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GeneralizedLinearModel.stepwise

Class: GeneralizedLinearModel

Create generalized linear regression model by stepwise regression

GeneralizedLinearModel.stepwise will be removed in a future release. Use stepwiseglm instead.

Syntax

mdl = GeneralizedLinearModel.stepwise(tbl,modelspec)
mdl = GeneralizedLinearModel.stepwise(X,y,modelspec)
mdl = GeneralizedLinearModel.stepwise(...,modelspec,Name,Value)

Description

mdl = GeneralizedLinearModel.stepwise(tbl,modelspec) creates a generalized linear model of a table or dataset array tbl, using stepwise regression to add or remove predictors. modelspec is the starting model for the stepwise procedure.

mdl = GeneralizedLinearModel.stepwise(X,y,modelspec) creates a generalized linear model of the responses y to a data matrix X, using stepwise regression to add or remove predictors.

mdl = GeneralizedLinearModel.stepwise(...,modelspec,Name,Value) creates a generalized linear model with additional options specified by one or more Name,Value pair arguments.

Input Arguments

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Input data, specified as a table or dataset array. When modelspec is a formula, it specifies the variables to be used as the predictors and response. Otherwise, if you do not specify the predictor and response variables, the last variable is the response variable and the others are the predictor variables by default.

Predictor variables can be numeric, or any grouping variable type, such as logical or categorical (see Grouping Variables). The response must be numeric or logical.

To set a different column as the response variable, use the ResponseVar name-value pair argument. To use a subset of the columns as predictors, use the PredictorVars name-value pair argument.

Predictor variables, specified as an n-by-p matrix, where n is the number of observations and p is the number of predictor variables. Each column of X represents one variable, and each row represents one observation.

By default, there is a constant term in the model, unless you explicitly remove it, so do not include a column of 1s in X.

Data Types: single | double | logical

Response variable, specified as an n-by-1 vector, where n is the number of observations. Each entry in y is the response for the corresponding row of X.

Data Types: single | double | logical

Starting model for stepwiseglm, specified as one of the following:

  • Character vector specifying the type of model.

    Character VectorModel Type
    'constant'Model contains only a constant (intercept) term.
    'linear'Model contains an intercept and linear terms for each predictor.
    'interactions'Model contains an intercept, linear terms, and all products of pairs of distinct predictors (no squared terms).
    'purequadratic'Model contains an intercept, linear terms, and squared terms.
    'quadratic'Model contains an intercept, linear terms, interactions, and squared terms.
    'polyijk'Model is a polynomial with all terms up to degree i in the first predictor, degree j in the second predictor, etc. Use numerals 0 through 9. For example, 'poly2111' has a constant plus all linear and product terms, and also contains terms with predictor 1 squared.
  • t-by-(p+1) matrix, namely terms matrix, specifying terms to include in model, where t is the number of terms and p is the number of predictor variables, and plus one is for the response variable.

  • Character vector representing a formula in the form

    'Y ~ terms',

    where the terms are in Wilkinson Notation.

Name-Value Pair Arguments

Specify optional comma-separated pairs of Name,Value arguments. Name is the argument name and Value is the corresponding value. Name must appear inside single quotes (' '). You can specify several name and value pair arguments in any order as Name1,Value1,...,NameN,ValueN.

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Number of trials for binomial distribution, that is the sample size, specified as the comma-separated pair consisting of a scalar value or a vector of the same length as the response. This is the parameter n for the fitted binomial distribution. BinomialSize applies only when the Distribution parameter is 'binomial'.

If BinomialSize is a scalar value, that means all observations have the same number of trials.

As an alternative to BinomialSize, you can specify the response as a two-column vector with counts in column 1 and BinomialSize in column 2.

Data Types: single | double

Categorical variable list, specified as the comma-separated pair consisting of 'CategoricalVars' and either a cell array of character vectors containing categorical variable names in the table or dataset array tbl, or a logical or numeric index vector indicating which columns are categorical.

  • If data is in a table or dataset array tbl, then, by default, GeneralizedLinearModel.stepwise treats all categorical values, logical values, character arrays, and cell arrays of character vectors as categorical variables.

  • If data is in matrix X, then the default value of 'CategoricalVars' is an empty matrix []. That is, no variable is categorical unless you specify it as categorical.

For example, you can specify the observations 2 and 3 out of 6 as categorical using either of the following examples.

Example: 'CategoricalVars',[2,3]

Example: 'CategoricalVars',logical([0 1 1 0 0 0])

Data Types: single | double | logical | cell

Criterion to add or remove terms, specified as the comma-separated pair consisting of 'Criterion' and one of the following:

  • 'sse' — Default for stepwiselm. p-value for an F-test of the change in the sum of squared error by adding or removing the term.

  • 'aic' — Change in the value of Akaike information criterion (AIC).

  • 'bic' — Change in the value of Bayesian information criterion (BIC).

  • 'rsquared' — Increase in the value of R2.

  • 'adjrsquared' — Increase in the value of adjusted R2.

Example: 'Criterion','bic'

Indicator to compute dispersion parameter for 'binomial' and 'poisson' distributions, specified as the comma-separated pair consisting of 'DispersionFlag' and one of the following.

trueEstimate a dispersion parameter when computing standard errors
falseDefault. Use the theoretical value when computing standard errors

The fitting function always estimates the dispersion for other distributions.

Example: 'DispersionFlag',true

Distribution of the response variable, specified as the comma-separated pair consisting of 'Distribution' and one of the following.

'normal'Normal distribution
'binomial'Binomial distribution
'poisson'Poisson distribution
'gamma'Gamma distribution
'inverse gaussian'Inverse Gaussian distribution

Example: 'Distribution','gamma'

Observations to exclude from the fit, specified as the comma-separated pair consisting of 'Exclude' and a logical or numeric index vector indicating which observations to exclude from the fit.

For example, you can exclude observations 2 and 3 out of 6 using either of the following examples.

Example: 'Exclude',[2,3]

Example: 'Exclude',logical([0 1 1 0 0 0])

Data Types: single | double | logical

Indicator for the constant term (intercept) in the fit, specified as the comma-separated pair consisting of 'Intercept' and either true to include or false to remove the constant term from the model.

Use 'Intercept' only when specifying the model using a character vector, not a formula or matrix.

Example: 'Intercept',false

Model specification describing terms that cannot be removed from the model, specified as the comma-separated pair consisting of 'Lower' and one of the options for modelspec naming the model.

Example: 'Lower','linear'

Offset variable in the fit, specified as the comma-separated pair consisting of 'Offset' and a vector or name of a variable with the same length as the response.

fitglm and stepwiseglm use Offset as an additional predictor, with a coefficient value fixed at 1.0. In other words, the formula for fitting is

μ ~ Offset + (terms involving real predictors)

with the Offset predictor having coefficient 1.

For example, consider a Poisson regression model. Suppose the number of counts is known for theoretical reasons to be proportional to a predictor A. By using the log link function and by specifying log(A) as an offset, you can force the model to satisfy this theoretical constraint.

Data Types: single | double | char

Improvement measure for adding a term, specified as the comma-separated pair consisting of 'PEnter' and a scalar value. The default values are below.

CriterionDefault valueDecision
'Deviance'0.05If the p-value of F or chi-squared statistic is smaller than PEnter, add the term to the model.
'SSE'0.05If the SSE of the model is smaller than PEnter, add the term to the model.
'AIC'0If the change in the AIC of the model is smaller than PEnter, add the term to the model.
'BIC'0If the change in the BIC of the model is smaller than PEnter, add the term to the model.
'Rsquared'0.1If the increase in the R-squared of the model is larger than PEnter, add the term to the model.
'AdjRsquared'0If the increase in the adjusted R-squared of the model is larger than PEnter, add the term to the model.

For more information on the criteria, see Criterion name-value pair argument.

Example: 'PEnter',0.075

Predictor variables to use in the fit, specified as the comma-separated pair consisting of 'PredictorVars' and either a cell array of character vectors of the variable names in the table or dataset array tbl, or a logical or numeric index vector indicating which columns are predictor variables.

The character vectors should be among the names in tbl, or the names you specify using the 'VarNames' name-value pair argument.

The default is all variables in X, or all variables in tbl except for ResponseVar.

For example, you can specify the second and third variables as the predictor variables using either of the following examples.

Example: 'PredictorVars',[2,3]

Example: 'PredictorVars',logical([0 1 1 0 0 0])

Data Types: single | double | logical | cell

Improvement measure for removing a term, specified as the comma-separated pair consisting of 'PRemove' and a scalar value.

CriterionDefault valueDecision
'Deviance'0.10If the p-value of F or chi-squared statistic is larger than PRemove, remove the term from the model.
'SSE'0.10If the p-value of the F statistic is larger than PRemove, remove the term from the model.
'AIC'0.01If the change in the AIC of the model is larger than PRemove, remove the term from the model.
'BIC'0.01If the change in the BIC of the model is larger than PRemove, remove the term from the model.
'Rsquared'0.05If the increase in the R-squared value of the model is smaller than PRemove, remove the term from the model.
'AdjRsquared'-0.05If the increase in the adjusted R-squared value of the model is smaller than PRemove, remove the term from the model.

At each step, stepwise algorithm also checks whether any term is redundant (linearly dependent) with other terms in the current model. When any term is linearly dependent with other terms in the current model, it is removed, regardless of the criterion value.

For more information on the criteria, see Criterion name-value pair argument.

Example: 'PRemove',0.05

Response variable to use in the fit, specified as the comma-separated pair consisting of 'ResponseVar' and either a character vector containing the variable name in the table or dataset array tbl, or a logical or numeric index vector indicating which column is the response variable. You typically need to use 'ResponseVar' when fitting a table or dataset array tbl.

For example, you can specify the fourth variable, say yield, as the response out of six variables, in one of the following ways.

Example: 'ResponseVar','yield'

Example: 'ResponseVar',[4]

Example: 'ResponseVar',logical([0 0 0 1 0 0])

Data Types: single | double | logical | char

Model specification describing the largest set of terms in the fit, specified as the comma-separated pair consisting of 'Upper' and one of the character vector options for modelspec naming the model.

Example: 'Upper','quadratic'

Names of variables in fit, specified as the comma-separated pair consisting of 'VarNames' and a cell array of character vectors including the names for the columns of X first, and the name for the response variable y last.

'VarNames' is not applicable to variables in a table or dataset array, because those variables already have names.

For example, if in your data, horsepower, acceleration, and model year of the cars are the predictor variables, and miles per gallon (MPG) is the response variable, then you can name the variables as follows.

Example: 'VarNames',{'Horsepower','Acceleration','Model_Year','MPG'}

Data Types: cell

Observation weights, specified as the comma-separated pair consisting of 'Weights' and an n-by-1 vector of nonnegative scalar values, where n is the number of observations.

Data Types: single | double

Output Arguments

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Generalized linear model representing a least-squares fit of the link of the response to the data, returned as a GeneralizedLinearModel object.

For properties and methods of the generalized linear model object, mdl, see the GeneralizedLinearModel class page.

Examples

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Create response data using just three of 20 predictors, and create a generalized linear model stepwise to see if it uses just the correct predictors.

Create data with 20 predictors, and Poisson response using just three of the predictors, plus a constant.

rng default % for reproducibility
X = randn(100,20);
mu = exp(X(:,[5 10 15])*[.4;.2;.3] + 1);
y = poissrnd(mu);

Fit a generalized linear model using the Poisson distribution.

mdl =  stepwiseglm(X,y,...
    'constant','upper','linear','Distribution','poisson')
1. Adding x5, Deviance = 134.439, Chi2Stat = 52.24814, PValue = 4.891229e-13
2. Adding x15, Deviance = 106.285, Chi2Stat = 28.15393, PValue = 1.1204e-07
3. Adding x10, Deviance = 95.0207, Chi2Stat = 11.2644, PValue = 0.000790094

mdl = 


Generalized linear regression model:
    log(y) ~ 1 + x5 + x10 + x15
    Distribution = Poisson

Estimated Coefficients:
                   Estimate       SE       tStat       pValue  
                   ________    ________    ______    __________

    (Intercept)     1.0115     0.064275    15.737    8.4217e-56
    x5             0.39508     0.066665    5.9263    3.0977e-09
    x10            0.18863      0.05534    3.4085     0.0006532
    x15            0.29295     0.053269    5.4995    3.8089e-08


100 observations, 96 error degrees of freedom
Dispersion: 1
Chi^2-statistic vs. constant model: 91.7, p-value = 9.61e-20

Definitions

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Tips

  • The generalized linear model mdl is a standard linear model unless you specify otherwise with the Distribution name-value pair.

  • For other methods such as devianceTest, or properties of the GeneralizedLinearModel object, see GeneralizedLinearModel.

Algorithms

Stepwise regression is a systematic method for adding and removing terms from a linear or generalized linear model based on their statistical significance in explaining the response variable. The method begins with an initial model, specified using modelspec, and then compares the explanatory power of incrementally larger and smaller models.

MATLAB® uses forward and backward stepwise regression to determine a final model. At each step, the method searches for terms to add to or remove from the model based on the value of the 'Criterion' argument. The default value of 'Criterion' is 'sse', and in this case, stepwiselm uses the p-value of an F-statistic to test models with and without a potential term at each step. If a term is not currently in the model, the null hypothesis is that the term would have a zero coefficient if added to the model. If there is sufficient evidence to reject the null hypothesis, the term is added to the model. Conversely, if a term is currently in the model, the null hypothesis is that the term has a zero coefficient. If there is insufficient evidence to reject the null hypothesis, the term is removed from the model.

Here is how stepwise proceeds when 'Criterion' is 'sse':

  1. Fit the initial model.

  2. Examine a set of available terms not in the model. If any of these terms have p-values less than an entrance tolerance (that is, if it is unlikely that they would have zero coefficient if added to the model), add the one with the smallest p-value and repeat this step; otherwise, go to step 3.

  3. If any of the available terms in the model have p-values greater than an exit tolerance (that is, the hypothesis of a zero coefficient cannot be rejected), remove the one with the largest p-value and go to step 2; otherwise, end.

At any stage, the function will not add a higher-order term if the model does not also include all lower-order terms that are subsets of it. For example, it will not try to add the term X1:X2^2 unless both X1 and X2^2 are already in the model. Similarly, the function will not remove lower-order terms that are subsets of higher-order terms that remain in the model. For example, it will not examine to remove X1 or X2^2 if X1:X2^2 stays in the model.

The default for stepwiseglm is 'Deviance' and it follows a similar procedure for adding or removing terms.

There are several other criteria available, which you can specify using the 'Criterion' argument. You can use the change in the value of the Akaike information criterion, Bayesian information criterion, R-squared, adjusted R-squared as a criterion to add or remove terms.

Depending on the terms included in the initial model and the order in which terms are moved in and out, the method might build different models from the same set of potential terms. The method terminates when no single step improves the model. There is no guarantee, however, that a different initial model or a different sequence of steps will not lead to a better fit. In this sense, stepwise models are locally optimal, but might not be globally optimal.

Alternatives

You can also create a stepwise generalized linear model using stepwiseglm.

Use fitglm to create a model with a fixed specification. Use step, addTerms, or removeTerms to adjust a fitted model.

References

[1] Collett, D. Modeling Binary Data. New York: Chapman & Hall, 2002.

[2] Dobson, A. J. An Introduction to Generalized Linear Models. New York: Chapman & Hall, 1990.

[3] McCullagh, P., and J. A. Nelder. Generalized Linear Models. New York: Chapman & Hall, 1990.

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