choose.k {mgcv}R Documentation

Basis dimension choice for smooths

Description

Choosing the basis dimension, and checking the choice, when using penalized regression smoothers.

Penalized regression smoothers gain computational efficiency by virtue of being defined using a basis of relatively modest size, k. When setting up models in the mgcv package, using s or te terms in a model formula, k must be chosen.

In practice k-1 sets the upper limit on the degrees of freedom associated with an s smooth (1 degree of freedom is lost to the identifiability constraint on the smooth). For te smooths the upper limit of the degrees of freedom is given by the product of the k values provided for each marginal smooth less one, for the constraint. However the actual effective degrees of freedom are controlled by the degree of penalization selected during fitting, by GCV, AIC or whatever is specified. The exception to this is if a smooth is specified using the fx=TRUE option, in which case it is unpenalized.

So, exact choice of k is not generally critical: it should be chosen to be large enough that you are reasonably sure of having enough degrees of freedom to represent the underlying `truth' reasonably well, but small enough to maintain reasonable computational efficiency. Clearly `large' and `small' are dependent on the particular problem being addressed.

As with all model assumptions, it is useful to be able to check the choice of k informally. If the effective degrees of freedom for a model term are estimated to be much less than k-1 then this is unlikely to be very worthwhile, but as the EDF approach k-1, checking can be important. A useful general purpose approach goes as follows: (i) fit your model and extract the deviance residuals; (ii) for each smooth term in your model, fit an equivalent, single, smooth to the residuals, using a substantially increased k to see if there is pattern in the residuals that could potentially be explained by increasing k. Examples are provided below.

More sophisticated approaches based on partial residuals are also possible.

One scenario that can cause confusion is this: a model is fitted with k=10 for a smooth term, and the EDF for the term is estimated as 7.6, some way below the maximum of 9. The model is then refitted with k=20 and the EDF increases to 8.7 - what is happening - how come the EDF was not 8.7 the first time around? The explanation is that the function space with k=20 contains a larger subspace of functions with EDF 8.7 than did the function space with k=10: one of the functions in this larger subspace fits the data a little better than did any function in the smaller subspace. These subtleties seldom have much impact on the statistical conclusions to be drawn from a model fit, however.

Author(s)

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

References

Wood, S.N. (2006) Generalized Additive Models: An Introduction with R. CRC.

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

Examples

## Simulate some data ....
library(mgcv)
set.seed(0) 
n<-400;sig<-2
x0 <- runif(n, 0, 1);x1 <- runif(n, 0, 1)
x2 <- runif(n, 0, 1);x3 <- runif(n, 0, 1)
f <- 2 * sin(pi * x0)
f <- f + exp(2 * x1) - 3.75887
f <- f+0.2*x2^11*(10*(1-x2))^6+10*(10*x2)^3*(1-x2)^10-1.396
e <- rnorm(n, 0, sig)
y <- f + e
## fit a GAM with quite low `k'
b<-gam(y~s(x0,k=6)+s(x1,k=6)+s(x2,k=6)+s(x3,k=6))
plot(b,pages=1)

## check for residual pattern, removeable by increasing `k'
## typically `k', below, chould be substantially larger than 
## the original, `k' but certainly less than n/2.
## Note use of cheap "cs" shrinkage smoothers, and gamma=1.4
## to reduce chance of overfitting...
rsd <- residuals(b)
gam(rsd~s(x0,k=40,bs="cs"),gamma=1.4) ## fine
gam(rsd~s(x1,k=40,bs="cs"),gamma=1.4) ## fine
gam(rsd~s(x2,k=40,bs="cs"),gamma=1.4) ## original `k' too low
gam(rsd~s(x3,k=40,bs="cs"),gamma=1.4) ## fine

## similar example with multi-dimensional smooth
b1 <- gam(y~s(x0)+s(x1,x2,k=15)+s(x3))
rsd <- residuals(b1)
gam(rsd~s(x0,k=40,bs="cs"),gamma=1.4) ## fine
gam(rsd~s(x1,x2,k=100,bs="ts"),gamma=1.4) ## original `k' too low
gam(rsd~s(x3,k=40,bs="cs"),gamma=1.4) ## fine
 
## and a `te' example
b2 <- gam(y~s(x0)+te(x1,x2,k=4)+s(x3))
rsd <- residuals(b2)
gam(rsd~s(x0,k=40,bs="cs"),gamma=1.4) ## fine
gam(rsd~te(x1,x2,k=10,bs="cs"),gamma=1.4) ## original `k' too low
gam(rsd~s(x3,k=40,bs="cs"),gamma=1.4) ## fine

## same approach works with other families in the original model
g<-exp(f/4)
y<-rpois(rep(1,n),g)
bp<-gam(y~s(x0,k=6)+s(x1,k=6)+s(x2,k=6)+s(x3,k=6),family=poisson)
rsd <- residuals(bp)
gam(rsd~s(x0,k=40,bs="cs"),gamma=1.4) ## fine
gam(rsd~s(x1,k=40,bs="cs"),gamma=1.4) ## fine
gam(rsd~s(x2,k=40,bs="cs"),gamma=1.4) ## original `k' too low
gam(rsd~s(x3,k=40,bs="cs"),gamma=1.4) ## fine
 

[Package mgcv version 1.3-23 Index]