# [R] p-level in packages mgcv and gam

Henric Nilsson henric.nilsson at statisticon.se
Thu Sep 29 09:55:19 CEST 2005

```Yves Magliulo said the following on 2005-09-28 17:05:
> hi,
>
> i did not have any response...
>
> I'm using gam from package mgcv.
>
> 1)
> How to interpret the significance of smooth terms is hard for me to
> understand perfectly :
> using UBRE, you fix df. p-value are estimated by chi-sq distribution
> using GCV, the best df are estimated by GAM. (that's what i want) and
> p-values

This is not correct. The df are estimated in both cases (i.e. UBRE and
GCV), but the scale parameter is fixed in the UBRE case. Hence, by
default UBRE is used for family = binomial or poisson since the scale
parameter is assumed to be 1. Similarly, GCV is the default for family =
gaussian since we most often want the scale (usually denoted sigma^2) to
be estimated.

> are estimated by an F distribution But in that case they said "use at
> your own risk" in ?summary.gam

The warning applies in both cases. The p-values are conditional on the
smoothing parameters, and the uncertainty of the smooths is not taken
into account when computing the p-values.

> so you can also look at the chi.sq : but i don't know how to choose a

No...

> criterion like for p-values... for me, chi.sq show the best predictor in
> a model, but it's hard to reject one with it.

Which version of mgcv do you use? The confusion probably stems from
earlier versions of mgcv (< 1.3-5): the summary and anova methods used
to have a column denoted Chi.sq even when the displayed statistic was

> summary(b)

Family: gaussian

Formula:
y ~ s(x0) + s(x1) + s(x2) + s(x3)

Parametric coefficients:
Estimate Std. Error t value Pr(>|t|)
(Intercept)   7.9150     0.1049   75.44   <2e-16 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Approximate significance of smooth terms:
edf Est.rank      F  p-value
s(x0) 5.173    9.000  3.785 0.000137 ***
s(x1) 2.357    9.000 34.631  < 2e-16 ***
s(x2) 8.517    9.000 84.694  < 2e-16 ***
s(x3) 1.000    1.000  0.444 0.505797
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

R-sq.(adj) =  0.726   Deviance explained = 73.7%
GCV score =  4.611   Scale est. = 4.4029    n = 400

If we assume that the scale is known and fixed at 4.4029, we get

> summary(b, dispersion = 4.4029)

Family: gaussian

Formula:
y ~ s(x0) + s(x1) + s(x2) + s(x3)

Parametric coefficients:
Estimate Std. Error z value Pr(>|z|)
(Intercept)   7.9150     0.1049   75.44   <2e-16 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Approximate significance of smooth terms:
edf Est.rank  Chi.sq p-value
s(x0) 5.173    9.000  34.067 8.7e-05 ***
s(x1) 2.357    9.000 311.679 < 2e-16 ***
s(x2) 8.517    9.000 762.255 < 2e-16 ***
s(x3) 1.000    1.000   0.444   0.505
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

R-sq.(adj) =  0.726   Deviance explained = 73.7%
GCV score =  4.611   Scale est. = 4.4029    n = 400

Note that t/F changed into z/Chi.sq.

>
> so as far as i m concerned, i use GCV methods, and fix a 5% on the null
> hypothesis (pvalue) to select significant predictor. after, i look at my
> smooth, and if the parametrization look fine to me, i validate.
>
> generaly, for p-values smaller than 0.001, you can be confident. over
> 0.001, you have to check.
>
> 2)

The underlying algorithms are very different.

HTH,
Henric

> one year ago, here's the response :
>
> "
> - package gam is based very closely on the GAM approach presented in
> Hastie and Tibshirani's  "Generalized Additive Models" book. Estimation
> is
> by back-fitting and model selection is based on step-wise regression
> methods based on approximate distributional results. A particular
> strength
> of this approach is that local regression smoothers (`lo()' terms) can
> be
> included in GAM models.
>
> - gam in package mgcv represents GAMs using penalized regression
> splines.
> Estimation is by direct penalized likelihood maximization with
> integrated smoothness estimation via GCV or related criteria (there is
> also an alternative `gamm' function based on a mixed model approach).
> Strengths of the this approach are that s() terms can be functions of
> more
> than one variable and that tensor product smooths are available via te()
> terms - these are useful when different degrees of smoothness are
> appropriate relative to different arguments of a smooth.
>
> (...)
>
> Basically, if you want integrated smoothness selection, an underlying
> parametric representation, or want smooth interactions in your models
> then mgcv is probably worth a try (but I would say that). If you want to
> use local regression smoothers and/or prefer the stepwise selection
> approach then package gam is for you.
> "
>
> i think the difference of p-values between :gam and :mgcv, is because
> you don't have same number of step iteration. mgcv : gam choose the
> number of step and with gam : gam you have to choose it..
>
> hope it helps and someone gives us more details...
>
> Yves
>
>
> Le mer 28/09/2005 à 15:30, Denis Chabot a écrit :
>
>
>>I only got one reply to my message:
>>
>>
>>>No, this won't work.  The problem is the usual one with model
>>>selection: the p-value is calculated as if the df had been fixed,
>>>when really it was estimated.
>>>
>>>It is likely to be quite hard to get an honest p-value out of
>>>
>>>    -thomas
>>
>>I do not understand this: it seems that a lot of people chose df=4
>>for no particular reason, but p-levels are correct. If instead I
>>choose df=8 because a previous model has estimated this to be an
>>optimal df, P-levels are no good because df are estimated?
>>
>>Furthermore, shouldn't packages gam and mgcv give similar results
>>when the same data and df are used? I tried this:
>>
>>library(gam)
>>data(kyphosis)
>>kyp1 <- gam(Kyphosis ~ s(Age, 4), family=binomial, data=kyphosis)
>>kyp2 <- gam(Kyphosis ~ s(Number, 4), family=binomial, data=kyphosis)
>>kyp3 <- gam(Kyphosis ~ s(Start, 4), family=binomial, data=kyphosis)
>>anova.gam(kyp1)
>>anova.gam(kyp2)
>>anova.gam(kyp3)
>>
>>detach(package:gam)
>>library(mgcv)
>>kyp4 <- gam(Kyphosis ~ s(Age, k=4, fx=T),  family=binomial,
>>data=kyphosis)
>>kyp5 <- gam(Kyphosis ~ s(Number, k=4, fx=T),  family=binomial,
>>data=kyphosis)
>>kyp6 <- gam(Kyphosis ~ s(Start, k=4, fx=T),  family=binomial,
>>data=kyphosis)
>>anova.gam(kyp4)
>>anova.gam(kyp5)
>>anova.gam(kyp6)
>>
>>
>>P levels for these models, by pair
>>
>>kyp1 vs kyp4: p= 0.083 and 0.068 respectively (not too bad)
>>kyp2 vs kyp5: p= 0.445 and 0.03 (wow!)
>>kyp3 vs kyp6: p= 0.053 and 0.008 (wow again)
>>
>>Also if you plot all these you find that the mgcv plots are smoother
>>than the gam plots, even the same df are used all the time.
>>
>>I am really confused now!
>>
>>Denis
>>
>>Début du message réexpédié :
>>
>>
>>>>De : Denis Chabot <chabotd at globetrotter.net>
>>>>Date : 26 septembre 2005 12:25:04 HAE
>>>>À : r-help at stat.math.ethz.ch
>>>>Objet : p-level in packages mgcv and gam
>>>>
>>>>
>>>>Hi,
>>>>
>>>>I am fairly new to GAM and started using package mgcv. I like the
>>>>fact that optimal smoothing is automatically used (i.e. df are not
>>>>determined a priori but calculated by the gam procedure).
>>>>
>>>>But the mgcv manual warns that p-level for the smooth can be
>>>>underestimated when df are estimated by the model. Most of the
>>>>time my p-levels are so small that even doubling them would not
>>>>result in a value close to the P=0.05 threshold, but I have one
>>>>case with P=0.033.
>>>>
>>>>I thought, probably naively, that running a second model with
>>>>fixed df, using the value of df found in the first model. I could
>>>>not achieve this with mgcv: its gam function does not seem to
>>>>accept fractional values of df (in my case 8.377).
>>>>
>>>>So I used the gam package and fixed df to 8.377. The P-value I
>>>>obtained was slightly larger than with mgcv (0.03655 instead of
>>>>0.03328), but it is still < 0.05.
>>>>
>>>>
>>>>Furthermore, although the gam.check function of the mgcv package
>>>>suggests to me that the gaussian family (and identity link) are
>>>>adequate for my data, I must say the instructions in R help for
>>>>"family" and in Hastie, T. and Tibshirani, R. (1990) Generalized
>>>>Additive Models are too technical for me. If someone knows a
>>>>reference that explains how to choose model and link, i.e. what
>>>>tests to run on your data before choosing, I would really
>>>>appreciate it.
>>>>
>>>>
>>>>Denis Chabot
>>>>
>>>
>>______________________________________________
>>R-help at stat.math.ethz.ch mailing list
>>https://stat.ethz.ch/mailman/listinfo/r-help
>>
>
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