R: Alternative to log parameterization for variance components

notExp2 {mgcv} | R Documentation

## Alternative to log parameterization for variance components

### Description

`notLog2` and `notExp2` are alternatives to `log` and `exp` or `notLog` and `notExp` for re-parameterization of variance parameters. They are used by the `pdTens` and `pdIdnot` classes which in turn implement smooths for `gamm`.

The functions are typically used to ensure that smoothing parameters are positive, but the `notExp2` is not monotonic: rather it cycles between ‘effective zero’ and ‘effective infinity’ as its argument changes. The `notLog2` is the inverse function of the `notExp2` only over an interval centered on zero.

Parameterizations using these functions ensure that estimated smoothing parameters remain positive, but also help to ensure that the likelihood is never indefinite: once a working parameter pushes a smoothing parameter below ‘effetive zero’ or above ‘effective infinity’ the cyclic nature of the `notExp2` causes the likelihood to decrease, where otherwise it might simply have flattened.

This parameterization is really just a numerical trick, in order to get `lme` to fit `gamm` models, without failing due to indefiniteness. Note in particular that asymptotic results on the likelihood/REML criterion are not invalidated by the trick, unless parameter estimates end up close to the effective zero or effective infinity: but if this is the case then the asymptotics would also have been invalid for a conventional monotonic parameterization.

This reparameterization was made necessary by some modifications to the underlying optimization method in `lme` introduced in nlme 3.1-62. It is possible that future releases will return to the `notExp` parameterization.

Note that you can reset ‘effective zero’ and ‘effective infinity’: see below.

### Usage

    notExp2(x,d=.Options$mgcv.vc.logrange,b=1/d)

    notLog2(x,d=.Options$mgcv.vc.logrange,b=1/d)

### Arguments

`x` | Argument array of real numbers (`notExp`) or positive real numbers (`notLog`).
`d` | the range of `notExp2` runs from `exp(-d)` to `exp(d)`. To change the range used by `gamm` reset `mgcv.vc.logrange` using `options`.
`b` | determines the period of the cycle of `notExp2`.

### Value

An array of function values evaluated at the supplied argument values.

### Author(s)

Simon N. Wood simon.wood@r-project.org

### References

http://www.maths.bath.ac.uk/~sw283/

### See Also

`pdTens`, `pdIdnot`, `gamm`

### Examples

    ## Illustrate the notExp2 function:
    require(mgcv)
    x <- seq(-50,50,length=1000)
    op <- par(mfrow=c(2,2))
    plot(x,notExp2(x),type="l")
    lines(x,exp(x),col=2)
    plot(x,log(notExp2(x)),type="l")
    lines(x,log(exp(x)),col=2) # redundancy intended
    x <- x/4
    plot(x,notExp2(x),type="l")
    lines(x,exp(x),col=2)
    plot(x,log(notExp2(x)),type="l")
    lines(x,log(exp(x)),col=2) # redundancy intended
    par(op)

[Package mgcv version 1.8-3 Index]