# GLM tip getting non-linear with splines

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# GLM tips: get non-linear with splines

This tip is great for a quick non-linear test, before you go all the way

with a GAM or parametric non-linear model.

You’ll need the `splines`

library, which comes shipped with R anyway.

First, let’s make up a bit of count data. The underlying ‘true’ model

will be poisson (think count data) with a log link (so slope estimates

are multiplicative of the poisson mean). But we’ll introduce a bit of

non-linearity.

n <- 100 set.seed(101) x <- sort(rnorm(n, sd = 2)) mu <- 2 + 0.1*x - 0.6*x^2 + 0.18*x^3#linear predictor y <- rpois(n, exp(mu)) plot(x, y) lines(x, exp(mu))

Now, we could just fit a polynomial, but for real data we wouldn’t know

the mean structure was generated as a polynomial. So we might want to

use something a bit more flexible, like a cubic spline.

So, here’s how to make a cubic spline. We just need to choose the

degrees of freedom. A DF of of 1 will give us a linear fit, higher DFs

allow more bends (‘knots’). We’ll fit a log-linear model, a model with

df = 2 and a model with df= 3 Given we generated our data with a cubic

polynomial, we’d expect the 3 df model will do best

library(splines) #log linear model m1 <- glm(y ~ x, family = "poisson") m1pred <- predict(m1, type = "response") #non-linear models m2 <- glm(y ~ ns(x,2), family = "poisson") m2pred <- predict(m2, type = "response") m3 <- glm(y ~ ns(x,3), family = "poisson") m3pred <- predict(m3, type = "response") par(mfrow = c(1,3)) plot(x, y, main = "DF = 1") lines(x, exp(mu), lwd = 2, col = "grey") lines(x, m1pred, col = "orange", lwd = 2) plot(x, y, main = "DF = 2") lines(x, exp(mu), lwd = 2, col = "grey") lines(x, m2pred, col = "purple", lwd = 2) plot(x, y, main = "DF = 3") lines(x, exp(mu), lwd = 2, col = "grey") lines(x, m3pred, col = "darkblue", lwd = 2)

The orange line is the naive linear fit, it basically shows no trend.

The purple line (df = 2) does better, but misses the kick up at the end.

The blue line looks closest to the ‘true’ mean function (grey line).

The purple and blue lines are our spline fits with 2 and 3 knots

respectively. Both clearly capture the non-linearity. The grey line is

the ‘true’ mean structure we created above. So our splines just peaks a

bit too hard, but does get the shape right.

We can convince ourselves that the 3 df splines model is better with AIC

AIC(m1) ## [1] 492.1094 AIC(m2) ## [1] 434.6807 AIC(m3) ## [1] 362.3653

Yep, the 3 spline model has a much lower AIC despite using more model

D.F., so is better.

## Transfer your spline skills, anywhere

A nice feature of this cubic spline trick is that you can use it

anywhere that takes a model matrix as input. So it will work with `glm`

,

`glmer`

, `lmer`

and any Bayesian GLM method you care to use. Just apply

your normal model selection criteria to find the ‘best’ number of knots.

First, set the knots using `x`

:

library(splines) xcs <- ns(x, 3) #3 knots! head(xcs, 3) ## 1 2 3 ## [1,] 0.00000000 0.0000000 0.00000000 ## [2,] -0.04388799 0.1157184 -0.07117461 ## [3,] -0.04775128 0.1262731 -0.07766646 plot(x, xcs[,1], type = 'l', ylim = c(min(xcs), max(xcs))) lines(x, xcs[,2], col = "salmon") lines(x, xcs[,3], col = "steelblue")

This splits `x`

into three covariates (note the new matrix `xcs`

has

three columns), which I’ve plotted above. The cubic spline algorithm

puts bends in the new covariates according to the density of the data.

We can use these new covariates in our model and `glm`

will estimate a

coefficient for each one.

Because the `xcs`

are a non-linear functions of `x`

, fitting a model

against them means we can mix the curves to get a non-linear fit. We do

lose a few degrees of freedom though, because now x is three covariates,

instead of just one.

We can just use `xcs`

in our model formula as a covariate.

But I prefer just to put the `ns`

command directly into the model

formula, that way it is easy to change the knots, as we did above.

## What about GAMs?

If you really want to get into non-linear trend fitting, you should use

a generalized additive model (GAM), such as from package `mgcv`

.

In fact, GAM can fit these kind of splines for you too (and more), it

just uses a different method to select the number of knots.

But the splines trick is still handy. For instance, you can quickly

modify an existing linear model to have a non-linear spline. Or use it

in a Bayesian linear model that doesn’t have a GAM equivalent (you can

also spit out model matrices from

mgcv and use them in

Bayesian models if you want other types of splines).

So I hope you enjoying splining.

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