Negative Binomial Regression - NASCAR Lead Changes (1975

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Transcript Negative Binomial Regression - NASCAR Lead Changes (1975

Negative Binomial Regression
NASCAR Lead Changes 1975-1979
Data Description
• Units – 151 NASCAR races during the 19751979 Seasons
• Response - # of Lead Changes in a Race
• Predictors:
 # Laps in the Race
 # Drivers in the Race
 Track Length (Circumference, in miles)
 Models:
 Poisson (assumes E(Y) = V(Y))
 Negative Binomial (Allows for V(Y) > E(Y))
Poisson Regression
• Random Component: Poisson Distribution
for # of Lead Changes
• Systematic Component: Linear function
with Predictors: Laps, Drivers, Trklength
• Link Function: log: g(m) = ln(m)
y
m X 
 m  X  
e
Mass Function: P Y  y | X 1 , X 2 , X 3  
y!
g  m  X      1 X 1   2 X 2  3 X 3  x ' 
 m  X   e  1 X1  2 X 2  3 X 3  e x ' 
x '  1 X 1 X 2 X 3 
Regression Coefficients – Z-tests
Parameter
Intercept
Laps
Drivers
Trklength
Estimate
-0.4903
0.0021
0.0516
0.6104
Std Error
0.2178
0.0004
0.0057
0.0829
Z
-2.25
5.15
9.09
7.36
Note: All predictors are highly significant.
Holding all other factors constant:
• As # of laps increases, lead changes increase
• As # of drivers increases, lead changes increase
• As Track Length increases, lead changes increase
m e
0.49030.0021L0.0516 D0.6104T
P-value
.0244
<.0001
<.0001
<.0001
Testing Goodness-of-Fit
• Break races down into 10 groups of approximately
equal size based on their fitted values
• The Pearson residuals are obtained by computing:
^
^
Yi  m i Yi  m i observed- fitted
ei 


^
V (Yi )
fitted
mi
X 2   ei2
• Under the hypothesis that the model is adequate, X2 is
approximately chi-square with 10-4=6 degrees of freedom (10 cells,
4 estimated parameters).
• The critical value for an =0.05 level test is 12.59.
• The data (next slide) clearly are not consistent with the model.
• Note that the variances within each group are orders of magnitude
larger than the mean.
Testing Goodness-of-Fit
Range
0-9.4
9.4-10.5
10.5-11.6
11.6-20
20-21
21-23
23-26
26-32
32-36
36+
Total
#Races
15
14
14
17
19
15
16
16
11
13
151
obs
fit
113
138
178
321
485
191
353
491
349
574
131.3
150.6
157.1
274.4
390.3
328.7
397.1
452.9
374.2
536.4
Pearson
-1.60
-1.03
1.67
2.81
4.79
-7.60
-2.21
1.79
-1.30
1.62
2
X =107.4
Mean
7.53
9.20
12.71
18.88
25.53
12.73
22.06
30.69
31.73
44.15
Variance
23.41
34.46
41.30
56.36
89.93
48.21
74.33
183.70
201.82
229.47
107.4 >> 12.59  Data are not consistent with Poisson model
Negative Binomial Regression
• Random Component: Negative Binomial
Distribution for # of Lead Changes
• Systematic Component: Linear function with
Predictors: Laps, Drivers, Trklength
• Link Function: log: g(m) = ln(m)
 y  k
k
 k   m 
Mass Function: P Y  y | X 1 , X 2 , X 3 , k  

 

  k    y  1  k  m   k  m 
E Y   m V Y   m 
m2
k
g  m  X      1 X 1   2 X 2  3 X 3  x ' 
 m  X   e  1 X1  2 X 2  3 X 3  e x ' 
x '  1 X 1 X 2 X 3 
y
y  0,1, 2,...
Regression Coefficients – Z-tests
Note that SAS and STATA estimate 1/k in this model.
Parameter
Intercept
Laps
Drivers
Trklength
1/k
m e
Estimate
-0.5038
0.0017
0.0597
0.5153
0.1905
Std Error
0.4616
0.0009
0.0143
0.1636
0.0294
Z
-1.09
2.01
4.17
2.87
0.5038 0.0017 L  0.0597 D  0.5153T
 
V Y   m  0.1905 m
2
P-value
.2752
.0447
<.0001
.0041
Goodness-of-Fit Test
Pearson Residuals: ei 
Range
0-9.4
9.4-10.5
10.5-11.6
11.6-20
20-21
21-23
23-26
26-32
32-36
36+
Total
#Races
13
17
20
11
21
12
18
16
14
9
151
Yi  m i
V Yi 
obs
fit
96
155
248
251
523
141
442
470
445
422
111.4
170.2
223.3
202.4
431.5
261.8
452.0
464.3
485.3
397.5

Yi  m i
2
mi  mi k
Pearson
-0.30952
-0.20153
0.250504
0.543148
0.482911
-1.04674
-0.0504
0.02797
-0.18924
0.140292
X2=1.88
X 2   ei2
Mean
7.38
9.12
12.40
22.82
24.90
11.75
24.56
29.38
31.79
46.89
S.D.
4.22
6.10
5.87
5.53
9.55
6.44
10.98
14.83
14.12
13.82
• Clearly this model fits better than Poisson Regression Model.
• For the negative binomial model, SD/mean is estimated to be 0.43 = sqrt(1/k).
• For these 10 cells, ratios range from 0.24 to 0.67, consistent with that value.
Computational Aspects - I
k is restricted to be positive, so we estimate k* = log(k) which can take on
any value. Note that software packages estimating 1/k are estimating –k*
Likelihood Function:
k
yi
k
( yi  k )  k   mi 
( yi  k  1) (k )(k )  k   mi 
Li 

 
 

 

(k )( yi  1)  k  mi   k  mi 
(k )( yi  1)
k

m
k

m
i  
i 

( y  k  1)
 i
yi !
k
yi
( k )  k   mi 

 
 
k

m
k

m
i  
i 

( yi  e  1)
yi !
k*
ek*
yi
  mi 
e  e
 k*
  k*

e

m
e

m
i 
i 


k*
k*
yi
Log-Likelihood Function:
yi 1
li  ln  Li    ln(ek*  j )  ln  yi !  ek* ln(ek* )  yi ln( mi )  (ek*  yi ) ln( mi  ek* )
j 0
Computational Aspects - II
Derivatives wrt k* and :
yi 1

li
e k *  yi
1
k* 
k*
 e  k *
 1  ln(e )  k *
 ln(e k *  mi ) 
k *
e  mi
 j 0 e  j

 yi 1


yi 1
 2li
e k *  yi
mi  yi 
1
1
ek* 
k* 
k*
k*
k*
k* 
 e  k *
 1  ln(e )  k *
 ln(e  mi )  e  k *
1 e


2
k* 2 

 (k *) 2
e

j
e

m
(
e

j
)
m
 ek* 
j 0
i
i
m

e
 j 0


 i




 2li
y

m
k*
i
i

 xi e mi 
  m  e k * 2 
k * 
 i

 y m 
li
 xi e k *  i ki* 

 mi  e 
 k*

 2li
e  yi 
k*

  xi xi ' e mi
  m  e k * 2 
  '
 i

Computational Aspects - III
Newton-Raphson Algorithm Steps:
l
gk   i
k *
 2li
Gk  
k *2
l
g   i

 2li
G  
 '
g 
g k    
 gk 
G k

G

 
'
2



l
i
 

 k *  
Step 1: Set k*=0 (k=1) and iterate to obtain estimate of :
Step 2: Set ’ = [1 0 0 0] and iterate to obtain estimate of k*:
 2li 
 k *  



Gk *

~ (i )


~ (i )
k*
~ ( i 1)
~ ( i 1)
k*
 
 G

~ ( i 1)

 
 Gk
1
g k
 
  
k *
Step 4: Back-transform k* to get estimate of k: k=exp(k*)
g
 Gk  g k
Step 3: Use results from steps and 2 as starting values (software
packages seem to use different intercept) to obtain estimates of k* and 
~ (i )
1
1