src/library/stats/man/step.Rd

% File src/library/stats/man/step.Rd
% Part of the R package, https://www.R-project.org
% Copyright 1995-2014 R Core Team
% Distributed under GPL 2 or later

\name{step}
\alias{step}
\title{
Choose a model by AIC in a Stepwise Algorithm
}
\description{
  Select a formula-based model by AIC.
}
\usage{
step(object, scope, scale = 0,
     direction = c("both", "backward", "forward"),
     trace = 1, keep = NULL, steps = 1000, k = 2, \dots)
}
\arguments{
  \item{object}{
    an object representing a model of an appropriate class (mainly
    \code{"lm"} and \code{"glm"}).
    This is used as the initial model in the stepwise search.
  }
  \item{scope}{
    defines the range of models examined in the stepwise search.
    This should be either a single formula, or a list containing
    components \code{upper} and \code{lower}, both formulae.  See the
    details for how to specify the formulae and how they are used.
  }
  \item{scale}{
    used in the definition of the AIC statistic for selecting the models,
    currently only for \code{\link{lm}}, \code{\link{aov}} and
    \code{\link{glm}} models.  The default value, \code{0}, indicates
    the scale should be estimated: see \code{\link{extractAIC}}.
  }
  \item{direction}{
    the mode of stepwise search, can be one of \code{"both"},
    \code{"backward"}, or \code{"forward"}, with a default of \code{"both"}.
    If the \code{scope} argument is missing the default for
    \code{direction} is \code{"backward"}.  Values can be abbreviated.
  }
  \item{trace}{
    if positive, information is printed during the running of \code{step}.
    Larger values may give more detailed information.
  }
  \item{keep}{
    a filter function whose input is a fitted model object and the
    associated \code{AIC} statistic, and whose output is arbitrary.
    Typically \code{keep} will select a subset of the components of
    the object and return them. The default is not to keep anything.
  }
  \item{steps}{
    the maximum number of steps to be considered.  The default is 1000
    (essentially as many as required).  It is typically used to stop the
    process early.
  }
  \item{k}{
    the multiple of the number of degrees of freedom used for the penalty.
    Only \code{k = 2} gives the genuine AIC: \code{k = log(n)} is sometimes
    referred to as BIC or SBC.
  }
  \item{\dots}{
    any additional arguments to \code{\link{extractAIC}}.
  }
}
\value{
  the stepwise-selected model is returned, with up to two additional
  components.  There is an \code{"anova"} component corresponding to the
  steps taken in the search, as well as a \code{"keep"} component if the
  \code{keep=} argument was supplied in the call. The
  \code{"Resid. Dev"} column of the analysis of deviance table refers
  to a constant minus twice the maximized log likelihood: it will be a
  deviance only in cases where a saturated model is well-defined
  (thus excluding \code{lm}, \code{aov} and \code{survreg} fits,
  for example).
}
\details{
  \code{step} uses \code{\link{add1}} and \code{\link{drop1}}
  repeatedly; it will work for any method for which they work, and that
  is determined by having a valid method for \code{\link{extractAIC}}.
  When the additive constant can be chosen so that AIC is equal to
  Mallows' \eqn{C_p}{Cp}, this is done and the tables are labelled
  appropriately.

  The set of models searched is determined by the \code{scope} argument.
  The right-hand-side of its \code{lower} component is always included
  in the model, and right-hand-side of the model is included in the
  \code{upper} component.  If \code{scope} is a single formula, it
  specifies the \code{upper} component, and the \code{lower} model is
  empty.  If \code{scope} is missing, the initial model is used as the
  \code{upper} model.

  Models specified by \code{scope} can be templates to update
  \code{object} as used by \code{\link{update.formula}}.  So using
  \code{.} in a \code{scope} formula means \sQuote{what is
  already there}, with \code{.^2} indicating all interactions of
  existing terms.

  There is a potential problem in using \code{\link{glm}} fits with a
  variable \code{scale}, as in that case the deviance is not simply
  related to the maximized log-likelihood.  The \code{"glm"} method for
  function \code{\link{extractAIC}} makes the
  appropriate adjustment for a \code{gaussian} family, but may need to be
  amended for other cases.  (The \code{binomial} and \code{poisson}
  families have fixed \code{scale} by default and do not correspond
  to a particular maximum-likelihood problem for variable \code{scale}.)
}
\note{
  This function differs considerably from the function in S, which uses a
  number of approximations and does not in general compute the correct AIC.

  This is a minimal implementation.  Use \code{\link[MASS]{stepAIC}}
  in package \CRANpkg{MASS} for a wider range of object classes.
}
\section{Warning}{
  The model fitting must apply the models to the same dataset. This
  may be a problem if there are missing values and \R's default of
  \code{na.action = na.omit} is used.  We suggest you remove the
  missing values first.

  Calls to the function \code{\link{nobs}} are used to check that the
  number of observations involved in the fitting process remains unchanged.
}
\seealso{
  \code{\link[MASS]{stepAIC}} in \CRANpkg{MASS}, \code{\link{add1}},
  \code{\link{drop1}}
}
\references{
  Hastie, T. J. and Pregibon, D. (1992)
  \emph{Generalized linear models.}
  Chapter 6 of \emph{Statistical Models in S}
  eds J. M. Chambers and T. J. Hastie, Wadsworth & Brooks/Cole.

  Venables, W. N. and Ripley, B. D. (2002)
  \emph{Modern Applied Statistics with S.}
  New York: Springer (4th ed).
}
\author{
  B. D. Ripley: \code{step} is a slightly simplified version of
  \code{\link[MASS]{stepAIC}} in package \CRANpkg{MASS} (Venables &
  Ripley, 2002 and earlier editions).

  The idea of a \code{step} function follows that described in Hastie &
  Pregibon (1992); but the implementation in \R is more general.
}
\examples{\donttest{
## following on from example(lm)
\dontshow{utils::example("lm", echo = FALSE)}
step(lm.D9)

summary(lm1 <- lm(Fertility ~ ., data = swiss))
slm1 <- step(lm1)
summary(slm1)
slm1$anova
}}
\keyword{models}