The Linear Model 4: *F* Awakens

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# The Linear Model 4: F Awakens
### Dr Jennifer Mankin
### 28 March 2022

---

]

- **LM2:** &nbsp; R2 Strikes Back

- **LM3:** &nbsp; Return of the yi

- **LM4:** &nbsp; .secondary[F Awakens]
]
]

---

## Stats wars

- **LM1:** &nbsp; A New Equation

- **LM2:** &nbsp; R2 strikes back

- **LM3:** &nbsp; Return of the yi

- **LM4:** &nbsp; .secondary[F awakens]

---

## Today

- Categorical predictors again

- Multiple R2 and adjusted R2

- Comparing linear models with the *F*-test

---

## What you already know about the linear model

`$$y_i = b_0 + b_1 \times x_{1_i} + 0 \times x_{2_i} + 0 \times x_{3_i} + \dots + 0 \times x_{n_i} + e_i$$`

- Every predictor *adds a dimension* (axis)

- Every `$b$` coefficient (except for `$b_0$`) is a *slope* of the plane of best fit with respect to the dimension of the predictor

- Predictors can be continuous or categorical

- **Outcome must be continuous**

---

## Last time: birth weight model

```r
# centre predictors
bweight <- bweight %>%
 mutate(gest_cntrd = Gestation - mean(Gestation, na.rm=TRUE),
 age_cntrd = mage - mean(mage, na.rm=TRUE))
m_age_gest <- lm(Birthweight ~ age_cntrd + gest_cntrd, bweight)
summary(m_age_gest)
```

```
## 
## Call:
## lm(formula = Birthweight ~ age_cntrd + gest_cntrd, data = bweight)
## 
## Residuals:
## Min 1Q Median 3Q Max 
## -0.77485 -0.35861 -0.00236 0.26948 0.96943 
## 
## Coefficients:
## Estimate Std. Error t value Pr(>|t|) 
## (Intercept) 3.3128571 0.0674405 49.123 < 0.0000000000000002 ***
## age_cntrd -0.0007953 0.0120469 -0.066 0.948 
## gest_cntrd 0.1618369 0.0258242 6.267 0.000000221 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
## 
## Residual standard error: 0.4371 on 39 degrees of freedom
## Multiple R-squared: 0.5017,	Adjusted R-squared: 0.4762 
## F-statistic: 19.64 on 2 and 39 DF, p-value: 0.00000126
```
]

---

## Categorical predictor

- Let's see if whether or not the mother is a smoker has an influence on the baby's birth weight

- What do you think?

- Smoking is a binary *categorical* predictor but we can add it to the model just like any other variable!

```r
bweight$smoker
```

```
##  [1] 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1
## [39] 1 1 1 1
```
]

---

## Effect of mother's smoking

```r
m_smoke <- lm(Birthweight ~ smoker, bweight)
summary(m_smoke)
```

```
## 
## Call:
## lm(formula = Birthweight ~ smoker, data = bweight)
## 
## Residuals:
## Min 1Q Median 3Q Max 
## -1.21409 -0.39159 0.02591 0.41935 1.43591 
## 
## Coefficients:
## Estimate Std. Error t value Pr(>|t|) 
## (Intercept) 3.5095 0.1298 27.040 <0.0000000000000002 ***
## smoker -0.3754 0.1793 -2.093 0.0427 * 
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
## 
## Residual standard error: 0.5804 on 40 degrees of freedom
## Multiple R-squared: 0.09874,	Adjusted R-squared: 0.07621 
## F-statistic: 4.382 on 1 and 40 DF, p-value: 0.0427
```

]

`$$\text{birthweight}_i = b_0 -0.38 \times \text{smoker}_i + e_i$$`

- Babies whose mothers smoke are, on average, 0.38 lbs lighter at birth than those whose mother do not smoke.

---

## Continuous AND categorical predictors

- Of course, you can include categorical predictors even in a larger model

```r
m_age_gest_smoke <- update(m_age_gest, ~ . + smoker)
# that's the same as
m_age_gest_smoke <- lm(Birthweight ~ age_cntrd + gest_cntrd + smoker, bweight)
summary(m_age_gest_smoke)
```

```
## 
## Call:
## lm(formula = Birthweight ~ age_cntrd + gest_cntrd + smoker, data = bweight)
## 
## Residuals:
## Min 1Q Median 3Q Max 
## -0.60724 -0.31521 0.00952 0.24838 1.08946 
## 
## Coefficients:
## Estimate Std. Error t value Pr(>|t|) 
## (Intercept) 3.475375 0.093843 37.034 < 0.0000000000000002 ***
## age_cntrd 0.005115 0.011668 0.438 0.6636 
## gest_cntrd 0.156079 0.024552 6.357 0.000000184 ***
## smoker -0.310261 0.131381 -2.362 0.0234 * 
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
## 
## Residual standard error: 0.4135 on 38 degrees of freedom
## Multiple R-squared: 0.5655,	Adjusted R-squared: 0.5312 
## F-statistic: 16.49 on 3 and 38 DF, p-value: 0.0000005083
```

]

---

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---

## Multiple R2

- We talked about what R2 means in terms of explained and unexplained (residual) variance

&nbsp;

---

## Multiple R2

- It's the same in multiple-predictor models:

```r
# multplie R-squared from model
m_age_gest_smoke %>% broom::glance() %>% pull(r.squared)
```

```
## [1] 0.5655139
```

```r
# same as manually-calculated using formula
1 - var(resid(m_age_gest_smoke))/var(bweight$Birthweight)
```

```
## [1] 0.5655139
```

- It can be also interpreted as the **square of the correlation** between *predicted* and *observed* values of outcome

```r
predicted <- fitted(m_age_gest_smoke)
correlation <- cor(predicted, bweight$Birthweight)
correlation^2
```

```
## [1] 0.5655139
```

---

## The thing with multiple R2

- We can also add more predictors to our models
- Sometimes, they are good, sometimes, they are bad...

```r
bweight <- bweight %>%
 mutate(x4 = rnorm(nrow(bweight)),
 x5 = rnorm(nrow(bweight)),
 x6 = rnorm(nrow(bweight)))
# add 3 random predictor variables
m_big <- update(m_age_gest_smoke, ~ . + x4 + x5 + x6)
m_big %>% broom::tidy()
```

```
## # A tibble: 7 × 5
## term estimate std.error statistic p.value
## <chr> <dbl> <dbl> <dbl> <dbl>
## 1 (Intercept) 3.47 0.0886 39.2 1.72e-30
## 2 age_cntrd 0.00568 0.0113 0.501 6.20e- 1
## 3 gest_cntrd 0.149 0.0233 6.38 2.45e- 7
## 4 smoker -0.335 0.124 -2.70 1.05e- 2
## 5 x4 0.0375 0.0640 0.585 5.62e- 1
## 6 x5 0.0576 0.0607 0.950 3.49e- 1
## 7 x6 -0.155 0.0561 -2.77 8.95e- 3
```

---

## The thing with multiple R2

- Multiple R2 gets higher as we add more and more predictors, even if there is no relationship between them and the outcome

```r
# original 3-predictor model
m_age_gest_smoke %>% broom::glance() %>% pull(r.squared)
```

```
## [1] 0.5655139
```

```r
# model that includes rubbish predictors
m_big %>% broom::glance() %>% pull(r.squared)
```

```
## [1] 0.651804
```
- The new model explains additional ~5% of the variance in birth weight even though the predictors are just randomly generated

- We want a metric of explained variance that doesn't get inflated by adding noise to the model

---

## Adjusted R2

- Adjusted R2 ( `$R^2_{\text{adj}}$`, or sometimes `$\bar{R}^2$`) introduces a *penalty* for each predictor added to the model

`$$R^2_{\text{adj}} = 1 - \frac{\frac{SS_R}{n-p-1}}{\frac{SS_T}{n-1}}$$`
- How does the penalty work?
 
 - The larger the number of predictors ( `$p$` ), the larger the numerator `$\frac{SS_R}{n-p-1}$` gets
 
 - The larger the numerator, the larger the entire fraction (just like 3/4 is more than 2/4)
 
 - The larger the fraction, the *smaller* the adjusted R2
 
 - Penalty per predictor is *larger in small samples*

---

## Adjusted R2

- Compared to multiple R2, adjusted R2 gets **far less inflated** by including pointless predictors in the model

```r
# original 3-predictor model
m_age_gest_smoke %>% broom::glance() %>%
  dplyr::select(r.squared, adj.r.squared)
```

```
## # A tibble: 1 × 2
## r.squared adj.r.squared
## <dbl> <dbl>
## 1 0.566 0.531
```

```r
# model that includes rubbish predictors
m_big %>% broom::glance() %>%
  dplyr::select(r.squared, adj.r.squared)
```

```
## # A tibble: 1 × 2
## r.squared adj.r.squared
## <dbl> <dbl>
## 1 0.652 0.592
```

---

## Adjusted R2

- Adjusted R2 is an attempt at estimating proportion of variance explained by the model *in the population*

- If adjusted R2 is always better, why even look at multiple R2?

- Large difference between the values of multiple R2 and adjusted R2 indicates that there are some unnecessary predictors in the model and it should be simplified

- The larger the difference between the two, the less likely it is that the model will generalise beyond the current sample

---

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]

---

## Model fit

- We can take a model as a whole and assess whether it is a good fit to the data or not a good one

- To do this we calculate the ratio of variance *explained* by the model (AKA **model variance**) and the variance *not explained* by the model (AKA **residual variance**)

- This is the *F*-ratio

`$$\begin{align}F&=\frac{\text{explained variance}}{\text{unexplained variance}}\\\\&=\frac{\text{model variance}}{\text{residual variance}}\\\\&=\frac{SS_M/df_M}{SS_R/df_R}\\\\&=\frac{(SS_T - SS_R)/df_M}{SS_R/df_R}\end{align}$$`

---

## *F*-distribution

- *F*-ratio is a ratio of two sums of squares (model and residual, respectively), scaled by their respective degrees of freedom

- We know that the sampling distribution of this kind of a metric is the *F*-distribution (hence the name)

---

## *F*-test

- Because we know the sampling distribution of our *F*-ratio, we can calculate the *p*-value associated with the given value of *F* under the null hypothesis that *our model is no better than the null model*

]

---

## Comparing models

- "Good" fit is a relative term - a model is a good fit *in comparison to some other model*

- **wHAt noW??**

- Yes, we're *always* comparing two models, even in the example above!

- The total variance of a model_\*_ *is just the **residual variance** of the model we're comparing it to*!

- *F*-test from `summary()` compares the model to the **null** (intercept-only) **model**

&nbsp;

_\*_ The denominator of the ratio `$F = \frac{\text{model variance}}{\text{total variance}}$`

---

## Comparing models

.right.small[

*My model brings all the x to the y And F like "it's better than yours!" Damn right, it's better than yours! I can teach you but you must come to the lectures, do the practicals and tutorials, and revise*

[~ G W Snedecor](https://www.youtube.com/watch?v=6AwXKJoKJz4)

]

- The null hypothesis of the *F*-test is that *the model is no better than the comparison model*

- A significant *F*-test tells us that our model is a *statistically significantly* better fit to the data than the comparison model

- In other words, our model is an improvement on the previous model

- It explains significantly*\** more variance in the outcome variable than the other model

&nbsp;

_\*_**statistically** significantly!!!

---

## Comparing models

- The `anova()` function in `R` allows us to compare the models *explicitly*

```r
m_null <- lm(Birthweight ~ 1, bweight)
anova(m_null, m_age_gest_smoke)
```

```
## Analysis of Variance Table
## 
## Model 1: Birthweight ~ 1
## Model 2: Birthweight ~ age_cntrd + gest_cntrd + smoker
##   Res.Df     RSS Df Sum of Sq      F       Pr(>F)    
## 1     41 14.9523                                     
## 2     38  6.4965  3    8.4557 16.486 0.0000005083 ***
## ---
## Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
```

]

- These are the same numbers as we got from `summary()` (or `broom::glance()`)

]

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---

## Comparing models

- You can compare as many models as you like

- They all have to be modelling *the same outcome* variable

- They must all be *nested*

- You must be able to sort them from the simplest to the most complex

- A simpler model *mustn't* contain any predictors that a more complex model doesn't also contain
  
  - They must both be fitted to *the same data* (their respective *N*s must be the same)

`birthwieght ~ gestation`

`birthwieght ~ gestation + mage`

]

.pull-right[
<img src="https://upload.wikimedia.org/wikipedia/commons/8/8f/Flat_cross_icon.svg" width="50px" height="50px">

`birthwieght ~ gestation`

`birthwieght ~ smoker + mage`

]

---

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]

---

## Take-home message

- Categorical predictors can be entered in the linear model just like continuous predictors

- For binary variables, the `$b$` represents the difference between the two categories
 
 - For more than 2 categories, it's a little more complicated (next term)
 
- Multiple R2 can be interpreted as the proportion of variance in outcome explained by the model or the *correlation between what the model predicts and what we observe*

- Multiple R2 gets *inflated by adding more and more predictors*

- Adjusted R2 *penalises* for each added predictor to counteract this

- Difference between the two is *indicative of useless predictors* in the model and a *low generalisability* of the model

---

## Take-home message

- We can compare **nested** models using the *F*-test

- *F*-ratio is the ratio of variance *explained* by the model vs variance *not explained* by the model

- We know that the sampling distribution of the *F*-ratio (AKA *F*-value, *F*-statistic) is the *F*-distribution with `$df_M$` and `$df_R$` degrees of freedom

- The null hypothesis of the *F*-test is that *the model is no better than the comparison model*

- *F*-test is **always** a comparison of two models, albeit sometimes *implicitly*

- Total variance for a given model is *just the residual variance of the comparison model!*

---

## Next time

- Next week is our **final** Analysing Data lecture 😢

- Revision session to recap all we talked about in all of this term's lectures

- Don't forget to do the last tutorial that will let you practice comparing models

- For final practical, Jennifer and I are planning something *pretty  special* so do come!

- It's still a practical, and no, it won't be delivered through the medium of interpretative dance
  
--

- We won't be singing either!

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