View on GitHub

# Introduction

Hydrographs (time-series of water quantity) of natural systems in southern Ontario can be characterized as being:

1. auto-correlated
2. strong seasonal signature
3. long term trend

To determine the variability around these rather broad constraints we require a model of the background signal and compute the variability between the background and observation.

One could, in principle, decide to construct a numerical model of the system, and compare with observation, or to apply a statistical model which has the flexibility to provide a regression, conditioned on the above 3 points. Here, we chose the latter and have applied a Generalized Additive Model (GAM) regression scheme.

The advantage with GAM is that the model is data-driven, meaning that there is no “system conceptualization” required and no physical process needing to be codified, other than the (self-evident) constraints listed above.

One final assumption is the the variability/model error can be assumed to fit some form of exponential distribution. The GAM can then return a seasonal estimate, with standard confidence intervals, normalized to any observed long trend.

Some of the most attractive aspects to GAMs are that its parameters tend to be intuitive (e.g., “smoothing functions” are used to adjust the fit of the GAM). AMs essentially uses a user-specified number of smoothing splines placed at pre-specified points (known as “knots”) to model data. For instance, with a hydrograph time series that exhibits a seasonal pattern it may be useful to placed knots centred on calendar months. GAMs allow for these splines to be cyclical, meaning that the smoothing function remains continuous up to its second derivative.

Now there’s nothing to fear with GAM theory, as shown in the appendix, linear regression applied in the majority of data science are actually a special case of a GAM.

# Appendix

## Linear Models

$\mathbf{y} = \mathbf{X}\boldsymbol{\beta} + \boldsymbol\epsilon,\quad \boldsymbol\epsilon\sim N(\mathbf{0},\mathbf{I}\sigma^2)$

where $\mathbf{X}$ is the “model matrix” and $\boldsymbol\beta$ is a vector of unknown parameters.

### An aside:

#### Simple linear regression is a specific case:

$y=mx+b$

is the same as the model:

$\mu_i = \beta_0 + x_i\beta_1$

having $p=2$ parameters and $n$ $(x,y)$ pairs. Error is assumed to be a random process that is normally distributed:

$\epsilon_i=y_i-\mu_i \sim N(0,\sigma^2)$

#### Written in matrix form:

say I have:

$\begin{matrix} \mu_1=\beta_0+x_1\beta_1\\ \mu_2=\beta_0+x_2\beta_1\\ \mu_3=\beta_0+x_3\beta_1\\ \vdots\\ \mu_n=\beta_0+x_n\beta_1 \end{matrix}$

could be rewritten as:

$\begin{bmatrix} \mu_1\\ \mu_2\\ \mu_3\\ \vdots\\ \mu_n \end{bmatrix} = \begin{bmatrix} 1 & x_1\\ 1 & x_2\\ 1 & x_3\\ \vdots & \vdots\\ 1 & x_n \end{bmatrix} \begin{bmatrix} \beta_0\\\beta_1 \end{bmatrix}$

or

$\boldsymbol\mu = \mathbf{X}\boldsymbol\beta ,\quad \mathbf{y}\sim N(\boldsymbol\mu, \mathbf{I}\sigma^2)$

or

$\mathbf{y} = \mathbf{X}\boldsymbol{\beta} + \boldsymbol\epsilon,\quad \boldsymbol\epsilon\sim N(\mathbf{0},\mathbf{I}\sigma^2)$

## Linear Mixed Models

$\mathbf{y} = \mathbf{X}\boldsymbol{\beta} + \mathbf{Z}\mathbf{b} + \boldsymbol\epsilon ,\quad \mathbf{b}\sim N(\mathbf{0},\boldsymbol{\psi}_\theta) ,\quad \boldsymbol\epsilon\sim N(\mathbf{0},\mathbf{I}\sigma^2) % \boldsymbol\epsilon\sim N(\mathbf{0},\boldsymbol{\Lambda}_\theta)$

where $\boldsymbol{\psi}_\theta$ is the covariance matrix of unknown parameters $\theta$, $Z$ is the model of “random effects”.

## Generalized Linear Models (GLM)

$g(\mu_i)=\mathbf{X}_i\boldsymbol\beta$

where $g()$ is a “link function” which allows the response ditribution to be other than normal, which is a special case of GLM itself. $\mathbf{X}_i$ is the $i^\text{th}$ row of a model matrix $\mathbf{X}$.

and similarly,

## Generalized Linear Mixed Models (GLMM)

$g(\mu_i)= \mathbf{X}_i\boldsymbol\beta + \mathbf{Z}_i\mathbf{b} ,\quad \mathbf{b}\sim N(\mathbf{0},\boldsymbol\psi)$

A generalized additive model (Hastie and Tibshirani, 1986, 1990) is a generalized linear model with a linear predictor involving a sum of smooth functions of covariates (Wood, 2017, pg.161)

something in the form of:

$g(\mu_i)=\mathbf{A}_i\boldsymbol\theta+ f_1(x_{1i}) + f_2(x_{2i}) + f_3(x_{3i},x_{4i}) + \dots$

where $\mathbf{A}_i$ is the $i^\text{th}$ row of a model matrix $\mathbf{A}$, $\boldsymbol\theta$ is the parameter vector.

## Generalized Additive Mixed Models (GAMM)

$g(\mu_i)= f_1(x_{1i}) + f_2(x_{2i}) + \cdots + f_p(x_{pi}) + \mathbf{A}_i\boldsymbol\theta + \mathbf{Z}_i\mathbf{b} ,\quad \mathbf{b}\sim N(\mathbf{0},\boldsymbol\psi)$

## other

$f(t)=\sum_{m=1}^{12}\tilde{b}_m(t)\beta_m$

where $\tilde{b}_m(t)$ is the cyclic basis function for month $m$ at time $t$ multiplied by some parameter $\beta_m$.

$y_i=\alpha + \sum_{j=1}^{m}f_j(x_{ji}) + \epsilon_i$

$\hat{\alpha}=\bar{y}$

# References

Wood, S.N., 2017. Generalized Additive Models: An introduction with R, 2nd ed. CRC Press. 476pp.