R devel - Jul 2018 - Should there be a confint.mlm ?

It seems that confint.default returns an empty data.frame for objects of
class mlm. For example:

```
nobs <- 20
set.seed(1234)
# some fake data
datf <-
data.frame(x1=rnorm(nobs),x2=runif(nobs),y1=rnorm(nobs),y2=rnorm(nobs))
fitm <- lm(cbind(y1,y2) ~ x1 + x2,data=datf)
confint(fitm)
# returns:
     2.5 % 97.5 %
```

I have seen proposed workarounds on stackoverflow and elsewhere, but
suspect this should be fixed in the stats package. A proposed
implementation would be:

```
# I need this to run the code, but stats does not:
format.perc <- stats:::format.perc

# compute confidence intervals for mlm object.
confint.mlm <- function (object, level = 0.95, ...) {
  cf <- coef(object)
  ncfs <- as.numeric(cf)
  a <- (1 - level)/2
  a <- c(a, 1 - a)
  fac <- qt(a, object$df.residual)
  pct <- format.perc(a, 3)
  ses <- sqrt(diag(vcov(object)))
  ci <- ncfs + ses %o% fac
  setNames(data.frame(ci),pct)
}

# returning to the example above,
confint(fitm)
# returns:
                 2.5 % 97.5 %
y1:(Intercept) -1.2261 0.7037
y1:x1          -0.5100 0.2868
y1:x2          -2.7554 0.8736
y2:(Intercept) -0.6980 2.2182
y2:x1          -0.6162 0.5879
y2:x2          -3.9724 1.5114
```




-- 

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>>>>> steven pav 
>>>>>     on Thu, 19 Jul 2018 21:51:07 -0700 writes:
    > It seems that confint.default returns an empty data.frame
    > for objects of class mlm. For example:
> It seems that confint.default returns an empty data.frame for objects of
> class mlm.
Not quite: Note that 'mlm' objects are also 'lm' objects, and so
it is confint.lm() which is called here and fails.
> For example:
> 
> ```
> nobs <- 20
> set.seed(1234)
> # some fake data
> datf <-
> data.frame(x1=rnorm(nobs),x2=runif(nobs),y1=rnorm(nobs),y2=rnorm(nobs))
> fitm <- lm(cbind(y1,y2) ~ x1 + x2,data=datf)
> confint(fitm)
> # returns:
>      2.5 % 97.5 %
> ```
> 
> I have seen proposed workarounds on stackoverflow and elsewhere, but
> suspect this should be fixed in the stats package. 
I agree.
It may be nicer to tweak  confint.lm() instead though.

I'm looking into doing that.
> A proposed implementation would be:
> 
> ```
> # I need this to run the code, but stats does not:
> format.perc <- stats:::format.perc
or better (mainly for esthetical reasons), use

  environment(confint.mlm) <- asNamespace("stats")

after defining  confint.mlm [below]
> # compute confidence intervals for mlm object.
> confint.mlm <- function (object, level = 0.95, ...) {
>   cf <- coef(object)
>   ncfs <- as.numeric(cf)
>   a <- (1 - level)/2
>   a <- c(a, 1 - a)
>   fac <- qt(a, object$df.residual)
>   pct <- format.perc(a, 3)
>   ses <- sqrt(diag(vcov(object)))
           ^^^^^^^^^^^^^^^^^^^^^^^^
BTW --- and this is a diversion ---  This is nice mathematically
    (and used in other places, also in "base R" I think)
but in principle is a waste:  Computing a full 
k x k matrix and then throwing away all but the length-k
diagonal ...
In the past I had contemplated but never RFC'ed or really
implemented a stderr() generic with default method

   stderr.default <- function(object) sqrt(diag(vcov(object)))

but allow non-default methods to be smarter and hence more efficient.
>   ci <- ncfs + ses %o% fac
>   setNames(data.frame(ci),pct)
> }
> 
> # returning to the example above,
> confint(fitm)
> # returns:
>                  2.5 % 97.5 %
> y1:(Intercept) -1.2261 0.7037
> y1:x1          -0.5100 0.2868
> y1:x2          -2.7554 0.8736
> y2:(Intercept) -0.6980 2.2182
> y2:x1          -0.6162 0.5879
> y2:x2          -3.9724 1.5114
> ```
I'm looking into a relatively small patch to confint.lm()
*instead* of the confint.mlm() above

Thank you very much, Steven, for your proposal!
I will let you (and the R-devel audience) know the outcome.

Best regards,
Martin Maechler
ETH Zurich  and  R Core Team
> -- 
> 
> --sep
> 
> 	[[alternative HTML version deleted]]
>

I would welcome the fixes suggested by Martin. I did not think my
implementation was pretty, but didn't want to suggest a bugfix without
submitting code.

Regarding the idea of a `stderr` function, I am all for potential
efficiency gains, but I suspect that in many situations `vcov` is the
result of a matrix inversion. This might mean an 'efficient computation of
only the diagonal of the inverse of a matrix' function would be required to
achieve widespread use. (I am not aware of the algorithm for that, but I am
ignorant.)

Again, thanks for patching `confint.lm`.


On Fri, Jul 20, 2018 at 9:06 AM, Martin Maechler <maechler at
stat.math.ethz.ch
> wrote:
> >>>>> steven pav
> >>>>>     on Thu, 19 Jul 2018 21:51:07 -0700 writes:
>
>     > It seems that confint.default returns an empty data.frame
>     > for objects of class mlm. For example:
>
> > It seems that confint.default returns an empty data.frame for objects
of
> > class mlm.
>
> Not quite: Note that 'mlm' objects are also 'lm' objects,
and so
> it is confint.lm() which is called here and fails.
>
> > For example:
> >
> > ```
> > nobs <- 20
> > set.seed(1234)
> > # some fake data
> > datf <-
> >
data.frame(x1=rnorm(nobs),x2=runif(nobs),y1=rnorm(nobs),y2=rnorm(nobs))
> > fitm <- lm(cbind(y1,y2) ~ x1 + x2,data=datf)
> > confint(fitm)
> > # returns:
> >      2.5 % 97.5 %
> > ```
> >
> > I have seen proposed workarounds on stackoverflow and elsewhere, but
> > suspect this should be fixed in the stats package.
>
> I agree.
> It may be nicer to tweak  confint.lm() instead though.
>
> I'm looking into doing that.
>
> > A proposed implementation would be:
> >
> > ```
> > # I need this to run the code, but stats does not:
> > format.perc <- stats:::format.perc
>
> or better (mainly for esthetical reasons), use
>
>   environment(confint.mlm) <- asNamespace("stats")
>
> after defining  confint.mlm [below]
>
> > # compute confidence intervals for mlm object.
> > confint.mlm <- function (object, level = 0.95, ...) {
> >   cf <- coef(object)
> >   ncfs <- as.numeric(cf)
> >   a <- (1 - level)/2
> >   a <- c(a, 1 - a)
> >   fac <- qt(a, object$df.residual)
> >   pct <- format.perc(a, 3)
> >   ses <- sqrt(diag(vcov(object)))
>            ^^^^^^^^^^^^^^^^^^^^^^^^
> BTW --- and this is a diversion ---  This is nice mathematically
>     (and used in other places, also in "base R" I think)
> but in principle is a waste:  Computing a full
> k x k matrix and then throwing away all but the length-k
> diagonal ...
> In the past I had contemplated but never RFC'ed or really
> implemented a stderr() generic with default method
>
>    stderr.default <- function(object) sqrt(diag(vcov(object)))
>
> but allow non-default methods to be smarter and hence more efficient.
>
> >   ci <- ncfs + ses %o% fac
> >   setNames(data.frame(ci),pct)
> > }
> >
> > # returning to the example above,
> > confint(fitm)
> > # returns:
> >                  2.5 % 97.5 %
> > y1:(Intercept) -1.2261 0.7037
> > y1:x1          -0.5100 0.2868
> > y1:x2          -2.7554 0.8736
> > y2:(Intercept) -0.6980 2.2182
> > y2:x1          -0.6162 0.5879
> > y2:x2          -3.9724 1.5114
> > ```
>
> I'm looking into a relatively small patch to confint.lm()
> *instead* of the confint.mlm() above
>
> Thank you very much, Steven, for your proposal!
> I will let you (and the R-devel audience) know the outcome.
>
> Best regards,
> Martin Maechler
> ETH Zurich  and  R Core Team
>
> > --
> >
> > --sep
> >
> >       [[alternative HTML version deleted]]
> >
>


-- 

--sep

	[[alternative HTML version deleted]]

> BTW --- and this is a diversion ---  This is nice mathematically
>      (and used in other places, also in "base R" I think)
> but in principle is a waste:  Computing a full
> k x k matrix and then throwing away all but the length-k
> diagonal ...
> In the past I had contemplated but never RFC'ed or really
> implemented a stderr() generic with default method
>
>     stderr.default <- function(object) sqrt(diag(vcov(object)))
>
> but allow non-default methods to be smarter and hence more efficient.
>
A fine idea for sure, but perhaps use a different name in order to avoid 
conflicts with:

 > base::stderr
function ()
.Internal(stderr())
<bytecode: 0x32e1e98>
<environment: namespace:base>