For the next installment of our simulation blog series we will use simulation to look at the Multicollinearity assumption in linear regression.

For a refresher, here are the previous 5 articles in this series:

• Part 1 discussed the basic functions for simulating and sampling data in R.
• Part 2 walked us through how to perform bootstrap resampling and then simulate bivariate and multivariate distributions.
• Part 3 we worked making group comparisons by simulating thousands of t-tests
• Part 4 building simulations for linear regression
• Part 5 using simulation to investigate the homoskedasticity assumption in regression.

The entire code for this series is accessible on my GITHUB page.

Multicollinearity

Multicollinearity occurs when two independent variables in a regression model are highly correlated with each other. Such a situation can produce problems with interpretation of the beta coefficients of the model, may increase standard errors in the model, and can lead to over fitting of the data. We can simulate this issue in order to get a better understanding of how multicollinearity can influence a regression model.

Constructing the simulation

We will use the mvnorm package to help us construct a simulation where the two independent variables share a certain level of correlation between each other.

First, we will create the true model parameters: an intercept of 2, a beta1 of 5, and a beta2 of 10. We also create a vector of correlation coefficients from 0 to 0.99 and a few data frames to store the results of our model. We will also specify that at each correlation coefficient we want 200 random draws from the multivariate normal distribution.

## load packages
library(tidymodels)
library(patchwork)
library(mvtnorm)

set.seed(999)

# create the true model parameters
intercept <- 2
beta1 <- 5
beta2 <- 10

## Number of draws from a multivariate normal distribution
n <- 200

## Create a data frame to store model results
sim_params <- data.frame(intercept = NA,
                      intercept_se = NA,
                      beta1 = NA,
                      beta1_se = NA,
                      beta2 = NA,
                      beta2_se = NA,
                      model_rse = NA)

## create levels of multicollinearity between the two independent variables
cor_coefs <- c(seq(from = 0, to = 0.9, by = 0.1), 0.99)

# data frame to store the average beta coefficient and their standard deviations form the simulation
mean_betas <- data.frame(beta1 = NA,
                       sd_beta1 = NA,
                       beta2 = NA,
                       sd_beta2 = NA)

Next, we will create a nested for() loop to construct out simulations.

•  The outer part of the loop begins by creating the multivariate normal distribution. We use the rmvnorm(), which means we first specify a correlation matrix using our vector of correlation coefficients we specified above. Once we have the two correlated variables we can put them into the inner loop.
• The inner loop is where we create a regression equation for the given correlation between the two variables. We create 100 regression simulations for each correlation coefficient.
• Once the inner loop is finished running we store the results at the bottom of the outer loop. Instead of storing all of the results, we take the average of the 100 beta coefficients and their respective standard errors for each correlation coefficient.

## loop
for(j in 1:length(cor_coefs)){
  
  ## Create a correlation matrix between beta1 and beta2
  beta_corr <- matrix(c(1, cor_coefs[j], cor_coefs[j], 1), nrow = 2, ncol = 2)
  
  ## create a multivariate normal distribution 
  cor_df <- rmvnorm(n = n, mean = c(0, 0), sigma = beta_corr)
  X1 <- cor_df[, 1]
  X2 <- cor_df[, 2]
  
  ## simulate 100 regression simulations
  for(i in 1:100){
    
    # set up the model
    y_hat <- intercept + beta1*X1 + beta2*X2 + rnorm(n = n, mean = 0, sd = 1)
    
    # construct a regression equation
    model <- lm(y_hat ~ X1 + X2)
    
    # store the variance-covariance matrix
    vcv <- vcov(model)
    
    # estimates for the intercept
    sim_params[i, 1] <- model$coef[1]
  
    # estimates for the beta1
    sim_params[i, 3] <- model$coef[2]
    
    # estimates for beta2
    sim_params[i, 5] <- model$coef[3]
  
    # SE for the intercept
    sim_params[i, 2] <- sqrt(diag(vcv)[1])
    
    # SE for beta1
    sim_params[i, 4] <- sqrt(diag(vcv)[2])
    
    # SE for beta2
    sim_params[i, 6] <- sqrt(diag(vcv)[3])
  
    # model RSE
    sim_params[i, 7] <- summary(model)$sigma
  }

  mean_betas[j, ] <- c(mean(sim_params[, 3]), mean(sim_params[, 4]), mean(sim_params[, 5]), mean(sim_params[, 6]))

}

The final result is a data frame with 10 rows, one for each correlation coefficient and the average of 100 regression simulations for the beta coefficients and their standard errors.

# Add the correlation coefficients to the final data frame
mean_betas$cor_coef <- cor_coefs mean_betas %>%
  knitr::kable()

Finally, we plot each of the results with the correlation coefficients on the x-axis.

# Plot the results
par(mfrow = c(2,2))
plot(x = mean_betas$cor_coef,
     y = mean_betas$beta1,
     main = "Beta1",
     lwd = 3,
     type = "b",
     ylim = c(2, 7),
     xlab = "Correlation betwen X1 and X2",
     ylab = "Beta1")
plot(x = mean_betas$cor_coef,
     y = mean_betas$sd_beta1,
     main = "Beta1 Standard Error",
     lwd = 3,
     type = "b",
     xlab = "Correlation betwen X1 and X2",
     ylab = "SE of B1")
plot(x = mean_betas$cor_coef,
     y = mean_betas$beta2,
     main = "Beta2",
     lwd = 3,
     type = "b",
     ylim = c(7, 13),
     xlab = "Correlation betwen X1 and X2",
     ylab = "Beta 2")
plot(x = mean_betas$cor_coef,
     y = mean_betas$sd_beta2,
     main = "Beta2 Standard Error",
     lwd = 3,
     type = "b",
     xlab = "Correlation betwen X1 and X2",
     ylab = "SE of B2")

The beta coefficients themselves remain relatively unchanged in our simulation across the various correlations levels. However, once the correlation between the two independent variables reaches about 0.7 the standard errors around the beta coefficients begin to increase exponentially, increasing our uncertainty about the true parameter values.

Wrapping Up

We’ve now covered using simulation to investigate two assumptions of linear regression. Our next installment will investigate another linear regression assumption before we proceed on to simulating other types of models.

For the full code, check out my GITHUB page.

Workflowsets in {tidymodels} provide a useful way for analysts to run several models, even tune several machine learning models on their dataset, simultaneously. You can then extract model fit information, predictions, and make comparisons to identify the most effective model type and the optimized tuning parameters.

Below are links to two workflowsets tutorials I’ve written. The first link is to an older tutorial that wrote and posted in the blog 3 months ago. This tutorial builds several machine learning models on NWSL data to solve a classification task. The second link is a more recent tutorial that walks through workflowsets and model tuning for outcomes that are both binary and continuous.

Both tutorials go over model building, hyperparameter tuning, model comparisons, making predictions, and storing the final model for deployment at a later time in {tidymodels} using workflowsets.

Hopefully both tutorials provide analysts with a clear overview of how to set up workflowsets and run several models in parallel, helping to make their work more efficient.

Tutorial 1

Tutorial 2

We’ve been working on building simulations in R over the past few articles. We are now to the point where we want to simulate data using regression models. To recap what we’ve done so far:

• Part 1 discussed the basic functions for simulating and sampling data in R.
• Part 2 walked us through how to perform bootstrap resampling and then simulate bivariate and multivariate distributions.
• Part 3 we worked making group comparisons by simulating thousands of t-tests

In an upcoming article we will use simulation to evaluate regression assumptions. But, before we do that, it might be useful to use a regression model reported in a research paper to simulate a data set. This can be useful if you are trying to better understand the paper (you can recalculate statistics and explore the data) or if you want to work on applying a different type of model approach to build hypotheses for future research.

As always, all code is freely available in the Github repository.

I’m going to take the regression model from a paper by Ferrari et al (2022), Performance and anthropometrics of classic powerlifters: Which characteristics matter? J Strength Cond Res., which looked to predict power lifting performance in male and female lifters.

The paper used several variables to try and predict Squat, Bench, Deadlift, and Powerlifting Total in raw power lifters. To keep this simple, I’ll focus on the model for predicting squat performance, which was:

The model had a standard error of estimate (SEE) of 20.3 and an r-squared of 0.83.

Getting the necessary info from the paper

Aside from the model coefficients, above, we also need to get the mean and standard deviation for each of the variables in the model (for both male and female lifters). We will use those parameters to simulate 1000 male and female lifters.

library(tidyverse)

# set the see for reproducibility
set.seed(82)

# sample size - simulate 1000 male and 1000 female lifters
n_males <- 1000
n_females <- 1000

# set the model coefficients for squats
intercept <- -145.7
years_exp_beta <- 4.3
pct_bf_beta <- -1.7
upper_arm_girth_beta <- 6
thigh_girth_beta <- 1.9

# Standard Error of Estimate (SEE) is sampled from a normal distribution with a mean = 0 and 
# standard deviation of 20.3
see <- rnorm(n = n_males + n_females, mean = 0, sd = 20.3)

# get mean and sd for each of the model variables
years_exp_male <- rnorm(n = n_males, mean = 2.6, sd = 2.4)
years_exp_male <- ifelse(years_exp_male < 0, 0, years_exp_male)
years_exp_female <- rnorm(n = n_females, mean = 1.6, sd = 1.5)
years_exp_female <- ifelse(years_exp_female < 0, 0, years_exp_female)
pct_bf_male <- rnorm(n = n_males, mean = 11.1, sd = 3.8)
pct_bf_female <- rnorm(n = n_females, mean = 21.7, sd = 5.4)
upper_arm_girth_male <- rnorm(n = n_males, mean = 35.6, sd = 2.8)
upper_arm_girth_female <- rnorm(n = n_females, mean = 29.5, sd = 3.1)
thigh_girth_male <- rnorm(n = n_males, mean = 61.1, sd = 5.5)
thigh_girth_female <- rnorm(n = n_females, mean = 56.1, sd = 4.9)

# put the simulated data into a data frame
dat <- data.frame( gender = c(rep("male", times = n_males), rep("female", times = n_females)), years_exp = c(years_exp_male, years_exp_female), pct_bf = c(pct_bf_male, pct_bf_female), upper_arm_girth = c(upper_arm_girth_male, upper_arm_girth_female), thigh_girth = c(thigh_girth_male, thigh_girth_female) ) dat %>%
  head()

As a sanity check, we can quickly check the mean and standard deviation of each variable to ensure the simulation appears as we intended it to.

## check means and standard deviations of the simulation
dat %>%
  group_by(gender) %>%
  summarize(across(.cols = years_exp:thigh_girth,
                   list(avg = mean, SD = sd)),
            .groups = "drop") %>%
  pivot_longer(cols = -gender)

Estimate squat performance using the model

Next, we use the values that we simulated and the model coefficients to simulate the outcome of interest (Squat performance).

# estimate squat performance
dat$squat <- with(dat, intercept + years_exp_beta*years_exp + pct_bf_beta*pct_bf + upper_arm_girth_beta*upper_arm_girth + thigh_girth_beta*thigh_girth + see) dat %>%
  head()

## summary statistics
dat %>%
  group_by(gender) %>%
  summarize(avg_squat = mean(squat), 
            sd_squat = sd(squat))

# plots
hist(dat$squat)

dat %>%
  ggplot(aes(x = squat, fill = gender)) +
  geom_density(alpha = 0.5)

Look at the regression model

Now we fit a regression model with our simulated data.

fit_lm <- lm(squat ~ years_exp + pct_bf + upper_arm_girth + thigh_girth, data = dat)
summary(fit_lm)

• The coefficients are similar to those in the paper (which makes sense because we coded them this way.
• The standard error (Residual standard error) is 20.3, as expected.
• The r-squared for the model is 0.81, close to what was observed in the paper.

Making a better simulation

One thing to notice is the mean and standard deviation of the squat in our simulation is a bit less compared to what is reported for the population in the paper.

Our estimates are a little low relative to what was reported in the paper. The model above still works because we constructed it with the regression coefficients and variable parameters in the model, so we can still play with the data and learn something. But, the estimated squats might be a little low because the anthropometric variables in the model (BF%, Upper Arm Girth, and Thigh Girth) are in some way going to be correlated with each other. So, we could make this simulation more informative by simulating those variables from a multivariate normal distribution, as we did in Part 3.

To start, we load the mvtnorm package and set up a vector of mean values for each variable. We will construct a vector for males and females separately. We will use the mean values for each variable reported in the paper.

library(mvtnorm)

## Order of means is: BF%, Upper Arm Girth, Thigh Girth
male_means <- c(11.1, 35.6, 61.1)
female_means <- c(21.7, 29.5, 56.1)

Next, we need to construct a correlation matrix between these three variables. Again, we will create a correlation matrix for males and females, separately. I’m not sure of the exact correlation between these variables, so I’ll just estimate what I believe it to be. For example, the correlations probably aren’t 0.99 but they also probably aren’t below 0.6. I’m also unsure how these correlations might differ between the two genders. Thus, I’ll keep the same correlation matrix for both. To keep it simple, I’ll set the correlation between BF% and upper arm and thigh girth at 0.85 and the correlation between upper arm girth and thigh girth to be 0.9. In theory, we could consult some scientific literature on these things and attempt to construct more plausible correlations.

## Create correlation matrices
# males
male_r_matrix <- matrix(c(1, 0.85, 0.85,
                          0.85, 1, 0.9,
                          0.85, 0.9, 1), 
                   nrow = 3, ncol = 3,
       dimnames = list(c("bf_pct", "upper_arm_girth", "thigh_girth"),
                       c("bf_pct", "upper_arm_girth", "thigh_girth")))

male_r_matrix

# females
female_r_matrix <- matrix(c(1, 0.85, 0.85,
                          0.85, 1, 0.9,
                          0.85, 0.9, 1), 
                   nrow = 3, ncol = 3,
       dimnames = list(c("bf_pct", "upper_arm_girth", "thigh_girth"),
                       c("bf_pct", "upper_arm_girth", "thigh_girth")))

female_r_matrix

Now we will create 1000 simulations from a multivariate normal distribution for both males and females and then row bind them together into a single big data frame.

## simulate 1000 new x, y, and z variables using the mvtnorm package
set.seed(777)
male_sim <- rmvnorm(n = n_males, mean = male_means, sigma = male_r_matrix) %>%
  as.data.frame() %>%
  setNames(c("pct_bf", "upper_arm_girth", "thigh_girth"))

female_sim <- rmvnorm(n = n_females, mean = female_means, sigma = female_r_matrix) %>%
  as.data.frame() %>%
  setNames(c("pct_bf", "upper_arm_girth", "thigh_girth"))

head(male_sim)
head(female_sim)

## put the two simulated data frames together
multi_sims <- bind_rows(male_sim, female_sim) multi_sims %>%
  head()

Finally, one last thing we’ll change is our simulation of years of experience. This variable is not a normally distributed variable because it is truncated at 0. Above, in our first simulation, we attempted to solve this with the ifelse() expression to assign any simulated value less than 0 to 0. Here, I’ll just get the quantiles of the simulated years of experience so that I have an idea of a plausible upper end of experience for the population used in this paper. Then, instead of simulating from a normal distribution I’ll do a random draw from a uniform distribution from 0 to the respective upper end for the male and female groups.

Now take the newly simulated variables and create a new data frame.

## new data frame
new_dat <- data.frame( gender = c(rep("male", times = n_males), rep("female", times = n_females)), years_exp = c(years_exp_male, years_exp_female) ) %>%
  bind_cols(multi_sims)

new_dat %>%
  head()

Finally, go through the steps we did above to estimate the squat from our four variables and the beta coefficients from the paper.

# estimate squat performance
new_dat$squat <- with(new_dat, intercept + years_exp_beta*years_exp + pct_bf_beta*pct_bf + upper_arm_girth_beta*upper_arm_girth + thigh_girth_beta*thigh_girth + see) new_dat %>%
  head()

## summary statistics
new_dat %>%
  group_by(gender) %>%
  summarize(avg_squat = mean(squat), 
            sd_squat = sd(squat))

# plots
hist(new_dat$squat)

new_dat %>%
  ggplot(aes(x = squat, fill = gender)) +
  geom_density(alpha = 0.5)

Look at the new regression model

fit_lm_new <- lm(squat ~ years_exp + pct_bf + upper_arm_girth + thigh_girth, data = new_dat)
summary(fit_lm_new)

Compare the squat simulated data to that which was reported in the paper

new_dat %>%
  group_by(gender) %>%
  summarize(avg_squat_sim = mean(squat), 
            sd_squat_sim = sd(squat)) %>%
  mutate(avg_squat_paper = c(118.3, 196.1),
         sd_squat_paper = c(26.6, 37.9))

Now we have mean values much closer to those observed in the population of the study. Our standard deviations differ from the study because, if you recall, the standard error of the estimate was 20.3 for the regression model. The model in the study did not include gender as an independent variable. This to me is a little strange and in the discussion of the paper the authors’ also indicate that it was strange to them too. However, the approach the authors’ took to building this deemed gender unnecessary as a predictor variable. Consequently, our simulation has a similar standard deviation in estimate squat for both the male and female populations. However, we now have a data set that is relatively close to what was observed in the paper and can therefore proceed with conducting other statistical tests or building other models.

Wrapping Up

We’ve come a long way in our simulation journey, from randomly drawing single vectors of data to now building up entire data sets using regression models and simulating data from research studies. Next time we will use simulation to explore regression assumptions.

As always, all code is freely available in the Github repository.