### EXAMPLE 2_b: demonstrates how measurement error can lead to a type ### sign error in a covariate This is the same as example 2, only ### instead of x->k we have k->x. Even when you have a good ### predictor, if it's biased against a covariate you can get the ### wrong sign. Even when you include the proxy variable in the ### regression. But with some ground truth and multiple imputation, ### you can fix it. library(argparser) library(mecor) library(ggplot2) library(data.table) library(filelock) library(arrow) library(Amelia) library(Zelig) library(predictionError) options(amelia.parallel="no", amelia.ncpus=1) source("simulation_base.R") ## SETUP: ### we want to estimate x -> y; x is MAR ### we have x -> k; k -> w; x -> w is used to predict x via the model w. ### A realistic scenario is that we have an NLP model predicting something like "racial harassment" in social media comments ### The labels x are binary, but the model provides a continuous predictor ### simulation: #### how much power do we get from the model in the first place? (sweeping N and m) #### simulate_data <- function(N, m, B0=0, Bxy=0.2, Bzy=-0.2, Bzx=0.2, y_explained_variance=0.025, prediction_accuracy=0.73, seed=1){ set.seed(seed) z <- rbinom(N, 1, 0.5) # x.var.epsilon <- var(Bzx *z) * ((1-zx_explained_variance)/zx_explained_variance) xprime <- Bzx * z #+ x.var.epsilon x <- rbinom(N,1,plogis(xprime)) y.var.epsilon <- (var(Bzy * z) + var(Bxy *x) + 2*cov(Bxy*x,Bzy*z)) * ((1-y_explained_variance)/y_explained_variance) y.epsilon <- rnorm(N, sd = sqrt(y.var.epsilon)) y <- Bzy * z + Bxy * x + y.epsilon df <- data.table(x=x,y=y,z=z) if(m < N){ df <- df[sample(nrow(df), m), x.obs := x] } else { df <- df[, x.obs := x] } ## how can you make a model with a specific accuracy? w0 =(1-x)**2 + (-1)**(1-x) * prediction_accuracy ## how can you make a model with a specific accuracy, with a continuous latent variable. # now it makes the same amount of mistake to each point, probably # add mean0 noise to the odds. w.noisey.odds = rlogis(N,qlogis(w0)) df[,w := plogis(w.noisey.odds)] df[,w_pred:=as.integer(w > 0.5)] (mean(df$x==df$w_pred)) return(df) } parser <- arg_parser("Simulate data and fit corrected models") parser <- add_argument(parser, "--N", default=1000, help="number of observations of w") parser <- add_argument(parser, "--m", default=200, help="m the number of ground truth observations") parser <- add_argument(parser, "--seed", default=57, help='seed for the rng') parser <- add_argument(parser, "--outfile", help='output file', default='example_1.feather') parser <- add_argument(parser, "--y_explained_variance", help='what proportion of the variance of y can be explained?', default=0.05) # parser <- add_argument(parser, "--zx_explained_variance", help='what proportion of the variance of x can be explained by z?', default=0.3) parser <- add_argument(parser, "--prediction_accuracy", help='how accurate is the predictive model?', default=0.73) parser <- add_argument(parser, "--outcome_formula", help='formula for the outcome variable', default="y~x+z") parser <- add_argument(parser, "--proxy_formula", help='formula for the proxy variable', default="w_pred~x") parser <- add_argument(parser, "--truth_formula", help='formula for the true variable', default="x~z") parser <- add_argument(parser, "--Bzx", help='Effect of z on x', default=0.3) parser <- add_argument(parser, "--Bzy", help='Effect of z on y', default=-0.3) parser <- add_argument(parser, "--Bxy", help='Effect of z on y', default=0.3) args <- parse_args(parser) B0 <- 0 Bxy <- args$Bxy Bzy <- args$Bzy Bzx <- args$Bzx if (args$m < args$N){ df <- simulate_data(args$N, args$m, B0, Bxy, Bzy, Bzx, seed=args$seed + 500, y_explained_variance = args$y_explained_variance, prediction_accuracy=args$prediction_accuracy) result <- list('N'=args$N,'m'=args$m,'B0'=B0,'Bxy'=Bxy, Bzx=Bzx, 'Bzy'=Bzy, 'seed'=args$seed, 'y_explained_variance'=args$y_explained_variance, 'prediction_accuracy'=args$prediction_accuracy, 'accuracy_imbalance_difference'=args$accuracy_imbalance_difference, 'outcome_formula'=args$outcome_formula, 'proxy_formula'=args$proxy_formula,truth_formula=args$truth_formula, error='') outline <- run_simulation(df, result, outcome_formula=as.formula(args$outcome_formula), proxy_formula=as.formula(args$proxy_formula), truth_formula=as.formula(args$truth_formula)) outfile_lock <- lock(paste0(args$outfile, '_lock'),exclusive=TRUE) if(file.exists(args$outfile)){ logdata <- read_feather(args$outfile) logdata <- rbind(logdata,as.data.table(outline),fill=TRUE) } else { logdata <- as.data.table(outline) } print(outline) write_feather(logdata, args$outfile) unlock(outfile_lock) }