
ci.lower <- coef - sqrt(diag(fischer.info)) * 1.96
result <- append(result,
list(Bxy.est.mle = coef['x'],
Bxy.ci.upper.mle = ci.upper['x'],
Bxy.ci.lower.mle = ci.lower['x'],
Bzy.est.mle = coef['z'],
Bzy.ci.upper.mle = ci.upper['z'],
Bzy.ci.lower.mle = ci.lower['z']))
## my implementatoin of liklihood based correction
mod.zhang <- zhang.mle.dv(df)
coef <- coef(mod.zhang)
ci <- confint(mod.zhang,method='quad')
result <- append(result,
list(Bxy.est.zhang = coef['Bxy'],
Bxy.ci.upper.zhang = ci['Bxy','97.5 %'],
Bxy.ci.lower.zhang = ci['Bxy','2.5 %'],
Bzy.est.zhang = coef['Bzy'],
Bzy.ci.upper.zhang = ci['Bzy','97.5 %'],
Bzy.ci.lower.zhang = ci['Bzy','2.5 %']))
# amelia says use normal distribution for binary variables.
amelia_result <- list(Bxy.est.amelia.full = NA,
Bxy.ci.upper.amelia.full = NA,
Bxy.ci.lower.amelia.full = NA,
Bzy.est.amelia.full = NA,
Bzy.ci.upper.amelia.full = NA,
Bzy.ci.lower.amelia.full = NA
)
tryCatch({
amelia.out.k <- amelia(df, m=200, p2s=0, idvars=c('y','ystar','w'))
mod.amelia.k <- zelig(y.obs~x+z, model='ls', data=amelia.out.k$imputations, cite=FALSE)
(coefse <- combine_coef_se(mod.amelia.k, messages=FALSE))
est.x.mi <- coefse['x','Estimate']
est.x.se <- coefse['x','Std.Error']
est.z.mi <- coefse['z','Estimate']
est.z.se <- coefse['z','Std.Error']
amelia_result <- list(Bxy.est.amelia.full = est.x.mi,
Bxy.ci.upper.amelia.full = est.x.mi + 1.96 * est.x.se,
Bxy.ci.lower.amelia.full = est.x.mi - 1.96 * est.x.se,
Bzy.est.amelia.full = est.z.mi,
Bzy.ci.upper.amelia.full = est.z.mi + 1.96 * est.z.se,
Bzy.ci.lower.amelia.full = est.z.mi - 1.96 * est.z.se
)
},
error = function(e){
result[['error']] <- e}
)
result <- append(result,amelia_result)
return(result)
}
## outcome_formula, proxy_formula, and truth_formula are passed to measerr_mle
run_simulation <- function(df, result, outcome_formula=y~x+z, proxy_formula=NULL, truth_formula=NULL){
accuracy <- df[,mean(w_pred==x)]
accuracy.y0 <- df[y<=0,mean(w_pred==x)]
accuracy.y1 <- df[y>=0,mean(w_pred==x)]
cor.y.xi <- cor(df$x - df$w_pred, df$y)
fnr <- df[w_pred==0,mean(w_pred!=x)]
fnr.y0 <- df[(w_pred==0) & (y<=0),mean(w_pred!=x)]
fnr.y1 <- df[(w_pred==0) & (y>=0),mean(w_pred!=x)]
fpr <- df[w_pred==1,mean(w_pred!=x)]
fpr.y0 <- df[(w_pred==1) & (y<=0),mean(w_pred!=x)]
fpr.y1 <- df[(w_pred==1) & (y>=0),mean(w_pred!=x)]
cor.resid.w_pred <- cor(resid(lm(y~x+z,df)),df$w_pred)
result <- append(result, list(accuracy=accuracy,
accuracy.y0=accuracy.y0,
accuracy.y1=accuracy.y1,
cor.y.xi=cor.y.xi,
fnr=fnr,
fnr.y0=fnr.y0,
fnr.y1=fnr.y1,
fpr=fpr,
fpr.y0=fpr.y0,
fpr.y1=fpr.y1,
cor.resid.w_pred=cor.resid.w_pred
))
result <- append(result, list(cor.xz=cor(df$x,df$z)))
(model.true <- lm(y ~ x + z, data=df))
true.ci.Bxy <- confint(model.true)['x',]
true.ci.Bzy <- confint(model.true)['z',]
result <- append(result, list(Bxy.est.true=coef(model.true)['x'],
Bzy.est.true=coef(model.true)['z'],
Bxy.ci.upper.true = true.ci.Bxy[2],
Bxy.ci.lower.true = true.ci.Bxy[1],
Bzy.ci.upper.true = true.ci.Bzy[2],
Bzy.ci.lower.true = true.ci.Bzy[1]))
(model.feasible <- lm(y~x.obs+z,data=df))
feasible.ci.Bxy <- confint(model.feasible)['x.obs',]
result <- append(result, list(Bxy.est.feasible=coef(model.feasible)['x.obs'],
Bxy.ci.upper.feasible = feasible.ci.Bxy[2],
Bxy.ci.lower.feasible = feasible.ci.Bxy[1]))
feasible.ci.Bzy <- confint(model.feasible)['z',]
result <- append(result, list(Bzy.est.feasible=coef(model.feasible)['z'],
Bzy.ci.upper.feasible = feasible.ci.Bzy[2],
Bzy.ci.lower.feasible = feasible.ci.Bzy[1]))
(model.naive <- lm(y~w_pred+z, data=df))
naive.ci.Bxy <- confint(model.naive)['w_pred',]
naive.ci.Bzy <- confint(model.naive)['z',]
result <- append(result, list(Bxy.est.naive=coef(model.naive)['w_pred'],
Bzy.est.naive=coef(model.naive)['z'],
Bxy.ci.upper.naive = naive.ci.Bxy[2],
Bxy.ci.lower.naive = naive.ci.Bxy[1],
Bzy.ci.upper.naive = naive.ci.Bzy[2],
Bzy.ci.lower.naive = naive.ci.Bzy[1]))
amelia.out.k <- amelia(df, m=200, p2s=0, idvars=c('x','w'))
mod.amelia.k <- zelig(y~x.obs+z, model='ls', data=amelia.out.k$imputations, cite=FALSE)
(coefse <- combine_coef_se(mod.amelia.k, messages=FALSE))
est.x.mi <- coefse['x.obs','Estimate']
est.x.se <- coefse['x.obs','Std.Error']
result <- append(result,
list(Bxy.est.amelia.full = est.x.mi,
Bxy.ci.upper.amelia.full = est.x.mi + 1.96 * est.x.se,
Bxy.ci.lower.amelia.full = est.x.mi - 1.96 * est.x.se
))
est.z.mi <- coefse['z','Estimate']
est.z.se <- coefse['z','Std.Error']
result <- append(result,
list(Bzy.est.amelia.full = est.z.mi,
Bzy.ci.upper.amelia.full = est.z.mi + 1.96 * est.z.se,
Bzy.ci.lower.amelia.full = est.z.mi - 1.96 * est.z.se
))
temp.df <- copy(df)
temp.df <- temp.df[,x:=x.obs]
mod.caroll.lik <- measerr_mle(temp.df, outcome_formula=outcome_formula, proxy_formula=proxy_formula, truth_formula=truth_formula)
## tryCatch({
## mod.calibrated.mle <- mecor(y ~ MeasError(w_pred, reference = x.obs) + z, df, B=400, method='efficient')
## (mod.calibrated.mle)
## (mecor.ci <- summary(mod.calibrated.mle)$c$ci['x.obs',])
## result <- append(result, list(
## Bxy.est.mecor = mecor.ci['Estimate'],
## Bxy.ci.upper.mecor = mecor.ci['UCI'],
## Bxy.ci.lower.mecor = mecor.ci['LCI'])
## )
fischer.info <- NA
ci.upper <- NA
ci.lower <- NA
tryCatch({fischer.info <- solve(mod.caroll.lik$hessian)
ci.upper <- coef + sqrt(diag(fischer.info)) * 1.96
ci.lower <- coef - sqrt(diag(fischer.info)) * 1.96
},
error=function(e) {result[['error']] <- as.character(e)
})
coef <- mod.caroll.lik$par
result <- append(result,
list(Bxy.est.mle = coef['x'],
Bxy.ci.upper.mle = ci.upper['x'],
Bxy.ci.lower.mle = ci.lower['x'],
Bzy.est.mle = coef['z'],
Bzy.ci.upper.mle = ci.upper['z'],
Bzy.ci.lower.mle = ci.lower['z']))
mod.zhang.lik <- zhang.mle.iv(df)
coef <- coef(mod.zhang.lik)
ci <- confint(mod.zhang.lik,method='quad')
result <- append(result,
list(Bxy.est.zhang = coef['Bxy'],
Bxy.ci.upper.zhang = ci['Bxy','97.5 %'],
Bxy.ci.lower.zhang = ci['Bxy','2.5 %'],
Bzy.est.zhang = coef['Bzy'],
Bzy.ci.upper.zhang = ci['Bzy','97.5 %'],
Bzy.ci.lower.zhang = ci['Bzy','2.5 %']))
## What if we can't observe k -- most realistic scenario. We can't include all the ML features in a model.
## amelia.out.nok <- amelia(df, m=200, p2s=0, idvars=c("x","w_pred"), noms=noms)
## mod.amelia.nok <- zelig(y~x.obs+g, model='ls', data=amelia.out.nok$imputations, cite=FALSE)
## (coefse <- combine_coef_se(mod.amelia.nok, messages=FALSE))
## est.x.mi <- coefse['x.obs','Estimate']
## est.x.se <- coefse['x.obs','Std.Error']
## result <- append(result,
## list(Bxy.est.amelia.nok = est.x.mi,
## Bxy.ci.upper.amelia.nok = est.x.mi + 1.96 * est.x.se,
## Bxy.ci.lower.amelia.nok = est.x.mi - 1.96 * est.x.se
## ))
## est.g.mi <- coefse['g','Estimate']
## est.g.se <- coefse['g','Std.Error']
## result <- append(result,
## list(Bgy.est.amelia.nok = est.g.mi,
## Bgy.ci.upper.amelia.nok = est.g.mi + 1.96 * est.g.se,
## Bgy.ci.lower.amelia.nok = est.g.mi - 1.96 * est.g.se
## ))
N <- nrow(df)
m <- nrow(df[!is.na(x.obs)])
p <- v <- train <- rep(0,N)
M <- m
p[(M+1):(N)] <- 1
v[1:(M)] <- 1
df <- df[order(x.obs)]
y <- df[,y]
x <- df[,x.obs]
z <- df[,z]
w <- df[,w_pred]
# gmm gets pretty close
(gmm.res <- predicted_covariates(y, x, z, w, v, train, p, max_iter=100, verbose=TRUE))
result <- append(result,
list(Bxy.est.gmm = gmm.res$beta[1,1],
Bxy.ci.upper.gmm = gmm.res$confint[1,2],
Bxy.ci.lower.gmm = gmm.res$confint[1,1],
gmm.ER_pval = gmm.res$ER_pval
))
result <- append(result,
list(Bzy.est.gmm = gmm.res$beta[2,1],
Bzy.ci.upper.gmm = gmm.res$confint[2,2],
Bzy.ci.lower.gmm = gmm.res$confint[2,1]))
## tryCatch({
## mod.calibrated.mle <- mecor(y ~ MeasError(w_pred, reference = x.obs) + z, df, B=400, method='efficient')
## (mod.calibrated.mle)
## (mecor.ci <- summary(mod.calibrated.mle)$c$ci['x.obs',])
## result <- append(result, list(
## Bxy.est.mecor = mecor.ci['Estimate'],
## Bxy.ci.upper.mecor = mecor.ci['UCI'],
## Bxy.ci.lower.mecor = mecor.ci['LCI'])
## )
## (mecor.ci <- summary(mod.calibrated.mle)$c$ci['z',])
## result <- append(result, list(
## Bzy.est.mecor = mecor.ci['Estimate'],
## Bzy.ci.upper.mecor = mecor.ci['UCI'],
## Bzy.ci.lower.mecor = mecor.ci['LCI'])
## )
## },
## error = function(e){
## message("An error occurred:\n",e)
## result$error <- paste0(result$error, '\n', e)
## }
## )
## clean up memory
## rm(list=c("df","y","x","g","w","v","train","p","amelia.out.k","amelia.out.nok", "mod.calibrated.mle","gmm.res","mod.amelia.k","mod.amelia.nok", "model.true","model.naive","model.feasible"))
## gc()
return(result)
}