BTRY/STSCI 4520 Homework 5
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############# BTRY/STSCI 4520 ########################
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############# Homework 5 ########################
############# Due: May 4, 2018 ########################
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# Instructions: save this file in the format
# Complete each question using code below the question number.
# You need only upload this file to CMS.
# Note, we assume your working directory contains any files
# that accompany this one.
# Further note: 10% will be deducted if your file produces
# an error when run. If your code produces an error and you
# cannot find it, comment out that portion of the code and we
# will give partial credit for it.
# Do not use either the function set.seed() or rm(list=ls())
# in your code.
# In this homework we have provided
source(‘HW5Optimizers.R’)
# implementing 1 dimensional Newton Raphson and a multi-dimensional
# Levenberg-Marquardt scheme if you wish to use them.
#############################
# Question 1: Poisson LASSO #
#############################
# We saw previously that the LASSO for least-squares regression
# can be formulated as two steps, each applied to every
# covariate until convergence:
# 1. Test is the minimum at zero (is the derivative of squared
# error smaller than the derivative of absolute value at zero?)
# 2. If not, find the minimum of the penalized criterion.
# Here we will do the same thing but for Poisson regression.
# For Poisson regression, we have a set of covariates X_i1,…,X_ip
# and a response Y that takes integer values. If we assume that
# Y_i ~ Poisson( beta0 + beta1*X_i1 + … + betap*X_ip)
# or in vector form
# Y_i ~ Poisson( beta0 + X_i beta )
# then we can choose beta0, beta to minimize the negative log likelihood
# l(b|Y,X) = sum – log( P(Yi | Xi; beta0,beta) )
# = sum [- Y_i*(beta0 + Xi beta) + exp(beta0 + Xi beta) + log factorial(Yi)]
# where we drop the final factorial(Yi) because it doesn’t change
# with beta.
# Here we will consider trying to set some of the bj exactly
# to zero by adding on a LASSO penalty and minimizing
# pen.l(beta0,beta,lambda) = l(beta0,beta|X,Y) + lambda * sum_j |beta_j|
# However, we will not add a penalty for beta0.
# For this problem, we will use data on school absenteeism
# from Walgett, NSW — a town with a large Aboriginal population
# that exhibits the social disfunctions that are common to
# dispossessed indigenous groups around the world. (The actual
# data is from 1978, but there are few statistical indicators
# that suggest much has changed in the past 40 years).
Walgett = read.table(‘Walgett.csv’,sep=’,’,head=TRUE)
# The data cover 148 children with columns
# Days — number of days missed (our Poisson-distributed response)
# EthN — Aboriginal or Not (0 = Aboriginal)
# SexM — 0 = Female
# AgeF1 — First grade indicator
# AgeF2 — Second grade indicator
# AgeF3 — Third grade indicator (note there is an F0 that is treated
# as the default)
# LrnSL — Slow learner indicator
# Here we will try and work out which of these is predictive of
# the number of days missed.
# It will be useful to take about 14 observation (10% of the data)
# at random. Here we will do this as
test.ind = c(135,124,114,30,88,110,131,113,141,63,126,94,82,68)
# and we will create a set
test.Walgett = Walgett[test.ind,]
# and remove these from the original data
Walgett = Walgett[-test.ind,]
# a) Write out the derivative of l(b|X,Y) with respect to an
# individual b_j. Hence determine a rule to decide whether the
# optimum b_j (keeping all the others fixed) is at zero.
# Hence write a function to provide a function to minimize
# pen.l(b,lambda) for a fixed b_j. You may use the NewtonRaphson
# code provided in HW5.Optimizers.R if you wish.
pois.update = function(j,beta0,beta,lambda,X,Y){
# A useful starting point for beta0 is log(mean(Y)) with the
# remaining beta_j set to zero. Using the Walgett data set above
# examine which beta_j would move off zero with lambda = 100 (don’t
# do this in sequence over j for this part of the question; for each
# beta_j leave all the others at zero).
# Report the indices
which.nonzero =
# b) Just as in least squares LASSO, we can now perform
# coordinate descent by repeatedly optimizing each coordinte
# until convergence.
# Write a function to carry this out for Poisson regression.
# Remember that we don’t penalize b0, but we do update it along
# with the others. A good starting point is that b0 = log(mean(Y))
# with all the other b_i being zero.
# Your function should return an estimated beta vector (including
# the values that are zero) along with the number of optimization
# rounds, niter.
# Remember to optimize beta0 in your update (but don’t penalize it!)
# on each round through the co-ordinate descent algorithm: the initial
# guess at beta0 = log(mean(Y)) was just that — a guess. You should
# also include beta0 in your convergence criterion.
# Your function should allow a vector of lambda values, in which
# case you should return a vector of beta0’s (one for each lambda)
# and a matrix of betas, where the rows of the matrix correspond
# to values of lambda.
Pois.LASSO = function(X,Y,lambda,tol=1e-6,maxit=1000){
return( list(beta0 = , beta = , niter = ) )
# Use this to obtain estimated beta for the sequence
lambdas = seq(0,300,by=10)
# Produce a plot of the values of beta (without b0) as lambda
# changes. Put the value of each beta on the y axis
# with the x-axis given by sum_(j >= 1) |beta_j|. You can plot
# all the betas on one plot.
# d) We still need to choose lambda. One way to do that is to
# use the test-set we left out in Walgett.test. Using your
# output from part c, calculate the likelihood for the predictions
# for the test set. That is obtain
# sum_i log P( Y_i| X_i beta )
# Write a function that takes in our output from c, and the test
# set and computes the log likelihood for each row of the
# sequence of betas. Which coefficients are used in your final model?
test.likelihood = function(LASSO.result, testY, testX){
return( loglik = )
# BONUS: Rather than relying on one test set, or on leaving-one
# observation out at a time, 10-fold cross validation divides the
# data into 10 approximately equal pieces. It then leaves one
# piece out in turn: estimates a sequence of betas using the remaining
# 9 pieces and obtains the log likelihood on the left-out set.
# Then you average over each of the 10 left cross-validated likelihoods.
# To do this, you should split the data at random.
# Carry this out: does it change the value of lambda that you
######################################################################
# Question 2: Partially Linear Models + Uniform Confidence Intervals #
######################################################################
# This function will consider a variation on local linear regression.
# Here we will instead look at what is described as a varying
# coefficient model.
# To describe this model this, the data in
ethanol = read.csv(‘ethanol.csv’)
# which contains readings of Nitrous Oxide (NOx) produced by a
# gasoline engine as well as the compression of the gas (C) in
# the engine and E — a measure of the air/ethanol mix.
# For these data, the relationship between NOx and C changes
# depending on E. If we examine
plot(ethanol$C[ethanol$E<0.8],ethanol$NOx[ethanol$E<0.8] ) plot(ethanol$C[ethanol$E>1],ethanol$NOx[ethanol$E>1] )
# We see somewhat different relationships. For that reason
# we consider a model of the form
# NOx = beta0(E) + beta1(E) C
# That is, NOx has a linear relationship with C, but that
# relationship depends in a non-parametric way on E.
# a) We will be interested in being able to find beta0(e) and
# beta1(e) for any value e in the range of E. To do this, we
# can perform a linear regression for Y~C (using the lm()
# function) with weights given by dnorm(e-E,sd=h) for bandwidth h.
# Write a function to compute a varying coefficient estimate
# of beta0(e) and beta1(e) at a given e and return the two-vector
# of coefficients.
VarCoef = function(e,data,h)
# Use this to plot the estimated varying coefficient
# estimates for the ethanol data over the range of
# E, using h = 0.1.
# b) To choose a bandwidth, we can again apply cross
# validation. It’s possible to represent our predicted
# values as a linear smoother yhat = S(h)Y, but here
# you can just do it manually with a for loop.
# Write a function to calculate the cross-validated
# squared error for predicting Y from these data.
# In this case, unlike in local linear regression,
# we haven’t centered by C and do need to use the whole
# model to predict each Y, rather than just an intercept.
VarCoefCV = function(h,data){
# use this to choose an optimal bandwidth from among those in
hs = seq(0.01,0.2,by = 0.01)
# c) Fixing the bandwidth at the optimum you found in b,
# perform a residual bootstrap for the values of
# beta0(e) and beta1(e) for each of the 61 values of e
e = seq(0.6,1.2,by=0.01)
# (you should calculate all 61 values for each bootstrap
# re-sample).
# Write a function to use this sequence e, the data
# the bandwidth h, and produce a length(e)-by-3
# matrices called conf.band.b0 and conf.band.b1 with
# columns giving
# estimate – 1.96 boostrap.se, estimate, estimate+1.96 bootstrap se
# for each value in e where bootstrap.se is the standard
# deviation over nboot = 200 bootstrap samples.
# You should also calculate the percentage of bootstrap
# samples for which the bootstrap beta0(e) is inside the
# confidence interval for ALL of the values of e (this is
# like a multiple testing problem).
VarCoefBoot = function(e,data,h,nboot)
return( conf.band.b0 = , conf.band.b1 = ,
numinside.b0 = , numinside.b1 = )
# Use the result to plot our estimated beta0(e) and beta1(e) with
# confidence bands around them. Are these a good representation
# of the variability of your estimates?
# d) The intervals in Part c are described as being POINTWISE
# confidence intervals because they cover the value of beta0(e)
# (say) at each e. But it’s possible that every individual
# bootstrap curve goes outside the bands at some value of e, even
# if at any given e, 95% of the bootstrap curves are contained
# in the interval. (eg, bootstrap 1 is outside at e[45], bootstrap 2
# at e[22] etc).
# Instead, UNIFORM confidence bands are intended to ensure that
# 95% of bootstrap curves are completely contained within the band.
# To produce these, we take an idea from Lab 5 and do the following.
# 1. From your bootstrap, calculate the t-statistics
# beta0.t(e) = (beta0.boot(e) – beta0.est(e))/sd(beta0.boot(e))
# where beta0.est is the original estimate, and beta0.boot is
# the estimate for each bootstrap sample. That is you should have
# length(e)-by-nboot t statistics.
# 2. Find the maximum value
# max.beta0.t = max |beta0.t(e)|
# over e for each bootstrap to give nboot values of max.beta0.t.
# 3. Obtain Q as the 95th quantile of max.beta0.t — that is
# at most 5% of the curves are ever more that Q*sd(beta0.boot(e))
# away from beta0.est(e).
# 4. Return the bands
# [beta0.est(e) – Q*sd(beta0.boot(e)), beta0.est(e) + beta0.boot(e)]
# Write a function to repeat your calcuations in part c, but
# replace 1.96 with Q calculated as above.
VarCoefBoot2 = function(e,data,h,nboot)
return( conf.band.b0 = , conf.band.b1 = ,
numinside.b0 = , numinside.b1 = )
# Do 95% of your bootstrap curves fall inside these bands?
# Produce a plot of your estimate and uniform confidence bands.
# Small bonus: Why do we bootstrap t-statistics instead of just looking
# at a band of fixed width C (ie [beta0(e) – C, beta0(e) + C]
# with C chosen so that 95% of curves lie in this band?
# Big Bonus: Describe how to estimate this model with splines
# instead of kernels? What would you do to estimate the
# partially linear model
# Y = beta0(E) + beta1*C?
#############################################
# Question 3: Log-Spline Density Estimation #
#############################################
# This question will examine maximum likelihood in a flexible
# class of densities. To do this, we’ll use a data set giving
# the area burned in 270 forest fires. Because there is a lot
# of skew in this distribution, we’ll look at the log of the
# This is given in the following data set; we’ve included a
# histogram so you can get a sense of the shape of the distribution.
fire = as.numeric(read.table(‘ForestFires.csv’,head=FALSE)[[1]])
hist(fire,20,prob=TRUE)
# This looks normal-ish, but might be a bit skewed, and maybe
# a bit light-tailed. We’ll try to find a more flexible
# set of densities to use to model this.
# The idea is that the log of a normal density is quadratic
# log( dnorm(x) ) = [-mu^2/(2*sigma^2) – 1/2*log(2*pi*sigma)]
# + (mu/sigma^2)*x – x^2/(2*sigma^2)
# = a + b*x + c*x^2
# Maybe we could add some additional terms. Say
# log( density(x)) = c0 + c1*x + c2*x^2 + c3*x^3 + c4*x^4
# Doing this runs us into a few difficulties: we know that
# densities must be positive and integrate to one. To see how
# this affects what we do, let’s look at
# density(x) = exp(c1*x + c2*x^2 + c3*x^3 + c4*x^4)/C
# Here it is natural to think of C = exp(-c0) as the number
# that makes the density integrate to 1.
# Of course, we have to work out what C is. In this case, we
# will assume that the density is only defined on the interval
# [-3, 7]. Thus for any [c1,c2,c3,c4] we can obtain C by using
# Simpson’s rule to approximate
# int_(-3)^7 exp(c1*x + c2*x^2 + c3*x^3 + c4*x^4)
# a) Write a function to approximate C via Simpson’s rule using
# a spacing of h = 0.25 between quadrature points. It should
# taken in a vector c and return the number C
NormConst = function(c){
# Try this out on
coefs = c(0.5,-0.125,0,0)
# Use this to plot your (appropriately normalized) density overlayed on the
# histogram of log fire areas. You should plot this at each of the
# evaluation points used to evaluate the constant.
# b) For real-world data, we need to maximize the log likelihood.
# We will use a nonlinear optimization algorithm to do this.
# Recalling that the log likelihood is given as
# sum_i log(density(x_i; c))
# write (separate) functions to evaluate the log likelihood along
# with its gradient with respect to c and its Hessian. Remember that
# your normalizing constant will change with C as well.
# You may find the diag function useful, but note that if you wish to
# create a diagonal matrix with vector v on the diagonal, diag(v) only
# works if v is of mode vector.
loglik = function(coefs,X){
ll.gradient = function(coefs,X){
ll.Hess = function(coefs,X){
# c) The file LevenbergMarquardt.R in HW5Optimizers.R implements
# the Levenberg-Marquardt optimizer from Lecture 10. It assumes
# inputs of the form above.
# You may choose to write your own. In which case it should be pasted in here.
# Use this to provide maximum likelihood estimates of your coefficients
opt.result =
## PARTIAL CREDIT if you use the built-in function ‘optim’ to
## optimize the log likelihood. (Only applies if your opt.result
## gives the wrong answer). You may complete the rest of the
## questions with the coefs that you get this way.
## Remember that ‘optim’ tries to minimize rather than maximize.
# What is the new normalizing constant for these coefficients?
newconst =
# Produce a plot of the density overlayed on the histogram of fire values
# using the same points as in Part a).
# d) Another direction the researchers consider is to have a more flexible
# model. As a way to manage this, we’ll replace the
# log(density(x)) = c_0 + c_1*x + c2*x^2 + c3*x^3 + c4*x^4
# with a B-spline basis. The idea is that with a set of functions
# phi1(t),…,phiK(t) we can approximate a function
# f(t) = c1*phi1(t)+c2*phi2(t)+…+cK*phiK(t). Then we will write
# density(x) = exp( f(x) )/ int_(-3)^7 exp(f(x))
# For this question we’ll use some functions already coded
# up in the ‘splines’ library. You may need to install this library.
library(‘splines’)
# For this problem we will use
# – order 6 b-splines
# – knots at the integers from -3 to 7
# Re-write your loglikelihood function, gradient and Hessian
# from part B to use the B-spline basis rather than the four
# terms x, x^2, x^3, x^4.
# When you do this, you will need to drop the first B-spline.
# This is analogous to the way we removed the term c0 and
# incorporated it into the constant.
# You should also write these so that they accept an input
# X. Because you may need to provide more input than just the data
# this can be a list of objects that you can then access
# inside your functions. Include whatever you think to be appropriate
# but aim to do as little extra computational work as possible.
# We will assume whatever you are putting in X is now in an
# object called
# And produce the functions to evaluate the log likelihood
# gradient and hessian:
spline.loglik = function(coefs,X){
spline.ll.gr = function(coefs,X){
spline.ll.hess = function(coefs,X){
# We will check the evaluation of these using a simple set of coefficients
spline.coefs = rep(0,14)
spline.coefs[6:7] = 1
spline.val = spline.loglik(spline.coefs,Xlist)
spline.gr = spline.ll.gr(spline.coefs,Xlist)
spline.Hess = spline.ll.hess(spline.coefs,Xlist)
# e) Using the LevenbergMarquardt function provided, find the optimal values for these
# coefficients and plot the resulting density estimate along with the histogram (don’t
# forget to normalize).
# Note that you may find that LevenbergMarquardt does not converge in the default number
# of iterations. That is fine — it gets us close enough.
result2.opt =
# f) We can penalize this estimate for smoothness, too. If we write
# density(x) = exp(f(x))/int( f(x) ) then we can add a penalty
# to the log likelihood
# log likelihood = sum_i log(density(x_i);c) – lambda*int (f”'(x))^2 dx
# here we penalize the third derivative. The reason for that is that
# the log of a Gaussian is quadratic and its third derivative is 0. So large
# lambda will make the density look Gaussian.
# Importantly, note that we SUBTRACT lambda*int (f”'(x))^2 dx; this is
# because we are maximizing the log likelihood rather than minimizing
# a criterion.
# Modify your functions above to include a this penalty.
penspline.loglik = function(coefs,X){
penspline.ll.gr = function(coefs,X){
penspline.ll.hess = function(coefs,X){
# Verify that at lambda = 0, you get the same result as you did for the
# un-penalized estimate. Plot your result for lambda = 0.05 (no relationship
# to standard alpha levels).
# BONUS: in part f, how would you go about choosing lambda?
# You do not need to implement this.
############################################
# Question 4: Some Monte #
############################################
# Based on JMR 18.6.18. You may not use the rcauchy, pcauchy or qcauchy functions
# in this question.
# The Cauchy distribution with parameter alpha has density
# f(x; alpha) = alpha/[pi*(alpha^2 + x^2)]
# with quantile (inverse CDF) function
# q(u;alpha) = alpha*tan(pi*(u – 0.5))
# a) Write a function to evaluate the inverse CDF for the Cauchy distribution.
iCauchyCDF = function(u,alpha){
# Use this to sample 1,000 Cauchy-distributed sam
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