Re: [TMB users] Digest for tmb-users@googlegroups.com - 1 update in 1 topic

[Cole Monnahan - NOAA Federal]

I don't see any immediate bugs in the code. I also ran the code with 100 different seeds and your coverage is about 85% for the slope. It appears slightly positively biased actually. I'm not super familiar with these models. Would you expect a 95% coverage? -Cole

On Thu, Jul 20, 2023 at 9:41 PM <tmb-...@googlegroups.com> wrote:

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• Possible bias when fitting linear regression with errors in variables using TMB - 1 Update

Possible bias when fitting linear regression with errors in variables using TMB

DM Gillis <astros...@gmail.com>: Jul 20 05:09AM -0700 I am trying to develop a simple errors in variables (measurement error) example using TMB, by including erros in X as a random variable. It is not specified as Random in making the objective function, since I do not want its effects to be integrated out. The slope returned is an improvement from the OLS solution, but the 95% CI falls short or the "true" value (simulated data) rather than being centered around it. I have posted details with a full code listing on Stack Overflow:   https://stackoverflow.com/questions/76705890/possible-bias-when-fitting-linear-regression-with-errors-in-variables-using-tmb   since my attempt to post it all here was rejected by the server. Any suggestions would be appreciated. Thank you for taking thetime to consider my problem.   Regards, Darren

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[DM Gillis]

That could be it... I just ran it with one seed and hoped that it would be well behaved (very naive). I will simulate more and be especially careful when applying it to real data (including examining repeated simulations with the fitted model parameters). Thanks for your exploration and all the best for the weekend!

Cheers, Darren

[DM Gillis]

To follow up - thanks Colin and everyone else. I replicated the simulation 1000 times and got a mean slope of 2.00, but also an actual 95%CI coverage of about 85%. So, I'll chat with my Stats friends and possibly bootstrap CIs for real data. I truely appreciate the support that you have all provided!

Cheers, Darren