Multinomial Logistic Regression (MultiLR)

STA 210 - Summer 2022

Author

Yunran Chen

Welcome

Topics

  • Introduce multinomial logistic regression

  • Interpret model coefficients

  • Inference for a coefficient \(\beta_{jk}\)

Computational setup

# load packages
library(tidyverse)
library(tidymodels)
library(NHANES)
library(knitr)
library(patchwork)

# set default theme and larger font size for ggplot2
ggplot2::theme_set(ggplot2::theme_minimal(base_size = 20))

Generalized Linear Models

Generalized Linear Models (GLMs)

  • In practice, there are many different types of outcome variables:

    • Binary: Win or Lose
    • Nominal: Democrat, Republican or Third Party candidate
    • Ordered: Movie rating (1 - 5 stars)
    • and others…

  • Predicting each of these outcomes requires a generalized linear model, a broader class of models that generalize the multiple linear regression model

Note

Recommended reading for more details about GLMs: Generalized Linear Models: A Unifying Theory.

Binary outcome (Logistic)

  • Given \(P(y_i=1|x_i)= \hat{\pi}_i\hspace{5mm} \text{ and } \hspace{5mm}P(y_i=0|x_i) = 1-\hat{\pi}_i\)

    \[ \log\Big(\frac{\hat{\pi}_i}{1-\hat{\pi}_i}\Big) = \hat{\beta}_0 + \hat{\beta}_1 x_{i} \]

  • We can calculate \(\hat{\pi}_i\) by solving the logit equation:

    \[ \hat{\pi}_i = \frac{e^{\hat{\beta}_0 + \hat{\beta}_1 x_{i}}}{1 + e^{\hat{\beta}_0 + \hat{\beta}_1 x_{i}}} \]

Binary outcome (Logistic)

  • Suppose we consider \(y=0\) the baseline category such that

    \[ P(y_i=1|x_i) = \hat{\pi}_{i1} \hspace{2mm} \text{ and } \hspace{2mm} P(y_i=0|x_i) = \hat{\pi}_{i0} \]

  • Then the logistic regression model is

    \[ \log\bigg(\frac{\hat{\pi}_{i1}}{1- \hat{\pi}_{i1}}\bigg) = \log\bigg(\frac{\hat{\pi}_{i1}}{\hat{\pi}_{i0}}\bigg) = \hat{\beta}_0 + \hat{\beta}_1 x_i \]

  • Slope, \(\hat{\beta}_1\): When \(x\) increases by one unit, the odds of \(y=1\) versus the baseline \(y=0\) are expected to multiply by a factor of \(e^{\hat{\beta}_1}\)

  • Intercept, \(\hat{\beta}_0\): When \(x=0\), the predicted odds of \(y=1\) versus the baseline \(y=0\) are \(\exp\{\hat{\beta}_0\}\)

Multinomial outcome variable

  • Suppose the outcome variable \(y\) is categorical and can take values \(1, 2, \ldots, K\) such that \((K > 2)\)

  • Multinomial Distribution:

    \[ P(y=1) = \pi_1, P(y=2) = \pi_2, \ldots, P(y=K) = \pi_K \]

    such that \(\sum\limits_{k=1}^{K} \pi_k = 1\)

Multinomial Logistic Regression

  • If we have an explanatory variable \(x\), then we want to fit a model such that \(P(y = k) = \pi_k\) is a function of \(x\)

  • Choose a baseline category. Let’s choose \(y=1\). Then,

    \[ \log\bigg(\frac{\pi_{ik}}{\pi_{i1}}\bigg) = \beta_{0k} + \beta_{1k} x_i \]

  • In the multinomial logistic model, we have a separate equation for each category of the outcome relative to the baseline category

    • If the outcome has \(K\) possible categories, there will be \(K-1\) equations as part of the multinomial logistic model

Multinomial Logistic Regression

  • Suppose we have a outcome variable \(y\) that can take three possible outcomes that are coded as “A”, “B”, “C”

  • Let “A” be the baseline category. Then

    \[ \log\bigg(\frac{\pi_{iB}}{\pi_{iA}}\bigg) = \beta_{0B} + \beta_{1B}x_i \\[10pt] \log\bigg(\frac{\pi_{iC}}{\pi_{iA}}\bigg) = \beta_{0C} + \beta_{1C} x_i \]

Data

NHANES Data

  • National Health and Nutrition Examination Survey is conducted by the National Center for Health Statistics (NCHS)

  • The goal is to “assess the health and nutritional status of adults and children in the United States”

  • This survey includes an interview and a physical examination

NHANES Data

  • We will use the data from the NHANES R package

  • Contains 75 variables for the 2009 - 2010 and 2011 - 2012 sample years

  • The data in this package is modified for educational purposes and should not be used for research

  • Original data can be obtained from the NCHS website for research purposes

  • Type ?NHANES in console to see list of variables and definitions

Variables

Goal: Use a person’s age and whether they do regular physical activity to predict their self-reported health rating.

  • Outcome: HealthGen: Self-reported rating of participant’s health in general. Excellent, Vgood, Good, Fair, or Poor.

  • Predictors:

    • Age:Age at time of screening (in years). Participants 80 or older were recorded as 80.
    • PhysActive: Participant does moderate to vigorous-intensity sports, fitness or recreational activities.

The data

nhanes_adult <- NHANES %>%
  filter(Age >= 18) %>%
  select(HealthGen, Age, PhysActive) %>%
  drop_na() %>%
  mutate(obs_num = 1:n())
glimpse(nhanes_adult)
Rows: 6,710
Columns: 4
$ HealthGen  <fct> Good, Good, Good, Good, Vgood, Vgood, Vgood, Vgood, Vgood, …
$ Age        <int> 34, 34, 34, 49, 45, 45, 45, 66, 58, 54, 50, 33, 60, 56, 56,…
$ PhysActive <fct> No, No, No, No, Yes, Yes, Yes, Yes, Yes, Yes, Yes, No, No, …
$ obs_num    <int> 1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 16, 17, …

Exploratory data analysis

Exploratory data analysis

Fitting a multinomial logistic regression

Model in R

Use the multinom_reg() function with the "nnet" engine:

health_fit <- multinom_reg() %>%
  set_engine("nnet") %>%
  fit(HealthGen ~ Age + PhysActive, data = nhanes_adult)

Model result

health_fit
parsnip model object

Call:
nnet::multinom(formula = HealthGen ~ Age + PhysActive, data = data, 
    trace = FALSE)

Coefficients:
      (Intercept)           Age PhysActiveYes
Vgood   1.2053460  0.0009101848    -0.3209047
Good    1.9476261 -0.0023686122    -1.0014925
Fair    0.9145492  0.0030462534    -1.6454297
Poor   -1.5211414  0.0221905681    -2.6556343

Residual Deviance: 17588.88 
AIC: 17612.88

Next steps

What function do we use to get the model summary, i.e., coefficient estimates.

tidy(health_fit)
Error in model.frame.default(formula = HealthGen ~ Age + PhysActive, data = data): 'data' must be a data.frame, environment, or list

Looking inside the result of fit()

What is the name of the dataset in the call? Is it right?

health_fit$fit$call
nnet::multinom(formula = HealthGen ~ Age + PhysActive, data = data, 
    trace = FALSE)

Repair, and get back on track

health_fit <- repair_call(health_fit, data = nhanes_adult)
health_fit$fit$call
nnet::multinom(formula = HealthGen ~ Age + PhysActive, data = nhanes_adult, 
    trace = FALSE)
tidy(health_fit)
# A tibble: 12 × 6
   y.level term           estimate std.error statistic  p.value
   <chr>   <chr>             <dbl>     <dbl>     <dbl>    <dbl>
 1 Vgood   (Intercept)    1.21       0.145       8.33  8.42e-17
 2 Vgood   Age            0.000910   0.00246     0.369 7.12e- 1
 3 Vgood   PhysActiveYes -0.321      0.0929     -3.45  5.51e- 4
 4 Good    (Intercept)    1.95       0.141      13.8   1.39e-43
 5 Good    Age           -0.00237    0.00242    -0.977 3.29e- 1
 6 Good    PhysActiveYes -1.00       0.0901    -11.1   1.00e-28
 7 Fair    (Intercept)    0.915      0.164       5.57  2.61e- 8
 8 Fair    Age            0.00305    0.00288     1.06  2.90e- 1
 9 Fair    PhysActiveYes -1.65       0.107     -15.3   5.69e-53
10 Poor    (Intercept)   -1.52       0.290      -5.24  1.62e- 7
11 Poor    Age            0.0222     0.00491     4.52  6.11e- 6
12 Poor    PhysActiveYes -2.66       0.236     -11.3   1.75e-29

Model output

tidy(health_fit)
# A tibble: 12 × 6
   y.level term           estimate std.error statistic  p.value
   <chr>   <chr>             <dbl>     <dbl>     <dbl>    <dbl>
 1 Vgood   (Intercept)    1.21       0.145       8.33  8.42e-17
 2 Vgood   Age            0.000910   0.00246     0.369 7.12e- 1
 3 Vgood   PhysActiveYes -0.321      0.0929     -3.45  5.51e- 4
 4 Good    (Intercept)    1.95       0.141      13.8   1.39e-43
 5 Good    Age           -0.00237    0.00242    -0.977 3.29e- 1
 6 Good    PhysActiveYes -1.00       0.0901    -11.1   1.00e-28
 7 Fair    (Intercept)    0.915      0.164       5.57  2.61e- 8
 8 Fair    Age            0.00305    0.00288     1.06  2.90e- 1
 9 Fair    PhysActiveYes -1.65       0.107     -15.3   5.69e-53
10 Poor    (Intercept)   -1.52       0.290      -5.24  1.62e- 7
11 Poor    Age            0.0222     0.00491     4.52  6.11e- 6
12 Poor    PhysActiveYes -2.66       0.236     -11.3   1.75e-29

Model output, with CI

tidy(health_fit, conf.int = TRUE)
# A tibble: 12 × 8
   y.level term         estimate std.error statistic  p.value conf.low conf.high
   <chr>   <chr>           <dbl>     <dbl>     <dbl>    <dbl>    <dbl>     <dbl>
 1 Vgood   (Intercept)   1.21e+0   0.145       8.33  8.42e-17  0.922     1.49   
 2 Vgood   Age           9.10e-4   0.00246     0.369 7.12e- 1 -0.00392   0.00574
 3 Vgood   PhysActiveY… -3.21e-1   0.0929     -3.45  5.51e- 4 -0.503    -0.139  
 4 Good    (Intercept)   1.95e+0   0.141      13.8   1.39e-43  1.67      2.22   
 5 Good    Age          -2.37e-3   0.00242    -0.977 3.29e- 1 -0.00712   0.00238
 6 Good    PhysActiveY… -1.00e+0   0.0901    -11.1   1.00e-28 -1.18     -0.825  
 7 Fair    (Intercept)   9.15e-1   0.164       5.57  2.61e- 8  0.592     1.24   
 8 Fair    Age           3.05e-3   0.00288     1.06  2.90e- 1 -0.00260   0.00869
 9 Fair    PhysActiveY… -1.65e+0   0.107     -15.3   5.69e-53 -1.86     -1.43   
10 Poor    (Intercept)  -1.52e+0   0.290      -5.24  1.62e- 7 -2.09     -0.952  
11 Poor    Age           2.22e-2   0.00491     4.52  6.11e- 6  0.0126    0.0318 
12 Poor    PhysActiveY… -2.66e+0   0.236     -11.3   1.75e-29 -3.12     -2.19

Model output, with CI

y.level term estimate std.error statistic p.value conf.low conf.high
Vgood (Intercept) 1.205 0.145 8.325 0.000 0.922 1.489
Vgood Age 0.001 0.002 0.369 0.712 -0.004 0.006
Vgood PhysActiveYes -0.321 0.093 -3.454 0.001 -0.503 -0.139
Good (Intercept) 1.948 0.141 13.844 0.000 1.672 2.223
Good Age -0.002 0.002 -0.977 0.329 -0.007 0.002
Good PhysActiveYes -1.001 0.090 -11.120 0.000 -1.178 -0.825
Fair (Intercept) 0.915 0.164 5.566 0.000 0.592 1.237
Fair Age 0.003 0.003 1.058 0.290 -0.003 0.009
Fair PhysActiveYes -1.645 0.107 -15.319 0.000 -1.856 -1.435
Poor (Intercept) -1.521 0.290 -5.238 0.000 -2.090 -0.952
Poor Age 0.022 0.005 4.522 0.000 0.013 0.032
Poor PhysActiveYes -2.656 0.236 -11.275 0.000 -3.117 -2.194

Fair vs. Excellent Health

The baseline category for the model is Excellent.

The model equation for the log-odds a person rates themselves as having “Fair” health vs. “Excellent” is

\[ \log\Big(\frac{\hat{\pi}_{Fair}}{\hat{\pi}_{Excellent}}\Big) = 0.915 + 0.003 ~ \text{age} - 1.645 ~ \text{PhysActive} \]

Interpretations

\[ \log\Big(\frac{\hat{\pi}_{Fair}}{\hat{\pi}_{Excellent}}\Big) = 0.915 + 0.003 ~ \text{age} - 1.645 ~ \text{PhysActive} \]

For each additional year in age, the odds a person rates themselves as having fair health versus excellent health are expected to multiply by 1.003 (exp(0.003)), holding physical activity constant.

The odds a person who does physical activity will rate themselves as having fair health versus excellent health are expected to be 0.193 (exp(-1.645)) times the odds for a person who doesn’t do physical activity, holding age constant.

Interpretations

\[ \log\Big(\frac{\hat{\pi}_{Fair}}{\hat{\pi}_{Excellent}}\Big) = 0.915 + 0.003 ~ \text{age} - 1.645 ~ \text{PhysActive} \]

The odds a 0 year old person who doesn’t do physical activity rates themselves as having fair health vs. excellent health are 2.497 (exp(0.915)).

⚠️ Need to mean-center age for the intercept to have a meaningful interpretation!

Hypothesis test for \(\beta_{jk}\)

The test of significance for the coefficient \(\beta_{jk}\) is

Hypotheses: \(H_0: \beta_{jk} = 0 \hspace{2mm} \text{ vs } \hspace{2mm} H_a: \beta_{jk} \neq 0\)

Test Statistic: \[z = \frac{\hat{\beta}_{jk} - 0}{SE(\hat{\beta_{jk}})}\]

P-value: \(P(|Z| > |z|)\),

where \(Z \sim N(0, 1)\), the Standard Normal distribution

Confidence interval for \(\beta_{jk}\)

  • We can calculate the C% confidence interval for \(\beta_{jk}\) using \(\hat{\beta}_{jk} \pm z^* SE(\hat{\beta}_{jk})\), where \(z^*\) is calculated from the \(N(0,1)\) distribution.

  • We are \(C\%\) confident that for every one unit change in \(x_{j}\), the odds of \(y = k\) versus the baseline will multiply by a factor of \(\exp\{\hat{\beta}_{jk} - z^* SE(\hat{\beta}_{jk})\}\) to \(\exp\{\hat{\beta}_{jk} + z^* SE(\hat{\beta}_{jk})\}\), holding all else constant.

Interpreting CIs for \(\beta_{jk}\)

tidy(health_fit, conf.int = TRUE) %>%
  filter(y.level == "Fair") %>%
  kable(digits = 3)
y.level term estimate std.error statistic p.value conf.low conf.high
Fair (Intercept) 0.915 0.164 5.566 0.00 0.592 1.237
Fair Age 0.003 0.003 1.058 0.29 -0.003 0.009
Fair PhysActiveYes -1.645 0.107 -15.319 0.00 -1.856 -1.435


We are 95% confident, that for each additional year in age, the odds a person rates themselves as having fair health versus excellent health will multiply by 0.997 (exp(-0.003)) to 1.009 (exp(0.009)) , holding physical activity constant.

Interpreting CIs for \(\beta_{jk}\)

tidy(health_fit, conf.int = TRUE) %>%
  filter(y.level == "Fair") %>%
  kable(digits = 3)
y.level term estimate std.error statistic p.value conf.low conf.high
Fair (Intercept) 0.915 0.164 5.566 0.00 0.592 1.237
Fair Age 0.003 0.003 1.058 0.29 -0.003 0.009
Fair PhysActiveYes -1.645 0.107 -15.319 0.00 -1.856 -1.435


We are 95% confident that the odds a person who does physical activity will rate themselves as having fair health versus excellent health are 0.156 (exp(-1.856 )) to 0.238 (exp(-1.435)) times the odds for a person who doesn’t do physical activity, holding age constant.

Recap

  • Introduce multinomial logistic regression

  • Interpret model coefficients

  • Inference for a coefficient \(\beta_{jk}\)