Estimates profile likelihood confidence intervals of parameters in a linear or generalized linear model (V.M. Cave).
|Controls printed output (
||What to plot (
||Number of decimal places for printing|
||Probability for the confidence intervals; default 0.95|
||Defines the range of values over which to evaluate a parameter’s profile likelihood; default 3|
||Defines the number of values at which to evaluate a parameter’s profile likelihood initially; default 10|
||Defines the number of extra values to evaluate the profile likelihoods at, within the neighbourhoods of the confidence limits identified during the initial scan as defined by
||Regression save structure to provide the information on the regression model; default * uses the most recently fitted regression model|
||Model terms for which profile likelihood confidence intervals of their parameters are to be estimated; if unset, intervals are produced for all parameters in the model|
||Pointer that saves the lower and upper limits of the profile likelihood intervals, along with the parameter estimates and a label identifying the parameters|
RPLCONFIDENCE estimates profile likelihood confidence intervals for parameters in a linear or generalized linear model. The model must have been fitted already using the regression commands
FIT in the usual way. By default, the confidence intervals are produced for the most recent regression analysis. However, you can use the
SAVE option to specify the save structure from another regression analysis (see the
SAVE option of
RPLCONFIDENCE produces profile likelihood confidence intervals for all parameters in the model. However, you can use the
TERMS parameter to request confidence intervals for just the parameters associated with a specific set of model terms. The confidence interval for the constant (if included in the model) is produced by setting
The probability for the confidence intervals is specified by the
CIPROBABILITY option; the default 0.95 gives 95% confidence intervals.
To estimate the profile likelihood confidence interval of a parameter,
RPLCONFIDENCE refits the model with the parameter fixed at a given value, and then computes the change in deviance between this model and the one where the parameter has been estimated as per normal. This process is repeated across a range of values for the parameter, aimed to be broad enough to include its lower and upper confidence limits. These changes in deviance are then compared to the critical value for the
CIPROBABILITY × 100th percentile of the chi-square distribution on 1 degree of freedom, and the confidence limits are estimated by interpolating between the fixed values for the parameter that resulted in deviance changes closest to this critical value. The procedure uses the
INTERPOLATE directive to perform cubic interpolation, or linear interpolation if cubic interpolation is not possible.
The range of values over which
RPLCONFIDENCE evaluates the profile likelihood of a parameter is defined by the option
RANGE, in either a scalar, variate or matrix. If a scalar is supplied, this specifies a multiplier of the standard error of the parameter estimate, and points are evaluated at this multiple of the standard error, in both the positive and negative directions from the parameter estimate. Alternatively, if a variate is supplied, it must have two values, specifying the deviations in the negative and positive directions from the parameter estimate, respectively. Finally, if a matrix is supplied, it must have two columns and the same number of rows as confidence intervals being constructed. The value in the first column of the ith row specifies the deviation in the negative direction from parameter estimate i and the value in the second column of the ith row specifies the deviation in the positive direction from parameter estimate i. The default of three evaluates the profile likelihood at points ranging to three times the standard error of the parameter estimate in both the negative and positive directions. In general, this default works well, however for very skewed or flat profile likelihoods, a more appropriate
RANGE will need to be specified.
NPOINTS option specifies the number of points where the profile likelihood is evaluated initially, in both the negative and positive directions from the parameter estimate. The default is 10. That is, 10 evenly spaced values between the lower bound defined by
RANGE, up to (but not including) the parameter estimate, are evaluated in order to estimate the lower limit of the confidence interval. Similarly, 10 evenly spaced values between the upper bound defined by
RANGE, down to (but not including) the parameter estimate, are evaluated in order to estimate the upper limit of the confidence interval.
To get more accurate estimates of the confidence limits, a finer search of the profile likelihood can be performed by setting the option
NEXTRAPOINTS to an integer greater than 0. The profile likelihood at
NEXTRAPOINTS is then evaluated around the neighbourhoods of both the lower and upper confidence limits identified during the initial search (as defined by
NPOINTS). For example, if the initial search identified that the lower limit was located between the values of 1 and 3,
NEXTRAPOINTS=4 would result in the profile likelihood being further evaluated at 1.4, 1.8, 2.2, 2.6. Setting
NEXTRAPOINTS=0 means a finer scan is not performed; default 10.
Printed output is controlled by the
RPLCONFIDENCE prints the profile likelihood confidence intervals, but you can suppress this by setting option
PRINT=*. The number of decimals places to appear in the printed output can be set using the
PLOT option allows you to request plots of the results, using the following settings.
profiles for a plot of each parameter’s profile likelihood. Superimposed onto these plots are a horizontal reference line at the critical value (in red), vertical projections from the critical value to the estimated confidence limits (also in red) and a vertical reference line at the parameter estimate (green dotted). Blue crosses on the profile plot indicate fixed values for the parameter at which the regression model failed to successfully fit.
intervals for a plot of the estimated profile likelihood confidence intervals. By default, no plots are produced.
CISAVE parameter can supply a pointer to store the results. The elements of the pointer are labelled as follows:
'label' text structure storing labels to identify the parameters,
'estimate' variate storing the parameter estimates,
'lower' variate storing the lower limits of the profile likelihood intervals for the parameters,
'upper' variate storing the upper limits of the profile likelihood intervals for the parameters.
The procedure accommodates most linear and generalized linear models defined by the
MODEL directive, except for models with a user defined (i.e.
LINK function, a multinomial distribution or an absorbing factor (i.e. when the
GROUPS option is used). In addition, although the model formula defined by the
FIT directive may include
COMPARISON functions, it must not include
CAPTION 'RPLCONFIDENCE example'; STYLE=meta " Fit a linear regression model " SPLOAD '%Data%/Sulphur.gsh' CALCULATE LogSulphur = LOG10(Sulphur+0.5) MODEL LogSulphur FIT Windsp*Rain RPLCONFIDENCE [PLOT=profiles,intervals] " Fit a GLM - logistic regression" SPLOAD '%Data%/Drug.gsh' CALCULATE LogDose = LOG10(Dose) MODEL [DISTRIBUTION=binomial; LINK=Probit] R; NBINOMIAL=N FIT LogDose*Drug RPLCONFIDENCE [PLOT=profiles,intervals]