Transcript Some problems with dichotomized continuous variables

Building useful models: Some
new developments and easily
avoidable errors
Michael Babyak, PhD
What is a model ?
Y = f(x1, x2, x3…xn)
Y = a + b1x1 + b2x2…bnxn
Y = e a + b1x1 + b2x2…bnxn
“All models are wrong, some are
useful” -- George Box
• A useful model is
– Not very biased
– Interpretable
– Replicable (predicts in a new sample)
Some Premises
• “Statistics” is a cumulative, evolving field
• Newer is not necessarily better, but should be
entertained in the context of the scientific
question at hand
• Data analytic practice resides along a
continuum, from exploratory to confirmatory.
Both are important, but the difference has to be
recognized.
• There’s no substitute for thinking about the
problem
Statistics is a cumulative, evolving
field: How do we know this stuff?
• Theory
• Simulation
Concept of Simulation
Y = b X + error
bs1
bs2
bs3
bs4 …………………. bsk-1
bsk
Concept of Simulation
Y = b X + error
bs1
bs2
bs3
bs4 …………………. bsk-1
Evaluate
bsk
Simulation Example
Y = .4 X + error
bs1
bs2
bs3
bs4 …………………. bsk-1
bsk
Simulation Example
Y = .4 X + error
bs1
bs2
bs3
bs4 …………………. bsk-1
Evaluate
bsk
2000
1500
1000
500
0
Frequency of beta value
2500
True Model:
Y = .4*x1 + e
0.2
0.4
Value of beta for x1
0.6
Ingredients of a Useful Model
Correct probability model
Based on theory
Good measures/no
loss of information
Comprehensive
Parsimonious
Tested fairly
Flexible
Useful Model
Correct Model
• Gaussian: General Linear Model
• Multiple linear regression
• Binary (or ordinal): Generalized Linear
Model
• Logistic Regression
• Proportional Odds/Ordinal Logistic
• Time to event:
• Cox Regression or parametric survival models
Generalized Linear Model
Normal
Binary/Binomial
Count, heavy skew,
Lots of zeros
General Linear Model/ Logistic Regression Poisson, ZIP,
negbin, gamma
Linear Regression
ANOVA/t-test
ANCOVA
Chi-square
Regression w/
Transformed DV
Can be applied to clustered (e.g, repeated measures data)
Factor Analytic Family
Structural Equation Models
Latent Variable
Models
Partial Least Squares
(Confirmatory Factor Analysis)
Common Factor
Analysis
Multiple
regression
Principal
Components
Use Theory
• Theory and expert information are critical
in helping sift out artifact
• Numbers can look very systematic when
the are in fact random
– http://www.tufts.edu/~gdallal/multtest.htm
Measure well
Adequate range
Representative values
Watch for ceiling/floor effects
Using all the information
Preserving cases in data sets with missing data
Conventional approaches:
Use only complete case
Fill in with mean or median
Use a missing data indicator in the model
Missing Data
• Imputation or related approaches are
almost ALWAYS better than deleting
incomplete cases
• Multiple Imputation
• Full Information Maximum Likelihood
Multiple Imputation
Modern Missing Data Techniques
 Preserve more information from original
sample
 Incorporate uncertainty about missingness
into final estimates
 Produce better estimates of population
(true) values
Don’t throw waste information
from variables
• Use all the information about the variables
of interest
• Don’t create “clinical cutpoints” before
modeling
• Model with ALL the data first, then use
prediction to make decisions about
cutpoints
Dichotomizing for Convenience
= Dubious Practice
(C.R.A.P.*)
•Convoluted Reasoning and Anti-intellectual Pomposity
•Streiner & Norman: Biostatistics: The Bare Essentials
Implausible measurement
assumption
“depressed”
Depression score
44
36
32
28
C
24
20
16
12
8
4
0
AB
40
“not depressed”
Loss of power
http://psych.colorado.edu/~mcclella/MedianSplit/
Sometimes through sampling error
You can get a ‘lucky cut.’
http://www.bolderstats.com/jmsl/doc/medianSplit.html
Dichotomization, by definition,
reduces the magnitude of the estimate
by a minimum of about 30%
Dear Project Officer,
In order to facilitate analysis and interpretation, we
have decided to throw away about 30% of our
data. Even though this will waste about 3 or 4
hundred thousand dollars worth of subject
recruitment and testing money, we are confident
that you will understand.
Sincerely,
Dick O. Tomi, PhD
Prof. Richard Obediah Tomi, PhD
Power to detect non-zero b-weight
when x is continuous versus
dichotomized
% correct rejections of null
hypothesis
True model: y =.4x + e
Continuous x
Dichotomized x
100
90
80
70
60
50
0.85
0.75
Reliability of x
0.65
Dichotomizing will obscure non-linearity
D
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3
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2
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PercentwithWallMotionAbnormality
1
8
1
2
6
0
N
o
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e
p
re
s
s
e
d
D
e
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Low
High
CESD Score
Dichotomizing will obscure non-linearity:
Same data as previous slide modeled
continuously
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1
.0
0
.8
ProbabilityofWMA
0
.6
0
.4
0
.2
0
.0
0
5
1
0
1
5
2
0
C
E
S
-D
S
co
re
2
5
3
0
3
5
4
0
Type I error rates for the relation between x2 and y after
dichotomizing two continuous predictors.
Maxwell and Delaney calculated the effect of dichotomizing two continuous
predictors as a function of the correlation between them. The true model is
y = .5x1 + 0x2, where all variables are continuous. If x1 and x2 are
dichotomized, the error rate for the relation between x2 and y increases as the
correlation between x1 and x2 increases.
Correlation between x1 and x2
N
0
.3
.5
.7
50
.05
.06
.08
.10
100
.05
.08
.12
.18
200
.05
.10
.19
.31
Is it ever a good idea to categorize
quantitatively measured variables?
• Yes:
– when the variable is truly categorical
– for descriptive/presentational purposes
– for hypothesis testing, if enough categories
are made.
• However, using many categories can lead to problems of
multiple significance tests and still run the risk of
misclassification
CONCLUSIONS
• Cutting:
– Doesn’t always make measurement sense
– Almost always reduces power
– Can fool you with too much power in some
instances
– Can completely miss important features of the
underlying function
• Modern computing/statistical packages can
“handle” continuous variables
• Want to make good clinical
cutpoints? Model first, decide on
cuts afterward.
Sample size and the problem of
underfitting vs overfitting
• Model assumption is that “ALL” relevant
variables be included—the “antiparsimony
principle”
• Tempered by fact that estimating too many
unknowns with too little data will yield junk
Sample Size Requirements
• Linear regression
– minimum of N = 50 + 8:predictor (Green,
1990)
• Logistic Regression
– Minimum of N = 10-15/predictor among
smallest group (Peduzzi et al., 1990a)
• Survival Analysis
– Minimum of N = 10-15/predictor (Peduzzi et
al., 1990b)
Consequences of inadequate
sample size
• Lack of power for individual tests
• Unstable estimates
• Spurious good fit—lots of unstable
estimates will produce spurious ‘goodlooking’ (big) regression coefficients
All-noise, but good fit
10
Events per predictor ratio
2
4
6
8
n/p~3
n/p~6.6
n/p=10
n/p~13.3
0
Density
12
14
16
R-squares from a population model of
completelyrandom variables
0.0
0.1
0.2
0.3
0.4
0.5
0.6
R-Square from Full Model
0.7
0.8
0.9
1.0
Simulation: number of
events/predictor ratio
Y = .5*x1 + 0*x2 + .2*x3 + 0*x4
-- Where r x1 x4 = .4
-- N/p = 3, 5, 10, 20, 50
Parameter stability and n/p ratio
x2
0 1 2 3 4 5 6 7 8
0 1 2 3 4 5 6 7 8
Density
x1
n/p=3
n/p=5
n/p=10
n/p=20
n/p=50
-2.0
-1.0
0.0
0.5
1.0
1.5
2.0
-2.0
-1.0
0.5
1.0
1.5
2.0
0.5
1.0
1.5
2.0
0 1 2 3 4 5 6 7 8
x4
0 1 2 3 4 5 6 7 8
Density
x3
0.0
-2.0
-1.0
0.0
0.5
Parameter Estimate
1.0
1.5
2.0
-2.0
-1.0
0.0
Parameter Estimate
Peduzzi’s Simulation: number of
events/predictor ratio
P(survival) =a + b1*NYHA + b2*CHF + b3*VES
+b4*DM + b5*STD + b6*HTN + b7*LVC
--Events/p = 2, 5, 10, 15, 20, 25
--% relative bias =
(estimated b – true b/true b)*100
Simulation results: number of
events/predictor ratio
% Relative Bias
50
40
NYHA
CHF
VES
DM
STD
HTN
LVC
30
20
10
0
-10
-20
0
2
5
10
15
Events per variable
20
25
Simulation results: number of
events/predictor ratio
Proportion w/ Bias >
100%
0.7
0.6
NYHA
CHF
VES
DM
STD
HTN
LVC
0.5
0.4
0.3
0.2
0.1
0
0
2
5
10
15
Events per variable
20
25
Approaches to variable selection
•
•
•
•
•
•
•
“Stepwise” automated selection
Pre-screening using univariate tests
Combining or eliminating redundant predictors
Fixing some coefficients
Theory, expert opinion and experience
Penalization/Random effects
Propensity Scoring
– “Matches” individuals on multiple dimensions to
improve “baseline balance”
• Tibshirani’s “Lasso”
Any variable selection technique
based on looking at the data first
will likely be biased
“I now wish I had never written the
stepwise selection code for SAS.”
--Frank Harrell, author of forward and backwards
selection algorithm for SAS PROC REG
Automated Selection:
Derksen and Keselman (1992) Simulation Study
• Studied backward and forward selection
• Some authentic variables and some
noise variables among candidate
variables
• Manipulated correlation among
candidate predictors
• Manipulated sample size
Automated Selection:
Derksen and Keselman (1992) Simulation Study
• “The degree of correlation between candidate
predictors affected the frequency with which the
authentic predictors found their way into the
model.”
• “The greater the number of candidate predictors,
the greater the number of noise variables were
included in the model.”
• “Sample size was of little practical importance in
determining the number of authentic variables
contained in the final model.”
Simulation results: Number of
noise variables included
35
Sample Size
% of samples
30
100
200
500
1000
10000
25
20
15
10
5
0
0
1
2
3
4
5
Variables in Final Model
20 candidate predictors; 100 samples
6
7
% of samples
Simulation results: R-square from
noise variables
100
90
80
70
60
50
40
30
20
10
0
Sample Size
100
200
500
1000
10000
0
0-5
5-10 10-15 15-20 20-25 > 25
% Variance Explained
20 candidate predictors; 100 samples
Simulation results: R-square from
noise variables
0.3
Sample Size
R-Square
0.25
10,000
1,000
500
200
100
0.2
0.15
0.1
0.05
0
Samples (Deciles)
20 candidate predictors; 100 samples
SOME of the problems with
stepwise variable selection.
1. It yields R-squared values that are badly biased high
2. The F and chi-squared tests quoted next to each variable on the
printout do not have the claimed distribution
3. The method yields confidence intervals for effects and predicted
values that are falsely narrow (See Altman and Anderson Stat in
Med)
4. It yields P-values that do not have the proper meaning and the
proper correction for them is a very difficult problem
5. It gives biased regression coefficients that need shrinkage (the
coefficients for remaining variables are too large; see Tibshirani,
1996).
6. It has severe problems in the presence of collinearity
7. It is based on methods (e.g. F tests for nested models) that were
intended to be used to test pre-specified hypotheses.
8. Increasing the sample size doesn't help very much (see Derksen
and Keselman)
9. It allows us to not think about the problem
10. It uses a lot of paper
author ={Chatfield, C.},
title = {Model uncertainty, data mining and statistical inference (with discussion)},
journal = JRSSA,
year = 1995,
volume = 158,
pages = {419-466},
annote =
--bias by selecting model because it fits the data well; bias in standard errors; P. 420: ...
need for a better balance in the literature and in statistical teaching between techniques
and problem solving strategies}. P. 421: It is `well known' to be `logically unsound
and practically misleading' (Zhang, 1992) to make inferences as if a model is
known to be true when it has, in fact, been selected from the same data to be used
for estimation purposes. However, although statisticians may admit this privately
(Breiman (1992) calls it a `quiet scandal'), they (we) continue to ignore the
difficulties because it is not clear what else could or should be done. P. 421:
Estimation errors for regression coefficients are usually smaller than errors from failing
to take into account model specification. P. 422: Statisticians must stop pretending
that model uncertainty does not exist and begin to find ways of coping with it. P.
426: It is indeed strange that we often admit model uncertainty by searching for a
best model but then ignore this uncertainty by making inferences and predictions
as if certain that the best fitting model is actually true.
Phantom Degrees of Freedom
• Faraway (1992)—showed that any premodeling strategy cost a df over and
above df used later in modeling.
• Premodeling strategies included:
variable selection, outlier detection,
linearity tests, residual analysis.
• Thus, although not accounted for in
final model, these phantom df will
render the model too optimistic
Phantom Degrees of Freedom
• Therefore, if you transform, select, etc.,
you must include the DF in (i.e.,
penalize for) the “Final Model”
Conventional Univariate Preselection
• Non-significant tests also cost a DF
• Non-significance is NOT necessarily
related to importance
• Variables may not behave the same way
in a multivariable model—variable “not
significant” at univariate test may be
very important in the presence of other
variables
Conventional Univariate Preselection
• Despite the convention, testing for
confounding has not been
systematically studied—in many cases
leads to overadjustment and
underestimate of true effect of variable
of interest.
• At the very least, pulling variables in
and out of models inflates the model fit,
often dramatically
Better approach
• Pick variables a priori
• Stick with them
• Penalize appropriately for any datadriven decision about how to model a
variable
Spending DF wisely
• If not enough N/predictor, combine
covariates using techniques that do not
look at Y in the sample, PCA, FA,
conceptual clustering, collapsing, scoring,
established indexes.
• Save DF for finer-grained look at variables
of most interest, e.g, non-linear functions
Help is on the way?
• Penalization/Random effects
• Propensity Scoring
– “Matches” individuals on multiple dimensions
to improve “baseline balance”
• Tibshirani’s Lasso
http://myspace.com/monkeynavigatedrobots
Validation
• Apparent fit
• Usually too optimistic
• Internal
• cross-validation, bootstrap
• honest estimate for model performance
• provides an upper limit to what would be
found on external validation
• External validation
• replication with new sample, different
circumstances
Validation
• Steyerburg, et al. (1999)
compared validation methods
• Found that split-half was far too
conservative
• Bootstrap was equal or superior to
all other techniques
Conclusions
• Measure well
• Use all the information
• Recognize the limitations based on how much
data you actually have
• In the confirmatory mode, be as explicit as
possible about the model a priori, test it, and live
with it
• By all means, explore data, but recognize— and
state frankly --the limits post hoc analysis places
on inference
Advanced topics and examples
Bootstrap
My Sample
?1
?2
?3
?4 ………………….
WITH REPLACEMENT
Evaluate
?k-1
?k
1, 3, 4, 5, 7, 10
7
1
1
4
5
10
10
3
2
2
2
1
3
5
1
4
2
7
2
1
1
7
2
7
4
4
1
4
2
10
Can use data to determine where
to spend DF
• Use Spearman’s Rho to test “importance”
• Not peeking because we have chosen to
include the term in the model regardless
of relation to Y
• Use more DF for non-linearity
Example-Predict Survival from
age, gender, and fare on Titanic:
example using S-Plus (or R)
software
If you have already decided to
include them (and promise to
keep them in the model) you can
peek at predictors in order to see
where to add complexity
Spearman Test
N df
age
1046 1
fare
1308 1
sex
1309 1
0.0
0.05
0.10
0.15
Adjusted rho^2
0.20
0.25
Non-linearity using splines
Linear Spline
(piecewise regression)
Y = a + b1(x<10) + b2(10<x<20) +
b3 (x >20)
2.5
2
Y
1.5
1
0.5
0
0
0
5
10
X
15
20
25
Cubic Spline
(non-linear piecewise regression)
knots
2.5
2
Y
1.5
1
0.5
0
0
0
X
Logistic regression model
fitfare<-lrm(survived~(rcs(fare,3)+age+sex)^2,x=T,y=T)
anova(fitfare)
Spline with 3 knots
Wald Statistics
Response: survived
Factor
Chi-Square d.f.
fare (Factor+Higher Order Factors)
55.1
6
All Interactions
13.8
4
Nonlinear (Factor+Higher Order Factors)
21.9
3
age (Factor+Higher Order Factors)
22.2
4
All Interactions
16.7
3
sex (Factor+Higher Order Factors)
208.7
4
All Interactions
20.2
3
fare * age (Factor+Higher Order Factors)
8.5
2
Nonlinear
8.5
1
Nonlinear Interaction : f(A,B) vs. AB
8.5
1
fare * sex (Factor+Higher Order Factors)
6.4
2
Nonlinear
1.5
1
Nonlinear Interaction : f(A,B) vs. AB
1.5
1
age * sex (Factor+Higher Order Factors)
9.9
1
TOTAL NONLINEAR
21.9
3
TOTAL INTERACTION
24.9
5
TOTAL NONLINEAR + INTERACTION
38.3
6
TOTAL
245.3
9
P
<.0001
0.0079
0.0001
0.0002
0.0008
<.0001
0.0002
0.0142
0.0036
0.0036
0.0401
0.2153
0.2153
0.0016
0.0001
0.0001
<.0001
<.0001
Wald Statistics
Response: survived
Factor
Chi-Square d.f.
fare (Factor+Higher Order Factors)
55.1
6
All Interactions
13.8
4
Nonlinear (Factor+Higher Order Factors)
21.9
3
age (Factor+Higher Order Factors)
22.2
4
All Interactions
16.7
3
sex (Factor+Higher Order Factors)
208.7
4
All Interactions
20.2
3
fare * age (Factor+Higher Order Factors)
8.5
2
Nonlinear
8.5
1
Nonlinear Interaction : f(A,B) vs. AB
8.5
1
fare * sex (Factor+Higher Order Factors)
6.4
2
Nonlinear
1.5
1
Nonlinear Interaction : f(A,B) vs. AB
1.5
1
age * sex (Factor+Higher Order Factors)
9.9
1
TOTAL NONLINEAR
21.9
3
TOTAL INTERACTION
24.9
5
TOTAL NONLINEAR + INTERACTION
38.3
6
TOTAL
245.3
9
P
<.0001
0.0079
0.0001
0.0002
0.0008
<.0001
0.0002
0.0142
0.0036
0.0036
0.0401
0.2153
0.2153
0.0016
0.0001
0.0001
<.0001
<.0001
Wald Statistics
Response: survived
Factor
Chi-Square d.f.
fare (Factor+Higher Order Factors)
55.1
6
All Interactions
13.8
4
Nonlinear (Factor+Higher Order Factors)
21.9
3
age (Factor+Higher Order Factors)
22.2
4
All Interactions
16.7
3
sex (Factor+Higher Order Factors)
208.7
4
All Interactions
20.2
3
fare * age (Factor+Higher Order Factors)
8.5
2
Nonlinear
8.5
1
Nonlinear Interaction : f(A,B) vs. AB
8.5
1
fare * sex (Factor+Higher Order Factors)
6.4
2
Nonlinear
1.5
1
Nonlinear Interaction : f(A,B) vs. AB
1.5
1
age * sex (Factor+Higher Order Factors)
9.9
1
TOTAL NONLINEAR
21.9
3
TOTAL INTERACTION
24.9
5
TOTAL NONLINEAR + INTERACTION
38.3
6
TOTAL
245.3
9
P
<.0001
0.0079
0.0001
0.0002
0.0008
<.0001
0.0002
0.0142
0.0036
0.0036
0.0401
0.2153
0.2153
0.0016
0.0001
0.0001
<.0001
<.0001
Wald Statistics
Response: survived
Factor
Chi-Square d.f.
fare (Factor+Higher Order Factors)
55.1
6
All Interactions
13.8
4
Nonlinear (Factor+Higher Order Factors)
21.9
3
age (Factor+Higher Order Factors)
22.2
4
All Interactions
16.7
3
sex (Factor+Higher Order Factors)
208.7
4
All Interactions
20.2
3
fare * age (Factor+Higher Order Factors)
8.5
2
Nonlinear
8.5
1
Nonlinear Interaction : f(A,B) vs. AB
8.5
1
fare * sex (Factor+Higher Order Factors)
6.4
2
Nonlinear
1.5
1
Nonlinear Interaction : f(A,B) vs. AB
1.5
1
age * sex (Factor+Higher Order Factors)
9.9
1
TOTAL NONLINEAR
21.9
3
TOTAL INTERACTION
24.9
5
TOTAL NONLINEAR + INTERACTION
38.3
6
TOTAL
245.3
9
P
<.0001
0.0079
0.0001
0.0002
0.0008
<.0001
0.0002
0.0142
0.0036
0.0036
0.0401
0.2153
0.2153
0.0016
0.0001
0.0001
<.0001
<.0001
Wald Statistics
Response: survived
Factor
Chi-Square d.f.
fare (Factor+Higher Order Factors)
55.1
6
All Interactions
13.8
4
Nonlinear (Factor+Higher Order Factors)
21.9
3
age (Factor+Higher Order Factors)
22.2
4
All Interactions
16.7
3
sex (Factor+Higher Order Factors)
208.7
4
All Interactions
20.2
3
fare * age (Factor+Higher Order Factors)
8.5
2
Nonlinear
8.5
1
Nonlinear Interaction : f(A,B) vs. AB
8.5
1
fare * sex (Factor+Higher Order Factors)
6.4
2
Nonlinear
1.5
1
Nonlinear Interaction : f(A,B) vs. AB
1.5
1
age * sex (Factor+Higher Order Factors)
9.9
1
TOTAL NONLINEAR
21.9
3
TOTAL INTERACTION
24.9
5
TOTAL NONLINEAR + INTERACTION
38.3
6
TOTAL
245.3
9
P
<.0001
0.0079
0.0001
0.0002
0.0008
<.0001
0.0002
0.0142
0.0036
0.0036
0.0401
0.2153
0.2153
0.0016
0.0001
0.0001
<.0001
<.0001
Predictors of Survival on Titanic
0.50
2.00
4.00
6.00
8.00
10.00
12.00
fare - 31:7.9
sex - female:male
0.
95
age - 39:21
Adjusted to:fare=14 age=28 sex=male
0
Prob. of Survival
0.2 0.4 0.6 0.8
1
Fare and Age Interaction
60
50
250
40
3
ag 0
e
200
150
20
100 Fare
10
Adjusted to: sex=male
50
0
1.0
Fare and Gender Interaction
0.6
0.4
male
0.2
Prob. of Survival
0.8
female
0
50
100
150
Fare
Adjusted to: age=28
200
250
300
Bootstrap Validation
Index
Dxy
R2
Intercept
Slope
Training
0.6565
0.4273
0.0000
1.0000
Corrected
0.646
0.407
-0.011
0.952
Summary
• Think about your model
• Collect enough data
Summary
• Measure well
• Don’t destroy what you’ve
measured
Summary
• Pick your variables ahead of time
and collect enough data to test the
model you want
• Keep all your variables in the model
unless extremely unimportant
Summary
• Use more df on important
variables, fewer df on “nuisance”
variables
• Don’t peek at Y to combine,
discard, or transform variables
Summary
• Estimate validity and shrinkage
with bootstrap
Summary
• By all means, tinker with the model
later, but be aware of the costs of
tinkering
• Don’t forget to say you tinkered
• Go collect more data
Web links for references,
software, and more
• Harrell’s regression modeling text
– http://hesweb1.med.virginia.edu/biostat/rms/
• SAS Macros for spline estimation
– http://hesweb1.med.virginia.edu/biostat/SAS/survrisk.txt
• Some results comparing validation methods
– http://hesweb1.med.virginia.edu/biostat/reports/logistic.val.pdf
• SAS code for bootstrap
– ftp://ftp.sas.com/pub/neural/jackboot.sas
• S-Plus home page
– insightful.com
• Mike Babyak’s e-mail
– [email protected]
• This presentation
– http://www.duke.edu/~mbabyak
• www.duke.edu/~mababyak
• michael.babyak @ duke.edu
• symptomresearch.nih.gov/chapter_8/