Professor William Browne
School of Veterinary Science and Centre for Multilevel
Modelling
Statistical Software at the Centre for
Multilevel Modelling
(In part a tribute to the work of
Jon Rasbash)
2
Acknowledgements
• Colleagues at CMM past and present (Harvey,
Fiona, Min, Jon, Pan, Chris, George, Becky,
Sophie, Emma, Hilary, Amy & Lisa, Mike, Geoff,
Ian, Mary, Paul, Toni, Mousa, Camille, Richard,
Mark, Kelvyn and Liz)
• Collaborators on the e-STAT project (Dave, Luc,
Danius, Paul, Ian, Mark, Mac)
• Coders of STAT-JR (Jon, Chris, Danius, Camille,
Toni and Bruce)
• ESRC for funding so much of my work!
Summary
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The distant past
The past
MLwiN
The move (from London to Bristol)
The present
MLPowSim / REALCOM
The future
STAT-JR
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So where did it all begin?
Q: How does one start writing a statistics package?
A: Build it on top of an existing software package!
The NANOStat package developed in 1981 by Prof.
Mike Healy was a Minitab clone written in RATFOR
(Fortran) as something to do with his new
computer!
Mike worked at LSHTM but also at Rothamsted with
Fisher!
Recounted writing programs to invert matrices.
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NANOStat (1981)
• Data represented as a set of columns
• Commands took columns, numbers and boxes as
arguments
• Commands strung together so output from 1
command acts as input to another (became MLwiN
macro language)
• Software consisted of functions to create columns
and several hundred commands. Still sits under
MLwiN today!
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ML2, ML3 and MLN
• Jon worked for Mike at LSHTM and then
transferred to Harvey at Institute of Education.
• Harvey wrote his IGLS paper in 1986
• ML2 came out in 1988 (written in Fortran)
• ML3 followed in 1990 (converted to C code)
• MLN followed in 1995 (with new N level algorithms
written in C++)
• Algorithms very fast for hierarchical models – good
matrix routines for block diagonal structures.
• Bob Prosser completed the team.
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Moving towards MLwiN - Jon
• MLwiN was another step change, this time to a Windows
based program.
• ML2/3/N worked in a sequential way with each command
performing an action and then the next etc.… Graphics were
limited.
• MLwiN in contrast consists of a GUI front-end (written in
Visual Basic) and all the objects are dynamic i.e. changing
one window should change the contents of other windows.
• Jon worked with Bruce Cameron setting up this architecture
and Bruce is still involved in STAT-JR.
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Moving towards MLwiN – Bill in Bath
• I did my MSc. (Comp Stats) in 1995 and used SPlus and C and BUGS to fit models for my
dissertation.
• I then did my PhD. (Stats) between 1995 and 1998
supervised by David Draper. My PhD. included
much comparison work between methods of fitting
multilevel models (Bayesian & frequentist)
• I did this using both BUGS and MLwiN
• An artefact of the process was writing (limited)
MCMC functionality into MLwiN!
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MLwiN in 1998
What was good / What was new?
• Interactive Equations window
• Interactive Graphics
• Interactive Trajectories window
• Choice of estimation methods
• Adaptive Metropolis algorithms
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Interactive Equations Window
This is the 2011 version but the 1998 version had many of the same features.
Could toggle between estimates and symbols. Numbers changing from blue to
green on convergence. Clicking on the window would allow model construction
– see X variable window.
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Interactive Graphics
Graphics can instantly
update as column
content changes.
Highlighting of data
points passed between
graphs.
Highlighting can be
done at different levels
of the data structure
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Interactive Trajectories Window
Trajectories plot
particularly useful for
MCMC estimation
First software (to my
knowledge) to have
dynamic chains
although they
appeared in
WinBUGS soon after.
Used to joke about
taking a coffee break
while MCMC ran and
chains make you look
busy!
Click on graph to get
diagnostics
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Sixway diagnostic plot
Plot of chain plus
kernel density – code
from my MSc!
Kernel would show
informative priors as
well.
Time series plots and
originally MCSE and
summary in bottom 2
boxes.
Expanded to 7 boxes
later.
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MCMC functionality
• In 1998 we had implemented Normal, Binomial and Poisson
N level models by shoe horning my stand-alone C code into
MLwiN in a couple of manic visits to London.
• For Normal responses used Gibbs sampling, for others used
a mixture of Gibbs and random walk Metropolis including my
ad-hoc adapting scheme that persists today.
• BUGS used AR sampling instead of MH at the time.
• Code was very model specific and optimised so far faster
than BUGS as it still is today!
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Changes from 1989 to 1999
1989
• Normal response, hierarchical, IGLS algorithm
1999
• Normal, Poisson, Binomial and Multinomial
responses
• Hierarchical, cross-classified and multiple
membership (in IGLS see Rasbash and Goldstein)
• IGLS, bootstrapping and MCMC.
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Move to the CMM at the IOE in 1998
• CMM in 1998 : Harvey, Jon, Min and Pan
• Ian Plewis and Geoff Woodhouse also at IOE
• Chris Charlton did summer work in 1998 and 1999
on many of the new windows in the package.
• I joined in October 1998 (and lived in Jon’s house
for a few months!)
• Fiona Steele joined a couple of years later from
LSE when Geoff Woodhouse left
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Changes to MLwiN in my time at IOE (19982003)
• Better handling of missing data, categorical
variables.
• Lots more data manipulation windows.
• MCMC functionality for:
XC/MM/Spatial CAR models (Browne et al. 2001a)
Multilevel Factor Analysis (Goldstein & Browne 2002,2005)
Measurement Error (Browne et al 2001b)
Multivariate/Mixed responses/Complex variation (Browne 2006)
Happy times at a Centre away day and croquet
Harvey was taking the photo (includes Mike Healy)
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Documentation
Part of the success of MLwiN is due to the quality and
quantity of the accompanying documentation:
• Users Guide in 1998 (Goldstein et al. ~130 pages)
By 2003
• Users Guide (Rasbash et al. ~ 250 pages) & MCMC Guide
(Browne et al.) & Command guide
Today: User’s Guide (314 pages) Supplement (114 pages)
MCMC Guide (439 pages) Command guide (114 pages)
Huge effort by colleagues in centre on web-based
training materials.
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Moves are afoot!
• In 2003 I moved from London to Nottingham to
take a lecturing position.
• The grant that would have continued funding me
produced the start of the REALCOM software
• In 2005 as Harvey retired the centre began the
move to Bristol – first Jon then Fiona.
• The first LEMMA project began in 2005 and Chris
Charlton (re)joined centre. Chris gradually became
main coder of MLwiN as Jon took a more
managerial role directing centre.
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REALCOM
• Harvey extended our earlier MCMC work to create the suite
of REALCOM functions to cover:
• (further) Measurement error modelling
• Structural equations models (extending the factor analysis
work)
• (further) Mixed responses and imputation (REALCOM –
IMPUTE) – with input from James and Mike at LSHTM
• Harvey wrote REALCOM in MATLAB which was easier to
code in but slower.
• Jon and Chris put a front end on the software.
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Grants at Nottingham!
• In 2006 an ESRC grant to look at power
calculations in multilevel models (along with MCMC
algorithm improvements) began at Nottingham.
• This employed Mousa Golalizadeh.
• I also was a sponsor of a Wellcome grant on
Bayesian modelling of vet (mastitis) data with
Martin Green.
• In late 2006 I was interviewed for a chair at Bristol
vet school and got a chance to rejoin CMM when I
arrived in April 2007 at Bristol.
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MLPowSim
• The power grant resulted in MLPowSim – a
program to perform power calculations for
multilevel models
• Note that Cora Maas (with Joop Hox) did lots of
good work in this area.
• Program creates MLwiN macro files or R scripts to
run via simulation power calculations.
• Program developed with two postdocs Mousa and
Richard Parker and work continues with new PhD
student Toni Price.
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MLPowSim
• Software freely available from
http://seis.bris.ac.uk/~frwjb/esrc.html
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MLwiN (2003-)
We still develop MLwiN:
• The Users guide supplement shows Jon & Chris’s
work on improved model specification, model
comparison, customised predictions and autocorrelated error modelling.
• The last 5 chapters of the MCMC guide shows my
work on MCMC algorithm improvements (SMVN,
SMCMC, hierarchical centring, parameter
expansion and orthogonal parameterisations) see
also Browne et al. (2009)
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MLwiN – A picture of where we have come
Picture courtesy
of Becky
Pillinger.
Impact – “It’s papers not programs stupid!”
• MLwiN has over 2,000 citations (since 1998) which
represent only a small proportion of actual use in
published work. The spread of topics includes:
466 in public health, 150 in statistics/probability 135
in education, 101 in social science, biomed. 86 in
health care, 86 in psychiatry, 78 in medicine,
77 in vet science, 63 zoology, 58 ecology, 57 in sport
science, 55 behavioural science, several hundred
in various forms of psychology.
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Jon’s big vision
• Jon had been thinking hard on where the software went next.
• The frequentist IGLS algorithm was hard to extend further.
• WinBUGS showed that MCMC as an algorithm could be
extended easily but the difficulty in MLwiN was in extending
my MCMC code and possibly relying on the personnel!
• The big vision was an all-singing all-dancing system where
expert users could add functionality easily and which
interoperates with other software. Bruce was developing an
underpinning algebra system.
• The ESRC LEMMA II and E-STAT grants would enable this
to be achieved
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2010 – Annus Horribilis
• Sadly Jon’s vision didn’t have a happy ending for him
following his tragic death last year.
• 2010 was a pretty rotten year for CMM as a result although
we have now picked up most of the pieces.
• Fiona and I (with Harvey and other colleagues support) have
taken on Jon’s role to lead the centre and the announcement
of the successful bid for LEMMA III (led by Fiona) in 2011,
looking at more longitudinal modelling seems like a rebirth.
• One ‘phoenix from the flames’ is the STAT-JR package
currently developing which is our take on Jon’s vision.
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The E-STAT project and STAT-JR
STAT-JR developed jointly by LEMMA II and E-STAT
Consists of a set of components many of which we have an
alpha version for which contains:
Templates for model fitting, data manipulation, input and output
controlled via a web browser interface.
Currently model fitting for 90% of the models that MLwiN can fit
in MCMC plus some it can’t including greatly sped up
REALCOM templates
Some interoperability with MLwiN, WinBUGS, R, Stata and
SPSS (written by Camille)
Also runmlwin in Stata -> MLwiN written by George
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STAT-JR
Jon identified 3 groups of users:
• Novice practitioners who want to use statistical software that
is user friendly and maybe tailored to their discipline
• Advanced practitioners who are the experts in their fields and
also want to develop tools for the novice practitioners
• Algorithm Developers who want their algorithms used by
practitioners.
• See http://www.cmm.bristol.ac.uk/research/NCESSEStat/news.shtml for details of Advanced User’s guide for
STAT-JR
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STAT-JR component based approach
Below is an early diagram of how we envisioned the
system. Here you will see boxes representing components
some of which are built into the STAT-JR system. The
system is written in Python with currently a VB.net algebra
processing system. A team of coders (currently me, Chris,
Danius, Camille and Bruce) work together on the system.
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Templates
• Consist of a set of code sections for advanced
users to write.
For a model template it consists of at least:
• an invars method which specifies inputs and types
• An outbug method that creates (BUGS like) model
code for the algebra system
• An (optional) outlatex method can be used for
outputting LaTeX code for the model.
Other optional functions required for more complex
templates
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Regression 1 Example
from EStat.Templating import *
from mako.template import Template as
MakoTemplate
import re
class Regression1(Template):
'A model template for fitting 1 level Normal multiple
regression model in E-STAT only. To be used in
documentation.'
outbug = '''
model{
for (i in 1:length(${y})) {
${y}[i] ~ dnorm(mu[i], tau)
mu[i] <- ${mmult(x, 'beta', 'i')}
}
# Priors
% for i in range(0, x.ncols()):
beta${i} ~ dflat()
% endfor
tau ~ dgamma(0.001000, 0.001000)
sigma <- 1 / sqrt(tau)
tags = [ 'model' , '1-Level' ]
invars = '''
y = DataVector('response: ')
tau = ParamScalar()
sigma = ParamScalar()
x = DataMatrix('explanatory variables: ')
beta = ParamVector()
beta.ncols = len(x)
'''
}
'''
outlatex = r'''
\begin{aligned}
\mbox{${y}}_i & \sim \mbox{N}(\mu_i, \sigma^2) \\
\mu_i & =
${mmulttex(x, r'\beta', 'i')} \\
%for i in range(0, len(x)):
\beta_${i} & \propto 1 \\
%endfor
\tau & \sim \Gamma (0.001,0.001) \\
\sigma^2 & = 1 / \tau
\end{aligned}
'''
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An example of STAT-JR – setting up a model
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Equations for model and model code
Note Equations use MATHJAX and so underlying LaTeX can
be copied and paste. The model code is based around the
WinBUGS language with some variation. This is a more
complex template for 2 level models.
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Model code in detail
model {
for (i in 1:length(normexam)) {
normexam[i] ~ dnorm(mu[i], tau)
mu[i] <- cons[i] * beta0 + standlrt[i] * beta1 + u[school[i]] * cons[i]
}
for (j in 1:length(u)) {
u[j] ~ dnorm(0, tau_u)
}
# Priors
beta0 ~ dflat()
beta1 ~ dflat()
tau ~ dgamma(0.001000, 0.001000)
tau_u ~ dgamma(0.001000, 0.001000)
}
For this template the code is, aside from the length function,
standard WinBUGS model code.
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Bruce’s (Demo) algebra system step for parameter u
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Output of generated C++ code
The package can output C++ code that can then be taken
away by software developers and modified.
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Output from the E-STAT engine
Here the six-way plot functionality is in part taken over to
STAT-JR after the model has run. In fact graphs for all
parameters are calculated and stored as picture files so
can be easily viewed quickly.
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Interoperability with WinBUGS
Interoperability in the user interface is obtained via a few extra
inputs. In fact in the template code user written functions are
required for all packages apart from WinBUGS. The transfer of
data between packages is however generic.
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Output from WinBUGS with multiple chains
STAT-JR generates appropriate files and then fires up
WinBUGS. Multiple Chains are superimposed in the sixway plot
output.
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Interoperability with R
R interoperability for a 2-level model can use the glmer or the
mcmcglmm functions
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Output from R
Currently the R output is displayed but other files including the
scripts are stored in a directory and will be made available
when the e-Book work is done.
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Other templates - TemplateXYlabel
Can make use of Python’s fantastic graphics! Or potentially
other package graphics via interoperability.
46
The E-STAT project – still to come
We have lots of work to do:
• Parallel processing.
• E-books.
• Optimising code generation.
• Improving algebra system.
• Suites of templates for missing data and social
network models.
• Interoperability with SAS and hooking up more
templates for other packages.
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