`vignettes/brms_monotonic.Rmd`

`brms_monotonic.Rmd`

This vignette is about monotonic effects, a special way of handling discrete predictors that are on an ordinal or higher scale (Bürkner & Charpentier, in review). A predictor, which we want to model as monotonic (i.e., having a monotonically increasing or decreasing relationship with the response), must either be integer valued or an ordered factor. As opposed to a continuous predictor, predictor categories (or integers) are not assumed to be equidistant with respect to their effect on the response variable. Instead, the distance between adjacent predictor categories (or integers) is estimated from the data and may vary across categories. This is realized by parameterizing as follows: One parameter, \(b\), takes care of the direction and size of the effect similar to an ordinary regression parameter. If the monotonic effect is used in a linear model, \(b\) can be interpreted as the expected average difference between two adjacent categories of the ordinal predictor. An additional parameter vector, \(\zeta\), estimates the normalized distances between consecutive predictor categories which thus defines the shape of the monotonic effect. For a single monotonic predictor, \(x\), the linear predictor term of observation \(n\) looks as follows:

\[\eta_n = b D \sum_{i = 1}^{x_n} \zeta_i\]

The parameter \(b\) can take on any real value, while \(\zeta\) is a simplex, which means that it satisfies \(\zeta_i \in [0,1]\) and \(\sum_{i = 1}^D \zeta_i = 1\) with \(D\) being the number of elements of \(\zeta\). Equivalently, \(D\) is the number of categories (or highest integer in the data) minus 1, since we start counting categories from zero to simplify the notation.

A main application of monotonic effects are ordinal predictors that can be modeled this way without falsely treating them either as continuous or as unordered categorical predictors. In Psychology, for instance, this kind of data is omnipresent in the form of Likert scale items, which are often treated as being continuous for convenience without ever testing this assumption. As an example, suppose we are interested in the relationship of yearly income (in $) and life satisfaction measured on an arbitrary scale from 0 to 100. Usually, people are not asked for the exact income. Instead, they are asked to rank themselves in one of certain classes, say: ‘below 20k’, ‘between 20k and 40k’, ‘between 40k and 100k’ and ‘above 100k’. We use some simulated data for illustration purposes.

```
income_options <- c("below_20", "20_to_40", "40_to_100", "greater_100")
income <- factor(sample(income_options, 100, TRUE),
levels = income_options, ordered = TRUE)
mean_ls <- c(30, 60, 70, 75)
ls <- mean_ls[income] + rnorm(100, sd = 7)
dat <- data.frame(income, ls)
```

We now proceed with analyzing the data modeling `income`

as a monotonic effect.

The summary methods yield

`summary(fit1)`

```
Family: gaussian
Links: mu = identity; sigma = identity
Formula: ls ~ mo(income)
Data: dat (Number of observations: 100)
Draws: 4 chains, each with iter = 2000; warmup = 1000; thin = 1;
total post-warmup draws = 4000
Population-Level Effects:
Estimate Est.Error l-95% CI u-95% CI Rhat Bulk_ESS Tail_ESS
Intercept 30.90 1.56 27.83 33.92 1.00 2578 2098
moincome 14.75 0.71 13.31 16.15 1.00 2792 2145
Simplex Parameters:
Estimate Est.Error l-95% CI u-95% CI Rhat Bulk_ESS Tail_ESS
moincome1[1] 0.70 0.04 0.62 0.78 1.00 3493 2755
moincome1[2] 0.12 0.05 0.03 0.22 1.00 3350 1609
moincome1[3] 0.18 0.04 0.09 0.26 1.00 3944 2583
Family Specific Parameters:
Estimate Est.Error l-95% CI u-95% CI Rhat Bulk_ESS Tail_ESS
sigma 7.39 0.53 6.42 8.50 1.00 3482 2683
Draws were sampled using sampling(NUTS). For each parameter, Bulk_ESS
and Tail_ESS are effective sample size measures, and Rhat is the potential
scale reduction factor on split chains (at convergence, Rhat = 1).
```

`plot(fit1, variable = "simo", regex = TRUE)`

`plot(conditional_effects(fit1))`

The distributions of the simplex parameter of `income`

, as
shown in the `plot`

method, demonstrate that the largest
difference (about 70% of the difference between minimum and maximum
category) is between the first two categories.

Now, let’s compare of monotonic model with two common alternative
models. (a) Assume `income`

to be continuous:

```
dat$income_num <- as.numeric(dat$income)
fit2 <- brm(ls ~ income_num, data = dat)
```

`summary(fit2)`

```
Family: gaussian
Links: mu = identity; sigma = identity
Formula: ls ~ income_num
Data: dat (Number of observations: 100)
Draws: 4 chains, each with iter = 2000; warmup = 1000; thin = 1;
total post-warmup draws = 4000
Population-Level Effects:
Estimate Est.Error l-95% CI u-95% CI Rhat Bulk_ESS Tail_ESS
Intercept 24.82 2.50 19.97 29.76 1.00 3902 2962
income_num 13.62 0.90 11.86 15.31 1.00 3567 2738
Family Specific Parameters:
Estimate Est.Error l-95% CI u-95% CI Rhat Bulk_ESS Tail_ESS
sigma 9.91 0.73 8.59 11.53 1.00 4012 2716
Draws were sampled using sampling(NUTS). For each parameter, Bulk_ESS
and Tail_ESS are effective sample size measures, and Rhat is the potential
scale reduction factor on split chains (at convergence, Rhat = 1).
```

or (b) Assume `income`

to be an unordered factor:

```
contrasts(dat$income) <- contr.treatment(4)
fit3 <- brm(ls ~ income, data = dat)
```

`summary(fit3)`

```
Family: gaussian
Links: mu = identity; sigma = identity
Formula: ls ~ income
Data: dat (Number of observations: 100)
Draws: 4 chains, each with iter = 2000; warmup = 1000; thin = 1;
total post-warmup draws = 4000
Population-Level Effects:
Estimate Est.Error l-95% CI u-95% CI Rhat Bulk_ESS Tail_ESS
Intercept 30.69 1.56 27.57 33.63 1.00 2764 2798
income2 31.05 2.12 26.90 35.26 1.00 3205 2960
income3 36.43 2.18 32.31 40.76 1.00 2906 2680
income4 44.59 2.07 40.64 48.72 1.00 3191 3362
Family Specific Parameters:
Estimate Est.Error l-95% CI u-95% CI Rhat Bulk_ESS Tail_ESS
sigma 7.40 0.55 6.43 8.56 1.00 3690 2814
Draws were sampled using sampling(NUTS). For each parameter, Bulk_ESS
and Tail_ESS are effective sample size measures, and Rhat is the potential
scale reduction factor on split chains (at convergence, Rhat = 1).
```

We can easily compare the fit of the three models using leave-one-out cross-validation.

`loo(fit1, fit2, fit3)`

```
Output of model 'fit1':
Computed from 4000 by 100 log-likelihood matrix
Estimate SE
elpd_loo -343.9 6.9
p_loo 4.7 0.7
looic 687.7 13.7
------
Monte Carlo SE of elpd_loo is 0.0.
All Pareto k estimates are good (k < 0.5).
See help('pareto-k-diagnostic') for details.
Output of model 'fit2':
Computed from 4000 by 100 log-likelihood matrix
Estimate SE
elpd_loo -372.5 6.8
p_loo 2.9 0.5
looic 745.0 13.6
------
Monte Carlo SE of elpd_loo is 0.0.
All Pareto k estimates are good (k < 0.5).
See help('pareto-k-diagnostic') for details.
Output of model 'fit3':
Computed from 4000 by 100 log-likelihood matrix
Estimate SE
elpd_loo -343.9 6.9
p_loo 4.8 0.7
looic 687.8 13.7
------
Monte Carlo SE of elpd_loo is 0.0.
All Pareto k estimates are good (k < 0.5).
See help('pareto-k-diagnostic') for details.
Model comparisons:
elpd_diff se_diff
fit1 0.0 0.0
fit3 0.0 0.2
fit2 -28.6 6.3
```

The monotonic model fits better than the continuous model, which is
not surprising given that the relationship between `income`

and `ls`

is non-linear. The monotonic and the unordered
factor model have almost identical fit in this example, but this may not
be the case for other data sets.

In the previous monotonic model, we have implicitly assumed that all differences between adjacent categories were a-priori the same, or formulated correctly, had the same prior distribution. In the following, we want to show how to change this assumption. The canonical prior distribution of a simplex parameter is the Dirichlet distribution, a multivariate generalization of the beta distribution. It is non-zero for all valid simplexes (i.e., \(\zeta_i \in [0,1]\) and \(\sum_{i = 1}^D \zeta_i = 1\)) and zero otherwise. The Dirichlet prior has a single parameter \(\alpha\) of the same length as \(\zeta\). The higher \(\alpha_i\) the higher the a-priori probability of higher values of \(\zeta_i\). Suppose that, before looking at the data, we expected that the same amount of additional money matters more for people who generally have less money. This translates into a higher a-priori values of \(\zeta_1\) (difference between ‘below_20’ and ‘20_to_40’) and hence into higher values of \(\alpha_1\). We choose \(\alpha_1 = 2\) and \(\alpha_2 = \alpha_3 = 1\), the latter being the default value of \(\alpha\). To fit the model we write:

```
prior4 <- prior(dirichlet(c(2, 1, 1)), class = "simo", coef = "moincome1")
fit4 <- brm(ls ~ mo(income), data = dat,
prior = prior4, sample_prior = TRUE)
```

The `1`

at the end of `"moincome1"`

may appear
strange when first working with monotonic effects. However, it is
necessary as one monotonic term may be associated with multiple simplex
parameters, if interactions of multiple monotonic variables are included
in the model.

`summary(fit4)`

```
Family: gaussian
Links: mu = identity; sigma = identity
Formula: ls ~ mo(income)
Data: dat (Number of observations: 100)
Draws: 4 chains, each with iter = 2000; warmup = 1000; thin = 1;
total post-warmup draws = 4000
Population-Level Effects:
Estimate Est.Error l-95% CI u-95% CI Rhat Bulk_ESS Tail_ESS
Intercept 30.85 1.54 27.87 33.98 1.00 2652 2513
moincome 14.75 0.71 13.36 16.09 1.00 2533 2624
Simplex Parameters:
Estimate Est.Error l-95% CI u-95% CI Rhat Bulk_ESS Tail_ESS
moincome1[1] 0.70 0.04 0.62 0.78 1.00 2920 2457
moincome1[2] 0.12 0.05 0.03 0.21 1.00 2692 1692
moincome1[3] 0.18 0.04 0.09 0.26 1.00 3699 2372
Family Specific Parameters:
Estimate Est.Error l-95% CI u-95% CI Rhat Bulk_ESS Tail_ESS
sigma 7.40 0.56 6.39 8.63 1.00 2548 2322
Draws were sampled using sampling(NUTS). For each parameter, Bulk_ESS
and Tail_ESS are effective sample size measures, and Rhat is the potential
scale reduction factor on split chains (at convergence, Rhat = 1).
```

We have used `sample_prior = TRUE`

to also obtain draws
from the prior distribution of `simo_moincome1`

so that we
can visualized it.

`plot(fit4, variable = "prior_simo", regex = TRUE, N = 3)`

As is visible in the plots, `simo_moincome1[1]`

was
a-priori on average twice as high as `simo_moincome1[2]`

and
`simo_moincome1[3]`

as a result of setting \(\alpha_1\) to 2.

Suppose, we have additionally asked participants for their age.

`dat$age <- rnorm(100, mean = 40, sd = 10)`

We are not only interested in the main effect of age but also in the
interaction of income and age. Interactions with monotonic variables can
be specified in the usual way using the `*`

operator:

`summary(fit5)`

```
Family: gaussian
Links: mu = identity; sigma = identity
Formula: ls ~ mo(income) * age
Data: dat (Number of observations: 100)
Draws: 4 chains, each with iter = 2000; warmup = 1000; thin = 1;
total post-warmup draws = 4000
Population-Level Effects:
Estimate Est.Error l-95% CI u-95% CI Rhat Bulk_ESS Tail_ESS
Intercept 32.73 5.04 22.90 42.72 1.00 1361 2253
age -0.04 0.11 -0.27 0.18 1.00 1353 1900
moincome 16.85 2.77 11.55 22.37 1.00 837 1614
moincome:age -0.05 0.07 -0.19 0.07 1.00 845 1519
Simplex Parameters:
Estimate Est.Error l-95% CI u-95% CI Rhat Bulk_ESS Tail_ESS
moincome1[1] 0.65 0.08 0.49 0.79 1.00 958 1981
moincome1[2] 0.14 0.06 0.04 0.27 1.00 2291 1753
moincome1[3] 0.21 0.07 0.08 0.37 1.00 1290 1974
moincome:age1[1] 0.31 0.23 0.01 0.82 1.00 1830 2001
moincome:age1[2] 0.29 0.22 0.01 0.80 1.00 2249 1930
moincome:age1[3] 0.41 0.25 0.02 0.87 1.00 1447 2229
Family Specific Parameters:
Estimate Est.Error l-95% CI u-95% CI Rhat Bulk_ESS Tail_ESS
sigma 7.35 0.54 6.38 8.54 1.00 2783 2477
Draws were sampled using sampling(NUTS). For each parameter, Bulk_ESS
and Tail_ESS are effective sample size measures, and Rhat is the potential
scale reduction factor on split chains (at convergence, Rhat = 1).
```

`conditional_effects(fit5, "income:age")`

Suppose that the 100 people in our sample data were drawn from 10
different cities; 10 people per city. Thus, we add an identifier for
`city`

to the data and add some city-related variation to
`ls`

.

```
dat$city <- rep(1:10, each = 10)
var_city <- rnorm(10, sd = 10)
dat$ls <- dat$ls + var_city[dat$city]
```

With the following code, we fit a multilevel model assuming the
intercept and the effect of `income`

to vary by city:

`summary(fit6)`

```
Family: gaussian
Links: mu = identity; sigma = identity
Formula: ls ~ mo(income) * age + (mo(income) | city)
Data: dat (Number of observations: 100)
Draws: 4 chains, each with iter = 2000; warmup = 1000; thin = 1;
total post-warmup draws = 4000
Group-Level Effects:
~city (Number of levels: 10)
Estimate Est.Error l-95% CI u-95% CI Rhat Bulk_ESS Tail_ESS
sd(Intercept) 9.86 3.25 5.07 17.61 1.00 1439 2372
sd(moincome) 0.94 0.77 0.04 2.90 1.00 2101 2160
cor(Intercept,moincome) -0.03 0.58 -0.95 0.95 1.00 4617 2492
Population-Level Effects:
Estimate Est.Error l-95% CI u-95% CI Rhat Bulk_ESS Tail_ESS
Intercept 34.87 6.53 21.82 47.64 1.00 1492 2460
age -0.03 0.13 -0.28 0.22 1.00 1632 2341
moincome 17.54 3.17 11.39 23.73 1.00 1275 1496
moincome:age -0.06 0.07 -0.21 0.07 1.00 1227 1408
Simplex Parameters:
Estimate Est.Error l-95% CI u-95% CI Rhat Bulk_ESS Tail_ESS
moincome1[1] 0.63 0.08 0.48 0.80 1.00 1355 1387
moincome1[2] 0.14 0.06 0.03 0.26 1.00 3266 1398
moincome1[3] 0.23 0.08 0.08 0.40 1.00 1552 1624
moincome:age1[1] 0.28 0.21 0.01 0.79 1.00 3522 2453
moincome:age1[2] 0.27 0.21 0.01 0.78 1.00 3423 2644
moincome:age1[3] 0.45 0.26 0.02 0.90 1.00 2054 2741
Family Specific Parameters:
Estimate Est.Error l-95% CI u-95% CI Rhat Bulk_ESS Tail_ESS
sigma 7.53 0.61 6.43 8.77 1.00 3891 2684
Draws were sampled using sampling(NUTS). For each parameter, Bulk_ESS
and Tail_ESS are effective sample size measures, and Rhat is the potential
scale reduction factor on split chains (at convergence, Rhat = 1).
```

reveals that the effect of `income`

varies only little
across cities. For the present data, this is not overly surprising given
that, in the data simulations, we assumed `income`

to have
the same effect across cities.

Bürkner P. C. & Charpentier, E. (in review). Monotonic Effects: A Principled
Approach for Including Ordinal Predictors in Regression Models.
*PsyArXiv preprint*.