Sometimes it is desirable to simulate correlated data from a
correlation matrix directly. For example, a simulation might require two
random effects (e.g. a random intercept and a random slope). Correlated
data like this could be generated using the defData
functionality, but it may be more natural to do this with
genCorData or addCorData. Currently, simstudy
can only generate multivariate normal using these functions.
genCorData requires the user to specify a mean vector
mu, a single standard deviation or a vector of standard
deviations sigma, and either a correlation matrix
corMatrix or a correlation coefficient rho and
a correlation structure corsrt. Here are a few
examples:
# specifying a specific correlation matrix C
C <- matrix(c(1, 0.7, 0.2, 0.7, 1, 0.8, 0.2, 0.8, 1), nrow = 3)
C## [,1] [,2] [,3]
## [1,] 1.0 0.7 0.2
## [2,] 0.7 1.0 0.8
## [3,] 0.2 0.8 1.0
set.seed(282726)
# generate 3 correlated variables with different location and scale for each
# field
dt <- genCorData(1000, mu = c(4, 12, 3), sigma = c(1, 2, 3), corMatrix = C)
dt## id V1 V2 V3
## 1: 1 4.125728 12.92567 3.328106
## 2: 2 4.712100 14.26502 8.876664
## 3: 3 4.990881 14.44321 5.322747
## 4: 4 4.784358 14.86861 8.129774
## 5: 5 4.930617 11.11235 -1.400923
## ---
## 996: 996 2.983723 13.61509 8.773969
## 997: 997 2.852707 10.43317 3.811047
## 998: 998 3.856643 13.17697 4.720628
## 999: 999 4.738479 12.64438 2.979415
## 1000: 1000 5.766867 13.51827 1.693172## V1 V2 V3
## V1 1.0 0.7 0.2
## V2 0.7 1.0 0.8
## V3 0.2 0.8 1.0## V1 V2 V3
## 0.9 1.9 3.0
# generate 3 correlated variables with different location but same standard
# deviation and compound symmetry (cs) correlation matrix with correlation
# coefficient = 0.4. Other correlation matrix structures are 'independent'
# ('ind') and 'auto-regressive' ('ar1').
dt <- genCorData(1000, mu = c(4, 12, 3), sigma = 3, rho = 0.4, corstr = "cs", cnames = c("x0",
"x1", "x2"))
dt## id x0 x1 x2
## 1: 1 7.1160161 14.294748 4.0251237
## 2: 2 3.5429823 8.299333 4.5620657
## 3: 3 2.5590428 10.660403 2.5805860
## 4: 4 5.9808506 12.457614 2.0287775
## 5: 5 3.7210289 15.003835 7.4425421
## ---
## 996: 996 0.3996175 8.104629 5.5241810
## 997: 997 1.4299019 11.311426 -0.6144622
## 998: 998 3.3079075 11.909745 -0.7375013
## 999: 999 3.7934154 10.515881 2.6021325
## 1000: 1000 5.6413141 13.513672 7.5321371## x0 x1 x2
## x0 1.0 0.5 0.4
## x1 0.5 1.0 0.4
## x2 0.4 0.4 1.0## x0 x1 x2
## 2.9 3.0 3.0The new data generated by genCorData can be merged with
an existing data set. Alternatively, addCorData will do
this directly:
# define and generate the original data set
def <- defData(varname = "x", dist = "normal", formula = 0, variance = 1, id = "cid")
dt <- genData(1000, def)
# add new correlate fields a0 and a1 to 'dt'
dt <- addCorData(dt, idname = "cid", mu = c(0, 0), sigma = c(2, 0.2), rho = -0.2,
corstr = "cs", cnames = c("a0", "a1"))
dt## cid x a0 a1
## 1: 1 -0.4707940 0.97711194 -0.09127123
## 2: 2 -1.8723668 2.70498417 -0.27102780
## 3: 3 1.3347964 -5.15138578 -0.12289563
## 4: 4 -0.1685203 1.04733271 -0.04400129
## 5: 5 -1.6308055 0.39516494 0.06640973
## ---
## 996: 996 -0.5244473 -0.61310062 0.27520456
## 997: 997 1.4965903 1.32673834 0.47458481
## 998: 998 0.1015744 -0.09821567 0.06440723
## 999: 999 -0.5788317 0.16870967 -0.03890117
## 1000: 1000 -1.6175613 3.61182553 -0.46220263## a0 a1
## a0 1.0 -0.2
## a1 -0.2 1.0## a0 a1
## 2.0 0.2Two additional functions facilitate the generation of correlated data
from binomial, poisson, gamma, and
uniform distributions: genCorGen and
addCorGen.
genCorGen is an extension of genCorData.
These functions draw on copula-based methods to generate the data. (This
Wikipedia
page provides a general introduction and copula-based modeling can
be conducted in R using package copula.) In the
first example, we are generating data from a multivariate Poisson
distribution. We start by specifying the mean of the Poisson
distribution for each new variable, and then we specify the correlation
structure, just as we did with the normal distribution.
l <- c(8, 10, 12) # lambda for each new variable
dx <- genCorGen(1000, nvars = 3, params1 = l, dist = "poisson", rho = .3, corstr = "cs", wide = TRUE)
dx## id V1 V2 V3
## 1: 1 5 16 13
## 2: 2 9 9 6
## 3: 3 7 11 18
## 4: 4 11 14 12
## 5: 5 10 8 15
## ---
## 996: 996 3 2 5
## 997: 997 6 14 11
## 998: 998 6 8 12
## 999: 999 10 12 11
## 1000: 1000 9 9 12## V1 V2 V3
## V1 1.0 0.30 0.30
## V2 0.3 1.00 0.24
## V3 0.3 0.24 1.00We can also generate correlated binary data by specifying the probabilities:
genCorGen(1000, nvars = 3, params1 = c(.3, .5, .7), dist = "binary", rho = .8, corstr = "cs", wide = TRUE)## id V1 V2 V3
## 1: 1 0 1 1
## 2: 2 0 1 1
## 3: 3 0 0 1
## 4: 4 1 1 1
## 5: 5 0 1 1
## ---
## 996: 996 0 0 1
## 997: 997 1 1 1
## 998: 998 0 0 0
## 999: 999 0 0 1
## 1000: 1000 0 0 0The gamma distribution requires two parameters - the mean and dispersion. (These are converted into shape and rate parameters more commonly used.)
dx <- genCorGen(1000, nvars = 3, params1 = l, params2 = c(1,1,1), dist = "gamma", rho = .7, corstr = "cs", wide = TRUE, cnames="a, b, c")
dx## id a b c
## 1: 1 4.137889e+00 1.9736693 5.73317661
## 2: 2 6.230611e-04 0.1790216 0.01098133
## 3: 3 9.554613e+00 21.3956071 30.07914569
## 4: 4 1.053229e+01 6.8598915 7.47104860
## 5: 5 2.556925e+01 22.8862611 17.32239223
## ---
## 996: 996 2.635737e+00 0.9269903 1.22333746
## 997: 997 1.638308e+00 12.0692638 13.01943662
## 998: 998 3.492819e+00 4.1504352 2.37403911
## 999: 999 9.336809e+00 21.2184483 25.17933311
## 1000: 1000 2.044966e+01 32.3326247 23.81715119## a b c
## a 1.00 0.63 0.67
## b 0.63 1.00 0.67
## c 0.67 0.67 1.00These data sets can be generated in either wide or long form. So far, we have generated wide form data, where there is one row per unique id. Now, we will generate data using the long form, where the correlated data are on different rows, so that there are repeated measurements for each id. An id will have multiple records (i.e. one id will appear on multiple rows):
dx <- genCorGen(1000, nvars = 3, params1 = l, params2 = c(1,1,1), dist = "gamma", rho = .7, corstr = "cs", wide = FALSE, cnames="NewCol")
dx## id period NewCol
## 1: 1 0 0.08868527
## 2: 1 1 0.17558015
## 3: 1 2 0.35553817
## 4: 2 0 2.41522425
## 5: 2 1 0.99489378
## ---
## 2996: 999 1 4.62541703
## 2997: 999 2 0.73199287
## 2998: 1000 0 3.52197152
## 2999: 1000 1 7.43262675
## 3000: 1000 2 8.36619208addCorGen allows us to create correlated data from an
existing data set, as one can already do using addCorData.
In the case of addCorGen, the parameter(s) used to define
the distribution are created as a field (or fields) in the dataset. The
correlated data are added to the existing data set. In the example
below, we are going to generate three sets (poisson, binary, and gamma)
of correlated data with means that are a function of the variable
xbase, which varies by id.
First we define the data and generate a data set:
def <- defData(varname = "xbase", formula = 5, variance = .2, dist = "gamma", id = "cid")
def <- defData(def, varname = "lambda", formula = ".5 + .1*xbase", dist="nonrandom", link = "log")
def <- defData(def, varname = "p", formula = "-2 + .3*xbase", dist="nonrandom", link = "logit")
def <- defData(def, varname = "gammaMu", formula = ".5 + .2*xbase", dist="nonrandom", link = "log")
def <- defData(def, varname = "gammaDis", formula = 1, dist="nonrandom")
dt <- genData(10000, def)
dt## cid xbase lambda p gammaMu gammaDis
## 1: 1 1.546326 1.924435 0.1771026 2.246257 1
## 2: 2 5.689908 2.912439 0.4272628 5.144775 1
## 3: 3 5.059867 2.734604 0.3817705 4.535672 1
## 4: 4 4.599528 2.611573 0.3497493 4.136730 1
## 5: 5 2.402442 2.096447 0.2176749 2.665758 1
## ---
## 9996: 9996 3.610769 2.365707 0.2856166 3.394491 1
## 9997: 9997 4.984305 2.714019 0.3764348 4.467643 1
## 9998: 9998 5.122724 2.751847 0.3862310 4.593052 1
## 9999: 9999 3.393940 2.314964 0.2725312 3.250432 1
## 10000: 10000 7.722561 3.568895 0.5785365 7.725390 1The Poisson distribution has a single parameter, lambda:
dtX1 <- addCorGen(dtOld = dt, idvar = "cid", nvars = 3, rho = .1, corstr = "cs",
dist = "poisson", param1 = "lambda", cnames = "a, b, c")
dtX1## cid xbase lambda p gammaMu gammaDis a b c
## 1: 1 1.546326 1.924435 0.1771026 2.246257 1 2 2 2
## 2: 2 5.689908 2.912439 0.4272628 5.144775 1 1 4 5
## 3: 3 5.059867 2.734604 0.3817705 4.535672 1 4 2 1
## 4: 4 4.599528 2.611573 0.3497493 4.136730 1 2 2 1
## 5: 5 2.402442 2.096447 0.2176749 2.665758 1 1 3 2
## ---
## 9996: 9996 3.610769 2.365707 0.2856166 3.394491 1 2 0 1
## 9997: 9997 4.984305 2.714019 0.3764348 4.467643 1 4 2 4
## 9998: 9998 5.122724 2.751847 0.3862310 4.593052 1 3 2 4
## 9999: 9999 3.393940 2.314964 0.2725312 3.250432 1 1 3 0
## 10000: 10000 7.722561 3.568895 0.5785365 7.725390 1 1 5 6The Bernoulli (binary) distribution has a single parameter, p:
dtX2 <- addCorGen(dtOld = dt, idvar = "cid", nvars = 4, rho = .4, corstr = "ar1",
dist = "binary", param1 = "p")
dtX2## cid xbase lambda p gammaMu gammaDis V1 V2 V3 V4
## 1: 1 1.546326 1.924435 0.1771026 2.246257 1 0 0 0 0
## 2: 2 5.689908 2.912439 0.4272628 5.144775 1 1 1 0 0
## 3: 3 5.059867 2.734604 0.3817705 4.535672 1 0 0 0 0
## 4: 4 4.599528 2.611573 0.3497493 4.136730 1 1 0 0 0
## 5: 5 2.402442 2.096447 0.2176749 2.665758 1 0 0 1 0
## ---
## 9996: 9996 3.610769 2.365707 0.2856166 3.394491 1 0 0 0 1
## 9997: 9997 4.984305 2.714019 0.3764348 4.467643 1 0 1 0 1
## 9998: 9998 5.122724 2.751847 0.3862310 4.593052 1 0 0 0 1
## 9999: 9999 3.393940 2.314964 0.2725312 3.250432 1 0 0 0 0
## 10000: 10000 7.722561 3.568895 0.5785365 7.725390 1 0 0 1 0The Gamma distribution has two parameters - in simstudy
the mean and dispersion are specified:
dtX3 <- addCorGen(dtOld = dt, idvar = "cid", nvars = 4, rho = .4, corstr = "cs",
dist = "gamma", param1 = "gammaMu", param2 = "gammaDis")
dtX3## cid xbase lambda p gammaMu gammaDis V1
## 1: 1 1.546326 1.924435 0.1771026 2.246257 1 2.58709530
## 2: 2 5.689908 2.912439 0.4272628 5.144775 1 0.07934567
## 3: 3 5.059867 2.734604 0.3817705 4.535672 1 2.04176932
## 4: 4 4.599528 2.611573 0.3497493 4.136730 1 8.25436952
## 5: 5 2.402442 2.096447 0.2176749 2.665758 1 6.28127618
## ---
## 9996: 9996 3.610769 2.365707 0.2856166 3.394491 1 6.64095852
## 9997: 9997 4.984305 2.714019 0.3764348 4.467643 1 0.97710914
## 9998: 9998 5.122724 2.751847 0.3862310 4.593052 1 6.51628773
## 9999: 9999 3.393940 2.314964 0.2725312 3.250432 1 0.75152645
## 10000: 10000 7.722561 3.568895 0.5785365 7.725390 1 1.39958999
## V2 V3 V4
## 1: 2.1207941 7.37182655 1.49892176
## 2: 15.2490909 0.01732443 0.04768341
## 3: 0.1542492 4.43078463 2.76400220
## 4: 2.3934427 1.88930272 2.23746274
## 5: 2.5867935 6.63968812 2.03710012
## ---
## 9996: 1.8097451 2.95765819 4.63708493
## 9997: 2.3576130 4.16571168 3.10540611
## 9998: 6.8157548 3.81045976 3.76213866
## 9999: 2.8992568 1.93141748 1.05365544
## 10000: 4.8134691 2.38985964 1.75207835If we have data in long form (e.g. longitudinal data), the function will recognize the structure:
def <- defData(varname = "xbase", formula = 5, variance = .4, dist = "gamma", id = "cid")
def <- defData(def, "nperiods", formula = 3, dist = "noZeroPoisson")
def2 <- defDataAdd(varname = "lambda", formula = ".5+.5*period + .1*xbase", dist="nonrandom", link = "log")
dt <- genData(1000, def)
dtLong <- addPeriods(dt, idvars = "cid", nPeriods = 3)
dtLong <- addColumns(def2, dtLong)
dtLong## cid period xbase nperiods timeID lambda
## 1: 1 0 11.345477 1 1 5.127138
## 2: 1 1 11.345477 1 2 8.453222
## 3: 1 2 11.345477 1 3 13.937007
## 4: 2 0 2.859828 5 4 2.194563
## 5: 2 1 2.859828 5 5 3.618222
## ---
## 2996: 999 1 5.790138 3 2996 4.850170
## 2997: 999 2 5.790138 3 2997 7.996579
## 2998: 1000 0 10.958208 3 2998 4.932376
## 2999: 1000 1 10.958208 3 2999 8.132113
## 3000: 1000 2 10.958208 3 3000 13.407588
### Generate the data
dtX3 <- addCorGen(dtOld = dtLong, idvar = "cid", nvars = 3, rho = .6, corstr = "cs",
dist = "poisson", param1 = "lambda", cnames = "NewPois")
dtX3## cid period xbase nperiods timeID lambda NewPois
## 1: 1 0 11.345477 1 1 5.127138 5
## 2: 1 1 11.345477 1 2 8.453222 6
## 3: 1 2 11.345477 1 3 13.937007 18
## 4: 2 0 2.859828 5 4 2.194563 3
## 5: 2 1 2.859828 5 5 3.618222 5
## ---
## 2996: 999 1 5.790138 3 2996 4.850170 4
## 2997: 999 2 5.790138 3 2997 7.996579 6
## 2998: 1000 0 10.958208 3 2998 4.932376 2
## 2999: 1000 1 10.958208 3 2999 8.132113 4
## 3000: 1000 2 10.958208 3 3000 13.407588 6We can fit a generalized estimating equation (GEE) model and examine the coefficients and the working correlation matrix. They match closely to the data generating parameters:
geefit <- gee(NewPois ~ period + xbase, data = dtX3, id = cid, family = poisson, corstr = "exchangeable")## Beginning Cgee S-function, @(#) geeformula.q 4.13 98/01/27## running glm to get initial regression estimate## (Intercept) period xbase
## 0.4806614 0.4948942 0.1063911## [,1] [,2] [,3]
## [1,] 1.00 0.61 0.61
## [2,] 0.61 1.00 0.61
## [3,] 0.61 0.61 1.00