[R] Orthogonal polynomials used by R
Fox, John
j|ox @end|ng |rom mcm@@ter@c@
Thu Nov 28 15:08:15 CET 2019
Dear Ashim,
I'm afraid that much of what you say here is confused.
First, because poly(x) and poly(x, raw=TRUE) produce the same fitted values (as I previously explained), they also produce the same residuals, and consequently the same CV criteria. From the point of view of CV, there's therefore no reason to prefer orthogonal polynomials. And you still don't explain why you want to interpret the coefficients of the polynomial.
Second, the model formula gdp~1+x+x^2 and other similar formulas in your message don't do what you think. Like + and *, the ^ operator has special meaning on the right-hand side of an R model formula. See ?Formula and perhaps read something about statistical models in R. For example:
> x <- 1:93
> y <- 1 + x + x^2 + x^3 + x^4 + rnorm(93)
> (m <- lm(y ~ x + x^2))
Call:
lm(formula = y ~ x + x^2)
Coefficients:
(Intercept) x
-15781393 667147
While gpp ~ x + I(x^2) would work, a better way to fit a raw quadratic is as gdp ~ poly(x, 2, raw=TRUE), as I suggested in my earlier message.
Finally, as to what you should do, I generally try to avoid statistical consulting by email. If you can find competent statistical help locally, such as at a nearby university, I'd recommend talking to someone about the purpose of your research and the nature of your data. If that's not possible, then others have suggested where you might find help, but to get useful advice you'll have to provide much more information about your research.
Best,
John
-----------------------------
John Fox, Professor Emeritus
McMaster University
Hamilton, Ontario, Canada
Web: http::/socserv.mcmaster.ca/jfox
> On Nov 28, 2019, at 12:46 AM, Ashim Kapoor <ashimkapoor using gmail.com> wrote:
>
> Dear Peter and John,
>
> Many thanks for your prompt replies.
>
> Here is what I was trying to do. I was trying to build a statistical model of a given time series using Box Jenkins methodology. The series has 93 data points. Before I analyse the ACF and PACF, I am required to de-trend the series. The series seems to have an upward trend. I wanted to find out what order polynomial should I fit the series
> without overfitting. For this I want to use orthogonal polynomials(I think someone on the internet was talking about preventing overfitting by using orthogonal polynomials) . This seems to me as a poor man's cross validation.
>
> So my plan is to keep increasing the degree of the orthogonal polynomials till the coefficient of the last orthogonal polynomial becomes insignificant.
>
> Note : If I do NOT use orthogonal polynomials, I will overfit the data set and I don't think that is a good way to detect the true order of the polynomial.
>
> Also now that I have detrended the series and built an ARIMA model of the residuals, now I want to forecast. For this I need to use the original polynomials and their coefficients.
>
> I hope I was clear and that my methodology is ok.
>
> I have another query here :-
>
> Note : If I used cross-validation to determine the order of the polynomial, I don't get a clear answer.
>
> See here :-
> library(boot)
> mydf = data.frame(cbind(gdp,x))
> d<-(c(
> cv.glm(data = mydf,glm(gdp~x),K=10)$delta[1],
> cv.glm(data = mydf,glm(gdp~poly(x,2)),K=10)$delta[1],
> cv.glm(data = mydf,glm(gdp~poly(x,3)),K=10)$delta[1],
> cv.glm(data = mydf,glm(gdp~poly(x,4)),K=10)$delta[1],
> cv.glm(data = mydf,glm(gdp~poly(x,5)),K=10)$delta[1],
> cv.glm(data = mydf,glm(gdp~poly(x,6)),K=10)$delta[1]))
> print(d)
> ## [1] 2.178574e+13 7.303031e+11 5.994783e+11 4.943586e+11 4.596648e+11
> ## [6] 4.980159e+11
>
> # Here it chooses 5. (but 4 and 5 are kind of similar).
>
>
> d1 <- (c(
> cv.glm(data = mydf,glm(gdp~1+x),K=10)$delta[1],
> cv.glm(data = mydf,glm(gdp~1+x+x^2),K=10)$delta[1],
> cv.glm(data = mydf,glm(gdp~1+x+x^2+x^3),K=10)$delta[1],
> cv.glm(data = mydf,glm(gdp~1+x+x^2+x^3+x^4),K=10)$delta[1],
> cv.glm(data = mydf,glm(gdp~1+x+x^2+x^3+x^4+x^5),K=10)$delta[1],
> cv.glm(data = mydf,glm(gdp~1+x+x^2+x^3+x^4+x^5+x^6),K=10)$delta[1]))
>
> print(d1)
> ## [1] 2.149647e+13 2.253999e+13 2.182175e+13 2.177170e+13 2.198675e+13
> ## [6] 2.145754e+13
>
> # here it chooses 1 or 6
>
> Query : Why does it choose 1? Notice : Is this just round off noise / noise due to sampling error created by Cross Validation when it creates the K folds? Is this due to the ill conditioned model matrix?
>
> Best Regards,
> Ashim.
>
>
>
>
>
> On Wed, Nov 27, 2019 at 10:41 PM Fox, John <jfox using mcmaster.ca> wrote:
> Dear Ashim,
>
> Orthogonal polynomials are used because they tend to produce more accurate numerical computations, not because their coefficients are interpretable, so I wonder why you're interested in the coefficients.
>
> The regressors produced are orthogonal to the constant regressor and are orthogonal to each other (and in fact are orthonormal), as it's simple to demonstrate:
>
> ------- snip -------
>
> > x <- 1:93
> > y <- 1 + x + x^2 + x^3 + x^4 + rnorm(93)
> > (m <- lm(y ~ poly(x, 4)))
>
> Call:
> lm(formula = y ~ poly(x, 4))
>
> Coefficients:
> (Intercept) poly(x, 4)1 poly(x, 4)2 poly(x, 4)3 poly(x, 4)4
> 15574516 172715069 94769949 27683528 3429259
>
> > X <- model.matrix(m)
> > head(X)
> (Intercept) poly(x, 4)1 poly(x, 4)2 poly(x, 4)3 poly(x, 4)4
> 1 1 -0.1776843 0.2245083 -0.2572066 0.27935949
> 2 1 -0.1738216 0.2098665 -0.2236579 0.21862917
> 3 1 -0.1699589 0.1955464 -0.1919525 0.16390514
> 4 1 -0.1660962 0.1815482 -0.1620496 0.11487597
> 5 1 -0.1622335 0.1678717 -0.1339080 0.07123722
> 6 1 -0.1583708 0.1545171 -0.1074869 0.03269145
>
> > zapsmall(crossprod(X))# X'X
> (Intercept) poly(x, 4)1 poly(x, 4)2 poly(x, 4)3 poly(x, 4)4
> (Intercept) 93 0 0 0 0
> poly(x, 4)1 0 1 0 0 0
> poly(x, 4)2 0 0 1 0 0
> poly(x, 4)3 0 0 0 1 0
> poly(x, 4)4 0 0 0 0 1
>
> ------- snip -------
>
> If for some not immediately obvious reason you're interested in the regression coefficients, why not just use a "raw" polynomial:
>
> ------- snip -------
>
> > (m1 <- lm(y ~ poly(x, 4, raw=TRUE)))
>
> Call:
> lm(formula = y ~ poly(x, 4, raw = TRUE))
>
> Coefficients:
> (Intercept) poly(x, 4, raw = TRUE)1 poly(x, 4, raw = TRUE)2 poly(x, 4, raw = TRUE)3
> 1.5640 0.8985 1.0037 1.0000
> poly(x, 4, raw = TRUE)4
> 1.0000
>
> ------- snip -------
>
> These coefficients are simply interpretable but the model matrix is more poorly conditioned:
>
> ------- snip -------
>
> > head(X1)
> (Intercept) poly(x, 4, raw = TRUE)1 poly(x, 4, raw = TRUE)2 poly(x, 4, raw = TRUE)3
> 1 1 1 1 1
> 2 1 2 4 8
> 3 1 3 9 27
> 4 1 4 16 64
> 5 1 5 25 125
> 6 1 6 36 216
> poly(x, 4, raw = TRUE)4
> 1 1
> 2 16
> 3 81
> 4 256
> 5 625
> 6 1296
> > round(cor(X1[, -1]), 2)
> poly(x, 4, raw = TRUE)1 poly(x, 4, raw = TRUE)2 poly(x, 4, raw = TRUE)3
> poly(x, 4, raw = TRUE)1 1.00 0.97 0.92
> poly(x, 4, raw = TRUE)2 0.97 1.00 0.99
> poly(x, 4, raw = TRUE)3 0.92 0.99 1.00
> poly(x, 4, raw = TRUE)4 0.87 0.96 0.99
> poly(x, 4, raw = TRUE)4
> poly(x, 4, raw = TRUE)1 0.87
> poly(x, 4, raw = TRUE)2 0.96
> poly(x, 4, raw = TRUE)3 0.99
> poly(x, 4, raw = TRUE)4 1.00
>
> ------- snip -------
>
> The two parametrizations are equivalent, however, in that they represent the same regression surface, and so, e.g., produce the same fitted values:
>
> ------- snip -------
>
> > all.equal(fitted(m), fitted(m1))
> [1] TRUE
>
> ------- snip -------
>
> Because one is usually not interested in the individual coefficients of a polynomial there usually isn't a reason to prefer one parametrization to the other on the grounds of interpretability, so why do you need to interpret the regression equation?
>
> I hope this helps,
> John
>
> -----------------------------
> John Fox, Professor Emeritus
> McMaster University
> Hamilton, Ontario, Canada
> Web: http::/socserv.mcmaster.ca/jfox
>
> > On Nov 27, 2019, at 10:17 AM, Ashim Kapoor <ashimkapoor using gmail.com> wrote:
> >
> > Dear Petr,
> >
> > Many thanks for the quick response.
> >
> > I also read this:-
> > https://en.wikipedia.org/wiki/Discrete_orthogonal_polynomials
> >
> > Also I read in ?poly:-
> > The orthogonal polynomial is summarized by the coefficients, which
> > can be used to evaluate it via the three-term recursion given in
> > Kennedy & Gentle (1980, pp. 343-4), and used in the ‘predict’ part
> > of the code.
> >
> > I don't have access to the mentioned book.
> >
> > Out of curiosity, what is the name of the discrete orthogonal polynomial
> > used by R ?
> > What discrete measure is it orthogonal with respect to ?
> >
> > Many thanks,
> > Ashim
> >
> >
> >
> >
> > On Wed, Nov 27, 2019 at 6:11 PM PIKAL Petr <petr.pikal using precheza.cz> wrote:
> >
> >> You could get answer quickly by searching net.
> >>
> >>
> >> https://stackoverflow.com/questions/39031172/how-poly-generates-orthogonal-p
> >> olynomials-how-to-understand-the-coefs-ret/39051154#39051154
> >> <https://stackoverflow.com/questions/39031172/how-poly-generates-orthogonal-polynomials-how-to-understand-the-coefs-ret/39051154#39051154>
> >>
> >> Cheers
> >> Petr
> >>
> >>> -----Original Message-----
> >>> From: R-help <r-help-bounces using r-project.org> On Behalf Of Ashim Kapoor
> >>> Sent: Wednesday, November 27, 2019 12:55 PM
> >>> To: R Help <r-help using r-project.org>
> >>> Subject: [R] Orthogonal polynomials used by R
> >>>
> >>> Dear All,
> >>>
> >>> I have created a time trend by doing x<-1:93 because I have a time series
> >>> with 93 data points. Next I did :-
> >>>
> >>> y = lm(series ~ poly(x,4))$residuals
> >>>
> >>> to detrend series.
> >>>
> >>> I choose this 4 as the order of my polynomial using cross validation/
> >>> checking the absence of trend in the residuals so I think I have not
> >> overfit
> >>> this series.
> >>>
> >>> I wish to document the formula of poly(x,4). I am not able to find it in
> >> ?poly
> >>>
> >>> Can someone please tell me what the formula for the orthogonal
> >>> polynomial used by R is ?
> >>>
> >>> Thank you,
> >>> Ashim
> >>>
> >>> [[alternative HTML version deleted]]
> >>>
> >>> ______________________________________________
> >>> R-help using r-project.org mailing list -- To UNSUBSCRIBE and more, see
> >>> https://stat.ethz.ch/mailman/listinfo/r-help
> >>> PLEASE do read the posting guide http://www.R-project.org/posting-
> >>> guide.html
> >>> and provide commented, minimal, self-contained, reproducible code.
> >>
> >
> > [[alternative HTML version deleted]]
> >
> > ______________________________________________
> > R-help using r-project.org mailing list -- To UNSUBSCRIBE and more, see
> > https://stat.ethz.ch/mailman/listinfo/r-help
> > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> > and provide commented, minimal, self-contained, reproducible code.
>
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