Model-averaged estimates/intervals/distributions

NAMESPACE

@@ -860,6 +860,7 @@ S3method(visualisation_recipe,n_clusters_dbscan)
 S3method(visualisation_recipe,n_clusters_elbow)
 S3method(visualisation_recipe,n_clusters_gap)
 S3method(visualisation_recipe,n_clusters_silhouette)
+export(averaged_parameters)
 export(bootstrap_model)
 export(bootstrap_parameters)
 export(ci)

R/averaged_parameters.R

@@ -0,0 +1,55 @@
+#' @export
+averaged_parameters <- function(..., ci = .95, verbose = TRUE) {
+  insight::check_if_installed("performance")
+  models <- list(...)
+
+  # compute model weights
+  aic_values <- sapply(models, performance::performance_aic)
+  delta_aic <- aic_values - min(aic_values)
+  model_weights <- exp(-0.5 * delta_aic) / sum(exp(-0.5 * delta_aic))
+
+  # residual df's
+  residual_dfs <- sapply(models, degrees_of_freedom, method = "residual")
+
+  # data grid for average predictions
+  predictions <- lapply(models, function(m) {
+    d <- insight::get_datagrid(m)
+    new_data <- as.data.frame(lapply(d, function(i) {
+      if (is.factor(i)) {
+        as.factor(levels(i)[1])
+      } else if (is.numeric(i)) {
+        mean(i, na.rm = TRUE)
+      } else {
+        unique(i)[1]
+      }
+    }))
+    insight::get_predicted(m, data = new_data, ci = .95, predict = "link")
+  })
+
+  theta_hats <- unlist(predictions)
+  se_theta_hats <- sapply(predictions, function(p) {
+    attributes(p)$ci_data$SE
+  })
+
+  alpha <- (1 - ci) / 2
+
+  CI_low <- stats::uniroot(
+    f = .tailarea, interval = c(-1e+10, 1e+10), theta_hats = theta_hats,
+    se_theta_hats = se_theta_hats, model_weights = model_weights, alpha = alpha,
+    residual_dfs = residual_dfs, tol = 1e-10
+  )$root
+
+  CI_high <- stats::uniroot(
+    f = .tailarea, interval = c(-1e+10, 1e+10), theta_hats = theta_hats,
+    se_theta_hats = se_theta_hats, model_weights = model_weights, alpha = 1 - alpha,
+    residual_dfs = residual_dfs, tol = 1e-10
+  )$root
+
+  c(CI_low, CI_high)
+}
+
+
+.tailarea <- function(theta, theta_hats, se_theta_hats, model_weights, alpha, residual_dfs) {
+  t_quantiles <- (theta - theta_hats) / se_theta_hats
+  sum(model_weights * stats::pt(t_quantiles, df = residual_dfs)) - alpha
+}