R: Choose a model by AIC in a Stepwise Algorithm

stepAIC {MASS} | R Documentation

## Choose a model by AIC in a Stepwise Algorithm

### Description

Performs stepwise model selection by AIC.

### Usage

    stepAIC(object, scope, scale = 0,
            direction = c("both", "backward", "forward"),
            trace = 1, keep = NULL, steps = 1000, use.start = FALSE,
            k = 2, ...)

### Arguments

`object` | an object representing a model of an appropriate class. This is used as the initial model in the stepwise search.
`scope` | defines the range of models examined in the stepwise search. This should be either a single formula, or a list containing components `upper` and `lower`, both formulae. See the details for how to specify the formulae and how they are used.
`scale` | used in the definition of the AIC statistic for selecting the models, currently only for `lm` and `aov` models (see `extractAIC` for details).
`direction` | the mode of stepwise search, can be one of `"both"`, `"backward"`, or `"forward"`, with a default of `"both"`. If the `scope` argument is missing the default for `direction` is `"backward"`.
`trace` | if positive, information is printed during the running of `stepAIC`. Larger values may give more information on the fitting process.
`keep` | a filter function whose input is a fitted model object and the associated `AIC` statistic, and whose output is arbitrary. Typically `keep` will select a subset of the components of the object and return them. The default is not to keep anything.
`steps` | the maximum number of steps to be considered. The default is 1000 (essentially as many as required). It is typically used to stop the process early.
`use.start` | if true the updated fits are done starting at the linear predictor for the currently selected model. This may speed up the iterative calculations for `glm` (and other fits), but it can also slow them down. Not used in R.
`k` | the multiple of the number of degrees of freedom used for the penalty. Only `k = 2` gives the genuine AIC: `k = log(n)` is sometimes referred to as BIC or SBC.
`...` | any additional arguments to `extractAIC`. (None are currently used.)

### Details

The set of models searched is determined by the `scope` argument. The right-hand-side of its `lower` component is always included in the model, and right-hand-side of the model is included in the `upper` component. If `scope` is a single formula, it specifies the `upper` component, and the `lower` model is empty. If `scope` is missing, the initial model is used as the `upper` model.

Models specified by `scope` can be templates to update `object` as used by `update.formula`.

There is a potential problem in using `glm` fits with a variable `scale`, as in that case the deviance is not simply related to the maximized log-likelihood. The `glm` method for `extractAIC` makes the appropriate adjustment for a `gaussian` family, but may need to be amended for other cases. (The `binomial` and `poisson` families have fixed `scale` by default and do not correspond to a particular maximum-likelihood problem for variable `scale`.)

Where a conventional deviance exists (e.g. for `lm`, `aov` and `glm` fits) this is quoted in the analysis of variance table: it is the unscaled deviance.

### Value

the stepwise-selected model is returned, with up to two additional components. There is an `"anova"` component corresponding to the steps taken in the search, as well as a `"keep"` component if the `keep=` argument was supplied in the call. The `"Resid. Dev"` column of the analysis of deviance table refers to a constant minus twice the maximized log likelihood: it will be a deviance only in cases where a saturated model is well-defined (thus excluding `lm`, `aov` and `survreg` fits, for example).

### Note

The model fitting must apply the models to the same dataset. This may be a problem if there are missing values and an `na.action` other than `na.fail` is used (as is the default in R). We suggest you remove the missing values first.

### References

Venables, W. N. and Ripley, B. D. (2002) Modern Applied Statistics with S. Fourth edition. Springer.

### See Also

`addterm`, `dropterm`, `step`

### Examples

    quine.hi <- aov(log(Days + 2.5) ~ .^4, quine)
    quine.nxt <- update(quine.hi, . ~ . - Eth:Sex:Age:Lrn)
    quine.stp <- stepAIC(quine.nxt,
        scope = list(upper = ~Eth*Sex*Age*Lrn, lower = ~1),
        trace = FALSE)
    quine.stp$anova

    cpus1 <- cpus
    for(v in names(cpus)[2:7])
      cpus1[[v]] <- cut(cpus[[v]], unique(quantile(cpus[[v]])),
                        include.lowest = TRUE)
    cpus0 <- cpus1[, 2:8]  # excludes names, authors' predictions
    cpus.samp <- sample(1:209, 100)
    cpus.lm <- lm(log10(perf) ~ ., data = cpus1[cpus.samp,2:8])
    cpus.lm2 <- stepAIC(cpus.lm, trace = FALSE)
    cpus.lm2$anova

    example(birthwt)
    birthwt.glm <- glm(low ~ ., family = binomial, data = bwt)
    birthwt.step <- stepAIC(birthwt.glm, trace = FALSE)
    birthwt.step$anova
    birthwt.step2 <- stepAIC(birthwt.glm, ~ .^2 + I(scale(age)^2)
        + I(scale(lwt)^2), trace = FALSE)
    birthwt.step2$anova

    quine.nb <- glm.nb(Days ~ .^4, data = quine)
    quine.nb2 <- stepAIC(quine.nb)
    quine.nb2$anova

[Package MASS version 7.3-35 Index]