From vogranovich at jumptrading.com  Mon Mar 14 20:31:22 2011
From: vogranovich at jumptrading.com (Vadim Ogranovich)
Date: Mon, 14 Mar 2011 14:31:22 -0500
Subject: [Rd] discrepancy between lm and MASS:rlm
In-Reply-To: <77EB52C6DD32BA4D87471DCD70C8D70003FF9768@NA-PA-VBE03.na.tibco.com>
References: <25C02255A75A684A9CF77F7D663B438F02A10A5188@chiexchange02.w2k.jumptrading.com>
	<77EB52C6DD32BA4D87471DCD70C8D70003FF9768@NA-PA-VBE03.na.tibco.com>
Message-ID: <25C02255A75A684A9CF77F7D663B438F02A10A518B@chiexchange02.w2k.jumptrading.com>

Indeed! I added the drop.unused.levels argument and it now works. Thank you Bill!

Here is a patch which one should use at one's own risk as it redefines rlm.formula as global object, i.e. rlm.formula is no longer in the MASS namespace and this is certainly not a good idea:

rlm.formula <- function (formula, data, weights, ..., subset, na.action, method = c("M",
    "MM", "model.frame"), wt.method = c("inv.var", "case"), model = TRUE,
    x.ret = TRUE, y.ret = FALSE, contrasts = NULL)
{
    mf <- match.call(expand.dots = FALSE)
    mf$method <- mf$wt.method <- mf$model <- mf$x.ret <- mf$y.ret <- mf$contrasts <- mf$... <- NULL
    mf$drop.unused.levels <- TRUE
    mf[[1L]] <- as.name("model.frame")
    mf <- eval.parent(mf)
    method <- match.arg(method)
    wt.method <- match.arg(wt.method)
    if (method == "model.frame")
        return(mf)
    mt <- attr(mf, "terms")
    y <- model.response(mf)
    offset <- model.offset(mf)
    if (!is.null(offset))
        y <- y - offset
    x <- model.matrix(mt, mf, contrasts)
    xvars <- as.character(attr(mt, "variables"))[-1L]
    if ((yvar <- attr(mt, "response")) > 0L)
        xvars <- xvars[-yvar]
    xlev <- if (length(xvars) > 0L) {
        xlev <- lapply(mf[xvars], levels)
        xlev[!sapply(xlev, is.null)]
    }
    weights <- model.weights(mf)
    if (!length(weights))
        weights <- rep(1, nrow(x))
    fit <- MASS:::rlm.default(x, y, weights, method = method, wt.method = wt.method,
        ...)
    fit$terms <- mt
    cl <- match.call()
    cl[[1L]] <- as.name("rlm")
    fit$call <- cl
    fit$contrasts <- attr(x, "contrasts")
    fit$xlevels <- .getXlevels(mt, mf)
    fit$na.action <- attr(mf, "na.action")
    if (model)
        fit$model <- mf
    if (!x.ret)
        fit$x <- NULL
    if (y.ret)
        fit$y <- y
    fit
}

-----Original Message-----
From: William Dunlap [mailto:wdunlap at tibco.com]
Sent: Monday, March 14, 2011 1:39 PM
To: Vadim Ogranovich; r-devel at r-project.org
Subject: RE: [Rd] discrepancy between lm and MASS:rlm


> -----Original Message-----
> From: r-devel-bounces at r-project.org
> [mailto:r-devel-bounces at r-project.org] On Behalf Of Vadim Ogranovich
> Sent: Monday, March 14, 2011 10:37 AM
> To: 'r-devel at r-project.org'
> Subject: [Rd] discrepancy between lm and MASS:rlm
>
> Dear R-devel,
>
> There seems to be a discrepancy in the order in which lm and
> rlm evaluate their arguments. This causes rlm to sometimes
> produce an error where lm is just fine.

It may not be a problem with the order of evaluation.  rlm()
might not be calling model.frame() with drop.unused.levels=TRUE.
I've made that mistake before with similar symptoms.

Bill Dunlap
Spotfire, TIBCO Software
wdunlap tibco.com

>
> Here is a little script that illustrate the issue:
>
> > library(MASS)
> > ## create data
> > n <- 100
> > dat <- data.frame(x=rep(c(-1,0,1), n), y=rnorm(3*n))
> >
> > ## call lm, works fine
> > summary(lm(y ~ as.factor(x), data=dat, subset=x!=0))
>
> Call:
> lm(formula = y ~ as.factor(x), data = dat, subset = x != 0)
>
> Residuals:
>      Min       1Q   Median       3Q      Max
> -2.60619 -0.82160  0.06307  0.65501  2.56677
>
> Coefficients:
>               Estimate Std. Error t value Pr(>|t|)
> (Intercept)   0.061010   0.100027   0.610    0.543
> as.factor(x)1 0.001332   0.141459   0.009    0.992
>
> Residual standard error: 1 on 198 degrees of freedom
> Multiple R-squared: 4.479e-07,  Adjusted R-squared: -0.00505
> F-statistic: 8.868e-05 on 1 and 198 DF,  p-value: 0.9925
>
> > ## call rlm, error
> > summary(rlm(y ~ as.factor(x), data=dat, subset=x!=0))
> Error in rlm.default(x, y, weights, method = method,
> wt.method = wt.method,  :
>   'x' is singular: singular fits are not implemented in rlm
> >
>
>
> My guess is that rlm first converts x to a factor, which
> becomes a three-level factor, then subsets on x!=0, which
> effectively eliminates a level, and then creates a
> "regression" matrix, which becomes singular due to the
> absence of data for a level.
>
> Is there a simple way to work around it. The simplest I could
> think of is
> with(subset(dat, x!=0), rlm(y ~ as.factor(x))
> which is ok, but most of my scripts make use of data arg to
> regressions and I'd like to stay consistent as much as practical.
>
> Thanks,
> Vadim
>
>
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[Rd] discrepancy between lm and MASS:rlm
Vadim Ogranovich