# Logistic regression model manipulation

I would like to understand what the following code is doing. The person who wrote the code no longer works here and it is almost completely undocumented. I was asked to investigate it by someone who thinks "it's a bayesian logistic regression model"

bglm <- function(Y,X) {
# Y is a vector of binary responses
# X is a design matrix

fit <- glm.fit(X,Y, family = binomial(link = logit))
beta <- coef(fit)
fs <- summary.glm(fit)
M <- t(chol(fs$cov.unscaled)) betastar <- beta + M %*% rnorm(ncol(M)) p <- 1/(1 + exp(-(X %*% betastar))) return(runif(length(p)) <= p) }  I can see that it fits a logistic model, takes the transpose of the Cholseky factorisation of the estimated covariance matrix, post-multiplies this by a vector of draws from$N(0,1)$and is then added to the model estimates. This is then premultiplied by the design matrix, the inverse logit of this is taken, compared with a vector of draws from$U(0,1)$and the resulting binary vector returned. But what does all this mean statistically ? • It would probably help a lot to know what field this is being used in.. May 28 '13 at 1:45 • In essence, the function generates data from a (frequentist) model of your data, incorporating uncertainty about the actual parameters. It could be part of a Bayesian MCMC routine, but could also be used in simulation-based power analysis (nb, power analyses based on prior data that do not take the uncertainty into account are often optimistic). May 28 '13 at 2:11 • You're welcome, @PSellaz. Since no one else has responded, I'll turn it into an 'official' answer. May 28 '13 at 16:43 ## 1 Answer What the function does: In essence, the function generates new pseudorandom response (i.e.,$Y$) data from a model of your data. The model being used is a standard frequentist model. As is customary, it is assuming that your$X$* data are known constants--they are not sampled in any way. What I see as the important feature of this function is that it is incorporating uncertainty about the estimated parameters. * Note that you have to manually add a vector of$1$'s as the leftmost column of your$X$matrix before inputting it to the function, unless you want to suppress the intercept (which is generally not a good idea). What was the point of this function: I don't honestly know. It could have been part of a Bayesian MCMC routine, but it would only have been one piece--you would need more code elsewhere to actually run a Bayesian analysis. I don't feel sufficiently expert on Bayesian methods to comment definitively on this, but the function doesn't 'feel' to me like what would typically be used. It could also have been used in simulation-based power analyses. (See my answer here: Simulation of logistic regression power analysis - designed experiments, for information on this type of thing.) It is worth noting that power analyses based on prior data that do not take the uncertainty of the parameter estimates into account are often optimistic. (I discuss that point here: Desired effect size vs. expected effect size.) If you want to use this function: As @whuber notes in the comments, this function will be inefficient. If you want to use this to do (for example) power analyses, I would split the function into two new functions. The first would read in your data and output the parameters and the uncertainties. The second new function would generate the new pseudorandom$Y$data. The following is an example (although it may be possible to improve it further): simulationParameters <- function(Y,X) { # Y is a vector of binary responses # X is a design matrix, you don't have to add a vector of 1's # for the intercept X <- cbind(1, X) # this adds the intercept for you fit <- glm.fit(X,Y, family = binomial(link = logit)) beta <- coef(fit) fs <- summary.glm(fit) M <- t(chol(fs$cov.unscaled))

return(list(betas=beta, uncertainties=M))
}

simulateY <- function(X, betas, uncertainties, ncolM, N){

# X      <- cbind(1, X)  # it will be slightly faster if you input w/ 1's
# ncolM  <- ncol(uncertainties) # faster if you input this
betastar <- betas + uncertainties %*% rnorm(ncolM)
p        <- 1/(1 + exp(-(X %*% betastar)))

return(rbinom(N, size=1, prob=p))
}

• +1. To me, the strange part is that the fitting and the simulated predictions are all done within the body of a single function. Normally, operations like this would be done by first computing the fit (returning beta and M) and then creating numerous iid simulations based on this fit. (Putting them in the same function would unnecessarily cause the fitting to be repeated each time, greatly slowing down the calculations.) From these simulations, one could recover (inter alia) prediction intervals for nonlinear or very complicated combinations of the responses.
– whuber
May 28 '13 at 16:59
• @whuber, I agree. I was actually thinking of suggesting that the function be broken up into 2 different functions before being used for simulating, but it didn't seem like that was part of the question. May 28 '13 at 17:11