Leaving the universe of linear models, we start to venture into generalized linear models (GLM). The fourth of these is robust regression.
A regression with count data behaves exactly like a linear model: it makes a prediction simply by computing a weighted sum of the independent variables by the estimated coefficients , plus an intercept . However, instead of using a Gaussian/normal likelihood function, it uses a Student- likelihood function.
We use robust regression in the same context as linear regression: our dependent variable is continuous. But robust regression allows us to better handle outliers in our data.
Before we dive in the nuts and bolts of robust regression let's remember the Gaussian/normal curve that has a bell shape (figure below). It does not have a "fat tail" (or sometimes known as "long tail"). In other words, the observations are not far from the mean. When we use this distribution as a likelihood function in the Bayesian models, we force that all estimates must be conditioned into a normal distribution of the dependent variable. If there are many outliers in the data (observations quite far from the mean), this causes the estimates of the independent variables' coefficients to be unstable. This is because the normal distribution cannot contemplate observations that are very spread away from the mean without having to change the mean's position (or location). In other words, the bell curve needs to "shift" to be able to contemplate outliers, thus making the inference unstable.
using StatsPlots, Distributions, LaTeXStrings plot(Normal(0, 1), lw=5, label=false, xlabel=L"x", ylabel="Density")
So we need a more "malleable" distribution as a likelihood function. A distribution that is more robust to outliers. A distribution similar to Normal but that has "fatter" (or "longer") tails to precisely contemplate observations very far from the average without having to "shift" the mean's position (or location). For that we have the Student- distribution. See the figure below to remember its shape.
plot(TDist(2), lw=5, label=false, xlabel=L"x", ylabel="Density", xlims=(-4, 4))
Take a look at the tails in the comparison below:
plot(Normal(0, 1), lw=5, label="Normal", xlabel=L"x", ylabel="Density", xlims=(-4, 4)) plot!(TDist(2), lw=5, label="Student")
The standard approach for modeling a continuous dependent variable is with a Gaussian/normal likelihood function. This implies that the model error, of the Gaussian/normal likelihood function is distributed as a normal distribution:
From a Bayesian point of view, there is nothing special about Gaussian/normal likelihood function It is just a probabilistic distribution specified in a model. We can make the model more robust by using a Student- distribution as a likelihood function. This implies that the model error, does not follow a normal distribution, instead it follows a Student- distribution:
Here are some differences:
Student- likelihood function requires one additional parameter: , degrees of freedom. These control how "fat" (or "long") the tails will be. Values of forces the Student- distribution to practically become a normal distribution.
There is nothing special about . It is just another parameter for the model to estimate. So just specify a prior on it. In this case, I am using a Log-Normal distribution with mean 2 and standard deviation 1.
Note that there is also nothing special about the priors of the coefficients or the intercept . We could very well also specify other distributions as priors or even make the model even more robust to outliers by specifying priors as Student- distributions:
Our goal is to instantiate a regression with count data using the observed data ( and ) and find the posterior distribution of our model's parameters of interest ( and ). This means to find the full posterior distribution of:
This is easily accomplished with Turing:
using Turing using Statistics: mean, std using StatsBase: mad using Random: seed! seed!(123) function robustreg(X, y; predictors=size(X, 2)) #priors νₐ ~ LogNormal(1, 1) νᵦ ~ LogNormal(1, 1) α ~ LocationScale(median(y), 2.5 * mad(y), TDist(νₐ)) β ~ filldist(TDist(νᵦ), predictors) σ ~ Exponential(1) ν ~ LogNormal(2, 1) #likelihood y ~ arraydist(LocationScale.(α .+ X * β, σ, TDist.(ν))) end;
Here I am specifying very weakly informative priors:
– This means a Student- distribution centered on
y's median with variance 2.5 times the mean absolute deviation (MAD) of
y. That prior should with ease cover all possible values of . Remember that the Student- distribution has support over all the real number line . The
LocationScale()Turing's function adds location and scale parameters to distributions that doesn't have it. This is the case with the
TDist()distribution which only takes the
νdegrees of of freedom as parameter.
– The predictors all have a prior distribution of a Student- distribution centered on 0 with variance 1 and degrees of freedom . That wide-tailed distribution will cover all possible values for our coefficients. Remember the Student- also has support over all the real number line . Also the
filldist()is a nice Turing's function which takes any univariate or multivariate distribution and returns another distribution that repeats the input distribution.
– A wide-tailed-positive-only distribution perfectly suited for our model's error.
arraydist() function wraps an array of distributions returning a new distribution sampling from the individual distributions. It creates a broadcast and is a nice short hand for the familiar dot
. broadcasting operator in Julia. By specifying that
y vector is "broadcasted distributed" as a
LocationScale broadcasted to mean (location parameter)
α added to the product of the data matrix
β coefficient vector along with a variance (scale parameter)
σ. To conclude, we place inside the
LocationScale a broadcasted
ν degrees of freedom parameter.
For our example, I will use a famous dataset called
duncan (Duncan, 1961), which is data from occupation's prestige filled with outliers. It has 45 observations and the following variables:
profession: name of the profession.
type: type of occupation. A qualitative variable:
prof- professional or management.
income: percentage of people in the occupation earning over U$ 3,500 per year in 1950 (more or less U$ 36,000 in 2017).
education: percentage of people in the occupation who had a high school diploma in 1949 (which, being cynical, we can say is somewhat equivalent to a PhD degree in 2017).
prestige: percentage of respondents in the survey who classified their occupation as at least "good" with respect to prestige.
Ok let's read our data with
CSV.jl and output into a
using DataFrames, CSV, HTTP url = "https://raw.githubusercontent.com/storopoli/Bayesian-Julia/master/datasets/duncan.csv" duncan = CSV.read(HTTP.get(url).body, DataFrame) describe(duncan)
5×7 DataFrame Row │ variable mean min median max nmissing eltype │ Symbol Union… Any Union… Any Int64 DataType ─────┼────────────────────────────────────────────────────────────────────────────── 1 │ profession RR.engineer welfare.worker 0 String31 2 │ type bc wc 0 String7 3 │ income 41.8667 7 42.0 81 0 Int64 4 │ education 52.5556 7 45.0 100 0 Int64 5 │ prestige 47.6889 3 41.0 97 0 Int64
As you can see from the
describe() output the average occupation's percentage of respondents who classified their occupation as at least "good" with respect to prestige is around 41%. But
prestige variable is very dispersed and actually has a bimodal distribution:
false)duncan density(:prestige, label=
Besides that, the mean
type shows us where the source of variation might come from:
gdf_type = groupby(duncan, :type) false)combine(gdf_type, :prestige => mean) bar(:type, :prestige_mean, label=
Now let's us instantiate our model with the data:
X = Matrix(select(duncan, [:income, :education])) y = duncan[:, :prestige] model = robustreg(X, y);
And, finally, we will sample from the Turing model. We will be using the default
NUTS() sampler with
1_000 samples, with 4 Markov chains using multiple threads
chain = sample(model, NUTS(), MCMCThreads(), 1_000, 4) summarystats(chain)
Summary Statistics parameters mean std naive_se mcse ess rhat ess_per_sec Symbol Float64 Float64 Float64 Float64 Float64 Float64 Float64 νₐ 4.9873 6.0550 0.0957 0.1050 3185.2573 0.9992 75.0443 νᵦ 5.4128 6.2100 0.0982 0.1227 2862.0230 1.0005 67.4290 α -7.5754 3.0462 0.0482 0.0580 2505.3085 1.0004 59.0248 β 0.7724 0.1050 0.0017 0.0023 1779.2219 1.0006 41.9183 β 0.4450 0.0833 0.0013 0.0016 2062.5439 1.0007 48.5933 σ 7.2512 1.7522 0.0277 0.0472 1130.9251 1.0024 26.6445 ν 3.0584 3.1243 0.0494 0.0886 1208.8858 1.0012 28.4812
We had no problem with the Markov chains as all the
rhat are well below
1.01 (or above
0.99). Also note that all degrees of freedom parameters, the
ν stuff, have been estimated with mean around 3 to 5, which indeed signals that our model needed fat tails to make a robust inference. Our model has an error
σ of around 7. So it estimates occupation's prestige ±7. The intercept
α is the basal occupation's prestige value. So each occupation has -7±7 prestige before we add the coefficients multiplied by the occupations' independent variables. And from our coefficients , we can see that the
quantile() tells us the uncertainty around their estimates:
Quantiles parameters 2.5% 25.0% 50.0% 75.0% 97.5% Symbol Float64 Float64 Float64 Float64 Float64 νₐ 0.4477 1.5693 3.0677 5.9586 21.8974 νᵦ 0.6020 1.8820 3.4377 6.5640 21.9586 α -13.5554 -9.5811 -7.5878 -5.5675 -1.5194 β 0.5320 0.7123 0.7796 0.8385 0.9635 β 0.2820 0.3930 0.4431 0.4951 0.6196 σ 4.1552 6.0096 7.0857 8.3330 11.0547 ν 1.0048 1.6622 2.2567 3.2677 10.6477
β– first column of
income, has 95% credible interval from 0.55 to 0.96. This means that an increase of U$ 1,000 in occupations' annual income is associated with an increase in roughly 0.5 to 1.0 in occupation's prestige.
β– second column of
education, has a 95% credible interval from 0.29 to 0.61. So we expect that an increase of 1% in occupations' percentage of respondents who had a high school diploma increases occupations' prestige roughly 0.3 to 0.6.
That's how you interpret 95% credible intervals from a
quantile() output of a robust regression
Duncan, O. D. (1961). A socioeconomic index for all occupations. Class: Critical Concepts, 1, 388–426.