# Non-observable vs. Observable Heterogeneity Factor

# Non-observable vs. Observable Heterogeneity Factor

Join the DZone community and get the full member experience.

Join For FreeHortonworks Sandbox for HDP and HDF is your chance to get started on learning, developing, testing and trying out new features. Each download comes preconfigured with interactive tutorials, sample data and developments from the Apache community.

> Davis=read.table( + "http://socserv.socsci.mcmaster.ca/jfox/Books/Applied-Regression-2E/datasets/Davis

There is a small typo in the dataset, so let us make manual changes here.

> Davis[12,c(2,3)]=Davis[12,c(3,2)]

Here, the variable of interest is the height of a given person:

> X=Davis$height

If we look at the histogram, we have:

> hist(X,col="light green", border="white",proba=TRUE,xlab="",main="")

Can we assume that we have a Gaussian distribution?

Maybe not … here, if we fit a Gaussian distribution, plot it, and add a kernel based estimator, we get:

> (param <- fitdistr(X,"normal")$estimate) > f1 <- function(x) dnorm(x,param[1],param[2]) > x=seq(100,210,by=.2) > lines(x,f1(x),lty=2,col="red") > lines(density(X))

If you look at that black line, you might think of a mixture, something like:

(using standard mixture notations). Mixtures are obtained when we have a **non-observable heterogeneity factor**: with probability , we have a random variable (call it type [1]), and with probability , a random variable (call it type [2]). So far, nothing new. And we can fit such a mixture distribution, such as:

> library(mixtools) > mix <- normalmixEM(X) number of iterations= 335 > (param12 <- c(mix$lambda[1],mix$mu,mix$sigma)) [1] 0.4002202 178.4997298 165.2703616 6.3561363 5.9460023

If we plot that mixture of two Gaussian distributions, we get:

> f2 <- function(x){ param12[1]*dnorm(x,param12[2],param12[4]) + (1-param12[1])*dnorm(x,param12[3],param12[5]) } > lines(x,f2(x),lwd=2, col="red") lines(density(X))

Not bad. Actually, we can try to maximize the likelihood with our own codes:

> logdf <- function(x,parameter){ + p <- parameter[1] + m1 <- parameter[2] + s1 <- parameter[4] + m2 <- parameter[3] + s2 <- parameter[5] + return(log(p*dnorm(x,m1,s1)+(1-p)*dnorm(x,m2,s2))) + } > logL <- function(parameter) -sum(logdf(X,parameter)) > Amat <- matrix(c(1,-1,0,0,0,0, + 0,0,0,0,1,0,0,0,0,0,0,0,0,1), 4, 5) > bvec <- c(0,-1,0,0) > constrOptim(c(.5,160,180,10,10), logL, NULL, ui = Amat, ci = bvec)$par [1] 0.5996263 165.2690084 178.4991624 5.9447675 6.3564746

Here, we include some constraints, to insurance that the probability belongs to the unit interval, and that the variance parameters remain positive. Note that we have something close to the previous output.

Let us try something a little bit more complex now. What if we assume that the underlying distributions have the same variance, namely:

In that case, we have to use the previous code, and make small changes:

> logdf <- function(x,parameter){ + p <- parameter[1] + m1 <- parameter[2] + s1 <- parameter[4] + m2 <- parameter[3] + s2 <- parameter[4] + return(log(p*dnorm(x,m1,s1)+(1-p)*dnorm(x,m2,s2))) + } > logL <- function(parameter) -sum(logdf(X,parameter)) > Amat <- matrix(c(1,-1,0,0,0,0,0,0,0,0,0,1), 3, 4) > bvec <- c(0,-1,0) > (param12c= constrOptim(c(.5,160,180,10), logL, NULL, ui = Amat, ci = bvec)$par) [1] 0.6319105 165.6142824 179.0623954 6.1072614

This is what we can do if we cannot observe the heterogeneity factor. But wait … we actually have some information in the dataset. For instance, we have the sex of the person. Now, if we look at histograms of height per sex, and kernel-based density estimator of the height per sex, we have

So, it looks like the height for male, and the height for female are different. Maybe we can use that variable, that was actually observed, to explain the heterogeneity in our sample. Formally, the idea is to consider a mixture, with an **observable heterogeneity factor**: the sex.

We now have interpretation of what we used to call class [1] and [2] previously: male and female. And here, estimating parameters is quite simple,

> (pM <- mean(sex=="M")) [1] 0.44 > (paramF <- fitdistr(X[sex=="F"],"normal")$estimate) mean sd 164.714286 5.633808 > (paramM <- fitdistr(X[sex=="M"],"normal")$estimate) mean sd 178.011364 6.404001

And if we plot the density, we have

> f4 <- function(x) pM*dnorm(x,paramM[1],paramM[2])+(1-pM)*dnorm(x,paramF[1],paramF[2]) > lines(x,f4(x),lwd=3,col="blue")

What if, once again, we assume identical variance? Namely, the model becomes:

Then a natural idea to derive an estimator for the variance, based on previous computations, is to use:

The code is here:

> s=sqrt((sum((height[sex=="M"]-paramM[1])^2)+sum((height[sex=="F"]-paramF[1])^2))/(nrow(Davis)-2)) > s [1] 6.015068

and again, it is possible to plot the associated density,

> f5 <- function(x) pM*dnorm(x,paramM[1],s)+(1-pM)*dnorm(x,paramF[1],s) > lines(x,f5(x),lwd=3,col="blue")

Now, if we think a little about what we’ve just done, it is simply a linear regression on a factor, the sex of the person:

where . And indeed, we can run the code to estimate this linear model:

> summary(lm(height~sex,data=Davis)) Call: lm(formula = height ~ sex, data = Davis) Residuals: Min 1Q Median 3Q Max -16.7143 -3.7143 -0.0114 4.2857 18.9886 Coefficients: Estimate Std. Error t value Pr(>|t|) (Intercept) 164.7143 0.5684 289.80 <2e-16 *** sexM 13.2971 0.8569 15.52 <2e-16 *** --- Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1 Residual standard error: 6.015 on 198 degrees of freedom Multiple R-squared: 0.5488, Adjusted R-squared: 0.5465 F-statistic: 240.8 on 1 and 198 DF, p-value: < 2.2e-16

And we get the same estimators for the means and the variance as the ones obtained previously. So, as mentioned recently in class, if you have a non-observable heterogeneity factor, we can use a mixture model to fit a distribution, but if you can get a proxy of that factor that is observable, then you can run a regression. But most of the time, that observable variable is just a proxy of a non-observable one …

Hortonworks Community Connection (HCC) is an online collaboration destination for developers, DevOps, customers and partners to get answers to questions, collaborate on technical articles and share code examples from GitHub. Join the discussion.

Published at DZone with permission of Arthur Charpentier , DZone MVB. See the original article here.

Opinions expressed by DZone contributors are their own.

## {{ parent.title || parent.header.title}}

## {{ parent.tldr }}

## {{ parent.linkDescription }}

{{ parent.urlSource.name }}