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"The community aspect is fantastic. I've made friends here who share my passion for ice-hockey." - Piotr Zając, Community Member<|repo_name|>davidbennett/BB-1<|file_sep|>/Code/Python/BB1_sandbox.py # -*- coding: utf-8 -*- """ Created on Wed Mar 14 17:00:54 2018 @author: dave """ import pandas as pd import numpy as np from matplotlib import pyplot as plt from scipy.stats import norm #set random seed for reproducibility np.random.seed(0) #Make simulated data (similarly distributed to BB1 data) n = int(1e5) #number of samples a = np.random.uniform(low=-1., high=1., size=n) b = np.random.uniform(low=-1., high=1., size=n) c = np.random.uniform(low=-1., high=1., size=n) d = np.random.uniform(low=-1., high=1., size=n) noise = np.random.normal(loc=0., scale=.5,size=n) #noise term x = .5 * a + .25 * b + .25 * c + d + noise #Organise into dataframe df = pd.DataFrame({'a':a,'b':b,'c':c,'d':d,'x':x}) #make new column containing product terms (i.e., interactions) df['ac'] = df.a * df.c df['ad'] = df.a * df.d df['bc'] = df.b * df.c df['bd'] = df.b * df.d #make new column containing squared terms (i.e., non-linear terms) df['a^2'] = df.a**2 df['b^2'] = df.b**2 df['c^2'] = df.c**2 df['d^2'] = df.d**2 #make new column containing cubic terms (i.e., non-linear terms) df['a^3'] = df.a**3 df['b^3'] = df.b**3 df['c^3'] = df.c**3 df['d^3'] = df.d**3 #build model formula string: formula_string='x~a+b+c+d+ac+ad+bc+bd+a^2+b^2+c^2+d^2+a^3+b^3+c^3+d^3' #import statsmodels.api library (for OLS regression) import statsmodels.api as sm #fit OLS regression using formula string: model=sm.formula.glm(formula=formula_string,family=sm.families.Gaussian(),data=df).fit() #print summary table: print(model.summary()) #create histogram plot: plt.hist(x,bins=50,normed=True) #create theoretical distribution: mu=model.params[0] sigma=model.params[-1] xs=np.linspace(-5.,5.,1000) ys=norm.pdf(xs,mu,sigma) plt.plot(xs,ys,'r--') plt.show() <|file_sep|># -*- coding: utf-8 -*- """ Created on Wed Mar 14 17:00:54 2018 @author: dave """ import pandas as pd import numpy as np from matplotlib import pyplot as plt #set random seed for reproducibility np.random.seed(0) #Make simulated data (similarly distributed to BB1 data) n = int(1e5) #number of samples a = np.random.uniform(low=-1., high=1., size=n) b = np.random.uniform(low=-1., high=1., size=n) c = np.random.uniform(low=-1., high=1., size=n) d = np.random.uniform(low=-1., high=1., size=n) noise = np.random.normal(loc=0., scale=.5,size=n) #noise term x = .5 * a + .25 * b + .25 * c + d + noise #Organise into dataframe df = pd.DataFrame({'a':a,'b':b,'c':c,'d':d,'x':x}) #import statsmodels.api library (for OLS regression) import statsmodels.api as sm def run_regression(df): #fit OLS regression using formula string: model=sm.formula.glm(formula='x~a+b+c+d',family=sm.families.Gaussian(),data=df).fit() return model model=run_regression(df) #print summary table: print(model.summary()) #create histogram plot: plt.hist(x,bins=50,normed=True) #create theoretical distribution: mu=model.params[0] sigma=model.params[-1] xs=np.linspace(-5.,5.,1000) ys=np.exp(-(xs-mu)**2/(sigma**2))/np.sqrt(4.*np.pi*sigma**2) plt.plot(xs,ys,'r--') plt.show()<|file_sep|># BB-1 Repository for my Bachelor's Thesis at Maastricht University. ## Abstract: In this thesis we show that automatic variable selection methods can be used for multivariate regression analyses when there is no clear prior hypothesis about which variables should be included in a model. We propose two different variable selection methods. One method uses penalised regression models with either lasso or elastic net penalty. The other method uses Bayesian model averaging based on linear regression models. We evaluate these methods using simulated data sets. We find that both methods perform well at identifying variables that are important for explaining variation in outcome. We also find that Bayesian model averaging based on linear regression models performs best when some variables are not linearly related with outcome. <|repo_name|>davidbennett/BB-1<|file_sep|>/Code/R/BBA.Rmd --- title: "BB-1 Thesis" author: "David Bennett" date: "22 February - April" output: pdf_document: keep_tex: yes header-includes: usepackage{placeins} --- newpage {r setup} library(knitr) knitr::opts_chunk$set(echo=F, warning=F, message=F, fig.align='center') library(tidyverse) library(gridExtra) library(ggplotify) library(magrittr) #for pipe operator %>% library(grid) #for grid.arrange() library(broom) #for tidy() function library(broom.mixed) #for tidy() function library(car) #for qqPlot() function library(MASS) #for rnorms() function library(nlme) #for lme() function library(lme4) #for lmer() function library(AICcmodavg) #for delta() function library(GGally) #for ggpairs() function library(arm) #for sim().mcmc() function library(loo) #for waic() function theme_set(theme_bw(base_size=18)) {r load_data} load('data/simulated_data_2000.RData') newpage {r include=F} kable(round(tidy(aic2000),4), caption='AIC scores for each model fitted with AIC.', align='l', digits=4, booktabs=T, linesep='-', longtable=T, format.args=list(big.mark=','), col.names=c('Model','Intercept','a','b','ac','ad','bc','bd','a²','b²','c²','d²','a³','b³','c³','d³')) newpage {r include=F} kable(round(tidy(waic2000),4), caption='WAIC scores for each model fitted with BMA.', align='l', digits=4, booktabs=T, linesep='-', longtable=T, format.args=list(big.mark=','), col.names=c('Model','Intercept','lpd','penalty','waic')) newpage {r include=F} kable(round(tidy(waic2000)[,-(9:10)],4), caption='WAIC scores for each model fitted with BMA.', align='l', digits=4, booktabs=T, linesep='-', longtable=T, format.args=list(big.mark=','), col.names=c('Model','Intercept','lpd')) newpage {r include=F} kable(round(tidy(bma2000)[,-(9)],4), caption='Mean WAIC scores across all simulations for each model fitted with BMA.', align='l', digits=4, booktabs=T, linesep='-', longtable=T, format.args=list(big.mark=','), col.names=c('Model','Intercept','$\overline{\mathrm{lpd}}$','$\overline{\mathrm{waic}}$')) newpage # Introduction In this thesis we consider multivariate regression analysis using simulated data sets. These data sets were created using an equation similar to one proposed by Borsboom et al. (2009). This equation describes how latent variables can be used to explain variation in an observed outcome variable. The latent variables may be uncorrelated or correlated with one another. The observed outcome variable is assumed to be linearly related to one or more latent variables but not all latent variables will necessarily be related with outcome. The relationship between outcome variable and latent variables may also be non-linear. The aim of this thesis is three-fold: * To demonstrate how simulated data sets can be used to compare different variable selection methods. * To demonstrate how automatic variable selection methods can be used when there is no clear prior hypothesis about which variables should be included in a model. * To investigate whether certain variable selection methods perform better than others when dealing with non-linear relationships between predictor variables and outcome. In Chapter `r nrow(.GlobalEnv)` we describe how we simulated data sets. In Chapter `r nrow(.GlobalEnv)+1` we describe four different variable selection methods that we used. In Chapter `r nrow(.GlobalEnv)+2` we present results from applying these four variable selection methods across all simulations. Finally, we conclude in Chapter `r nrow(.GlobalEnv)+3`. newpage # Data simulation To create simulated data sets we used an equation similar to one proposed by Borsboom et al. (2009). This equation describes how latent variables can be used to explain variation in an observed outcome variable. The latent variables may be uncorrelated or correlated with one another. The observed outcome variable is assumed to be linearly related to one or more latent variables but not all latent variables will necessarily be related with outcome. The relationship between outcome variable and latent variables may also be non-linear. We created two different scenarios which differed only by whether relationships between predictor variables and outcome were linear or non-linear. ## Scenario A - Linear relationships between predictor variables and outcome In scenario A we created simulated data sets where all relationships between predictor variables ($A$, $B$, $C$ & $D$) were linearly related with outcome ($X$). $$ X=beta_0+beta_a A+beta_b B+beta_c C+beta_d D+epsilon $$ where $epsilon sim N(0,sigma)$. ## Scenario B - Non-linear relationships between predictor variables and outcome In scenario B we created simulated data sets where relationships between predictor variables ($A$, $B$, $C$ & $D$) were not linearly related with outcome ($X$). Specifically, quadratic terms were added for each predictor variable: $$ X=beta_0+beta_a A+beta_b B+beta_c C+beta_d D+beta_{a^{prime} }A^{prime}+beta_{b^{prime} }B^{prime}+beta_{c^{prime} }C^{prime}+beta_{d^{prime} }D^{prime}+epsilon $$ where $epsilon sim N(0,sigma)$. ## Simulation details For both scenarios A & B we simulated $N$ observations using randomly generated values for each predictor variable: * $A sim U(-10,+10)$ * $B sim U(-10,+10)$ * $C sim U(-10,+10)$ * $D sim U(-10,+10)$ For scenario A we simulated coefficients ($beta$s) such that: * $beta_0