Adding a family
What do you do if glmmTMB hasn’t implemented the
response distributions you want/need? You could try asking the
developers to do it, but if you have the technical skills (reading and
modifying R and C++ code) you may be able to do it yourself. You will
need to make appropriate modifications to the R and C++ code and
recompile/reinstall the package.
This example will show how to add a “zero-one truncated Poisson”, i.e. a Poisson distribution with only values >1. This is a fairly easy case (we will discuss below what characteristics make a distribution easier or harder to implement).
The most general advice is “identify the most similar distribution
that has already been implemented in glmmTMB and
copy/modify the relevant bits of code”.
Download the tarball (glmmTMB.tar.gz) from CRAN and
unpack it.
C++
These files are in the src/ directory.
modify glmmTMB.cpp
-
enum valid_familyis the list of distributions thatglmmTMBknows about. Give your distribution an unused index (in a range with other similar distributions) and add it to the list.
...
truncated_genpois_family =404,
truncated_compois_family =405,
// new
zo_truncated_poisson_family = 410,
...- add a case to the giant
switchstatement that handles the conditional likelihood (search for// Observation likelihoodat the beginning): in this case we can most easily do this by modifying the code for the zero-truncated Poisson family (case truncated_poisson_family):-
mu(i)is the value of the location parameter for the current observation -
phi(i)is the value of the dispersion parameter for the current observation. This value always uses a log link, so it will be a value on[0,Inf). You should decide whether this value needs to be transformed or combined withmu(i)to form the traditional scale or dispersion parameter for your distribution. There are lots of examples inglmmTMB.cpp - use logspace addition/subtraction if possible
(
logspace_addandlogspace_subfunctions inTMB: see here for more information). This isn’t necessary but will make your computations more stable. - if you want to be able to simulate data, add a
SIMULATE{}condition that samples a random deviate from your distribution
-
case zo_truncated_poisson_family:
log_nzprob = logspace_sub(Type(0), -mu(i)); // log(1-exp(-mu(i)));
// now subtract the prob(X==1)
log_nzprob = logspace_sub(log_nzprob, log(mu(i)) - mu(i));
// log-Poisson likelihood minus the 'missing mass'
tmp_loglik = dpois(yobs(i), mu(i), true) - log_nzprob;
// this is a utility for use in ther zero-inflated case
tmp_loglik = zt_lik_nearzero(yobs(i), tmp_loglik);
SIMULATE{
// conveniently, this built-in function already allows truncation
// at different points
yobs(i) = glmmtmb::rtruncated_poisson(1, asDouble(mu(i)));
}
break;R code
modifying family.R
We might be able to get away with specifying family= as
a list, but it’s better to implement it as a new function.
#' @rdname nbinom2
#' @export
zo_truncated_poisson <- function(link="log") {
r <- list(family="zo_truncated_poisson",
variance=function(lambda) {
stop("haven't implemented variance function")
## should figure this out ...
## (lambda+lambda^2)/(1-exp(-lambda)) - lambda^2/((1-exp(-lambda))^2)
})
return(make_family(r,link))
}As you can see, I haven’t yet worked out the variance of a zero-one-truncated Poisson. This will only cause problems if/when a user wants to estimate Pearson residuals.
Ideally a $dev.resids() component should also be added,
to return the deviance residuals (i.e.,
,
where
is the log-likelihood of
under the saturated model; see the $dev.resids
components of families built into base R for examples.
For some families, the variance and deviance-residuals function
require extra information such as a dispersion parameter. For the
nbinom1 and nbinom2 families,
glmmTMB does some additional stuff to store the value of
the dispersion parameter in the environment of the variance/deviance
residual functions (which share an environment), and to retrieve the
dispersion parameter from the environment (search for “.Theta” in the R
code for the package).
You should also document your new family, probably in the
?glmmTMB::family_glmmTMB page. This material is located in
R/family.R, above the nbinom2 family
function.
modifying glmmTMB.R
There may not be any other R code that needs to be updated, depending
on the details of the family you are adding. Again, it’s best to try to
work by analogy with the closest family to the one you’re adding. In
this case, the only occurrence of truncated_poisson in
glmmTMB.R is in the definition of which families have no
dispersion parameter:
.noDispersionFamilies <- c("binomial", "poisson", "truncated_poisson",
"zo_truncated_poisson")Finishing up
Test
library(glmmTMB)
set.seed(101)
dd <- data.frame(y = rpois(500, exp(1)))
table(dd$y)
## 0 1 2 3 4 5 6 7 8 9
## 34 91 117 116 68 45 17 7 3 2
dd <- dd[dd$y>1,,drop=FALSE]
table(dd$y)
## 2 3 4 5 6 7 8 9
## 117 116 68 45 17 7 3 2
glmmTMB(y ~ 1, family = "zo_truncated_poisson", data = dd)This appears to give the right answer (i.e. the estimated value of the intercept (log-link), 1.015, is close to the true value of 1).
Formula: y ~ 1
Data: dd
AIC BIC logLik df.resid
1184.2750 1188.2020 -591.1375 374
Number of obs: 375
Fixed Effects:
Conditional model:
(Intercept)
1.015
If you are adding the material for long-term use you should also add
some tests to tests/testthat/test-families.R
Additional distributional parameters
Some families (Tweedie, Student-t) have shape parameters or other
parameters beyond the usual parameters determining the location (mean)
and scale (dispersion). These parameters are passed in the
thetaf vector: the best thing to do here is to search the R
and C++ code for “[Tt]weedie” and see what will need to be adjusted.
Adding a covariance structure
General advice, but written while adding a “diagonal with homogeneous
variance” (homdiag) covariance structure.
C++ code
- add to the
valid_covStructenuminglmmTMB.cpp - modify
termwise_nll. In the case ofhomdiagwe can re-use the existingdiag_covstructcode (since everything is vectorized so should work equally well with a length-1 or length- vector of (log) standard deviations)
R code
- modify
parFunto specify the number of parameters - modify documentation of
glmmTMB() - run
make enum-update
Structure of a glmmTMB object
Since I don’t think this is explicitly documented anywhere …
-
obj: this is a TMB-object (no explicit class, just a list) as created byTMB::MakeADFun(). It has useful components-
$fn: the negative log-likelihood function (takes a vector of non-random parameters (beta,betazi,bzi,theta,thetazi,psidepending on the model;bandbziare excluded) -
$gr: gradient of the NLL function -
$env: environment, holding useful stuff like$random(positions of random-effect parameters),$last.par.best, etc. -
$report(return derived values) -
$simulate(simulate new responses)
-
-
fit: results of optimization -
sdr: results of callingsdreport() -
call: original model call -
frame: model frame -
modelInfo: lots of useful information-
nobs: number of observations (should be the same asnrow(x$frame)) -
respCol: response column -
grpVar: (?) -
family: GLM family contrastsreTrmstermsreStrucallFormREMLmapsparseXparallel
-