Chapter 19 (#20)

* ending theorical part

* adding examples

* ending summary chapter 19

Author: AngelFelizR

19_residual-diagnostics-plots.Rmd

@@ -1,13 +1,305 @@
-# Residual-diagnostics Plots
+# Residual-Diagnostics Plots
 
-**Learning objectives:**
+**Learning Objectives:**
 
-- THESE ARE NICE TO HAVE BUT NOT ABSOLUTELY NECESSARY
+This section presents graphical methods for a detailed examination of **model performance** at both **overall** and **instance-specific levels**.
 
-## SLIDE 1 {-}
+-   Residuals can be utilized to:
+    -   **Identify potentially problematic instances**. This can help define which factors contribute most significantly to prediction errors.
+    -   **Detect any systematic deviations from the expected behavior** that could be due to:
+        -   The omission of explanatory variables
+        -   The inclusion of a variable in an incorrect functional form.
+    -   **Identify the largest prediction errors**, irrespective of the overall performance of a predictive model.
 
-- ADD SLIDES AS SECTIONS (`##`).
-- TRY TO KEEP THEM RELATIVELY SLIDE-LIKE; THESE ARE NOTES, NOT THE BOOK ITSELF.
+## Quality of predictions {-}
+
+-   In a **"perfect" predictive model** `predicted value` == `actual value` of the variable for every observation.
+
+-   We want the predictions to be **reasonably close** to the actual values.
+
+-   To quantify the **quality of predictions** we can use the *difference* between the `predicted value` and the `actual value`called as **residual**.
+
+For a continuous dependent variable $Y$, residual $r_i$ for the $i$-th observation in a dataset:
+
+```{=tex}
+\begin{equation}
+r_i = y_i - f(\underline{x}_i) = y_i - \widehat{y}_i
+\end{equation}
+```
+## Characteristics of a good model {-}
+
+To evaluate a model we need to study the *"behavior" of residuals* for a group of observations. To confirm that:
+
+-   They are **deviating from zero randomly** implying that:
+    -   Their distribution should be **symmetric around zero**, so their mean (or median) value should be zero.
+    -   Their values most be **close to zero** to show low variability.
+
+## Graphical methods to verify proporties {-}
+
+-   **Histogram**: To check the **symmetry** and **location** of the distribution of residuals *without any assumption*.
+
+-   **Quantile-quantile plot**: To check whether the residuals follow a concrete distribution.
+
+![Source: <https://rpubs.com/stevenlsenior/normal_residuals_with_code>](img/19-residual-diagnostics-plots/01-histogram-quantile-plot.png)
+
+## Standardized *(Pearson)* residuals {-}
+
+```{=tex}
+\begin{equation}
+\tilde{r}_i = \frac{r_i}{\sqrt{\mbox{Var}(r_i)}}
+\end{equation}
+```
+where $\mbox{Var}(r_i)$ is the **estimated variance** of the residual $r_i$.
+
+| **Model**                         | **Estimation Method**                                        |
+|:-------------------------|:---------------------------------------------|
+| Classical linear-regression model | The design matrix.                                           |
+| Poisson regression                | The expected value of the count.                             |
+| Complicated models                | A constant for all residuals.                                |
+
+## Exploring residuals for classification models {-}
+
+-   Due their range ($[-1,1]$) limitations, the residuals $r_i$ are not very useful to explore the probability of observing $y_i$.
+
+-   If **all explanatory variables are categorical** with a limited number of categories the **standard-normal approximation** is likely if follow the following steps:
+
+    -   Divide the observed values in $K$ groups sharing the same predicted value $f_k$.
+    -   Average the residuals $r_i$ per group and standardizing them with $\sqrt{f_k(1-f_k)/n_k}$
+
+## Exploring residuals for classification models {-}
+
+In datasets, where different observations lead to **different model predictions** the *Pearson residuals* will **not** be approximated by the **standard-normal** one.
+
+But the **index plot** may still be useful to detect observations with **large residuals**.
+
+![Source: <http://www.philender.com/courses/linearmodels/notes1/index.html>](img/19-residual-diagnostics-plots/02-index-plot.png){width="45%" height="60%"}
+
+## Exploring residuals for classical linear-regression models {-}
+
+-   Residuals should be normally distributed with mean zero
+-   The leverage values from the diagonal of hat matrix $\mathbf{H} = \mathbf{X}(\mathbf{X}^T \mathbf{X})^{-1} \mathbf{X}^T$.
+
+$$
+\mathbf{\hat{y}} = 
+\mathbf{X}\hat{\beta} = 
+\mathbf{X}[(\mathbf{X}^T \mathbf{X})^{-1} \mathbf{X}^T \mathbf{y}] = 
+\mathbf{H}\mathbf{y}
+$$
+
+-   Expected variance given by: $\text{Var}(e_i) = \sigma^2 (1 - h_{ii})$
+-   For independent explanatory variables, it should lead to a constant variance of residuals.
+
+## Residuals $r_i$ in function of predicted values {-}
+
+The plot should show points scattered **symmetrically** around the horizontal **straight line at 0**, but:
+
+-   It has got a shape of a funnel, reflecting **increasing variability** of residuals for increasing fitted values. The variance is not constant *(homoscedasticity violation)*.
+
+-   The smoothed line suggests that the mean of residuals becomes **increasingly positive** for increasing fitted values. The residuals don't seems to have a *zero-mean*.
+
+![](img/19-residual-diagnostics-plots/03-residuals-vs-fitted.png){width="45%" height="60%"}
+
+## Square root of standardized residuals $\sqrt{\tilde{r}_i}$ in function of predicted values {-}
+
+The plot should show points scattered **symmetrically** across the horizontal axis.
+
+-   The increase in $\sqrt{\tilde{r}_i}$ indicates a violation of the *homoscedasticity assumption*.
+
+![](img/19-residual-diagnostics-plots/04-scale-location.png){width="45%" height="60%"}
+
+## Standardized residuals $\tilde{r}_i$ in function of leverage $l_i$ {-}
+
+-   **Leverage** $l_i$ is a measure of how far away the **independent variable values** of an observation are from those of the other observations.
+
+-   Data points with **large residuals (outliers)** and/or **high leverage** may distort the outcome and **accuracy of a regression**.
+
+-   The **predicted sum-of-squares**:
+
+```{=tex}
+\begin{equation}
+PRESS = \sum_{i=1}^{n} (\widehat{y}_{i(-i)} - y_i)^2 =  \sum_{i=1}^{n} \frac{r_i^2}{(1-l_{i})^2}
+\end{equation}
+```
+-   **Cook's distance** measures the effect of deleting a given observation.
+
+![](img/19-residual-diagnostics-plots/05-residuals-vs-leverage.png){width="45%" height="60%"}
+
+## Standardized residuals $\tilde{r}_i$ in function of leverage $l_i$ {-}
+
+Given that $\tilde{r}_i$ should have approximately **standard-normal distribution**, only about 0.5% of them should be **larger or lower than 2.57**.
+
+If there is an **excess of such observations**, this could be taken as a signal of issues with the **fit of the model**. At least two such observations (59 and 143).
+
+![](img/19-residual-diagnostics-plots/05-residuals-vs-leverage.png){width="45%" height="60%"}
+
+## Standardized residuals $\tilde{r}_i$ in function of values expected from the standard normal distribution {-}
+
+If the normality assumption is fulfilled, the plot should show a scatter of points close to the $45^{\circ}$ diagonal, but **this not the case**.
+
+![](img/19-residual-diagnostics-plots/06-normal-q-q.png){width="45%" height="60%"}
+
+## Apartment-prices: Model Performance {-}
+
+Both models have almost the same performance.
+
+```{r message=FALSE, results='hide'}
+library("DALEX")
+library("randomForest")
+
+
+model_apart_lm <- archivist::aread("pbiecek/models/55f19")
+model_apart_rf <- archivist::aread("pbiecek/models/fe7a5")
+
+
+explain_apart_lm <- DALEX::explain(model = model_apart_lm, 
+                                   data    = apartments_test[,-1], 
+                                   y       = apartments_test$m2.price, 
+                                   label   = "Linear Regression")
+
+explain_apart_rf <- DALEX::explain(model = model_apart_rf, 
+                           data    = apartments_test[,-1], 
+                           y       = apartments_test$m2.price, 
+                           label   = "Random Forest")
+
+
+mr_lm <- DALEX::model_performance(explain_apart_lm)
+mr_rf <- DALEX::model_performance(explain_apart_rf)
+```
+
+```{r}
+list(lm = mr_lm, 
+     rf = mr_rf) |>
+  lapply(\(x) unlist(x$measures) |> round(4)) |>
+  as.data.frame()
+```
+
+## Apartment-prices: Residual distribution {-}
+
+-   The distributions of residuals for both models are different.
+
+-   The residuals of **random forest**
+
+    -   They are centered around zero so the predictions are, on average, **close to the actual values**.
+    -  The skewness indicates that there are some predictions where the model significantly underestimated the actual values.
+
+-   The residuals of **linear-regression**:
+
+    -  They are splitted into 2 separate normal-like parts, located about -200 and 400, which may suggest the **omission of a binary explanatory variable**.
+    
+-   **Random forest** residuals seem to be **centered at a value closer to zero** than the distribution for the **linear-regression**, but it shows a larger variation. 
+
+```{r}
+plot(mr_rf, mr_lm, geom = "histogram") +
+  ggplot2::geom_vline(xintercept = 0)
+```
+
+## Apartment-prices: Residual distribution {-}
+
+The RMSE is comparable for the two models as:
+
+- The residuals for the **random forest model are more frequently smaller** than the residuals for the linear-regression model.
+
+- A **small fraction** of the random forest-model residuals is very large.
+
+```{r}
+# Run ?DALEX:::plot.model_performance to check documentation
+plot(mr_rf, mr_lm, 
+     geom = "boxplot",
+     show_outliers = 1)
+```
+
+
+## Apartment-prices: Residual distribution {-}
+
+The **linear-regression** model does not capture the **non-linear relationship** between the `price` and the `year of construction`.
+
+```{r}
+pdp_lm_year <- model_profile(explainer = explain_apart_lm, 
+                             variables = "construction.year")
+
+pdp_rf_year <- model_profile(explainer = explain_apart_rf, 
+                             variables = "construction.year")
+
+plot(pdp_rf_year, pdp_lm_year)
+```
+
+
+## Random Forest: Residuals $r_i$ in function of observed values {-}
+
+> The random forest model, as the linear-regression model, assumes that residuals should be homoscedastic, i.e., that they should have a constant variance.
+
+The plot suggests that the predictions are shifted (biased) towards the average.
+
+- For large observed the residuals are positive.
+- For small observed the residuals are negative.
+
+```{r}
+md_rf <- model_diagnostics(explain_apart_rf)
+
+plot(md_rf, variable = "y", yvariable = "residuals") 
+```
+
+> For models like linear regression, such heteroscedasticity of the residuals would be worrying. In random forest models, however, it may be less of concern.
+
+## Random Forest: Predicted in function of observed values {-}
+
+The plot suggests that the predictions are shifted (biased) towards the average.
+
+- For large observed the residuals are positive.
+- For small observed the residuals are negative.
+
+```{r}
+plot(md_rf, variable = "y", yvariable = "y_hat") +
+  ggplot2::geom_abline(colour = "red", intercept = 0, slope = 1)
+```
+
+## Random Forest: Residuals $r_i$ in function of an (arbitrary) identifier of the observation {-}
+
+The plot indicates:
+
+- An **asymmetric** distribution of residuals around zero
+- An **excess** of large positive (larger than 500) residuals without a corresponding fraction of negative values.
+
+```{r}
+plot(md_rf, variable = "ids", yvariable = "residuals")
+```
+
+## Random Forest: Residuals $r_i$ in function of predicted value {-}
+
+It suggests that the predictions are shifted (biased) towards the average.
+
+```{r}
+plot(md_rf, variable = "y_hat", yvariable = "residuals")
+```
+
+## Random Forest: Absolute value of residuals  in function of the predicted {-}
+
+> Variant of the scale-location plot
+
+- For homoscedastic residuals, we would expect a symmetric scatter around a horizontal line; the smoothed trend should be also horizontal.
+
+- The deviates from the expected pattern and indicates that the variability of the residuals depends on the (predicted) value of the dependent variable.
+
+```{r}
+plot(md_rf, variable = "y_hat", yvariable = "abs_residuals")
+```
+
+## Pros and cons {-}
+
+- Diagnostic methods based on residuals are a very useful to identify:
+
+    -  Problems with distributional assumptions.
+    
+    -  Problems with the assumed structure of the model *(in terms of the selection of the explanatory variables and their form)*.
+    
+    -  Groups of observations for which a model’s predictions are biased.
+
+
+- It presents the following limitations:
+
+    -  Interpretation of the patterns seen in *graphs may not be straightforward*.
+    
+    -  It's not be immediately obvious *which element of the model* may have to be changed.
 
 ## Meeting Videos {-}
 
@@ -16,9 +308,13 @@
 `r knitr::include_url("https://www.youtube.com/embed/URL")`
 
 <details>
-<summary> Meeting chat log </summary>
 
-```
-LOG
-```
+<summary>
+
+Meeting chat log
+
+</summary>
+
+    LOG
+
 </details>