Bayesian Spatially Varying Coefficient Models in the Presence of Collinearity

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1 Bayesian Satially Varying Coefficient Models in the Presence of Collinearity David C. Wheeler 1, Catherine A. Calder 1 he Ohio State University 1 Abstract he belief that relationshis between exlanatory variables and a resonse variable in a regression model may vary within a study area has lead to the develoment of Bayesian regression models that allow for satially varying coefficients (Gelfand et al., 003). In the tyical alication of these satially varying coefficient rocess (SVCP) models, marginal inference on the satial attern of regression coefficients is of central interest. In light of this, there is a need to assess the validity of these marginal osterior inferences, since these inferences can be misleading in the resence of exlanatory variable correlation (i.e. collinearity). We resent the results of a simulation study designed to assess the sensitivity of satially varying coefficients to a range of levels of collinearity. he results show that the SVCP model is overall fairly robust to moderate levels of collinearity in terms of marginal coefficient inference, but degrades in coefficient accuracy with strong collinearity. We also illustrate that the osterior mean of the SVCP model coefficients can be viewed as ridge regression solutions with the amount of coefficient enalization controlled by numerous model arameters. Finally, we resent an alication of the satially varying coefficient model to a cancer dataset, where the relationshi between cancer rates and some exlanatory variables is susected to vary satially. Keywords: MCMC, regression, simulation study, satial statistics 1. Introduction In the statistics literature, Bayesian regression models with satially varying coefficient rocesses have been introduced to model linear relationshis between variables, where the relationshis are not necessarily constant (Gelfand et al. 003). For convenience, we refer to this Bayesian model as SVCP for satially varying coefficient rocess model. he motivation for these models is that, in certain alications, regression coefficients could vary at the regional or local level. In the SVCP framework, the satial varying coefficients are modeled in the form of a multivariate satial rocess with the deendence between regression coefficients defined globally. Such an aroach fits naturally into the Bayesian aradigm, as arameters are considered unknown random quantities. One toic that is underreresented in the satial varying coefficient regression model literature is the validity of marginal inference on the regression coefficients, esecially in the resence of correlation in the exlanatory variables. he inherent assumtion in works that aly satially varying coefficient models to data is that the regression coefficients are free of strong deendence and, hence, aroriate for marginal interretation. his is clearly an imortant assumtion. o the best of our knowledge, there are no ublished aers that assess the validity of inferences derived from the SVCP model. However, it is well understood that in linear regression models, strong correlation in the exlanatory variables can increase the variance of the estimated regression coefficients. his rovides the motivation for this aer, in which we assess the accuracy of the estimated regression coefficients from the SVCP model through a simulation study, where the true and fixed values of the regression coefficients are known. We evaluate the accuracy and coverage robabilities of the regression coefficients in both the absence of collinearity and in the resence of a range of levels of collinearity. We also illustrate that the osterior mean of the SVCP model coefficients can also be viewed as ridge regression solutions with the amount of coefficient enalization controlled by numerous model arameters. Finally, we resent an alication of the satially varying coefficient model to a cancer dataset, where the relationshi between cancer rates and some exlanatory variables is susected to vary satially.. Bayesian Satially Varying Coefficient Process (SVCP) Model he Bayesian SVCP regression model is conveniently secified in a hierarchical manner, where the distribution of the data is secified conditionally on numerous unknown arameters, whose distribution is in turn secified conditionally on numerous other arameters. Following Gelfand et al. (003), the SVCP model is Y, τ = N( X, τ I ), (1) 158

2 where Y is a vector of resonses assumed to be Gaussian, conditional on the unknown arameters and τ ; is a n 1 vector of regression coefficient arameters; and X is the n n block diagonal matrix of covariates where each row contains a row * from the n design matrix X, along with zeros in * the aroriate laces (the covariates from X are shifted laces in each subsequent row in X ); I is the n n identity matrix; and τ is the error variance. he rior distribution for the regression coefficient arameters is secified as μ, Σ = N ( 1n 1 μ, Σ ). () μ he vector = ( μ, K, μ contains the means 0 ) of the regression coefficients corresonding to each of the exlanatory variables, of which there are. he rior on the regression coefficients in the SVCP model takes into consideration the otential satial deendence in the coefficients through the covariance,. For = [, K,, we assume a riori Σ ] 1 n that each follows an areal unit model (e.g., the CAR or SAR model; see Banerjee et al. 004) or secify the rior on using a geostatistical aroach, where a distance-based covariance function is secified with a arameter. We consider a geostatistical rior secification of the regression coefficients and utilize an exonential satial deendence function. he rior covariance matrix for the different tyes of 's at each of n locations, Σ, may have either a nonsearable or searable form. he searable form has two distinct comonents, one for the within site deendence between coefficients of the same tye and one for the satial deendence in the regression coefficients. Following Gelfand et al. (003), we make the assumtion of a searable covariance matrix for with the form Σ = H( φ), (3) where is a ositive-definite matrix for the covariance of the regression coefficients at any satial location, H ( φ) is the n n correlation matrix that catures the satial association between the n locations, φ is the unknown satial deendence arameter, and denotes the Kronecker roduct oerator. In the rior secification for, the Kronecker roduct structure results in a n n ositive definite covariance matrix because H ( φ) and are both ositive definite. he elements of the correlation matrix H ( φ), H( φ) ij = ρ( si sj; φ), are calculated from the (stationary and isotroic) exonential correlation function ρ( h; φ) = ex( h/ φ). he secification of the Bayesian SVCP model in equations (1) and () is finalized with the secification of the rior distributions of the arameters. he rior for the coefficient means is normal with hyerarameters μ and σ, μ ~ N( μ, σ I ). he rior for the covariance matrix is inverse Wishart with hyerarameters v and Ω, ~ IW ( Ω ). he rior for the error variance is [ ] 1 v inverse gamma with hyerarameters a and b, τ ~ IG( ab, ). hese riors are conjugate and are used for comutational convenience. he rior for the satial deendence arameter φ is gamma with hyerarameters α and λ, [ φ ] ~ G( αλ, ). he osterior distributions of the SVCP model arameters are obtained using Markov chain Monte Carlo (MCMC). [DW1] 3. Simulation Study In this section, we use a simulation study to evaluate the accuracy and coverage robabilities of the regression coefficients from the Bayesian SVCP model. he motivation for doing this study is to test the assumtion that the inferences on the coefficients from the SVCP model are valid. he inferences are considered valid if the 95% credible interval for each estimated coefficient contains the true value aroximately 95 ercent of the time. We first evaluate the assumtion of accetable coverage when there is no collinearity in the model and then secify systematic increases in collinearity to insect its effect on both the accuracy and the coverage robabilities of the regression coefficients and the strength of correlation in the estimated coefficients at each data oint in the study area and across the entire study area. 159

3 he model we used to generate the data for the simulation study is y() s = () s x () s + () s x () s + ε() s, (4) * * 1 1 where the x 1 and x are the first two rincial comonents from a random samle drawn from a multivariate normal distribution of dimension ten with a mean vector of zeros and an identity covariance matrix, and the errors ε are samled indeendently from a normal distribution with mean 0 and variance of * τ. he star notation denotes the true values of the arameters used to generate the data. We note that there is no true intercet in the model used to generate the data and we do not fit an intercet in the simulation study. he data oints are equally saced on a grid, for a total of 100 observations. he goal of the simulation study is to use the model in equation (4) to generate the data and then evaluate whether the * regression coefficient estimates match for the SVCP model. For the simulation study, we start with no collinearity in the model and systematically add collinearity until the exlanatory variables are nearly erfectly collinear. his is accomlished by relacing one of the original exlanatory variables with one created from a weighted linear combination of the original exlanatory variables, where the weight determines the amount of correlation of the variables. he formula for the generated weighted variable is c x = c x1 + (1 c) x, (5) c where x relaces x in the model in equation (4) and c is a weight between 0 and 1. he simulation study uses the following values to generate the data: the error variance τ * = 1 ; the coefficient covariance matrix at all locations is set to * = ; the coefficient means are set to μ * = (1, 5) ; and the satial deendence arameter * φ =10. We fix these values and use them to simulate the true coefficients using the multivariate normal distribution. We simulate 00 realizations of the coefficient rocess in this simulation study, and hence assess the validity of for 00 datasets. For each of the simulated datasets, we fit the SVCP model using an MCMC algorithm, which is run for 000 iterations with a burn-in of 1000 iterations. Based on trace lots and Gelman s ˆR statistic (e.g. Gelman et al. 003), the regression coefficients converged for individual realizations of the coefficient rocess after an initial 1000 burn-in iterations. he rior secification for the SVCP model arameters is the following. We use a vague normal, 4 N(,10 0 I), for μ, a three-dimensional inverse Wishart, IW (3,.1 I ), for, and an inverse gamma, IG(1,.01), for τ, where I is the identity matrix of dimension. For the satial deendence arameter φ, we use a gamma, G(.01,.01), which has a mean of.1 and variance of 1. he hyerarameters for this gamma rior are chosen to have a large variance and a mean that solves the satial correlation function set equal to.05, where the satial range is set to half the maximum inter-oint distance from the distance matrix D. he satial range is the distance beyond which the satial association becomes negligible. Distributions that set rior mean satial ranges to roughly half the maximum airwise distance usually result in stable MCMC behaviour (Banerjee and Johnson 005). he calculation for the mean is found from solving ex( (1 max( D )) / φ) =.05 for φ. o evaluate the accuracy and coverage robabilities of the regression coefficients, we calculate numerous summary statistics. For each realization of the rocess, we calculate the 95% credible intervals for each coefficient in the SVCP model. o calculate the 95% coverage robabilities, the true coefficients are first comared to the 95% intervals obtained for the resective coefficient in each data realization and then the total number of realizations that contain the true values are totalled and divided by the number of realizations. he means of the coverage robabilities are calculated for each exlanatory variable from the corresonding coefficients to create a summary measure for all the realizations that is easy to resent in a table. he accuracy of the regression coefficients is measured by calculating the root mean square error (RMSE) of the osterior mean of the coefficients at each realization. he average RMSE for all the realizations is calculated by averaging the RMSE s from all of the individual realizations. We also calculate the overall correlation ( C 1 ) between the two tyes of variable coefficients and the local coefficient s correlation ( C ) for each realization, where the 1 160

4 overall correlation is the Pearson correlation coefficient and the local coefficient correlation of the regression coefficients k and l across all locations is kl kk ll. he results of the simulation study are listed in able 1. he results show that the SVCP model does fairly well at covering the true coefficient values used to generate the data, and the coverage robabilities are not dramatically affected by collinearity. he coverage robabilities remain around.90 until there is very strong collinearity, when they increase to.93. However, the average RMSE of the coefficients from the many realizations increases systematically with increasing collinearity. he SVCP model also does a good job at controlling the average local coefficient s correlation ( C 1 in the table), but does not do as well at controlling the overall correlation ( C 1 in the table) of the two tyes of variable coefficients. Overall, the SVCP model erforms well in this simulation study with regard to inference on the regression coefficients, although the accuracy of the coefficients decreases with increasing collinearity. 4. SVCP Model as Ridge Regression It is not comletely unexected that the SVCP model faired well in the simulation study in the resence of collinearity given the discussions in the literature of ridge regression solutions as Bayes estimates. Hoerl and Kennard (1970) first introduced ridge regression to overcome ill conditioned design matrices. Ridge regression coefficients minimize the residual sum of squares along with a enalty on the size of the squared coefficients as ˆ R n = argmin yi 0 xikk + λ k i= 1 k= 1 k= 1, (6) where λ is the ridge regression arameter that controls the amount of shrinkage in the regression coefficients (Hastie et al. 001). Works by Lindley and Smith (197) and Goldstein (1976) show that ridge regression coefficient estimates may be viewed as Bayesian regression coefficient osterior means under secific vague riors. Hastie et al. (001) also describe the ridge regression solutions as Bayes estimates, where ridge regression uses indeendent normal distributions for each coefficient rior. If the rior for each regression coefficient k is k N(0, σ ), indeendent of the others, then the negative log osterior density of the regression coefficients is equal to the exression in the braces in the ridge regression coefficient equation (6), with λ = τ σ, where τ is the error variance. Secifically, in the Bayesian regression model with and the indeendent rior y ~ N( X, τ I) ~ N(0, σ ) for each coefficient, the osterior for the coefficients can be exressed as n 1 [ τ, σ ; y] ex ( ) yi xikk τ i= 1 k= 1 1 ex ( 0), k σ k= 1 (7) where for convenience of notation the variables have been centered. he negative log osterior density of u to a constant is then found through algebra to be n τ ( yi xik k) + k, i= 1 k= 1 σ k= 1 (8) with the ridge shrinkage arameter λ τ σ =. his illustrates that the ridge regression estimate is the mean of the osterior distribution with a Gaussian rior and Gaussian data model, and that the ridge shrinkage arameter is a ratio of the error variance and common regression coefficient variance. he view of ridge regression solutions as Bayes estimates suggests that the Bayesian SVCP model coefficients can be viewed as ridge regression estimates because of the normal rior for the regression coefficients in the SVCP model. he osterior distribution for the coefficients of the SVCP model can be exressed with convenient notation as 1 τ Σ y y X y X + 1 μ τ Hφ 1 μ [, ; ] ex( [( ) ( ) 1 ( ( )) ( ( ) ) ( ( ))]). (9) 161

5 he negative log osterior density of u to a constant is then ( y X) ( y X) + ( ( 1 μ )) 1 ( H( φ) ) ( ( 1 μ)) τ, (10) where the shrinkage term is unconventionally a matrix 1 λ that is calculated as τ H 1 ( φ). herefore, the amount of shrinkage on towards the mean μ deends on in the SVCP model. τ, φ, and 5. Bladder Cancer Mortality Examle o further motivate the issue of collinearity in satially varying coefficient regression models and show an examle with actual data, we use a simle SVCP model to exlain white male bladder cancer mortality rates in the 508 State Economic Areas (SEAs) of the United States for the years 1970 to he dataset comes from the Atlas of Cancer Mortality from the National Cancer Institute (Devesa et al. 1999) and contains age standardized mortality rates (er 100,000 erson-years). In modeling these data we are interested in the satially varying effects of log oulation density and lung cancer mortality rate, where oulation density is log transformed to linearize the relationshi with the deendent variable. he model is y() s = () s + () s SMOKE () s + () s LNPOP() s +ε () s. (11) 0 1 Lung cancer mortality rate is used as a roxy for smoking, which is a known risk factor for bladder cancer. here is eidemiological evidence that an increase in smoking elevates the risk of develoing bladder cancer, hence, we exect a ositive relationshi between both variables. his aroximation of smoking by lung cancer is reasonable, since the attributable risk of smoking for lung cancer is > 80% and the attributable risk of smoking for bladder cancer is > 55% (Mehnert et al. 199). Poulation density is used as a roxy for environmental differences with resect to an urban/rural dichotomy. It is exected, as several studies have ointed out, that with an increase in the oulation density there is an increase in the rate of bladder cancer. A traditional regression model was first built for bladder cancer mortality. he risk factors are both significantly ositively related to the rate of bladder cancer. he estimated regression coefficients are 0.03 for smoking and 0.7 for oulation density. he variance inflation factors, a traditional method for diagnosing collinearity (e.g. Neter et al. 1996), for the two global exlanatory variable arameters are less than and the correlation of the global regression arameters is moderately negative at -0.59, whereas the correlation of the two variables is hese results suggest that collinearity is not an issue in this regression model. Collinearity does aear to be a roblem with these data, however, when used in a frequentist satially varying coefficient regression model called geograhically weighted regression (GWR). GWR is a collection of weighted least squares models at the study area locations, where the weights are calculated using a kernel function that is inversely related to distance (see Fotheringham et al. 00 for details). Wheeler and iefelsdorf (005) illustrate that the GWR estimated coefficients for these bladder cancer data are negative for both exlanatory variables in some arts of the study area and the coefficients for the two variables exhibit moderate to strong overall correlation. For illustrative uroses, the GWR estimated coefficients are shown in Figure 1. he coefficients for oulation density are negative for most of the Northeast. hese negative coefficients are counter to revious studies, intuition, and the traditional regression estimates. As Lindley and Smith (197) oint out, when data are correlated, leastsquares regression can roduce regression estimates which are too large in absolute value, of incorrect sign and unstable with resect to small changes in the data. he weighted least-squares rocedure of GWR likely suffers from the same condition. In contrast to the GWR coefficients, the SVCP model estimated coefficients do not indicate a considerable roblem with collinearity. o estimate the model arameters, we use 000 iterations in the MCMC, with a burn-in of 1000 iterations. Based on trace lots and the ˆR statistics, the regression coefficients converged within 1000 iterations of the Gibbs samler. he rior secification for this model is as follows. We use a 4 vague normal,, for, a four- N(,10 0 I) μ dimensional inverse Wishart, IW (4,.1 I ), for, IG(1,.01) τ, where I and an inverse gamma,, for is the identity matrix of dimension. For the satial deendence arameter φ, we use a gamma, G(.103,.01), which has a mean of and variance of

6 he SVCP model coefficients are maed in Figure and are all non-negative for smoking and non-negative for oulation density for all but two of the 508 SEAs, where the two negative oulation density SEAs are very close to zero. While there is some overall correlation in the SVCP model coefficients for the two variables, the comlimentary attern is not as strong as with the GWR coefficients. In addition, the variance of the coefficients is not as large with the SVCP model. he SVCP model here achieves a similar enalization effect to that of ridge regression, but has the advantage that the shrinkage arameters are estimated from the data and not through a searate estimation rocedure such as cross-validation. 6. Conclusions In the statistics literature, there has been an increasing interest in recent years in satially varying relationshis between variables. Attemts at modeling these relationshis have roduced Bayesian regression models with satially varying coefficient rocesses (SVCP). While this tye of model has been alied to real datasets in the literature, there has been a noticeable lack of emhasis on the validation of marginal inferences derived from its coefficients. We use a simulation study to assess the validity of the regression coefficients from the Bayesian SVCP model, while considering the resence of collinearity, which is often a feature of real data. Our results show that the SVCP model coefficients are fairly robust to collinearity in terms of coverage robabilities, but do degrade in accuracy with increasing collinearity. It is not comletely unexected that the Bayesian SVCP model accommodates collinearity given revious work that shows that ridge regression coefficient estimates may be viewed as Bayesian regression coefficient estimates under secific vague riors. Moreover, we illustrate that the osterior mean of the Bayesian SVCP model regression coefficients are of a ridge regression solution form. In an examle with bladder cancer mortality rates in the United States, we demonstrate that the SVCP model roduces fewer regression coefficients with signs that are counter to both the least-squares regression coefficients and intuition than does a frequentist regression model called geograhically weighted regression (GWR) that also has satially varying coefficients. In addition, the SVCP model regression coefficients for different tyes of variables aear to be less satially deendent and have less variance than those from GWR. Aarently, the shrinkage features of the Bayesian SVCP model lead to more robust and fewer misleading marginal inferences. References Banerjee S, Johnson GA (005) Coregionalized singleand multi-resolution satially-varying growth curve modelling with alication to weed growth. UMN Biostat ech Reort. Devesa SS, Grauman DJ, Blot WJ, Pennello G, Hoover RN, Fraumeni JF Jr. (1999) Atlas of Cancer Mortality in the United States, National Cancer Institute: Bethesda. URL: htt://www3.cancer.gov/atlaslus/. Fotheringham AS, Brunsdon C, Charlton M (00) Geograhically Weighted Regression: he Analysis of Satially Varying Relationshis. John Wiley & Sons: West Sussex. Gelfand AE, Kim H, Sirmans CF, Banerjee S (003) Satial modeling with satially varying coefficient rocesses. Journal of the American Statistical Association 98: Gelman A, Carlin JB, Stern HS, Rubin DB (003) Bayesian Data Analysis (nd ed.). Chaman & Hall: London. Goldstein M (1976) Bayesian analysis of regression roblems. Biometrika 63 (1): Hastie, ibshirani R, Friedman J (001) he Elements of Statistical Learning: Data Mining, Inference, and Prediction. Sringer-Verlag: New York. Hoerl AE, Kennard RW (1970) Ridge regression: biased estimation for non-orthogonal roblems. echnometrics 1: Lindley DV, Smith AFM (197) Bayes estimates for the linear model. Conference Proceedings, Royal Statistical Society. Mehnert WH, Smans M, Muir CS, Möhner M, Schön D (199) Atlas of Cancer Incidence in the Former German Democratic Reublic Oxford University Press: New York. Neter J, Kutner MH, Nachtsheim CJ, Wasserman W (1996) Alied Linear Regression Models. Irwin: Chicago. Wheeler D, iefelsdorf M (005) Multicollinearity and correlation among local regression coefficients in geograhically weighted regression. Journal of Geograhical Systems 7:

7 Weight X Corr Mean CP (1) Mean CP () 1 s C 1 C RMSE() RMSE(y) able 1. Results of the simulation study. he columns listed in order are the correlation weight, exlanatory variable correlation, average coverage robabilities for each exlanatory variable coefficient, the mean overall correlation between the variable coefficients, the mean local coefficient correlation at each location, the average RMSE of the coefficients, and RMSE of the resonse. Figure 1. Estimated coefficients for smoking roxy (to) and oulation density (bottom) for the GWR model 164

8 B1 (Smoking Proxy) B B (Poulation Density) B Figure. Estimated coefficients for smoking roxy (to) and oulation density (bottom) for the SVCP model 165