# Maximum-likelihood estimation with the mixpoissonreg package

#### Alexandre B. Simas

#### 2021-03-08

# Fitting `mixpoissonreg` models via direct maximization of the likelihood function

In the `mixpoissonreg` package one can easily obtain estimates for the parameters of the model through direct maximization of likelihood function. This estimation procedure has the advantage of being very fast, so we recommend this estimation as an alternative when the EM-algorithm takes too long to converge. We use very good initial guesses using the `gamlss` function from the `gamlss` package.

One can obtain parameters estimates through direct maximization of the likelihood function by setting the `method` argument to “ML”:

    library(mixpoissonreg)

    fit_ml <- mixpoissonreg(daysabs ~ gender + math + prog, method = "ML",
                            data = Attendance, optim_controls = list(maxit=1))

    summary(fit_ml)
    #>
    #> Negative Binomial Regression - Maximum-Likelihood Estimation
    #>
    #> Call:
    #> mixpoissonreg(formula = daysabs ~ gender + math + prog, data = Attendance,
    #>     method = "ML", optim_controls = list(maxit = 1))
    #>
    #>
    #> Pearson residuals:
    #>      RSS      Min       1Q   Median       3Q      Max
    #> 345.7857  -0.9662  -0.7356  -0.3351   0.3132   5.5512
    #>
    #> Coefficients modeling the mean (with  link):
    #>                 Estimate Std.error z-value Pr(>|z|)
    #> (Intercept)     2.707564  0.203069  13.333  < 2e-16 ***
    #> gendermale     -0.211066  0.122373  -1.725   0.0846 .
    #> math           -0.006235  0.002491  -2.503   0.0123 *
    #> progAcademic   -0.424576  0.181772  -2.336   0.0195 *
    #> progVocational -1.252813  0.201381  -6.221 4.94e-10 ***
    #>
    #> Coefficients modeling the precision (with  link):
    #>             Estimate Std.error z-value Pr(>|z|)
    #> (Intercept)   1.0473    0.1082   9.675   <2e-16 ***
    #> ---
    #> Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
    #>
    #> Efron's pseudo R-squared:  0.1854615
    #> Number of function calls by 'optim' = 4

We are using the option `optim_controls = list(maxit=1)` to reduce computational cost.

These estimates can also be obtained by using the `mixpoissonregML` function:

    fit_ml2 <- mixpoissonregML(daysabs ~ gender + math + prog,
                            data = Attendance, optim_controls = list(maxit=1))

    summary(fit_ml2)
    #>
    #> Negative Binomial Regression - Maximum-Likelihood Estimation
    #>
    #> Call:
    #> mixpoissonregML(formula = daysabs ~ gender + math + prog, data = Attendance,
    #>     optim_controls = list(maxit = 1))
    #>
    #>
    #> Pearson residuals:
    #>      RSS      Min       1Q   Median       3Q      Max
    #> 345.7857  -0.9662  -0.7356  -0.3351   0.3132   5.5512
    #>
    #> Coefficients modeling the mean (with  link):
    #>                 Estimate Std.error z-value Pr(>|z|)
    #> (Intercept)     2.707564  0.203069  13.333  < 2e-16 ***
    #> gendermale     -0.211066  0.122373  -1.725   0.0846 .
    #> math           -0.006235  0.002491  -2.503   0.0123 *
    #> progAcademic   -0.424576  0.181772  -2.336   0.0195 *
    #> progVocational -1.252813  0.201381  -6.221 4.94e-10 ***
    #>
    #> Coefficients modeling the precision (with  link):
    #>             Estimate Std.error z-value Pr(>|z|)
    #> (Intercept)   1.0473    0.1082   9.675   <2e-16 ***
    #> ---
    #> Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
    #>
    #> Efron's pseudo R-squared:  0.1854615
    #> Number of function calls by 'optim' = 4

Notice that both of these methods produce identical estimates:

    identical(coef(fit_ml), coef(fit_ml2))
    #> [1] TRUE

Both of these functions return objects of class `mixpoissonreg` and therefore all these methods are available for them: `summary`, `plot`, `coef`, `predict`, `fitted`, `influence`, `hatvalues`, `cooks.distance`, `local_influence`, `local_influence`, `local_influence_plot`, `augment`, `glance`, `tidy`, `tidy_local_influence`, `local_influence_benchmarks`, `autoplot`, `local_influence_autoplot`. One can also use the `lrtest`, `waldtest`, `coeftest` and `coefci` methods from the `lmtest` package to them.

By using the structure `formula_1 | formula_2`, one can define a regression structure for the mean using `formula_1` (which must contain the reponse variable) and a regression structure for the precision parameter using `formula_2` (which must not contain the response variable). To fit a Poisson Inverse Gaussian regression model just set the `model` argument to “PIG”. To change the link function for the mean parameter by changing the `link.mean` parameter (the possible link functions for the mean are “log” and “sqrt”). Analogously, to change the link function for the precision parameter, one must change the `link.precision` parameter (the possible link functions for the precision parameter are “identity”, “log” and “inverse.sqrt”).

For instance:

    fit_ml_prec <- mixpoissonregML(daysabs ~ gender + math + prog | prog,
                            model = "PIG", data = Attendance,
                            optim_controls = list(maxit=1))

    autoplot(fit_ml_prec)

    local_influence_autoplot(fit_ml_prec)

    lmtest::lrtest(fit_ml_prec)
    #> Likelihood ratio test
    #>
    #> Model 1: daysabs ~ gender + math + prog | prog
    #> Model 2: daysabs ~ 1 | prog
    #>   #Df  LogLik Df  Chisq Pr(>Chisq)
    #> 1   8 -857.52
    #> 2   4 -877.37 -4 39.687  5.024e-08 ***
    #> ---
    #> Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

    fit_ml_reduced <- mixpoissonregML(daysabs ~ gender + math + prog,
                            model = "PIG", data = Attendance,
                            optim_controls = list(maxit=1))

    lmtest::lrtest(fit_ml_prec, fit_ml_reduced)
    #> Likelihood ratio test
    #>
    #> Model 1: daysabs ~ gender + math + prog | prog
    #> Model 2: daysabs ~ gender + math + prog | 1
    #>   #Df  LogLik Df Chisq Pr(>Chisq)
    #> 1   8 -857.52
    #> 2   6 -864.53 -2 14.01  0.0009075 ***
    #> ---
    #> Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Remark: Notice that when using the methods `lmtest::lrtest` and `lmtest::waldtest` to compare more than one model, all the models must be of the same type, that is, they all must be or Negative Binomial regression models or they all must be Poisson Inverse Gaussian regression models.

Finally, one can obtain simulated envelopes by setting the `envelope` argument to the number of draws to be simulated. If there are simulated envelopes, the Q-Q plot from the `plot` and `autoplot` methods will contain the envelopes and the `summary` method will print the percentage of observations within the simulated envelopes. For example:

    fit_ml_env <- mixpoissonregML(daysabs ~ gender + math + prog | prog,
                            model = "PIG", envelope = 10, data = Attendance,
                            optim_controls = list(maxit=1))

    summary(fit_ml_env)
    #>
    #> Poisson Inverse Gaussian Regression - Maximum-Likelihood Estimation
    #>
    #> Call:
    #> mixpoissonregML(formula = daysabs ~ gender + math + prog | prog,
    #>     data = Attendance, model = "PIG", envelope = 10, optim_controls = list(maxit = 1))
    #>
    #>
    #> Pearson residuals:
    #>      RSS      Min       1Q   Median       3Q      Max
    #> 239.2987  -1.0042  -0.6101  -0.3107   0.2734   4.2816
    #>
    #> Coefficients modeling the mean (with  link):
    #>                 Estimate Std.error z-value Pr(>|z|)
    #> (Intercept)     2.805150  0.162182  17.296  < 2e-16 ***
    #> gendermale     -0.282333  0.122772  -2.300  0.02147 *
    #> math           -0.007771  0.002398  -3.240  0.00120 **
    #> progAcademic   -0.422885  0.148011  -2.857  0.00428 **
    #> progVocational -1.215877  0.197261  -6.164  7.1e-10 ***
    #>
    #> Coefficients modeling the precision (with  link):
    #>                Estimate Std.error z-value Pr(>|z|)
    #> (Intercept)      0.9277    0.3308   2.805 0.005038 **
    #> progAcademic    -1.2799    0.3853  -3.322 0.000894 ***
    #> progVocational  -1.7440    0.4506  -3.870 0.000109 ***
    #> ---
    #> Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
    #>
    #> Efron's pseudo R-squared:  0.1858035
    #> Percentage of residuals within the envelope = 78.3439
    #> Number of function calls by 'optim' = 6

    plot(fit_ml_env, which = 2)

    autoplot(fit_ml_env, which = 2)

# Obtaining estimates without formulas

If one has a matrix `X` of mean-related covariates, optionally a matrix `W` of precision-related covariates, and a vector (or one-dimensional matrix) `y`, one can fit a Mixed Poisson Regression model estimated via direct maximization of the likelihood function without the usage of formulas by using the `mixpoissonreg.fit` (with `method` argument set to “ML”) or `mixpoissonregML.fit`.

Remark: It is important to notice that these functions do not return `mixpoissonreg` objects. Instead they return `mixpoissonreg_fit` objects. This means that several methods that are available for `mixpoissonreg` objects are not available for `mixpoissonreg_fit` objects.

    data("Attendance", package = "mixpoissonreg")

    X = cbind(1, Attendance$math)
    y = Attendance$daysabs

    mixpoissonregML.fit(X, y)$coefficients
    #> $mean
    #> [1]  2.24664356 -0.01033794
    #>
    #> $precision
    #> [1] 0.8558557

    W = X

    mixpoissonregML.fit(X, y, W)$coefficients
    #> $mean
    #> [1]  2.26894432 -0.01082254
    #>
    #> $precision
    #> [1]  0.182393957 -0.007273019