Precision about the glmer model for Bernoulli variables

On Apr 21, 2020, at 10:25 AM, Vaida, Florin <fvaida at health.ucsd.edu> wrote:

Hi Emmanuel,

So I can prove positive within-subject correlation for GLME logistic regression with random intercepts - assuming all observations have same mean!

Let Yj ~ Bernoulli(mu), logit(mu) = beta + u, u ~ Normal(0, tau^2).
Using the conditional covariance formula you get
Cov(Y1, Y2) = E(Cov(Y1,Y2 | u) + Cov(E(Y1|u), E(Y2|u)) = 0 + Cov( mu(u), mu(u)) = Var(mu(u)) >= 0, with 0 only if tau^2 = 0.

This proof does not extend if you let Yj have different means, i.e., replace beta by beta_j.
It also does not apply to more general random effects structures, e.g. random intercepts and slopes.
Note however that for the *linear* model with random intercepts and slopes, the correlation is not guaranteed positive.

Florin

On Apr 20, 2020, at 2:05 PM, Vaida, Florin <fvaida at health.ucsd.edu> wrote:

Hi Emmanuel,

That's a good question.  My guess is that the correlation is non-negative generally, but I wasn't able to prove it theoretically even in the simplest case when Y1, Y2 ~ Bernoulli(u) independent conditionally on u, and u ~ Normal(0, 1).  I am curious if someone has a solution.
We can't go too far down this route in this forum, since Doug wants to keep it applied.

Florin

On Apr 20, 2020, at 12:32 PM, Emmanuel Curis <emmanuel.curis at parisdescartes.fr> wrote:

Hi Florin,

Thanks for the answer, the precision about p(i,j), and the reference.

A last question, that I forgot in my message: is the obtained
correlation also always positive, as in the linear case? Or may some
negative correlation appear, depending on the values of pi(i,j) and
pi(i,j')?

Best regards,

On Mon, Apr 20, 2020 at 03:27:39PM +0000, Vaida, Florin wrote:
? Hi Emmanuel,
? 
? Your reasoning is correct.
? 
? As a quibble, outside a simple repeated measures experiment setup, p(i,j) *does* depend on j.
? For example, if observations are collected over time, generally there is a time effect; if they are repeated measures with different experimental conditions, p(i,j) will depend on the condition j, etc.
? 
? There is almost certainly no closed form solution for the covariance under logit.
? I am not sure about the probit (my guess is not).
? There will be some Laplace approximations available, a la Breslow and Clayton 1993.
? 
? I'd be curious if these formulas/approximations were developed somewhere - I'd be surprised if they weren't.
? 
? Florin
? 
? 
? > On Apr 20, 2020, at 12:48 AM, Emmanuel Curis <emmanuel.curis at parisdescartes.fr> wrote:
? > 
? > Hello everyone,
? > 
? > I hope you're all going fine in these difficult times.
? > 
? > I tried to understand in details the exact model used when using glmer
? > for a Bernoulli experiment, by comparison with the linear mixed
? > effects model, and especially how it introducts correlations between
? > observations of a given group.  I think I finally got it, but could
? > you check that what I write below is correct and that I'm not missing
? > something?
? > 
? > I use a very simple case with only a single random effect, and no
? > fixed effects, because I guess that adding fixed effects or other
? > random effects does not change the idea, it "just" makes formulas more
? > complex.  I note i the random effect level, let's say ? patient ?, and
? > j the observation for this patient.
? > 
? > In the linear model, we have Y(i,j) = ?0 + Z(i) + epsilon( i, j ) with
? > Z(i) and epsilon(i,j) randoms variables having a density of
? > probability, independant, and each iid.
? > 
? > Hence, cov( Y(i,j), Y(i,j') ) = Var( Z(i) ): the model introduces a
? > positive correlation between observations of the same patient.
? > 
? > 
? > 
? > In the Bernoulli model, Y(i,j) ~ B( pi(i,j) ) and pi(i,j) = f( Z(i) ),
? > f being the inverse link function, typically the reciprocal of the
? > logit. So we have
? > 
? > cov( Y(i,j), Y(i,j') ) = E( Y(i,j) Y(i, j') ) - E( Y(i,j) ) E( Y(i,j') )
? >     = Pr( Y(i,j) = 1 inter Y(i,j') = 1 ) - pi(i,j) * pi(i,j')
? > 
? > Since in practice pi(i,j) does not depend on j, pi(i,j) = pi(i,j').
? > 
? > Pr( Y(i,j) = 1 inter Y(i,j') = 1 ) =
? >  integral(R) Pr( Y(i,j) = 1 inter Y(i,j') = 1 | Z(i) = z ) p( Z(i) = z ) dz
? > 
? > Then, we assume that conditionnally on Zi, the Yij are independant, is
? > this right? This is the equivalent of ? the epsilon(i, j) are
? > independant ?? I assume this hypothesis is also used for computing the
? > likelihood? If not, what is the model for the joint probability?
? > 
? > In that case,
? > 
? > Pr( Y(i,j) = 1 inter Y(i,j') = 1 ) =
? >  integral(R) f(z) f(z) p( Z(i) = z ) dz
? > 
? > and since pi(i,j) = integral( R ) f(z) p( Z(i) = z ) dz we have
? > 
? > cov( Y(i,j), Y(i,j') ) =
? > integral( R ) f?(z) p( Z(i) = z ) dz -
? >  ( integral( R ) f(z) p( Z(i) = z ) dz )?
? > 
? > which in general has no reason to be nul, hence the two observations
? > are correlated. Is this correct?
? > 
? > Is there any way to have a closed-form of the covariance, for usual f
? > (let's say, logit or probit) and Z distribution (let's say, Gaussian)?
? > 
? > Thanks a lot for reading, and your answers,
? > 
? > -- 
? >                                Emmanuel CURIS
? >                                emmanuel.curis at parisdescartes.fr
? > 
? > Page WWW: http://emmanuel.curis.online.fr/index.html
? > 
? > _______________________________________________
? > R-sig-mixed-models at r-project.org mailing list
? > https://stat.ethz.ch/mailman/listinfo/r-sig-mixed-models
? 

-- 
                             Emmanuel CURIS
                             emmanuel.curis at parisdescartes.fr

Page WWW: http://emmanuel.curis.online.fr/index.html