Posterior_linpred with ordinal models


#1

Operating System: OSX 10.11.6
Interface Version: latest
Compiler/Toolkit: I don’t know, installed Stan with Xcode

Hello,

I am trying to understand how posterior_linpred works with ordinal models.

I am mostly familiar with brms and understand the output of the method fitted, which is the equivalent function of posterior_linpred for brms.

For example,

library(brms)

library(rethinking) # for data
data(Trolley)
d <- Trolley


rstan_options (auto_write=TRUE)
options (mc.cores=parallel::detectCores ()) # Run on multiple cores

# takes a few minutes to fit
mod.male.contact <- brm(response ~ male*contact, data=d,
                        family=cumulative("logit"), threshold="flexible",
                        prior=set_prior("normal(0,10)", class='b'),
                        warmup = 1000, iter = 2000, chains = 2)


newdata_to_predict <- data.frame(
  male = c(0,0,1,1),
  contact = c(0,1,0,1)
)

# equivalent to posterior_linpred in brms
fitted(mod.male.contact, newdata_to_predict, scale='response')

# Sample output:
# Gives probabilities for each ordinal response.
#
# , , P(Y = 1)
# 
#     Estimate   Est.Error    2.5%ile   97.5%ile
# 1 0.14739169 0.004612668 0.13865579 0.15633546
# 2 0.21814262 0.010689809 0.19683522 0.23901573
# 3 0.08718669 0.003023406 0.08156363 0.09314114
# 4 0.16005079 0.008045255 0.14549309 0.17686909
# 
# , , P(Y = 2)
# 
#     Estimate   Est.Error    2.5%ile   97.5%ile
# 1 0.10261588 0.003504869 0.09565658 0.10934455
# 2 0.13158680 0.005212364 0.12163682 0.14195957
# 3 0.06834966 0.002600132 0.06340807 0.07339157
# 4 0.10860616 0.004753855 0.09939101 0.11784792
# ... continues P(Y=y) for y = 1, 2, ... , 7

Here, I understand the output. For each set of predictor values, I get the mean probability and percentiles for each possible response 1-7.

However in rstanarm, I am uncertain how I should interpret the output of posterior_linpred:

library(rstanarm)

d$response <- as.factor(d$response)

# not sure if right syntax or model. Still new to rstanarm
mod.arm <- stan_polr(response ~ male*contact, data=d,
                     prior = R2(0.25), prior_counts = dirichlet(1))

posterior_linpred(mod.arm, transform=TRUE, newdata = newdata_to_predict)
# Sample output:
#
# iterations   1         2         3         4
#       [1,] 0.5 0.3892393 0.6464041 0.4612909
#       [2,] 0.5 0.3603153 0.6361793 0.4886859
#       [3,] 0.5 0.3733287 0.6429214 0.4761588
#       [4,] 0.5 0.3792128 0.6512925 0.4619251
#       [5,] 0.5 0.3711230 0.6322236 0.4860978
#       [6,] 0.5 0.3931835 0.6462488 0.4654676
# ..... more rows

I see a column for each set of predictors, but I’m not certain how to interpret the probabilities. With an ordinal model I should have a unique set of probabilities for each response. How do I recover that from the output of posterior_linpred?

So I see two potential problems.

  1. I’m not fitting the model right. The rstanarm model is something slightly different than the brms model. Although they both have identical summaries.

  2. I’m not using the right function. Maybe I need something different than posterior_linpred?

Thanks for help! The code should be reproducible. Let me know if there are any troubles.


#2

In posterior_linpred with transform = TRUE in rstanarm, you are getting x[i] * beta transformed by the standard logistic CDF, which is probably not what you want. You should be using posterior_predict which will produce a simulations x observations matrix, filled with realizations among 1, 2, …, 7 (as characters). For any observation or for all the observations, you can then calculate the proportion of realizations that are a particular value.


#3

Thanks for the response.

So using posterior_predict I get simulated responses for each set of predictors:

posterior_predict(mod.arm, newdata = newdata_to_predict)

    #      1   2   3   4  
    # [1,] "1" "6" "4" "6"
    # [2,] "3" "1" "2" "4"
    # [3,] "3" "2" "7" "3"
    # [4,] "3" "1" "7" "7"
    # [5,] "4" "1" "7" "1"
    # [6,] "3" "3" "5" "1"

I understand I could calculate the proportions to estimate the probability of a particular response. But how do I get the uncertainty of those probabilities? Do I need to call posterior_predict again to get a new predicted outcomes to generate that uncertainty?


#4

Do the calculations row-wise. For example, summary(rowMeans(PPD == "1"))


#5

Thanks for the idea.

So testing this in R we have:

PPD <- posterior_predict(mod.arm, newdata = newdata_to_predict)

mean(rowMeans(PPD=="1"))
# [1] 0.15575

quantile(rowMeans(PPD=="1"), probs = c(0.025, 0.975))
#  2.5% 97.5% 
#   0.0   0.5 

The mean isn’t far off from the the brms fitted estimate, but the percentiles are no good. I bet this could be solved by taking more samples from posterior_predict. Thoughts?

A second idea is to use posterior_linpred with transform = FALSE. If the output is the cumulative log odds (the link function from the ordinal model) I could calculate those probabilities myself. However, I think I am probably expecting something different from the actual output like I was when transform = TRUE.

Based on the output posterior_linpred again seems to be providing something different than I expected. I don’t know I would recover the cumulative log odds for each intercept/response value.

posterior_linpred(mod.arm, transform=FALSE, newdata = newdata_to_predict)

# iterations 1          2         3           4
#       [1,] 0 -0.4505110 0.6032702 -0.15514698
#       [2,] 0 -0.5739961 0.5588192 -0.04526401
#       [3,] 0 -0.5179631 0.5880665 -0.09543704
#       [4,] 0 -0.4928907 0.6247252 -0.15259503
#       [5,] 0 -0.5274020 0.5417678 -0.05562322
#       [6,] 0 -0.4339500 0.6025905 -0.13834990

#6

As explained in the documentation, posterior_linpred is usually not what you want to use
http://mc-stan.org/rstanarm/reference/posterior_linpred.stanreg.html
although arguably it does what you should expect it to do given its name. It is true that posterior_predict yields noisy estimates of proportions, particularly if you are estimating 95% credible intervals (which are generally too noisy to be useful).

Perhaps the best use case for posterior_linpred with transform = TRUE is to obtain less noisy success probabilities when the outcome is binary. When the outcome is ordinal, you could do something similar but more involved to get outcome probabilities using realizations of the cutpoints. To do all that, you should start with as.data.frame(mod.arm) or as.matrix(mod.arm) to access all the draws.

The main reasons why rstanarm does not automate this are: (1) Those probabilities are not all that useful (2) Too many rstanarm users will mess up their inferences by evaluating some function of them, rather than evaluating their function over all posterior draws.


#7

Thanks for the clarification.

Just to understand where I am coming from for future readers:

I am currently working through Statistical Rethinking by McElreath and in the book he interprets the ordinal model by response probabilities (section 11.1.3, page 342 specifically).

However, skimming through chapter 6 of BDA3, Gelman et al. recommend posterior predictive checks for model checking, even for outcomes of logistic regression (page 154) which I typically think of in terms of probability. Page 532 also has a nice graphical posterior check for a mixture model.

On the other hand, page 417 plots probabilities found from a logistic regression against a predictor. Overall, the closest model I could find was was in 16.6, where the check is a table of log-odds on page 425.

I have to admit it is surprising to me that probabilities aren’t useful. It seems like a natural question one would like answered by the model. I’ll definitely research and think on it.

Thanks again,

Tim


#8

bgoodri - Thank you for this explanation. I was hoping you could expand on your answer. Why are these probabilities not particularly useful (because the CIs are typically so broad?) and why does it return less noisy probabilities than other options?

I am trying to report results for a logistic regression on the effect of female reproductive state on prevalence of hookworm infection. It looks like the relative effect of pregnancy is fairly high (OR = 1.36), but the absolute difference is low (predicted probability of hookworm 49% for cycling women and 55% for pregnant women). I wanted to include CIs with those predicted probabilities, but the CIs are ludicrously wide.


#9

Wide is not necessarily wrong. I was just saying that if you do posterior_predict off a Bernouli model and calculate some function of the proportion of successes, then that is going to be more noisy than doing posterior_linpred with transform = TRUE. You could get essentially the same thing with enough posterior draws, but that is unnecessary time spent.