Interpreting overall effect if main and interaction effects are present? - regression

Let's supoose, I have three Independent categorical variables e, f and g and would like to estimate the dependent variable y. After some work, I come with the following regression model:
y = b0 + b1*x + b2*y + b3*z + b4(xy) + b5(xz)
How can I determine whether there is an overall significant difference for the different categories/levels of x? Since the terms with b2 and b3 are equal, I think they can probably be neglected.

From what I understand, the three categorical variables are x, y, and z in the regression model. I am going to rewrite y as w because the outcome and variables are both labeled y. For this post, I am referring to this model:
Y = b0 + b1x + b2w + b3z + b4(xw) + b5(xz)
You have an interaction between the three levels (xw, xz, and wz as reference).
If that is true, then you cannot make claims about the direct effect of x on w. Why? Because the columns are collinear making estimates for b1, b2, and b3 biased. Another way to think of it is that the effect of x depends on w (hence the interaction).
If you want to understand the direct effect of x on Y (or direct effect of W on Y, z on Y), then you can fit a model without the interaction terms. IE fit
Y = b0 + b1x + b2w + b3z
and look at the significance on b1. This model says that the effect of x on Y is independent of w or z.
Because you mention b2 and b3 are approximately the same, I suggest another approach. You can collapse the w and z variables together (if it makes sense scientifically) and fit a model with just an interaction term between x and the merged wz variable.
Suppose you need the interaction terms and want to communicate how x effects y. Then you can choose meaningful values of the covariates and explain how that changes the outcome. This strategy defocuses on 'significance' and shifts the attention to interpretation and meaning. For example, effect on Y is b1 if x=1, w=0, and z=0; effect on Y is b1 + b3 + b5 if x=1, w=0, z=1, etc.

Related

Kalman-filter with 100 data samples containing noise

If I have a series of observations of say 100 samples of x and y.
Is this enough to predict the 101th y corresponding to a x value?Can I use some part of this data of 100 samples to update some values(Considering that noise exists and some data might be corrupt) ?
Stack overflow is directed at coding - so if you have code that you expect to work, and it doesn't, you should post it with your question.
A Kalman filter can help in the problem you describe if you have a model for the dependence of y on x. So, for example, if your model is that:
y = a * x + b + Gaussian noise, then the Kalman filter is one way to estimate 'a' and 'b', which then allow you to predict the 101'st y from the 101'st x.

Is second order method worse than first order method?

I was thinking about an elementary question in numerical analysis.
When discretizing an ordinary differential equation, it is well known that a second order method is more accurate than a first order method, since the truncation error for second order method is O(dx^2) and O(dx) for the first order method. This is true when 0 < dx < 1.
what if dx > 1? For example, the domain is 0 to 10000 and the mesh size is 1000, then dx = 10. In this case, is the second order method not accurate as first order method, since dx^2 = 100 and dx = 10? We can encounter this when dealing with large scale problem, such as climate modeling (the cloud size could be several kilometers).
A second order method is not more accurate than a first order method because dx^2 < dx, for some value of dx. It's a statement about the asymptotic rate of convergence for small dx.
Additionally, comparing dx^2 to dx directly doesn't make sense, because dx isn't a unitless quantity, it's a length. So you're trying to compare an area to a length, which is meaningless.
In big-O notation, if a quantity converges with O(dx^2), then that typically means that the error is of the form e = a2 dx^2 + a3 dx^3 + ... The leading coefficient a2 is in the units of X/meters^2, where X is whatever units your error is in, and maybe you use some other length instead of meters. Similarly, for a first order solution, the error is in the form b1 dx + b2 dx^2 + ..., where b1 is in units of X/meters.
So if you decide you can neglect the non-leading terms (which you probably can't for large values of dx), the comparison isn't between dx^2 and dx, it's between a2 dx^2 and b1 dx. There is obviously a cross over between these two error terms, but it's not at dx=1, it's at dx = b1/a2. If your discretization is that coarse, you're probably not in the asymptotic regime in which you can ignore higher-order terms, and your solution is probably very inaccurate anyway.

Pollard’s p−1 algorithm: understanding of Berkeley paper

This paper explains about Pollard's p-1 factorization algorithm. I am having trouble understanding the case when factor found is equal to the input we go back and change 'a' (basically page 2 point 2 in the aforementioned paper).
Why we go back and increment 'a'?
Why we not go ahead and keep incrementing the factorial? It it because we keep going into the same cycle we have already seen?
Can I get all the factors using this same algorithm? Such as 49000 = 2^3 * 5^3 * 7^2. Currently I only get 7 and 7000. Perhaps I can use this get_factor() function recursively but I am wondering about the base cases.
def gcd(a, b):
if not b:
return a
return gcd(b, a%b)
def get_factor(input):
a = 2
for factorial in range(2, input-1):
'''we are not calculating factorial as anyway we need to find
out the gcd with n so we do mod n and we also use previously
calculate factorial'''
a = a**factorial % input
factor = gcd(a - 1, input)
if factor == 1:
continue
elif factor == input:
a += 1
elif factor > 1:
return factor
n = 10001077
p = get_factor(n)
q = n/p
print("factors of", n, "are", p, "and", q)
The linked paper is not a particularly good description of Pollard's p − 1 algorithm; most descriptions discuss smoothness bounds that make the algorithm much more practical. You might like to read this page at Prime Wiki. To answer your specific questions:
Why increment a? Because the original a doesn't work. In practice, most implementations don't bother; instead, a different factoring method, such as the elliptic curve method, is tried instead.
Why not increment the factorial? This is where the smoothness bound comes into play. Read the page at Mersenne Wiki for more details.
Can I get all factors? This question doesn't apply to the paper you linked, which assumes that the number being factored is a semi-prime with exactly two factors. The more general answer is "maybe." This is what happens at Step 3a of the linked paper, and choosing a new a may work (or may not). Or you may want to move to a different factoring algorithm.
Here is my simple version of the p − 1 algorithm, using x instead of a. The while loop computes the magical L of the linked paper (it's the least common multiple of the integers less than the smoothness bound b), which is the same calculation as the factorial of the linked paper, but done in a different way.
def pminus1(n, b, x=2):
q = 0; pgen = primegen(); p = next(pgen)
while p < b:
x = pow(x, p**ilog(p,b), n)
q, p = p, next(pgen)
g = gcd(x-1, n)
if 1 < g < n: return g
return False
You can see it in action at http://ideone.com/eMPHtQ, where it factors 10001 as in the linked paper as well as finding a rather spectacular 36-digit factor of fibonacci(522). Once you master that algorithm, you might like to move on to the two-stage version of the algorithm.

Multivariate Bisection Method

I need an algorithm to perform a 2D bisection method for solving a 2x2 non-linear problem. Example: two equations f(x,y)=0 and g(x,y)=0 which I want to solve simultaneously. I am very familiar with the 1D bisection ( as well as other numerical methods ). Assume I already know the solution lies between the bounds x1 < x < x2 and y1 < y < y2.
In a grid the starting bounds are:
^
| C D
y2 -+ o-------o
| | |
| | |
| | |
y1 -+ o-------o
| A B
o--+------+---->
x1 x2
and I know the values f(A), f(B), f(C) and f(D) as well as g(A), g(B), g(C) and g(D). To start the bisection I guess we need to divide the points out along the edges as well as the middle.
^
| C F D
y2 -+ o---o---o
| | |
|G o o M o H
| | |
y1 -+ o---o---o
| A E B
o--+------+---->
x1 x2
Now considering the possibilities of combinations such as checking if f(G)*f(M)<0 AND g(G)*g(M)<0 seems overwhelming. Maybe I am making this a little too complicated, but I think there should be a multidimensional version of the Bisection, just as Newton-Raphson can be easily be multidimed using gradient operators.
Any clues, comments, or links are welcomed.
Sorry, while bisection works in 1-d, it fails in higher dimensions. You simply cannot break a 2-d region into subregions using only information about the function at the corners of the region and a point in the interior. In the words of Mick Jagger, "You can't always get what you want".
I just stumbled upon the answer to this from geometrictools.com and C++ code.
edit: the code is now on github.
I would split the area along a single dimension only, alternating dimensions. The condition you have for existence of zero of a single function would be "you have two points of different sign on the boundary of the region", so I'd just check that fro the two functions. However, I don't think it would work well, since zeros of both functions in a particular region don't guarantee a common zero (this might even exist in a different region that doesn't meet the criterion).
For example, look at this image:
There is no way you can distinguish the squares ABED and EFIH given only f() and g()'s behaviour on their boundary. However, ABED doesn't contain a common zero and EFIH does.
This would be similar to region queries using eg. kD-trees, if you could positively identify that a region doesn't contain zero of eg. f. Still, this can be slow under some circumstances.
If you can assume (per your comment to woodchips) that f(x,y)=0 defines a continuous monotone function y=f2(x), i.e. for each x1<=x<=x2 there is a unique solution for y (you just can't express it analytically due to the messy form of f), and similarly y=g2(x) is a continuous monotone function, then there is a way to find the joint solution.
If you could calculate f2 and g2, then you could use a 1-d bisection method on [x1,x2] to solve f2(x)-g2(x)=0. And you can do that by using 1-d bisection on [y1,y2] again for solving f(x,y)=0 for y for any given fixed x that you need to consider (x1, x2, (x1+x2)/2, etc) - that's where the continuous monotonicity is helpful -and similarly for g. You have to make sure to update x1-x2 and y1-y2 after each step.
This approach might not be efficient, but should work. Of course, lots of two-variable functions don't intersect the z-plane as continuous monotone functions.
I'm not much experient on optimization, but I built a solution to this problem with a bisection algorithm like the question describes. I think is necessary to fix a bug in my solution because it compute tow times a root in some cases, but i think it's simple and will try it later.
EDIT: I seem the comment of jpalecek, and now I anderstand that some premises I assumed are wrong, but the methods still works on most cases. More especificaly, the zero is garanteed only if the two functions variate the signals at oposite direction, but is need to handle the cases of zero at the vertices. I think is possible to build a justificated and satisfatory heuristic to that, but it is a little complicated and now I consider more promising get the function given by f_abs = abs(f, g) and build a heuristic to find the local minimuns, looking to the gradient direction on the points of the middle of edges.
Introduction
Consider the configuration in the question:
^
| C D
y2 -+ o-------o
| | |
| | |
| | |
y1 -+ o-------o
| A B
o--+------+---->
x1 x2
There are many ways to do that, but I chose to use only the corner points (A, B, C, D) and not middle or center points liky the question sugests. Assume I have tow function f(x,y) and g(x,y) as you describe. In truth it's generaly a function (x,y) -> (f(x,y), g(x,y)).
The steps are the following, and there is a resume (with a Python code) at the end.
Step by step explanation
Calculate the product each scalar function (f and g) by them self at adjacent points. Compute the minimum product for each one for each direction of variation (axis, x and y).
Fx = min(f(C)*f(B), f(D)*f(A))
Fy = min(f(A)*f(B), f(D)*f(C))
Gx = min(g(C)*g(B), g(D)*g(A))
Gy = min(g(A)*g(B), g(D)*g(C))
It looks to the product through tow oposite sides of the rectangle and computes the minimum of them, whats represents the existence of a changing of signal if its negative. It's a bit of redundance but work's well. Alternativaly you can try other configuration like use the points (E, F, G and H show in the question), but I think make sense to use the corner points because it consider better the whole area of the rectangle, but it is only a impression.
Compute the minimum of the tow axis for each function.
F = min(Fx, Fy)
G = min(Gx, Gy)
It of this values represents the existence of a zero for each function, f and g, within the rectangle.
Compute the maximum of them:
max(F, G)
If max(F, G) < 0, then there is a root inside the rectangle. Additionaly, if f(C) = 0 and g(C) = 0, there is a root too and we do the same, but if the root is in other corner we ignore him, because other rectangle will compute it (I want to avoid double computation of roots). The statement bellow resumes:
guaranteed_contain_zeros = max(F, G) < 0 or (f(C) == 0 and g(C) == 0)
In this case we have to proceed breaking the region recursively ultil the rectangles are as small as we want.
Else, may still exist a root inside the rectangle. Because of that, we have to use some criterion to break this regions ultil the we have a minimum granularity. The criterion I used is to assert the largest dimension of the current rectangle is smaller than the smallest dimension of the original rectangle (delta in the code sample bellow).
Resume
This Python code resume:
def balance_points(x_min, x_max, y_min, y_max, delta, eps=2e-32):
width = x_max - x_min
height = y_max - y_min
x_middle = (x_min + x_max)/2
y_middle = (y_min + y_max)/2
Fx = min(f(C)*f(B), f(D)*f(A))
Fy = min(f(A)*f(B), f(D)*f(C))
Gx = min(g(C)*g(B), g(D)*g(A))
Gy = min(g(A)*g(B), g(D)*g(C))
F = min(Fx, Fy)
G = min(Gx, Gy)
largest_dim = max(width, height)
guaranteed_contain_zeros = max(F, G) < 0 or (f(C) == 0 and g(C) == 0)
if guaranteed_contain_zeros and largest_dim <= eps:
return [(x_middle, y_middle)]
elif guaranteed_contain_zeros or largest_dim > delta:
if width >= height:
return balance_points(x_min, x_middle, y_min, y_max, delta) + balance_points(x_middle, x_max, y_min, y_max, delta)
else:
return balance_points(x_min, x_max, y_min, y_middle, delta) + balance_points(x_min, x_max, y_middle, y_max, delta)
else:
return []
Results
I have used a similar code similar in a personal project (GitHub here) and it draw the rectangles of the algorithm and the root (the system have a balance point at the origin):
Rectangles
It works well.
Improvements
In some cases the algorithm compute tow times the same zero. I thinh it can have tow reasons:
I the case the functions gives exatly zero at neighbour rectangles (because of an numerical truncation). In this case the remedy is to incrise eps (increase the rectangles). I chose eps=2e-32, because 32 bits is a half of the precision (on 64 bits archtecture), then is problable that the function don't gives a zero... but it was more like a guess, I don't now if is the better. But, if we decrease much the eps, it extrapolates the recursion limit of Python interpreter.
The case in witch the f(A), f(B), etc, are near to zero and the product is truncated to zero. I think it can be reduced if we use the product of the signals of f and g in place of the product of the functions.
I think is possible improve the criterion to discard a rectangle. It can be made considering how much the functions are variating in the region of the rectangle and how distante the function is of zero. Perhaps a simple relation between the average and variance of the function values on the corners. In another way (and more complicated) we can use a stack to store the values on each recursion instance and garantee that this values are convergent to stop recursion.
This is a similar problem to finding critical points in vector fields (see http://alglobus.net/NASAwork/topology/Papers/alsVugraphs93.ps).
If you have the values of f(x,y) and g(x,y) at the vertexes of your quadrilateral and you are in a discrete problem (such that you don't have an analytical expression for f(x,y) and g(x,y) nor the values at other locations inside the quadrilateral), then you can use bilinear interpolation to get two equations (for f and g). For the 2D case the analytical solution will be a quadratic equation which, according to the solution (1 root, 2 real roots, 2 imaginary roots) you may have 1 solution, 2 solutions, no solutions, solutions inside or outside your quadrilateral.
If instead you have analytic functions of f(x,y) and g(x,y) and want to use them, this is not useful. Instead you could divide your quadrilateral recursively, however as it was already pointed out by jpalecek (2nd post), you would need a way to stop your divisions by figuring out a test that would assure you would have no zeros inside a quadrilateral.
Let f_1(x,y), f_2(x,y) be two functions which are continuous and monotonic with respect to x and y. The problem is to solve the system f_1(x,y) = 0, f_2(x,y) = 0.
The alternating-direction algorithm is illustrated below. Here, the lines depict sets {f_1 = 0} and {f_2 = 0}. It is easy to see that the direction of movement of the algorithm (right-down or left-up) depends on the order of solving the equations f_i(x,y) = 0 (e.g., solve f_1(x,y) = 0 w.r.t. x then solve f_2(x,y) = 0 w.r.t. y OR first solve f_1(x,y) = 0 w.r.t. y and then solve f_2(x,y) = 0 w.r.t. x).
Given the initial guess, we don't know where the root is. So, in order to find all roots of the system, we have to move in both directions.

Normal vector from least squares-derived plane

I have a set of points and I can derive a least squares solution in the form:
z = Ax + By + C
The coefficients I compute are correct, but how would I get the vector normal to the plane in an equation of this form? Simply using A, B and C coefficients from this equation don't seem correct as a normal vector using my test dataset.
Following on from dmckee's answer:
a x b = (a2b3 − a3b2), (a3b1 − a1b3), (a1b2 − a2b1)
In your case a1=1, a2=0 a3=A b1=0 b2=1 b3=B
so = (-A), (-B), (1)
Form the two vectors
v1 = <1 0 A>
v2 = <0 1 B>
both of which lie in the plane and take the cross-product:
N = v1 x v2 = <-A, -B, +1> (or v2 x v1 = <A, B, -1> )
It works because the cross-product of two vectors is always perpendicular to both of the inputs. So using two (non-colinear) vectors in the plane gives you a normal.
NB: You probably want a normalized normal, of course, but I'll leave that as an exercise.
A little extra color on the dmckee answer. I'd comment directly, but I do not have enough SO rep yet. ;-(
The plane z = Ax + By + C only contains the points (1, 0, A) and (0, 1, B) when C=0. So, we would be talking about the plane z = Ax + By. Which is fine, of course, since this second plane is parallel to the original one, the unique vertical translation that contains the origin. The orthogonal vector we wish to compute is invariant under translations like this, so no harm done.
Granted, dmckee's phrasing is that his specified "vectors" lie in the plane, not the points, so he's arguably covered. But it strikes me as helpful to explicitly acknowledge the implied translations.
Boy, it's been a while for me on this stuff, too.
Pedantically yours... ;-)