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Hierarchical generalized additive models in ecology: an introduction with mgcv

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 Hierarchical generalized additive models
in ecology: an introduction with mgcv
Eric J. Pedersen1,2, David L. Miller3,4, Gavin L. Simpson5,6 and
Noam Ross7
1
Northwest Atlantic Fisheries Center, Fisheries and Oceans Canada, St. John’s, NL, Canada
2
Department of Biology, Memorial University of Newfoundland, St. John’s, NL, Canada
3
Centre for Research into Ecological and Environmental Modelling, University of St Andrews,
St Andrews, UK
4
School of Mathematics and Statistics, University of St Andrews, St Andrews, Scotland, UK
5
Institute of Environmental Change and Society, University of Regina, Regina, SK, Canada
6
Department of Biology, University of Regina, Regina, SK, Canada
7
EcoHealth Alliance, New York, NY, USA

ABSTRACT
In this paper, we discuss an extension to two popular approaches to modeling
complex structures in ecological data: the generalized additive model (GAM) and the
hierarchical model (HGLM). The hierarchical GAM (HGAM), allows modeling
of nonlinear functional relationships between covariates and outcomes where the
shape of the function itself varies between different grouping levels. We describe the
theoretical connection between HGAMs, HGLMs, and GAMs, explain how to model
different assumptions about the degree of intergroup variability in functional
response, and show how HGAMs can be readily fitted using existing GAM software,
the mgcv package in R. We also discuss computational and statistical issues with
fitting these models, and demonstrate how to fit HGAMs on example data. All code
and data used to generate this paper are available at: github.com/eric-pedersen/
mixed-effect-gams.

Subjects Ecology, Statistics, Data Science, Spatial and Geographic Information Science
Submitted 29 October 2018 Keywords Generalized additive models, Hierarchical models, Time series, Functional regression,
Accepted 31 March 2019 Smoothing, Regression, Community ecology, Tutorial, Nonlinear estimation
Published 27 May 2019
Corresponding author INTRODUCTION
Eric J. Pedersen,
[email protected] Two of the most popular and powerful modeling techniques currently in use by ecologists
Academic editor
are generalized additive models (GAMs; Wood, 2017a) for modeling flexible regression
Andrew Gray functions, and generalized linear mixed models (“hierarchical generalized linear models”
Additional Information and (HGLMs) or simply “hierarchical models”; Bolker et al., 2009; Gelman et al., 2013)
Declarations can be found on for modeling between-group variability in regression relationships.
page 39
At first glance, GAMs and HGLMs are very different tools used to solve different
DOI 10.7717/peerj.6876
problems. GAMs are used to estimate smooth functional relationships between predictor
Copyright variables and the response. HGLMs, on the other hand, are used to estimate linear
2019 Pedersen et al.
relationships between predictor variables and response (although nonlinear relationships
Distributed under
Creative Commons CC-BY 4.0 can also be modeled through quadratic terms or other transformations of the predictor
variables), but impose a structure where predictors are organized into groups (often

How to cite this article Pedersen EJ, Miller DL, Simpson GL, Ross N. 2019. Hierarchical generalized additive models in ecology: an
introduction with mgcv. PeerJ 7:e6876 DOI 10.7717/peerj.6876
 Abundance

Temperature

Figure 1 Hypothetical example of functional variability between different group levels. Each dashed
line indicates how the abundance for different species of fish in a community might vary as a function of
average water temperature. The orange species shows lower abundance at all temperatures, and the red
and blue species differ at which temperature they can achieve the maximum possible size. However, all
three curves are similarly smooth and peak close to one another relative to the entire range of tested
temperatures. The solid black line represents an “average abundance curve,” representing the mean
abundance across species in the sample. Full-size  DOI: 10.7717/peerj.6876/fig-1

referred to as “blocks”) and the relationships between predictor and response may vary
across groups. Either the slope or intercept, or both, may be subject to grouping. A typical
example of HGLM use might be to include site-specific effects in a model of population
counts, or to model individual level heterogeneity in a study with repeated observations
of multiple individuals.
However, the connection between HGLMs and GAMs is quite deep, both conceptually
and mathematically (Verbyla et al., 1999). HGLMs and GAMs fit highly variable models
by “pooling” parameter estimates toward one another, by penalizing squared deviations
from some simpler model. In an HGLM, this occurs as group-level effects are pulled
toward global effects (penalizing the squared differences between each group-level
parameter estimate and the global effect). In a GAM, this occurs via the enforcement of a
smoothness criterion on the variability of a functional relationship, pulling parameters
toward some function that is assumed to be totally smooth (such as a straight line) by
penalizing squared deviations from that totally smooth function.
Given this connection, a natural extension to the standard GAM framework is to allow
smooth functional relationships between predictor and response to vary between groups,
but in such a way that the different functions are in some sense pooled toward a
common shape. We often want to know both how functional relationships vary between
groups, and if a relationship holds across groups. We will refer to this type of model as a
hierarchical GAM (HGAM).
There are many potential uses for HGAMs. For example, we can use them to estimate
how the maximum size of different fish species varies along a common temperature
gradient (Fig. 1). Each species will typically have its own response function, but since the
species overlap in range, they should have similar responses over at least some of the
temperature gradient; Fig. 1 shows all three species reach their largest maximum sizes in
the center of the temperature gradient. Estimating a separate function for each species
throws away a lot of shared information and could result in highly noisy function estimates

Pedersen et al. (2019), PeerJ, DOI 10.7717/peerj.6876 2/42

 if there were only a few data points for each species. Estimating a single average
relationship could result in a function that did not predict any specific group well. In our
example, using a single global temperature-size relationship (Fig. 1, solid line) would
miss that the three species have distinct temperature optima, and that the orange species is
significantly smaller at all temperatures than the other two (Fig. 1). We prefer a
hierarchical model that includes a global temperature-size curve plus species-specific
curves that were penalized to be close to the mean function.
This paper discusses several approaches to group-level smoothing, and corresponding
trade-offs. We focus on fitting HGAMs with the popular mgcv package (Wood, 2011)
for the R statistical programming language (R Development Core Team, 2018), which
allows for a variety of HGAM model structures and fitting strategies. We discuss options
available to the modeller and practical and theoretical reasons for choosing them.
We demonstrate the different approaches across a range of case studies.
This paper is divided into five sections. Part II is a brief review of how GAMs work and
their relation to hierarchical models. In part III, we discuss different HGAM formulations,
what assumptions each model makes about how information is shared between groups,
and the different ways of specifying these models in mgcv. In part IV, we work through
example analyses using this approach, to demonstrate the modeling process and how
HGAMs can be incorporated into the ecologist’s quantitative toolbox. Finally, in part V,
we discuss some of the computational and statistical issues involved in fitting HGAMs
in mgcv. We have also included all the code needed to reproduce the results in this
manuscript in Supplemental Code (online), and on the GitHub repository associated with
this paper: github.com/eric-pedersen/mixed-effect-gams.

A REVIEW OF GENERALIZED ADDITIVE MODELS

The generalized linear model (GLM; McCullagh & Nelder, 1989) relates the mean of a
response (y) to a linear combination of explanatory variables. The response is assumed
to be conditionally distributed according to some exponential family distribution
(e.g., binomial, Poisson or Gamma distributions for trial, count or strictly positive real
responses, respectively). The GAM (Hastie & Tibshirani, 1990; Ruppert, Wand & Carroll,
2003; Wood, 2017a) allows the relationships between the explanatory variables (henceforth
covariates) and the response to be described by smooth curves (usually splines
(De Boor, 1978), but potentially other structures). In general, we have models of the form:
!
XJ
EðY Þ ¼ g 1 b0 þ fj ðxj Þ ;
j¼1

where EðYÞ is the expected value of the response Y (with an appropriate distribution
and link function g), fj is a smooth function of the covariate xj, β0 is an intercept term,
and g-1 is the inverse link function. Hereafter, we will refer to these smooth functions
as smoothers. In the example equation above, there are j smoothers and each is a
function of only one covariate, though it is possible to construct smoothers of
multiple variables.

Pedersen et al. (2019), PeerJ, DOI 10.7717/peerj.6876 3/42

 A B C

10 10 10

y
0 0 0

0.00 0.25 0.50 0.75 1.00 0.00 0.25 0.50 0.75 1.00 0.00 0.25 0.50 0.75 1.00
x x x

Figure 2 Effect of different choices of smoothing parameter (λ) on the shape of the resulting
smoother (red lines). (A) l estimated using REML; (B) l set to zero (no smoothing); (C) l is set to a
very large value. The blue line in each panel is the known model used to simulate the data.
Full-size  DOI: 10.7717/peerj.6876/fig-2

Each smoother fj is represented by a sum of K simpler, fixed basis functions (bj,k)

multiplied by corresponding coefficients (βj,k), which need to be estimated:

X
K
fj ðxj Þ ¼ bj;k bj;k ðxj Þ:
k¼1

K, referred to as “basis size,” “basis complexity,” or “basis richness,” determines the

maximum complexity of each smoother.
It would seem that large basis size could lead to overfitting, but this is counteracted by a
smoothing penalty that influences basis function coefficients so as to prevent excess
wiggliness and ensure appropriate complexity of each smoother. For each smoother, one
(or more) penalty matrices (S), specific to the form of the basis functions, is pre- and
post-multiplied by the parameter vector β to calculate the penalty (βTSβ). A penalty term is
then subtracted from the model log-likelihood L, controlling the trade-off via a smoothing
parameter (l). The penalized log-likelihood used to fit the model is thus:

L  bT Sb
Figure 2 shows an example of how different choices of the smoothing parameter (l)
affect the shape of the resulting smoother. Data (points) were generated from the blue
function and noise added to them. In Fig. 2A, l was selected using restricted maximum
likelihood (REML) to give a good fit to the data. In Fig. 2B, l was set to zero so the penalty
has no effect and the function interpolates the data. Figure 2C shows when l is set to a
very large value, so the penalty removes all terms that have any wiggliness, giving a
straight line.
To measure the complexity of a penalized smooth terms we use the effective degrees of
freedom (EDF), which at a maximum is the number of coefficients to be estimated in
the model, minus any constraints. The EDF can take noninteger values and larger values
indicate more wiggly terms (see Wood (2017a, Section 6.1.2) for further details).
The number of basis functions, K, sets a maximum for the EDF, as a smoother cannot have
more than K EDF. When the EDF is well below K, increasing K generally has very little
effect on the shape of the function. In general, K should be set large enough to allow

Pedersen et al. (2019), PeerJ, DOI 10.7717/peerj.6876 4/42

 for potential variation in the smoother while still staying low enough to keep computation
time low (see section “Computational and Statistical Issues When Fitting HGAMs” for
more on this). In mgcv, the function mgcv::gam.check can be used to determine if K
has been set too low.
Random effects are also “smooths” in this framework. In this case, the penalty matrix is
the inverse of the correlation matrix of the basis function coefficients (Kimeldorf & Wahba,
1970; Wood, 2017a). For a simple single-level random effect to account for variation
in group means (intercepts) there will be one basis function for each level of the grouping
variable. The basis function takes a value of 1 for any observation in that group and 0
for any observation not in the group. The penalty matrix for these terms is a g by g identity
matrix, where g is the number of groups. This means that each group-level coefficient will
be penalized in proportion to its squared deviation from zero. This is equivalent to
how random effects are estimated in standard mixed effect models. The penalty term is
proportional to the inverse of the variance of the fixed effect estimated by standard
hierarchical model software (Verbyla et al., 1999).
This connection between random effects and splines extends beyond the varying-
intercept case. Any single-penalty basis-function representation of a smooth can be
transformed so that it can be represented as a combination of a random effect with an
associated variance, and possibly one or more fixed effects. See Verbyla et al. (1999)
or Wood, Scheipl & Faraway (2013) for a more detailed discussion on the connections
between these approaches.

Basis types and penalty matrices

The range of smoothers are useful for contrasting needs and have different associated
penalty matrices for their basis function coefficients. In the examples in this paper, we will
use three types of smoothers: thin plate regression splines (TPRS), cyclic cubic regression
splines (CRS), and random effects.
Thin plate regression splines (Wood, 2003) are a general purpose spline basis which can
be used for problems in any number of dimensions, provided one can assume that the
amount of smoothing in any of the covariates is the same (so called isotropy or rotational
invariance). TPRS, like many splines, use a penalty matrix made up of terms based on
the integral of the squared derivatives of basis functions across their range (see Wood
(2017a) page 216 for details on this penalty). Models that overfit the data will tend to have
large derivatives, so this penalization reduces wiggliness. We will refer to the order of
penalized derivatives by m. Typically, TPRS are second-order (m = 2), meaning that the
penalty is proportionate to the integral of the squared second derivative. However,
TPRS may be of lower order (m = 1, penalizing squared first derivatives), or higher order
(m > 2, penalizing squared higher order derivatives). We will see in section “What are
Hierarchical GAMs?” how lower-order TPRS smoothers are useful in fitting HGAMs.
Example basis functions and penalty matrix S for a m = 2 TPRS with six basis functions
for evenly spaced data are shown in Fig. 3.
Cyclic cubic regression splines are another smoother that penalizes the squared second
derivative of the smooth across the function. In cyclic CRS the start and end of the

Pedersen et al. (2019), PeerJ, DOI 10.7717/peerj.6876 5/42

 A F1 F2 F3 B
F1
1

0 F2
penalty
−1 1
F3
−2

value
0.5
F4 F5 F6
F4

1 0
F5
0

−1 F6

−2 F1 F2 F3 F4 F5 F6
0 0.5 1 0 0.5 1 0 0.5 1
x

C
0.5
F4 × 0.33
F6 × 0.12
0.0
F5 × − 0.1
value

F2 × − 0.4
−0.5 F3 × 0.26
F1 × 0.39

−1.0

−1.5
0.0 0.3 0.6 0.9
x

Figure 3 (A) Examples of the basis functions associated with a six basis function thin plate regression
spline (TPRS, m = 2), calculated for data, x, spread evenly between x = 0 and x = 1. Each line represents
a single basis function. (B) The smoothing penalty matrix for the thin plate smoother. Red entries
indicate positive values and blue indicate negative values. For example, functions F3 and F4 would have
the greatest proportionate effect on the total penalty (as they have the largest values on the diagonal),
whereas function F5 and F6 would not contribute to the wiggliness penalty at all (all the values in the fifth
and sixth row and column of the penalty matrix are zero). This means these functions are in the null
space of the penalty matrix, and are treated as completely smooth. (C) An example of how the basis
functions add up to create a single smooth function. Thin colored lines represent each basis function
multiplied by a coefficient, and the solid black line is the sum of those basis functions.
Full-size  DOI: 10.7717/peerj.6876/fig-3

smoother are constrained to match in value and first derivative. These are useful for fitting
models with cyclic components such as seasonal effects. We will use these smoothers to
demonstrate how to fit HGAMs to cyclic data.

Smoothing penalties vs. shrinkage penalties

Penalties can have two effects on how well a model fits: they can penalize how wiggly
a given term is (smoothing) and they can penalize the absolute size of the function
(shrinkage). The penalty can only affect the components of the smoother that have
derivatives (the range space), not the other parts (the null space). For one-dimensional

Pedersen et al. (2019), PeerJ, DOI 10.7717/peerj.6876 6/42

 TPRS (when m = 2), this means that there is a linear term (F5) left in the model, even
when the penalty is in full force (as l / ∞), as shown in Fig. 3. (This is also why
Fig. 2C shows a linear, rather than flat, fit to the data). The random effects smoother we
discussed earlier is an example of a pure shrinkage penalty; it penalizes all deviations away
from zero, no matter the pattern of those deviations. This will be useful later in “What are
Hierarchical GAMs?,” where we use random effect smoothers as one of the components
of a HGAM.

Interactions between smooth terms

It is also possible to create interactions between covariates with different smoothers
(or degrees of smoothness) assumed for each covariate, using tensor products. For instance,
if one wanted to estimate the interacting effects of temperature and time (in seconds)
on some outcome, it would not make sense to use a two-dimensional TPRS smoother, as
that would assume that a one degree change in temperature would equate to a 1 s change
in time. Instead, a tensor product allows us to create a new set of basis functions that
allow for each marginal function (here temperature and time) to have its own marginal
smoothness penalty. A different basis can be used in each marginal smooth, as required for
the data at hand.
There are two approaches used in mgcv for generating tensor products. The first
approach (Wood, 2006a) essentially creates an interaction of each pair of basis functions
for each marginal term, and a penalty for each marginal term that penalizes the
average wiggliness in that term; in mgcv, these are created using the te() function.
The second approach (Wood, Scheipl & Faraway, 2013) separates each penalty into
penalized (range space) and unpenalized components (null space; components that don’t
have derivatives, such as intercept and linear terms in a one-dimensional cubic spline).
This approach creates new basis functions and penalties for all pair-wise combinations of
penalized and unpenalized components between all pairs of marginal bases; in mgcv,
these are created using the t2() function. The advantage of the first method is that it
requires fewer smoothing parameters, so is faster to estimate in most cases. The advantage
of the second method is that the tensor products created this way only have a single penalty
associated with each marginal basis (unlike the te() approach, where each penalty
applies to all basis functions), so it can be fitted using standard mixed effect software such
as lme4 (Bates et al., 2015).

Comparison to hierarchical linear models

Hierarchical generalized linear models (Gelman, 2006; HGLMs; also referred to as
generalized linear mixed effect models, multilevel models, etc.; e.g., Bolker et al., 2009) are
an extension of regression modeling that allows the inclusion of terms in the model
that account for structure in the data—the structure is usually of the form of a nesting of
the observations. For example, in an empirical study, individuals may be nested within
sample sites, sites are nested within forests, and forests within provinces. The depth of the
nesting is limited by the fitting procedure and number of parameters to estimate.

Pedersen et al. (2019), PeerJ, DOI 10.7717/peerj.6876 7/42

 Hierarchical generalized linear models are a highly flexible way to think about grouping
in ecological data; the groupings used in models often refer to the spatial or temporal scale
of the data (McMahon & Diez, 2007) though can be based on any useful grouping.
We would like to be able to think about the groupings in our data in a similar way, even
when the covariates in our model are related to the response in a smooth way. The next
section investigates the extension of the smoothers we showed above to the case where
observations are grouped and we model group-level smoothers.

WHAT ARE HIERARCHICAL GAMS?

What do we mean by hierarchical smoothers?
In this section, we will describe how to model intergroup variability using smooth curves
and how to fit these models using mgcv. All models were fitted using mgcv version 1.8–26
(Wood, 2011). Model structure is key in this framework, so we start with three model
choices:

1. Should each group have its own smoother, or will a common smoother suffice?
2. Do all of the group-specific smoothers have the same wiggliness, or should each group
have its own smoothing parameter?
3. Will the smoothers for each group have a similar shape to one another—a shared global
smoother?

These three choices result in five possible models (Fig. 4):

1. A single common smoother for all observations; We will refer to this as model G, as it
only has a Global smoother.
2. A global smoother plus group-level smoothers that have the same wiggliness. We will
refer to this as model GS (for Global smoother with individual effects that have a Shared
penalty).
3. A global smoother plus group-level smoothers with differing wiggliness. We will refer to
this as model GI (for Global smoother with individual effects that have Individual
penalties).
4. Group-specific smoothers without a global smoother, but with all smoothers having the
same wiggliness. We will refer to this as model S.
5. Group-specific smoothers with different wiggliness. We will refer to this as model I.

It is important to note that “similar wiggliness” and “similar shape” are two distinct
concepts; functions can have very similar wiggliness but very different shapes. Wiggliness
measures how quickly a function changes across its range, and it is easy to construct
two functions that differ in shape but have the same wiggliness. For this paper, we consider
two functions to have similar shape if the average squared distance between the functions
is small (assuming the functions have been scaled to have a mean value of zero across
their ranges). This definition is somewhat restricted; for instance, a cyclic function would
not be considered to have the same shape as a phase-shifted version of the same function,

Pedersen et al. (2019), PeerJ, DOI 10.7717/peerj.6876 8/42

 Shared (Global) trend No shared trend

2 model G

No group−level trends
1

−1

2 model GS model S

similar smoothness
Group−level trends
(Shared penalty)
1
f(x)

−1

2 model GI model I

different smoothness
(Individual penalties)

Group−level trends
1

−1

0 0.5 1 0 0.5 1
x
Figure 4 Alternate types of functional variation f(x) that can be fitted with HGAMs. The dashed line
indicates the average function value for all groups, and each solid line indicates the functional value at a
given predictor value for an individual group level. The null model (of no functional relationship between
the covariate and outcome, top right), is not explicitly assigned a model name.
Full-size  DOI: 10.7717/peerj.6876/fig-4

nor would two normal distributions with the same mean but different standard
deviations. The benefit of this definition of shape, however, is that it is straightforward to
translate into penalties akin to those described in the section “A Review of Generalized
Additive Models.” Figure 4, model S illustrates the case where models have different
shapes. Similarly, two curves could have very similar overall shape, but differ in their
wiggliness. For instance, one function could be equal to another plus a high-frequency
oscillation term. Figure 4, model GI illustrates this.
We will discuss the trade-offs between different models and guidelines about when each
of these models is appropriate in the section “Computational and statistical issues when
fitting HGAMs”. The remainder of this section will focus on how to specify each of these five
models using mgcv.

Pedersen et al. (2019), PeerJ, DOI 10.7717/peerj.6876 9/42

 Coding hierarchical GAMs in R
Each of the models in Fig. 4 can be coded straightforwardly in mgcv. We will use two
example datasets to demonstrate how to code these models (see the Supplemental Code to
reproduce these examples):

A. The CO2 dataset, available in R via the datasets package. This data is from an
experimental study by Potvin, Lechowicz & Tardif (1990) of CO2 uptake in grasses
under varying concentrations of CO2, measuring how concentration-uptake functions
varied between plants from two locations (Mississippi and Quebec) and two
temperature treatments (chilled and warm). A total of 12 plants were used and CO2
uptake measured at seven CO2 concentrations for each plant (Fig. 5A). Here, we
will focus on how to use HGAMs to estimate interplant variation in functional
responses. This data set has been modified from the default version available with R, to
1
Note that mgcv requires that grouping or recode the Plant variable as an unordered factor Plant_uo1.
categorical variables be coded as factors
in R; it will raise an error message if B. Data generated from a hypothetical study of bird movement along a migration corridor,
passed data coded as characters. It is also sampled throughout the year (see Supplemental Code). This dataset consists of
important to know whether the factor is
coded as ordered or unordered (see simulated sample records of numbers of observed locations of 100 tagged individuals
?factor for more details on this). This each from six species of bird, at 10 locations along a latitudinal gradient, with one
matters when fitting group-level
smoothers using the by= argument (as is observation taken every 4 weeks. Counts were simulated randomly for each species in
used for fitting models GI and I, shown each location and week by creating a species-specific migration curve that gave the
below). If the factor is unordered, mgcv
will set up a model with one smoother for probability of finding an individual of a given species in a given location, then simulated
each grouping level. If the factor is the distribution of individuals across sites using a multinomial distribution, and
ordered, mgcv will set any basis func-
tions for the first grouping level to zero. subsampling that using a binomial distribution to simulate observation error (i.e., not
In model GI the ungrouped smoother every bird present at a location would be detected). The data set (bird_move)
will then correspond to the first grouping
level, rather than the average functional consists of the variables count, latitude, week, and species (Fig. 5B). This example
response, and the group-specific allows us to demonstrate how to fit these models with interactions and with non-normal
smoothers will correspond to deviations
from the first group. In model I, using an (count) data. The true model used to generate this data was model GS: a single global
ordered factor will result in the first function plus species-specific deviations around that global function.
group not having a smoother associated
with it at all.
Throughout the examples we use REML to estimate model coefficients and smoothing
parameters. We strongly recommend using either REML or marginal likelihood (ML)
rather than the default generalized cross-validation criteria when fitting GAMs, for the
reasons outlined in Wood (2011). In each case some data processing and manipulation has
been done to obtain the graphics and results below. See Supplemental Code for details
on data processing steps. To illustrate plots, we will be using the draw() function from the
gratia package. This package was developed by one of the authors (Simpson, 2018) as a
set of tools to extend plotting and analysis of mgcv models. While mgcv has plotting
capabilities (through plot() methods), gratia expands these by creating ggplot2 objects
(Wickham, 2016) that can be more easily extended and modified.

A single common (global) smoother for all observations (Model G)

We start with the simplest model from the framework and include many details here to
ensure that readers are comfortable with the terminology and R functions.

Pedersen et al. (2019), PeerJ, DOI 10.7717/peerj.6876 10/42

 A B sp1 sp2 sp3
60

40 40

CO2 uptake (μmol m−2)

20

Latitude
30

sp4 sp5 sp6

60
20
40

20
10

250 500 750 1000 0 10 20 30 40 50 0 10 20 30 40 50 0 10 20 30 40 50

CO2 concentration (mL L−1) Week

Count 5 10 15 20

Figure 5 Example data sets used throughout section “What are Hierarchical GAMs?” (A) Grass CO2
uptake vs. CO2 concentration for 12 individual plants. Color and line type included to distinguish
individual plant trends. (B) Simulated data set of bird migration, with point size corresponding to weekly
counts of six species along a latitudinal gradient (zeros excluded for clarity).
Full-size  DOI: 10.7717/peerj.6876/fig-5

For our CO2 data set, we will model loge(uptake) as a function of two smoothers: a
TPRS of loge-concentration, and a random effect for Plant_uo to model plant-specific
intercepts. Mathematically:

loge ðuptakei Þ ¼ f ðloge ðconci ÞÞ þ fPlant uo þ ei

where fPlant uo is the random effect for plant and εi is a Gaussian error term. Here, we
assume that loge(uptakei) is normally distributed.
In R we can write our model as:
CO2_modG <- gam(log(uptake) ∼ s(log(conc), k=5, bs="tp") +
s(Plant_uo, k=12, bs="re"),
data=CO2, method="REML", family="gaussian")
This is a common GAM structure, with a single smooth term for each variable.
Specifying the model is similar to specifying a GLM in R via glm(), with the addition of
s() terms to include one-dimensional or isotropic multidimensional smoothers. The first
argument to s() are the terms to be smoothed, the type of smoother to be used for
the term is specified by the bs argument, and the maximum number of basis functions
is specified by k. There are different defaults in mgcv for K, depending on the type of
smoother chosen; here we use a TPRS smoother (bs="tp") for the concentration
smoother, and set k=5 as there are only seven separate values of concentration
measured, so the default k=10 (for TPRS) would be too high; further, setting k=5 saves on
computational time (see section “Computational and Statistical Issues When Fitting
HGAMs”). The random effect smoother (bs="re") that we used for the Plant_uo factor
always has a k value equal to the number of levels in the grouping variable (here, 12).
We specified k=12 just to make this connection apparent.

Pedersen et al. (2019), PeerJ, DOI 10.7717/peerj.6876 11/42

 s(log(conc)) Plant_uo
●
0.3
●
0.25 ●
●
●
●

0.0 ●
0.00 ●
●

Effects
Effect
−0.3 −0.25
●
●

−0.50
−0.6

●
−0.75
4.5 5.0 5.5 6.0 6.5 7.0 −1 0 1
log(conc) Gaussian quantiles

Figure 6 gratia plotting output for model G applied to the CO2 dataset. s(log(conc)): the
smoother of loge concentration. Plant_uo: a quantile–quantile plot of the random effects against
Gaussian quantiles, used to check the appropriateness of the normal random effect assumption.
Full-size  DOI: 10.7717/peerj.6876/fig-6

Figure 6 Illustrates the output of gratia's draw() function for CO2_modG: the panel
labelled s(log(conc)) shows the estimated smoother for concentration, and the panel
labelled Plant_uo shows a quantile–quantile plot of the estimated random effects vs.
Gaussian quantiles, which can be used to check our model.
Looking at the effects by term is useful, but we are often interested in fitted values or
predictions from our models. Using the built in prediction functions with mgcv, we can
estimate what the fitted function (and uncertainty around it) should look like for each
level, as shown in Fig. 7 (see Supplemental Code for more details on how to generate these
predictions).
Examining these plots, we see that while functional responses among plants are similar,
some patterns are not captured by this model. For instance, for plant Qc2 the model clearly
underestimates CO2 uptake. A model including individual differences in functional
responses may better explain variation.
For our bird example, we model the count of birds as a function of location and time,
including their interaction. For this we structure the model as:

Eðcounti Þ ¼ expðf ðweeki ; latitudei ÞÞ

where we assume that Counti ∼ Poisson. For the smooth term, f, we employ a tensor
2
The cyclic smoother requires that the product of latitude and week, using a TPRS for the marginal latitude effect, and a cyclic
start and end points of the cyclic variable CRS for the marginal week effect to account for the cyclic nature of weekly effects
are specified, via the knots argument;
the smoother will have the exact same (we expect week 1 and week 52 to have very similar values)2, both splines had basis
value at the start and end. In the absence complexity (k) of 10.
of a specified start and end point, gam
will assume the end points are the
bird_modG <- gam(count ∼ te(week, latitude, bs=c("cc", "tp"), k=c(10, 10)),
smallest and largest observed levels of the
covariate (see mgcv::smooth.con- data=bird_move, method="REML", family="poisson",
struct.cc.smooth.spec for more
knots=list(week=c(0, 52)))
details). Note that in bird_modG we have
specified week 0 and week 52 as the Figure 8 shows the default draw(bird_modG) plot for the week-by-latitude smoother.
endpoints, as the first (week 1) and last
It shows birds starting at low latitudes in the winter then migrating to high latitudes
weeks (week 52) of the year should not
have exactly the same expected value. from the 10th to 20th week, staying there for 15–20 weeks, then migrating back.

Pedersen et al. (2019), PeerJ, DOI 10.7717/peerj.6876 12/42

 Qn1 Qn2 Qn3 Qc1
50
40
30
20
10

CO2 uptake (μmol m−2)

Qc3 Qc2 Mn3 Mn2
50
40
30
20
10

Mn1 Mc2 Mc3 Mc1

50
40
30
20
10
250 500 750 1000 250 500 750 1000 250 500 750 1000 250 500 750 1000
CO2 concentration (mL L−1)

Figure 7 Predicted uptake function (±2 s.e.) for each plant, based on model G (a single global
function for uptake plus a individual-level random effect intercept). Model predictions are for log-
uptake, but are transformed here to show the fitted function on the original scale of the data.
Full-size  DOI: 10.7717/peerj.6876/fig-7

te(week,latitude)
60

Effect
4

40
2
latitude

−2
20
−4

0 10 20 30 40 50
week

Figure 8 Plot illustrating the average log-abundance of all bird species at each latitude for each week,
with red colors indicating more individuals and blue colors fewer.
Full-size  DOI: 10.7717/peerj.6876/fig-8

Pedersen et al. (2019), PeerJ, DOI 10.7717/peerj.6876 13/42

 sp1 sp2 sp3

20

15

10

5
Observed count 0

sp4 sp5 sp6

20

15

10

0
0 5 10 0 5 10 0 5 10
Predicted count
Figure 9 Observed counts by species vs. predicted counts from bird_modG (1–1 line added as
reference). If our model fitted well we would expect that all species should show similar patterns of
dispersion around the 1-1 line (and as we are assuming the data is Poisson, the variance around the mean
should equal the mean). Instead we see that variance around the predicted value is much higher for
species 1 and 6. Full-size  DOI: 10.7717/peerj.6876/fig-9

However, the plot also indicates a large amount of variability in the timing of migration.
The source of this variability is apparent when we look at the timing of migration of each
species (cf. Fig. 5B).
All six species in Fig. 5B show relatively precise migration patterns, but they differ in the
timing of when they leave their winter grounds and the amount of time they spend at
their summer grounds. Averaging over all of this variation results in a relatively imprecise
(diffuse) estimate of migration timing (Fig. 8), and viewing species-specific plots of
observed vs. predicted values (Fig. 9), it is apparent that the model fits some of the species
better than others. This model could potentially be improved by adding intergroup
variation in migration timing. The rest of this section will focus on how to model this type
of variation.

A single common smoother plus group-level smoothers that have the

same wiggliness (model GS)
Model GS is a close analogue to a GLMM with varying slopes: all groups have similar
functional responses, but intergroup variation in responses is allowed. This approach
works by allowing each grouping level to have its own functional response, but penalizing
functions that are too far from the average.
This can be coded in mgcv by explicitly specifying one term for the global smoother (as in
model G above) then adding a second smooth term specifying the group-level smooth terms,

Pedersen et al. (2019), PeerJ, DOI 10.7717/peerj.6876 14/42

 s(log(conc)) s(log(conc),Plant_uo)
0.3

0.0 0.0

Effect

Effect
−0.3

−0.5
−0.6

4.5 5.0 5.5 6.0 6.5 7.0 4.5 5.0 5.5 6.0 6.5 7.0
log(conc) log(conc)

Figure 10 Global function (s(log(conc))) and group-specific deviations from the global function
(s(log(conc),Plant_uo)) for CO2_modGS. Full-size  DOI: 10.7717/peerj.6876/fig-10

using a penalty term that tends to draw these group-level smoothers toward zero. mgcv
provides an explicit basis type to do this, the factor-smoother interaction or "fs" basis (see
?mgcv::factor.smooth.interaction for details). This smoother creates a copy of each
set of basis functions for each level of the grouping variable, but only estimates one
smoothing parameter for all groups. To ensure that all parts of the smoother can be shrunk
3
As part of the penalty construction, each toward zero effect, each component of the penalty null space is given its own penalty3.
group will also have its own intercept
(part of the penalized null space), so
We modify the previous CO2 model to incorporate group-level smoothers as follows:
there is no need to add a separate term
for group specific intercepts as we did in loge ðuptakei Þ ¼ f ðloge ðconci ÞÞ þ fPlant uoi ðloge ðconci ÞÞ þ ei
model G.
where fPlant_uoi(loge(conci)) is the smoother for concentration for the given plant. In R we
4
As mentioned in the section “A Review
then have:
of Generalized Additive Models,” these
terms can be specified either with te()or CO2_modGS <- gam(log(uptake) ∼ s(log(conc), k=5, m=2) +
t2() terms. Using t2 as above (with s(log(conc), Plant_uo, k=5, bs="fs", m=2),
full=TRUE) is essentially a multivariate
equivalent of the factor-smoother inter- data=CO2, method="REML")
action; it requires more smooth terms
than te(), but can be fit using other Figure 10 shows the fitted smoothers for CO2_modGS. The plots of group-specific
mixed effects software such as lme4, smoothers indicate that plants differ not only in average log-uptake (which would
which is useful when fitting models with
a large number of group levels (see sec- correspond to each plant having a straight line at different levels for the group-level
tion “Computational and Statistical smoother), but differ slightly in the shape of their functional responses. Figure 11 shows
Issues When Fitting HGAMs” on com-
putational issues for details). We have how the global and group-specific smoothers combine to predict uptake rates for
generally found that t2(full=TRUE) is individual plants. We see that, unlike in the single global smoother case above, none of the
the best approach for multidimensional
GS models when the goal is to accurately curves deviate from the data systematically.
estimate the global smoother in the pre- The factor-smoother interaction-based approach mentioned above does not work for
sence of group-level smoothers; other
approaches (using te()) tend to result in higher-dimensional tensor product smoothers (fs() does still work for higher
the global smoother being overly pena- dimensional isotropic smoothers). Instead, the group-specific term can be specified with a
lized toward the flat function, and the
bulk of the variance being assigned to the tensor product of the continuous smoothers and a random effect for the grouping
group-level smoother. We discuss this parameter4. e.g.:
further in the section “Computational
and Statistical Issues When Fitting y ∼ te(x1, x2, bs="tp", m=2) +
HGAMs,” “Estimation issues when fit-
ting both global and group-level t2(x1, x2, fac, bs=c("tp","tp","re"), m=2, full=TRUE)
smoothers.”

Pedersen et al. (2019), PeerJ, DOI 10.7717/peerj.6876 15/42

 Qn1 Qn2 Qn3 Qc1
50
40
30
20
10

CO2 uptake (μmol m−2)

Qc3 Qc2 Mn3 Mn2
50
40
30
20
10

Mn1 Mc2 Mc3 Mc1

50
40
30
20
10
250 500 750 1000 250 500 750 1000 250 500 750 1000 250 500 750 1000
CO2 concentration (mL L−1)

Figure 11 Predicted uptake values (lines) vs. observed uptake for each plant, based on model GS.
Full-size  DOI: 10.7717/peerj.6876/fig-11

We illustrate this approach below on the bird migration data.

bird_modGS <- gam(count ∼ te(week, latitude, bs=c("cc", "tp"),
k=c(10, 10), m=2) +
t2(week, latitude, species, bs=c("cc", "tp", "re"),
k=c(10, 10, 6), m=2, full=TRUE),
data=bird_move, method="REML", family="poisson",
knots=list(week=c(0, 52)))
Model GS is able to effectively capture the observed patterns of interspecific variation in
migration behavior (Fig. 12A). It shows a much tighter fit between observed and predicted
values, as well as less evidence of over-dispersion in some species compared to model G
(Fig. 12B).

A single common smoother plus group-level smoothers with differing

wiggliness (Model GI)
This model class is very similar to model GS, but we now allow each group-specific
smoother to have its own smoothing parameter and hence its own level of wiggliness.
This increases the computational cost of the model (as there are more smoothing
parameters to estimate), and means that the only information shared between groups is
through the global smoother, the common error term, and through the random effect for
group-level intercepts (if used). This is useful if different groups differ substantially in
how wiggly they are.

Pedersen et al. (2019), PeerJ, DOI 10.7717/peerj.6876 16/42

 A sp1 sp2 sp3 sp4 sp5 sp6
Count
60
20

Latitude
15
30
10

1 26 52 1 26 52 1 26 52 1 26 52 1 26 52 1 26 52
Week

B
Observed count
sp1 sp2 sp3 sp4 sp5 sp6

20
15
10
5
0
0 5 10 15 20 0 5 10 15 20 0 5 10 15 20 0 5 10 15 20 0 5 10 15 20 0 5 10 15 20
Predicted count (model GS)

Figure 12 (A) Predicted migration paths for each species based on bird_modGS, with lighter colors
corresponding to higher predicted counts. (B) Observed counts vs. predictions from bird_modGS.
Full-size  DOI: 10.7717/peerj.6876/fig-12

Fitting a separate smoother (with its own penalties) can be done in mgcv by using the by
argument in the s() and te() (and related) functions. Therefore, we can code the formula
for this model as:
y ∼ s(x, bs="tp") + s(x, by=fac, m=1, bs="tp") + s(fac, bs="re")
Note two major differences here from how model GS was specified:

1. We explicitly include a random effect for the intercept (the bs="re" term), as
group-specific intercepts are not incorporated into factor by variable smoothers
(as would be the case with a factor smoother or a tensor product random effect).
2. We specify m=1 instead of m=2 for the group-level smoothers, which means the marginal
TPRS basis for this term will penalize the squared first derivative of the function, rather
than the second derivative. This, also, reduces colinearity between the global
smoother and the group-specific terms which occasionally leads to high uncertainty
around the global smoother (see section “Computational and Statistical Issues When
Fitting HGAMs” for more details). TPRS with m=1 have a more restricted null
space than m=2 smoothers, so should not be as collinear with the global smoother
(Wieling et al., 2016; Baayen et al., 2018). We have observed that this is much more of
an issue when fitting model GI compared to model GS.

We modify the CO2 model to follow this approach like so:

CO2_modGI <- gam(log(uptake) ∼ s(log(conc), k=5, m=2, bs="tp") +
s(log(conc), by=Plant_uo, k=5, m=1, bs="tp") +
s(Plant_uo, bs="re", k=12),
data=CO2, method="REML")

Pedersen et al. (2019), PeerJ, DOI 10.7717/peerj.6876 17/42

 s(log(conc)) Plant_uo s(log(conc))
By: Plant_uo; Qc1
0.4 0.4 0.4

0.0 0.0 0.0

Effects
Effect

Effect
−0.4 −0.4 −0.4

−0.8 −0.8 −0.8

4.5 5.0 5.5 6.0 6.5 7.0 −1 0 1 4.5 5.0 5.5 6.0 6.5 7.0
log(conc) Gaussian quantiles log(conc)

s(log(conc)) s(log(conc)) s(log(conc))

By: Plant_uo; Mc1 By: Plant_uo; Qn1 By: Plant_uo; Mn1
0.4 0.4 0.4

0.0 0.0 0.0

Effect

Effect

Effect
−0.4 −0.4 −0.4

−0.8 −0.8 −0.8

4.5 5.0 5.5 6.0 6.5 7.0 4.5 5.0 5.5 6.0 6.5 7.0 4.5 5.0 5.5 6.0 6.5 7.0
log(conc) log(conc) log(conc)

Figure 13 Functional relationships for the CO2 data estimated for model GI. s(log(conc)): the
global smoother; Plant_uo: species-specific random effect intercepts. The remaining plots are a selected
subset of the plant-specific smoothers, indicating how the functional response of that plant differs from
the global smoother. Full-size  DOI: 10.7717/peerj.6876/fig-13

Figure 13 shows a subsample of the group-specific smoothers from this model. It is

apparent from this that some groups (e.g., Qc1) have very similar shapes to the global
smoother (differing only in intercept), others do differ from the global trend, with higher
uptake at low concentrations and lower uptake at higher concentrations (e.g., Mc1, Qn1), or
the reverse pattern (e.g., Mn1).
Using model GI with higher-dimensional data is also straightforward; by terms work
just as well in tensor-product smoothers as they do with isotropic smoothers. We can see
this with our bird model:
bird_modGI <- gam(count ∼ species +
te(week, latitude, bs=c("cc", "tp"), k=c(10, 10), m=2) +
te(week, latitude, by=species, bs= c("cc", "tp"),
k=c(10, 10), m=1),
data=bird_move, method="REML", family="poisson",
knots=list(week=c(0, 52)))
As above, we have set (m=1) for the latitude marginal effect to avoid issues of collinearity
between the global and group-level smoother. Note that switching m=1 to m=2 does not
have any effect on the marginal basis for week, where we are using a cyclic smoother
instead of a TPRS.
The fitted model for bird_modGI is visually indistinguishable from bird_modGS
(Fig. 12) so we do not illustrate it here.

Models without global smoothers (models S and I)

We can modify the above models to exclude the global term (which is generally faster; see
section “Computational and Statistical Issues When Fitting HGAMs”). When we do not

Pedersen et al. (2019), PeerJ, DOI 10.7717/peerj.6876 18/42

 model the global term, we are allowing each group to be differently shaped without
restriction. Though there may be some similarities in the shape of the functions, these
models’ underlying assumption is that group-level smooth terms do not share or deviate
from a common form.

Model S
Model S (shared smoothers) is model GS without the global smoother term; this type of
model takes the form: y∼s(x, fac, bs="fs") or y∼t2(x1, x2, fac, bs=c("tp",
"tp", "re") in mgcv. This model assumes all groups have the same smoothness, but that
the individual shapes of the smooth terms are not related. Here, we do not plot these
models; the model plots are very similar to the plots for model GS. This will not always be
the case. If in a study there are very few data points in each grouping level (relative to
the strength of the functional relationship of interest), estimates from model S will typically
be much more variable than from model GS; there is no way for the model to share
information on function shape between grouping levels without the global smoother. See
section “Computational and Statistical Issues When Fitting HGAMs” on computational
issues for more on how to choose between different models.
CO2_modS <- gam(log(uptake) ∼ s(log(conc), Plant_uo, k=5, bs="fs", m=2),
data=CO2, method="REML")

bird_modS <- gam(count ∼ t2(week, latitude, species, bs=c("cc", "tp", "re"),

k=c(10, 10, 6), m=2, full=TRUE),
data=bird_move, method="REML", family="poisson",
knots=list(week=c(0, 52)))

Model I
Model I is model GI without the first term: y∼fac+s(x, by=fac) or y∼fac+te(x1,x2,
by=fac) (as above, plots are very similar to model GI).
CO2_modI <- gam(log(uptake) ∼ s(log(conc), by=Plant_uo, k=5, bs="tp", m=2) +
s(Plant_uo, bs="re", k=12),
data=CO2, method="REML")

bird_modI <- gam(count ∼ species + te(week, latitude, by=species,

bs=c("cc", "tp"), k=c(10, 10), m=2),
data=bird_move, method="REML", family="poisson",
knots=list(week=c(0, 52)))

Comparing different HGAM specifications

These models can be compared using standard model comparison tools. Model GS and
model GI will generally be nested in model G (depending on how each model is specified)
so comparisons using generalized likelihood ratio tests (GLRTs) may be used to test
if group-level smoothers are necessary (if fit using method="ML"). However, we do not
currently recommend this method. There is not sufficient theory on how accurate

Pedersen et al. (2019), PeerJ, DOI 10.7717/peerj.6876 19/42

 Table 1 AIC table comparing model fits for example datasets.
Model df AIC deltaAIC
A. CO2 models
CO2_modG 17 -119 101
CO2_modGS 39 -199 22
CO2_modGI 42 -216 4
CO2_modS 53 -219 1
CO2_modI 56 -220 0
B. bird_move models
bird_modG 51 3,374 1,823
bird_modGS 140 1,554 4
bird_modGI 208 1,682 132
bird_modS 127 1,550 0
bird_modI 200 1,634 84

parametric p-values are for comparing these models; there is uncertainty about what
degrees of freedom to assign to models with varying smoothness, and slightly different
model specifications may not result in nested models (See Wood (2017a) Section 6.12.4
and ?mgcv::anova.gam for more discussion on using GLRTs to compare GAMs).
Comparing models based on AIC is a more robust approach to comparing the different
model structures. There is well-developed theory of how to include effects of penalization
and smoothing parameter uncertainty when estimating the model complexity penalty
for AIC (Wood, Pya & Säfken, 2016). We demonstrate this approach in Table 1. Using
AIC, there is strong support for including among-group functional variability for
both the CO2 dataset and the bird_move dataset (compare models G vs. all other models).
For the CO2 dataset (Table 1A), there is relatively strong evidence that there is more
intergroup variability in smoothness than model GS allows, and weaker evidence that
model S or I (separate smoothers for all plants) show the best fit.
For the bird_move dataset (Table 1B), model GS (global smoother plus group-level
smoothers with a shared penalty) gives the best fit for all models including a global smooth
5
If it is important for a given study to
determine if there is evidence for a sig-
nificant global smooth effect, we recom- (which is good as we simulated the data from a model with this structure!). However,
mend fitting model GS or GI, including model S (without a global term) still fits this data better than model GS based on AIC.
the argument select = TRUE in the gam
function. This has the effect of adding an This highlights an issue with AIC for selecting between models with and without a global
extra penalty to each smooth term, that smooth: as it is possible to fully recreate the global term by just allowing each group-level
penalizes functions in the null space of
the penalty matrices for each smooth. By smoother to have a similar shape to one another (i.e., the global term is totally
doing this, it is possible for mgcv to concurve with the group-level smoothers; see section “Computational and Statistical Issues
penalize all model terms to a zero effect,
in effect doing variable selection (Marra When Fitting HGAMs”) model selection criteria such as AIC may indicate that the
& Wood, 2011). When select=TRUE, extra parameters required to fit the global smoother are unnecessary5.
the significance of the global term can be
found by looking at the significance of Given this issue with selecting global terms, we strongly recommend not selecting
the term in summary.gam(model). Note models based purely on AIC. Instead, model selection should be based on expert subject
that this can significantly increase the
amount of time it takes to fit a model for knowledge about the system, computational time, and most importantly, the inferential
data sets with a large number of penalty goals of the study. Table 1A indicates that models S and I (which do not have a
terms (such as model GI when the
number of groups is high). global function) fit the CO2 data better than models with a global function, and that

Pedersen et al. (2019), PeerJ, DOI 10.7717/peerj.6876 20/42

 model S fits the bird_move data better than model GS. However, it is the shape of the
global function that we are actually interested in here, as models S and I cannot be used to
predict the concentration-uptake relationship for plants that are not part of the
training set, or the average migration path for birds. The same consideration holds when
choosing between model GS and GI: while model GI fits the CO2 data better than model
GS (as measured by AIC), model GS can be used to simulate functional variation for
unobserved group levels, whereas this is not possible within the framework of model GI.
The next section works through two examples to show how to choose between different
models, and section “Computational and Statistical Issues When Fitting HGAMs”
discusses these and other model fitting issues in more depth.
It also is important to recognize that AIC, like any function of the data, is a random
variable and should be expected to have some sampling error (Forster & Sober, 2011).
In cases when the goal is to select the model that has the best predictive ability,
we recommend holding some fraction of the data out prior to the analysis and comparing
how well different models fit that data, or using k-fold cross validation as a more accurate
guide to how well a given model may predict out of sample. Predictive accuracy may also
be substantially improved by averaging over multiple models (Dormann et al., 2018).

EXAMPLES
We now demonstrate two worked examples on one data set to highlight how to use
HGAMs in practice, and to illustrate how to fit, test, and visualize each model. We will
demonstrate how to use these models to fit community data, to show when using a global
trend may or may not be justified, and to illustrate how to use these models to fit
seasonal time series.
For these examples, data are from a long-term study in seasonal dynamics of
zooplankton, collected by the Richard Lathrop. The data were collected from a chain
of lakes in Wisconsin (Mendota, Monona, Kegnonsa, and Waubesa) approximately
bi-weekly from 1976 to 1994. They consist of samples of the zooplankton communities,
taken from the deepest point of each lake via vertical tow. The data are provided by the
Wisconsin Department of Natural Resources and their collection and processing are
fully described in Lathrop (2000).
Zooplankton in temperate lakes often undergo seasonal cycles, where the abundance
of each species fluctuates up and down across the course of the year, with each species
typically showing a distinct pattern of seasonal cycles. The inferential aims of these
examples are to (i) estimate variability in seasonality among species in the community in a
single lake (Mendota), and (ii) estimate among-lake variability for the most abundant
taxon in the sample (Daphnia mendotae) across the four lakes. To enable evaluation
of out-of-sample performance, we split the data into testing and training sets. As there are
multiple years of data, we used data from the even years to fit (train) models, and the odd
years to test the fit.
Each record consists of counts of a given zooplankton taxon taken from a subsample
from a single vertical net tow, which was then scaled to account for the relative volume
of subsample vs. the whole net sample and the area of the net tow, giving population

Pedersen et al. (2019), PeerJ, DOI 10.7717/peerj.6876 21/42

 density per m2. Values are rounded to the nearest 1,000. Observed densities span four
orders of magnitude. We modelled density using a Gamma distribution with a log-link.
For any net tow sample where a given taxon was not observed, we set that taxon’s density
6
A more appropriate model for this data to 1,000 (the minimum possible sample size)6. To evaluate how well each model fits
would be to assume that density is left
censored, where 1,000 is treated as a
new data (not used to fit the model), we calculated the total deviance of the out-of-sample
threshold which the data may lie below, data that we had previously held out. The deviance is equal to two times the sum of the
but it is not possible to measure lower
than this. However, mgcv does not cur-
difference between the log-likelihood of the out-of-sample data (as predicted by each
rently have a left-censored family. The model) and a saturated model that has one predictor for each data point, all multiplied by
brms package, for Bayesian model fitting,
can fit a left-censored Gamma distribu-
the scale parameter for the family of interest. It can be interpreted similarly to the residual
tion, so it would be possible to fit this sum of squares for a simple linear regression (Wood, 2017a, p. 109).
model using that software. We discuss
using HGAMs in brms in the section
First, we demonstrate how to model community-level variability in seasonality, by
“Computational and Statistical Issues regressing scaled density on day of year with species-specific curves. As we are not
When Fitting HGAMs.”
interested in average seasonal dynamics, we focus on models S and I (if we wanted to
estimate the seasonal dynamics for rarer species, adding a global smooth term might be
useful, so we could borrow information from the more common species). As the data are
seasonal, we use cyclic smoothers as the basis for seasonal dynamics. Therefore, we
need to specify start and end points for our cycles using the knots argument to gam(), as
well as specify this smoother type as a factor-smooth interaction term using the xt
argument (the xt argument is how any extra information that a smoother might need is
supplied; see ?mgcv::s for more information). Note that we also include a random
effect smoother for both taxon and taxon:year_f, where year_f is year transformed
into a factor variable. This deals with the fact that average zooplankton densities can
show large year-to-year variation. The argument drop.unused.levels=FALSE is also
included so the gam function does not drop the year factor levels corresponding to those in
the held-out test data set.

Model S
zoo_comm_modS <- gam(density_adj ∼ s(taxon, year_f, bs="re") +
s(day, taxon, bs="fs", k=10, xt=list(bs="cc")),
data=zoo_train, knots=list(day=c(0, 365)),
family=Gamma(link="log"), method="REML",
drop.unused.levels=FALSE)

Model I
# Note that s(taxon, bs="re") has to be explicitly included here, as the
# day by taxon smoother does not include an intercept
zoo_comm_modI <- gam(density_adj ∼ s(day, by=taxon, k=10, bs="cc") +
s(taxon, bs="re") + s(taxon, year_f, bs="re"),
data=zoo_train, knots=list(day=c(0, 365)),
family=Gamma(link="log"), method="REML",
drop.unused.levels=FALSE)
At this stage of the analysis (prior to model comparisons), it is useful to determine if any
of the fitted models adequately describe patterns in the data (i.e., goodness of fit testing).

Pedersen et al. (2019), PeerJ, DOI 10.7717/peerj.6876 22/42

 A B

2.5 2

Deviance residuals

Deviance residual
0.0 0

−2.5
−2

−5.0
−4 −2 0 2 −2 0 2 4 6
Theoretical quantiles Linear predictor

Figure 14 Diagnostic plots for model I fitted to zooplankton community data in Lake Mendota.
(A) QQ-plot of residuals (black). Red line indicates the 1–1 line and gray bands correspond to the
expected 95% CI for the QQ plot, assuming the distribution is correct. (B) Deviance residuals vs. fitted
values (on the link scale). Full-size  DOI: 10.7717/peerj.6876/fig-14

mgcv’s gam.check() facilitates this model-checking. This function creates a set of

standard diagnostic plots: a QQ plot of the deviance residuals (see Wood (2017a))
compared to their theoretical expectation for the chosen family, a plot of response vs. fitted
values, a histogram of residuals, and a plot of residuals vs. fitted values. It also conducts a
test for each smooth term to determine if the number of degrees of freedom (k) for each
smooth is adequate (see ?mgcv::gam.check for details on how that test works). The code
for checking model S and I for the community zooplankton model is:
gam.check(zoo_comm_modS)
gam.check(zoo_comm_modI)
We have plotted QQ plots and fitted-vs. residual plots for model I (fitted vs. response plots
are generally less useful for non-normally distributed data as it can be difficult to visually
assess if the observed data shows more heteroskedasticity than expected). The results
for model S are virtually indistinguishable to the naked eye. We have also used alternate
QQ-plotting code from the gratia package (Simpson, 2018), using the qq_plot() function,
as this function creates a ggplot2 object that are easier to customize than the base plots from
gam.check(). The code for generating these plots is in the Supplemental Material.
These plots (Fig. 14) indicate that the Gamma distribution seems to fit the observed data well
except at low values, where the deviance residuals are larger than predicted by the theoretical
quantiles (Fig. 14A). There also does not seem to be a pattern in the residual vs. fitted
values (Fig. 14B), except for a line of residuals at the lowest values, which correspond to all of
those observations where a given taxon was absent from the sample.
The k.check() test (Table 2) shows that the default maximum degrees of freedom for
the smoothers used in model I are sufficient for all species, as the EDF for all estimated
smoothers are well below their maximum possible value (k′), and the p-value for the
observed k-index (which measures pattern in the residuals) is not significant.
In this table, each row corresponds to a single smooth term, k′ corresponds to the
number of basis functions used for that smoother in the fitted model (smaller than the
specified k in the model itself, as some basis functions are automatically dropped to ensure
the model is identifiable). The column EDF is the estimated EDF for that smoother,

Pedersen et al. (2019), PeerJ, DOI 10.7717/peerj.6876 23/42

 Table 2 Results from running k.check() on zoo_comm_modI.
Model term k′ EDF k-index p-value
s(day):taxonC. sphaericus 8 4.78 0.89 0.44
s(day):taxonCalanoid copepods 8 6.66 0.89 0.46
s(day):taxonCyclopoid copepods 8 5.31 0.89 0.46
s(day):taxonD. mendotae 8 6.95 0.89 0.46
s(day):taxonD. thomasi 8 6.57 0.89 0.45
s(day):taxonK. cochlearis 8 5.92 0.89 0.47
s(day):taxonL. siciloides 8 0.52 0.89 0.46
s(day):taxonM. edax 8 4.69 0.89 0.43
s(taxon) 8 6.26 NA NA
s(taxon,year_f) 152 51.73 NA NA
Note:
Each row corresponds to a single model term. The notation for term names uses mgcv syntax. For instance, “s(day):
taxonC. sphaericus” refers to the smoother for day for the taxon C. sphaericus.

the k-index is a measure of the remaining pattern in the residuals, and the p-value is
calculated based on the distribution of the k-index after randomizing the order of the
residuals. Note that there is no p-value for the random effects smoothers s(taxon) and
s(taxon,year_f) as the p-value is calculated from simulation-based tests for
autocorrelation of the residuals. As taxon and year_f are treated as simple random effects
with no natural ordering, there is no meaningful way of checking for autocorrelation.
Differences between models S (shared smoothness between taxa) and I (different
smoothness for each taxa) seem to be driven by the low seasonality of Leptodiaptomus
siciloides relative to the other species, and how this is captured by the more flexible model
I (Fig. 15). Still, both models show very similar fits to the training data. This implies
that the added complexity of different penalties for each species (model I) is unnecessary
here, which is consistent with the fact that model S has a lower AIC (4667) than model I
(4677), and that model S is somewhat better at predicting out-of-sample fits for all taxa
than model I (Table 3). Both models show significant predictive improvement compared
to the intercept-only model for all species except Keratella cochlearis (Table 3). This may
be driven by changing timing of the spring bloom for this species between training and
out-of-sample years (Fig. 15).
Next, we look at how to fit interlake variability in dynamics for just Daphnia mendotae.
Here, we will compare models G, GS, and GI to determine if a single global function is
appropriate for all four lakes, or if we can more effectively model variation between lakes
with a shared smoother and lake-specific smoothers.

Model G
zoo_daph_modG <- gam(density_adj ∼ s(day, bs="cc", k=10) + s(lake, bs="re") +
s(lake, year_f, bs="re"),
data=daphnia_train, knots=list(day=c(0, 365)),
family=Gamma(link="log"), method="REML",
drop.unused.levels=FALSE)

Pedersen et al. (2019), PeerJ, DOI 10.7717/peerj.6876 24/42

 Model GS
zoo_daph_modGS <- gam(density_adj ∼ s(day, bs="cc", k=10) +
s(day, lake, k=10, bs="fs", xt=list(bs="cc")) +
s(lake, year_f, bs="re"),
data=daphnia_train, knots=list(day=c(0, 365)),
family=Gamma(link="log"), method="REML",
drop.unused.levels=FALSE)

Model GI
zoo_daph_modGI <- gam(density_adj∼s(day, bs="cc", k=10) +s(lake, bs="re") +
s(day, by=lake, k=10, bs="cc") +
s(lake, year_f, bs="re"),
data=daphnia_train, knots=list(day=c(0, 365)),
family=Gamma(link ="log"), method="REML",
drop.unused.levels=FALSE)
Diagnostic plots from gam.check() indicate that there are no substantial patterns
comparing residuals to fitted values (not shown), and QQ-plots are similar to those from
the zooplankton community models; the residuals for all three models closely correspond
to the expected (Gamma) distribution, except at small values, where the observed
residuals are generally larger than expected (Fig. 16). As with the community data, this is
likely an artifact of the assumption we made of assigning zero observations a value of 1,000
(the lowest possible value), imposing an artificial lower bound on the observed counts.
There was also some evidence that the largest observed values were smaller than expected
given the theoretical distribution, but these fell within the 95% CI for expected deviations
from the 1–1 line (Fig. 16).
AIC values indicate that both model GS (1,093.71) and GI (1,085.7) are better fits than
7
When comparing models via AIC, we use model G (1,097.62), with model GI fitting somewhat better than model GS.7 There does
the standard rule of thumb from
Burnham & Anderson (1998), where
not seem to be a large amount of interlake variability (the EDF per lake are low in
models that differ by two units or less models GS & GI). Plots for all three models (Fig. 17) show that Mendota, Monona, and
from the lowest AIC model have sub-
stantial support, and those differing by
Kegonsa lakes are very close to the average and to one another for both models, but Waubesa
more than four units have less support. shows evidence of a more pronounced spring bloom and lower winter abundances.
Model GI is able to predict as well or better than model G or GS for all lakes (Table 4),
indicating that allowing for interlake variation in seasonal dynamics improved model
prediction. All three models predicted dynamics in Lake Mendota and Lake Menona
significantly better than the intercept-only model (Table 4). None of the models did well in
terms of predicting Lake Waubesa dynamics out-of-sample compared to a simple model
with only a lake-specific intercept and no intra-annual variability, but this was due to
the influence of a single large outlier in the out-of-sample data that occurred after the
spring bloom, at day 243 (Fig. 17; note that the y-axis is log-scaled). However, baring a
more detailed investigation into the cause of this large value, we cannot arbitrarily exclude
this outlier from the goodness-of-fit analysis; it may be due either to measurement error or
a true high late-season Daphnia density that our model was not able to predict.

Pedersen et al. (2019), PeerJ, DOI 10.7717/peerj.6876 25/42

 Model S Model I

C. sphaericus Calanoid copepods

100
100
10
10
1
1
0.1
0.1
Cyclopoid copepods D. mendotae
1000
100 10
(10 000 individuals m−2)

10
Population density

1
1
0.1 0.1
D. thomasi K. cochlearis
100
100
10 10
1 1
0.1 0.1
L. siciloides M. edax
10
10
1
1
0.1
0.1
0 100 200 300 0 100 200 300
Day of Year
Figure 15 Species-specific seasonal dynamics for the eight zooplankon species tracked in Lake
Mendota. Black points indicate individual plankton observations in the training data, and gray points
are observations in held-out years used for model validation. Lines indicate predicted average values for
model S (green) and model I (red). Ribbons indicate ±2 standard errors around the mean.
Full-size  DOI: 10.7717/peerj.6876/fig-15

COMPUTATIONAL AND STATISTICAL ISSUES WHEN

FITTING HGAMS
Which of the five model formulations (Fig. 4) should you choose for a given data set?
There are two major trade-offs to consider. The first is the bias-variance trade-off: more
complex models can account for more fluctuations in the data, but also tend to give more
variable predictions, and can overfit. The second trade-off is model complexity vs.
computational cost: more complex models can include more potential sources of variation
and give more information about a given data set, but will generally take more time
and computational resources to fit and debug. We discuss both of these trade-offs in
this section. We also discuss how to extend the HGAM framework to fit more
complex models.

Pedersen et al. (2019), PeerJ, DOI 10.7717/peerj.6876 26/42

 Table 3 Out-of-sample predictive ability for model S and I applied to the zooplankton community
dataset.
Taxon Total deviance of out-of-sample data

Intercept only Model S Model I

C. sphaericus 715 482 495
Calanoid copepods 346 220 223
Cyclopoid copepods 569 381 386
D. mendotae 353 264 268
D. thomasi 486 333 337
K. cochlearis 486 2260 2340
L. siciloides 132 116 126
M. edax 270 138 139
Note:
Deviance values represent the total deviance of model predictions from observations for out-of-sample data. “Intercept
only” results are for a null model with only taxon-level random effect intercepts included.

A B 4
C

2 2
2
Deviance residuals

0 0 0

−2 −2 −2

−4 −4 −4

−4 −2 0 2 −4 −2 0 2 −2 0 2
Theoretical quantiles Theoretical quantiles Theoretical quantiles

Figure 16 QQ-plots for model G (A), GS (B), and GI (C) fitted to Daphnia data across the four lakes.
Red line indicates the 1-1 line, black points are observed model residuals, and gray bands correspond to
the expected 95% CI for the QQ plot, assuming the distribution is correct.
Full-size  DOI: 10.7717/peerj.6876/fig-16

Bias-variance trade-offs
The bias-variance trade-off is a fundamental concept in statistics. When trying to estimate
any relationship (in the case of GAMs, a smooth relationship between predictors and data)
bias measures how far, on average, an estimate is from the true value. The variance of
an estimator corresponds to how much that estimator would fluctuate if applied to multiple
different samples of the same size taken from the same population. These two properties
tend to be traded off when fitting models. For instance, rather than estimating a population
mean from data, we could simply use a predetermined fixed value regardless of the observed
8
While this example may seem contrived, data8. This estimate would have no variance (as it is always the same regardless of what
this is exactly what happens when we
assume a given regression coefficient is
the data look like) but would have high bias unless the true population mean happened to
equal to zero (and thus exclude it from a equal the fixed value we chose. Penalization is useful because using a penalty term slightly
model).
increases model bias, but can substantially decrease variance (Efron & Morris, 1977).
In GAMs, the bias-variance trade-off is managed by the terms of the penalty matrix, and
equivalently random effect variances in HGLMs. Larger penalties correspond to lower

Pedersen et al. (2019), PeerJ, DOI 10.7717/peerj.6876 27/42

 Model G Model GS Model GI

Kegonsa Mendota

10.0

(10 000 individuals m−2)

1.0
Population density
0.1

Menona Waubesa

10.0

1.0

0.1
100 200 300 100 200 300
Day of Year
Figure 17 Raw data (points) and fitted models (lines) for D. mendota data. Black points indicate
individual plankton observations in the training data, and gray points are observations in held-out years
used for model validation. Green line: model G (no inter-lake variation in dynamics); orange line: model
GS (interlake variation with similar smoothness); purple line: model GI (varying smoothness among
lakes). Shaded bands are drawn at ±2 standard errors around each model.
Full-size  DOI: 10.7717/peerj.6876/fig-17

Table 4 Out-of-sample predictive ability for model G, GS, and GI applied to the D. mendotae dataset.
Lake Total deviance of out-of-sample data

Intercept only Model G Model GS Model GI

Kegonsa 96 92 89 86
Mendota 352 258 257 257
Menona 348 300 294 290
Waubesa 113 176 164 157
Note:
Deviance values represent the total deviance of model predictions from observations for out-of-sample data. “Intercept
only” results are for a null model with only lake-level random effect intercepts included.

variance, as the estimated function is unable to wiggle a great deal, but also correspond to
higher bias unless the true function is close to the null space for a given smoother (e.g., a
straight line for TPRS with second derivative penalties, or zero for a random effect). The
computational machinery used by mgcv to fit smooth terms is designed to find penalty
terms that best trade-off bias for variance to find a smoother that can effectively predict
new data.
The bias-variance trade-off comes into play with HGAMs when choosing whether to fit
separate penalties for each group level or assign a common penalty for all group levels (i.e.,
deciding between models GS & GI or models S & I). If the functional relationships we are

Pedersen et al. (2019), PeerJ, DOI 10.7717/peerj.6876 28/42

 trying to estimate for different group levels actually vary in how wiggly they are, setting the
penalty for all group-level smoothers equal (models GS & S) will either lead to overly
variable estimates for the least variable group levels, over-smoothed (biased) estimates for
the most wiggly terms, or a mixture of these two, depending on the fitting criteria.
We developed a simple numerical experiment to determine whether mgcv’s fitting
criteria tend to set estimated smoothness penalties high or low in the presence of among-
group variability in smoothness when fitting model GS or S HGAMs. We simulated
data from four different groups, with all groups having the same levels of the covariate x,
equally spaced across the range from 0 to 2π. For each group, the true function relating x to
the response, y, was a cosine wave, but the frequency varied from 0.5 (equal to half a
cycle across the range of x) to 4 (corresponding to 4 full cycles across the range). As all four
sine waves spanned the whole range from -1 to +1 across the range of x, and as they were
all integer or half-integer frequencies, the signal for all groups had the same variance
across the range of x, approximately equal to 0.5. Therefore, the true function for all groups
had the same strength of signal; all that varied between groups was how rapidly the signal
fluctuated. We added normally distributed error to all y-values, with three different
noise levels, given by standard deviations of 0.5, 1, and 2. These correspond to signal-to-
noise ratios (i.e., variance of the cosine curve divided by variance of the noise) of 2,
0.5, and 0.125. For each noise level we created 25 replicate data sets to illustrate the amount
of simulation-to-simulation variation in model fit. We then fit both model S (where all
curves were assumed to be equally smooth) and model I (with varying smoothness) to
each replicate for each noise level, using REML criteria to estimate penalties.
A sample of the fits for each group for three of the replicates for each model are shown
in Fig. 18A, with model S in red and model I in blue. Figure 18B illustrates how well each
model fared across the range of replicates at accurately estimating the true smoothness
of the highest frequency terms as measured by the squared second derivative of the smooth
fit vs. that of the true function, with the distance to the black one-to-one line indicating
the degree to which the estimated function for each group over- or under-estimated
the smoothness of the true signal. In general, under low noise conditions (Fig. 18,
signal-to-noise ratio of 2), model S tended to overfit the smoothest, lowest-frequency,
groups, while accurately fitting the highest frequency groups. Under moderate signal-to-
noise ratios, model S tended to over-penalize high-frequency groups and under-penalize
low frequency groups, and in the lowest signal-to-noise ratio tested (0.125), model S
tended to penalize all groups toward very smooth functions (Fig. 18B). Curves estimated
by model I, on the other hand, tended to accurately capture the true wiggliness of the
function across the whole range of frequencies and noises, except for the lowest-frequency
groups, and the highest frequency groups it the presence of high noise; in both cases,
model I tended to over-smooth (Fig. 18B).
This implies that assuming equal smoothness will result in underestimating the true
smoothness of low-variability terms in cases of high signal-to-noise, and overestimating
the true smoothness of high-frequency terms in low signal-to-noise data sets. If this
is a potential issue, we recommend fitting both models S and I and using standard model
evaluation criteria (e.g., AIC) or out-of-sample predictive accuracy (as in the section

Pedersen et al. (2019), PeerJ, DOI 10.7717/peerj.6876 29/42

 A
true value model S fit model I fit

signal:noise = 2 signal:noise = 0. 5 signal:noise = 0. 125

2

−2
2
Estimated curve
0

−2
2

−2
2

−2
0 2 4 6 0 2 4 6 0 2 4 6
x
B model S fit model I fit
Fitted wiggliness

103

100

≤ 10−3
100 103 100 103 100 103
True wiggliness

Figure 18 (A) Illustration of bias that can arise from assuming equal smoothness for all group levels
(model S, red lines) vs. allowing for intergroup variation in smoothness (model I, blue lines) across a
range of signal-to-noise ratios, holding the group-level signals constant. The true function for each
group level is shown in black. (B) Distribution of wiggliness (as measured by the integral of the squared
second derivative) of the estimated function for each replicate for each group level for model S (red) and
model I (blue), vs. the true wiggliness of the function for that grouping level, with the black line indicating
the one-to-one line. Points below (above) the black line indicate that a given model estimated the curve as
less (more) wiggly than the true curve used to generate the data. Estimated wiggliness less than 10-3 was
truncated for visual clarity, as mgcv estimated effectively straight lines for several groups, corresponding
to a wiggliness of 0, which would not appear on a log-scaled plot.
Full-size  DOI: 10.7717/peerj.6876/fig-18

“Examples”) to determine if there is evidence for among-group variability in smoothness.

However, it may be the case that there are too few data points per group to estimate
separate smoothness levels, in which case model GS or model S may still be the better
option even in the face of varying smoothness.
The ideal case would be to assume that among-group penalties follow their own
distribution (estimated from the data), to allow variation in smoothness while still getting
the benefit of pooling information on smoothness between groups. This is currently not

Pedersen et al. (2019), PeerJ, DOI 10.7717/peerj.6876 30/42

 implemented in mgcv. It is possible to set up this type of varying penalty model in
flexible Bayesian modeling software such as Stan (see below for a discussion of how to fit
HGAMs using these tools), where intergroup variation in smoothing penalties could
be modelled with a hierarchical prior. However, to the best of our knowledge, how to fit this
type of model has not been well studied in either the Bayesian or frequentist literature.
It may seem there is also a bias-variance trade-off between choosing to use a single
global smoother (model G) or a global smoother plus group-level terms (models GS and
GI). In model G, all the data is used to estimate a single smooth term, and thus should
have lower variance than models GS and GI, but higher bias for any given group in
the presence of intergroup functional variability. However, in practice, this trade-off will be
handled via penalization; if there are no average differences between functional responses,
mgcv will penalize the group-specific functions toward zero, and thus toward the
global model. The choice between using model G vs. models GS and GI should generally be
driven by computational costs. Model G is typically much faster to fit than models GS and
GI, even in the absence of among-group differences. If there is no need to estimate
intergroup variability, model G will typically be more efficient.
A similar issue exists when choosing between models GS and GI and models S and I.
If all group levels have very different functional shapes, the global term will get penalized
toward zero in models GS and GI, so they will reduce to models S and I. The choice
to include a global term should be made based on scientific considerations (is the global
term of interest?) and computational considerations.

Complexity-computation trade-offs
The more flexible a model is, the larger an effective parameter space any fitting software
has to search. It can be surprisingly easy to use massive computational resources trying
to fit models to even small datasets. While we typically want to select models based on
their fit and our inferential goals, computing resources can often act as an effective upper
bound on model complexity. For a given data set, assuming a fixed family and link
function, the time taken to estimate an HGAM will depend (roughly) on four factors:
(i) the number of coefficients to be estimated (and thus the number of basis functions
chosen), (ii) the number of smoothing parameters to be estimated, (iii) whether the model
needs to estimate both a global smoother and group-level smoothers, and (iv) the
algorithm and fitting criteria used to estimate parameters.
The most straightforward factor that will affect the amount of computational resources is
the number of parameters in the model. Adding group-level smoothers (moving from model
G to the other models) means that there will be more regression parameters to estimate.
For a dataset with g different groups and n data points, fitting a model with just a global
smoother, y∼s(x,k=k) will require k coefficients, and takes Oðnk2 Þ operations to evaluate.
Fitting the same data using a group-level smoother (model S, y∼s(x,fac,bs="fs",k=k))
will require Oðnk2 g 2 Þ operations to evaluate. In effect, adding a group-level smoother
will increase computational cost by an order of the number of groups squared. The effect of
this is visible in the examples we fit in the section “What are Hierarchical GAMs?.” Table 5
compares the relative time it takes to compute model G vs. the other models.

Pedersen et al. (2019), PeerJ, DOI 10.7717/peerj.6876 31/42

 Table 5 Relative computational time and model complexity for different HGAM formulations of the
two example data sets from section “What are hierarchical GAMs?”.
Model Relative time Number of terms

Coefficients Penalties
A. CO2 data
G 1 17 2
GS 7 65 3
GI 14 65 14
S 5 61 3
I 16 61 13
B. Bird movement data
G 1 90 2
GS 510 540 8
GI 390 624 14
S 820 541 6
I 70 535 12
Note:
All times are scaled relative to the length of time model G takes to fit to that data set. The number of coefficients measures
the total number of model parameters (including intercepts). The number of smoothers is the total number of unique
penalty values estimated by the model.

One way to deal with this issue would be to reduce the number of basis functions used
when fitting group-level smoothers when the number of groups is large, limiting the
flexibility of the model. It can also make sense to use more computationally-efficient basis
functions when fitting large data sets, such as P-splines (Wood, 2017b) or cubic splines.
TPRSs entail greater computational costs (Wood, 2017a).
Including a global smoother (models GS and GI compared to models S and I) will not
generally substantially affect the number of coefficients that need to be estimated (Table 5).
Adding a global term will add at most k extra terms. It can be substantially less than
that, as mgcv drops basis functions from co-linear smoothers to ensure that the model
matrix is full rank.
Adding additional smoothing parameters (moving from model GS to GI, or moving
from model S to I) is more costly than increasing the number of coefficients to estimate, as
estimating smoothing parameters is computationally intensive (Wood, 2011). This means
that models GS and S will generally be substantially faster than GI and I when the
number of groups is large, as models GI and I fit a separate set of penalties for each group
level. The effect of this is visible in comparing the time it takes to fit model GS to model GI
(which has a smoother for each group) or models S and I for the CO2 example data
(Table 5). Note that this will not hold in all cases. For instance, model GI and I take less
time to fit the bird movement data than models GS or S do (Table 5B).

Alternative formulations: bam(),

bam() gamm(), and gamm4()
When fitting models with large numbers of groups, it is often possible to speed up
computation substantially by using one of the alternative fitting routines available
through mgcv.

Pedersen et al. (2019), PeerJ, DOI 10.7717/peerj.6876 32/42

 gam bam (discrete = FALSE) bam (discrete = TRUE)
Model
gamm gamm4

100

Run time (seconds)

10

0.1

2 8 32 128
Number of groups

Figure 19 Elapsed time to estimate the same model using each of the four approaches. Each data set
was generated with 20 observations per group using a unimodal global function and random group-
specific functions consisting of an intercept, a quadratic term, and logistic trend for each group.
Observation error was normally distributed. Models were fit using model 2: y s(x, k=10, bs="cp") +
s(x,fac, k=10, bs="fs", xt=list(bs="cp"), m=1). All models were run on a single core.
Full-size  DOI: 10.7717/peerj.6876/fig-19

The first option is the function bam(), which requires the fewest changes to existing
code written using the gam() function. bam() is designed to improve performance
when fitting large data sets via two mechanisms. First, it saves on memory needed to
compute a given model by using a random subset of the data to calculate the basis
functions. It then blocks the data and updates model fit within each block (Wood,
Goude & Shaw, 2015). While this is primarily designed to reduce memory usage, it can
also substantially reduce computation time. Second, when using bam()’s default
method="fREML" (“Fast REML”) method, you can use the discrete=TRUE option:
this first bins continuous covariates into a smaller number of discrete values before
estimating the model, substantially reducing the amount of computation needed (Wood
et al., 2017; see ?mgcv::bam for more details). Setting up the five model types (Fig. 4)
in bam() uses the same code as we have previously covered; the only difference is
that you use the bam() instead of gam() function, and have the additional option of
discretizing your covariates.
bam() has a larger computational overhead than gam(); for small numbers of groups it
can be slower than gam() (Fig. 19). As the number of groups increases, computational
time for bam() increases more slowly than for gam(); in our simulation tests, when
the number of groups is greater than 16, bam() can be upward of an order of magnitude
faster (Fig. 19). Note that bam() can be somewhat less computationally stable when
estimating these models (i.e., less likely to converge). While base bam() (not fit using
discrete=TRUE) is slower than the other approaches shown in Fig. 19, that does not
imply that bam() is a worse choice in general; it is designed to avoid memory limitations
when working with big data rather than explicitly speeding up model fitting. The bam()
functions would likely show much better relative performance when the number of

Pedersen et al. (2019), PeerJ, DOI 10.7717/peerj.6876 33/42

 individuals per group were large (in the hundreds to thousands, compared to the 20
individuals per group used in Fig. 19).
The second option is to fit models using one of two dedicated mixed effect model
estimation packages, nlme and lme4. The mgcv package includes the function gamm(),
which uses the nlme package to estimate the GAM, automatically handling the
transformation of smooth terms into random effects (and back into basis function
representations for plotting and other statistical analyses). The gamm4() function, in the
separate gamm4 package, uses lme4 in a similar way. Using gamm() or gamm4() to fit
models rather than gam() can substantially speed up computation when the number of
groups is large, as both nlme and lme4 take advantage of the sparse structure of the
random effects, where most basis functions will be zero for most groups (i.e., any
group-specific basis function will only take a nonzero value for observations in that group
level). As with bam(), gamm(), and gamm4() are generally slower than gam() for
fitting HGAMs when the number of group levels is small (in our simulations, <8 group
levels), however they do show substantial speed improvements even with a moderate
number of groups, and were as fast as or faster to calculate than bam() for all numbers of
9
It is also possible to speed up both gam() grouping levels we tested (Fig. 19)9.
and bam() by using multiple processors
in parallel, whereas this is not currently
Both gamm() and gamm4() require a few changes to model code. First, there are a few
possible for gamm() and gamm4(). For limitations on how you are able to specify the different model types (Fig. 4) in both
large numbers of grouping levels, this
should speed up computation as well, at
frameworks. Factor-smoother interaction (bs="fs") basis setup works in both gamm()
the cost of using more memory. How- and gamm4(). However, as the nlme package does not support crossed random effects, it is
ever, computation time will likely not
decline linearly with the number of cores
not possible to have two factor-smoother interaction terms for the same grouping
used, since not all model fitting steps are variable in gamm() models (e.g., y∼s(x1, grp, bs="fs")+s(x2, grp, bs="fs"). These
parallelizable, and performance of cores
can vary. As parallel processing can be
type of crossed random effects are allowed in gamm4. The use of te() terms are not
complicated and dependent on the type possible in gamm4, due to issues with how random effects are specified in the lme4
of computer you are using to configure,
we do not go into how to use these
package, making it impossible to code models where multiple penalties apply to a single
methods here. The help file ?mgcv:: basis function. Instead, for multidimensional group-level smoothers, the alternate function
mgcv.parallel explains how to use
parallel computations for gam() and
t2() needs to be used to generate these terms, as it creates tensor products with only
bam() in detail. a single penalty for each basis function (see ?mgcv::t2 for details on these smoothers, and
Wood, Scheipl & Faraway (2013) for the theoretical basis behind this type of tensor
product). For instance, model GS for the bird movement data we discussed in the section
“What are Hierarchical GAMs?” would need to be coded as:
bird_modS <- gamm4(count ∼ t2(week, latitude, species, k=c(10, 10, 6), m=2,
bs=c("cc", "tp", "re")),
data=bird_move, family="poisson")
These packages also do not support the same range of families for the dependent
variable; gamm() only supports non-Gaussian families by using a fitting method called
penalized quasi-likelihood, that is, slower and not as numerically stable as the methods
used in gam(), bam(), and gamm4(). Non-Gaussian families are well supported by
lme4 (and thus gamm4), but can only fit them using ML rather than REML, so may tend
to over-smooth relative to gam() using REML estimation. Further, neither gamm()
nor gamm4() supports several of the extended families available through mgcv,

Pedersen et al. (2019), PeerJ, DOI 10.7717/peerj.6876 34/42

 such as zero-inflated, negative binomial, or ordered categorical and multinomial
distributions.

Estimation issues when fitting both global and group-level smoothers

When fitting models with separate global and group-level smoothers (models GS and GI),
one issue to be aware of is concurvity between the global smoother and group-level
terms. Concurvity measures how well one smooth term can be approximated by some
combination of the other smooth terms in the model (see ?mgcv::concurvity for
10
There is an important caveat here. details). For models GS and GI, the global term is either entirely or almost entirely10
When fitting GS models using tensor
products in mgcv, the global and group-
concurved with the group-level smoothers. This is because, in the absence of the global
level terms will not be entirely concurve smooth term, it would be possible to recreate that average effect by shifting all the
because mgcv will automatically drop
basis functions from the group-level
group-level smoothers so they were centered around the global mean.
smoother to ensure that these terms are In practical terms, this has the consequence of increasing uncertainty around the global
not perfectly concurve. That is, so that
no basis function in the global term
mean relative to a model with only a global smoother. In some cases, it can result in
could be formed from a linear combi- the estimated global smoother being close to flat, even in simulated examples with a
nation of group-level basis functions
(see ?mgcv::gam.side for how terms
known strong global effect. This concurvity issue may also increase the time it takes to
to be dropped are selected). Group-level fit these models (e.g., compare the time it takes to fit models GI and I in Table 5).
terms fit using bs="fs" smoothers will
not have any basis functions dropped, as
These models can still be estimated because of penalty terms; all of the methods we have
mgcv disables checking for side-con- discussed for fitting model GS (factor-smoother terms or random effect tensor products)
straints for these smoothers (since all
basis functions are fully penalized for
automatically create a penalty for the null space of the group-level terms, so that only
this type of smoother, in principle con- the global term has its own unpenalized null space. Both the REML and ML criteria work
curvity should not be an issue; see
?mgcv::smooth.construct.fs.
to balance penalties between nested smooth terms (this is why nested random effects
smooth.spec for details). can be fitted). We have observed that mgcv still occasionally finds solutions with simulated
data where the global term is over-smoothed.
To avoid this issue, we recommend both careful choice of basis and relative degrees of
freedom of global and group-level terms. In the examples in section “What are
Hierarchical GAMs?,” we used smoothers with an unpenalized null space for the global
smoother and ones with no null space for the group-level terms. When using TPRS this
can be achieved with splines with a lower order of derivative penalized in the group-level
smoothers than the global smoothers, as lower-order TPRS have fewer basis functions
in the null space. For example, we used m=2 (penalizing squared second derivatives) for
the global smoother, and m=1 (penalizing squared first derivatives) for group-level
smoothers in models GS and GI. Another option is to specify the maximum degrees of
freedom (k) for the group-level smoother either substantially higher or lower than the
global smoother; this is in effect an approximate way to specify a prior belief in the relative
smoothness of the global vs. group-level functions. If the group-level term is set to
have greater k compared to the global term, this encodes the assumption that the global
function should not be very wiggly, but group-level deviations from that smooth might
vary from that, and vice versa if k is set lower for group-level terms than for the
global smoother.
As noted above, interpreting the shape of global terms and group-wise deviations
separately for GS models fit using tensor-product group-level terms is complicated by the
fact that mgcv will drop some basis-functions from the group-level terms to prevent

Pedersen et al. (2019), PeerJ, DOI 10.7717/peerj.6876 35/42

 true global function te t2
60
A B C

latitude
40

20

0 10 20 30 40 50 0 10 20 30 40 50 0 10 20 30 40 50
week

linear predictor
−30 −20 −10 0 10

Figure 20 Average global function used for simulating bird_move data set (A) compared to the
fitted global function for a GS model estimated with either a te() smoother (B) or a t2()
smoother with full=TRUE (C) for group-level terms. Both group-level smoothers used the same
model specification as in section “What are Hierarchical GAMs?” except for the type of tensor product
used. Colors indicate the value of the linear predictor of bird density at each location in each week.
Full-size  DOI: 10.7717/peerj.6876/fig-20

perfect concurvity. For tensor-product smoothers, mgcv will generally drop K terms from
the group-level smoother, where K is the number of basis functions in the global smoother.
The total number of terms dropped will depend on the smoothers used for the global
and group-level terms. This means that some groups will have a different range of potential
deviations from the global smoother than others. This has the effect of also somewhat
altering the shape of the global smooth relative to what it would be based on model G
(the average curve through all the data); this will be a larger issue when the number of basis
functions in the global smooth and the number of group levels are small. We have tested the
effect of this issue on our simulated bird_move data set and did not find that it lead to
substantial bias in estimating the shape of the global smoother, relative to the amount of
11
It is also important to consider here that bias inherent in any smooth estimation method11 (Fig. 20). As noted in the section
the concept of a “global function” is a bit
fuzzy itself, and there are many possible
“What are hierarchical GAMs?”, we found that t2() tensor product smoothers with full
ways to define what a global function is penalties (full = TRUE in the t2() function) for group-level smoothers showed the best
(as we discussed in section “What are
Hierarchical GAMs?”). The global
performance at recreating the true global function from our simulated bird_move data set,
function being fit in all of these models compared to other possible types of tensor product. Using te() tensor products for the
is actually an average function, and the
shape of it will depend on the sampling
group-level terms lead to the global smoother being heavily smoothed relative to the
structure of any given study. In our actual average function, used to simulate the data (Fig. 20). However, more work on when
view, the global function fitted in these
models should generally be viewed as a
these models accurately reconstruct global effects is still needed.
useful summary of an average trend There is currently no way to disable dropping side constraints for these terms in mgcv.
across a wide range of groups, and
would only represent an actual average
In cases where accurately estimating the global smoother or group-level deviations is
relationship if the grouping levels were essential, we recommend either fitting model G, GS using factor-smooth group-level terms
drawn at random from some underlying
population and if there was scientific
(bs="fs", which can also be used to model multi-dimensional isotropic group-level
reason to believe that individual groups smoothers), or model GI. Alternatively, there is specialized functional regression software
should differ from the mean only via
some additive function.
such as the pffr function in the refund package (Scheipl, Gertheiss & Greven, 2016),
which does not impose these side constraints; instead the package uses a modified type
of tensor-product to ensure that group-level terms sum to zero at each level of the

Pedersen et al. (2019), PeerJ, DOI 10.7717/peerj.6876 36/42

 predictor (Scheipl, Gertheiss & Greven, 2016). See below for more information on
functional regression.

A brief foray into the land of Bayes

As mentioned in the section “A Review of Generalized Additive Models,” the penalty matrix
can be interpreted as the prior precision (inverse prior covariance) matrix for the model
parameters β. Intuitively, the basis functions and penalty are an informal prior on how we’d
like our model term to behave. REML gives an empirical Bayes estimate of the smooth
model (Laird & Ware, 1982), where terms in the null space of the smoother have improper,
flat priors (i.e., any value for these terms are considered equally likely). Any terms in the
range space are treated as having a multivariate normal prior, and the smoothing
parameters are treated as having an improper flat prior (see Wood (2017a), Section 5.8 for
more details on this connection). The posterior covariance matrix (Wood, 2006b) for
model parameters can be extracted from any fitted gam() or bam() model with vcov
(model) (this is conditional on the estimated smoothing parameters unless the option
unconditional=TRUE is specified). Given the normal posterior for the estimates of β, we
can sample from a multivariate normal with mean β̂ and posterior covariance matrix. Such
samples can be used to estimate uncertainty in functions of the predictors. Viewing our
GAM as Bayesian is a somewhat unavoidable consequence of the equivalence of random
effects and splines—if we think that there is some true smoother that we wish to estimate,
we must take a Bayesian view of our random effects (splines) as we do not think that
the true smoother changes each time we collect data (Wood, 2017a, Section 5.8).
The standard confidence intervals used in mgcv are in fact Bayesian posterior credible
intervals, which happen to have good frequentist across-the-function properties (Wood,
2006b; Marra & Wood, 2012). The newest version of mgcv as of this writing (v. 1.8–28) also
includes an experimental implementation of integrated nested Laplace approximation to
calculate full posterior distributions for GAMs, via the ginla function (Wood, in press).
This also means that HGAMs can be included as components in a more complex fully
Bayesian model. The mgcv package includes a function jagam() that can take a specified
model formula and automatically convert it into code for the JAGS (or BUGS) Bayesian
statistical packages, which can be adapted by the user to their own needs.
Similarly, the brms package (Bürkner, 2017), which can fit complex statistical models
using the Bayesian software Stan (Carpenter et al., 2017) allows for the inclusion of
mgcv-style smooth terms as part of the model specification. The brms package does not
currently support te() tensor products, but does support factor-smooth interactions
and t2()-style tensor products, which means all of the models fitted in this paper can be
fitted by brms. Finally, the bamlss package (Umlauf, Klein & Zeileis, 2018) can fit complex
GAMs using a number of computational backends, including JAGS and BayesX, using
mgcv syntax for model specification.

Beyond HGAMs: functional regression

The HGAMs we have discussed are actually a type of functional regression, which is an
extension of standard regression models to cases where the outcome variable yi and/or the

Pedersen et al. (2019), PeerJ, DOI 10.7717/peerj.6876 37/42

 predictor variables xi for a given outcome are functions, rather than single variables
(Ramsay & Silverman, 2005). HGAMs as we have described them are a form of function-
on-scalar regression (Ramsay & Silverman, 2005; Reiss, Huang & Mennes, 2010), where
we are trying to estimate a smooth function that varies between grouping levels. Here the
“scalar” refers to the grouping level, and the function is the smooth term that varies
between levels; in contrast, a standard GAM is a type of scalar-on-scalar regression,
as the goal is to use a set of single values (scalars) to estimate each (scalar) response.
We have deliberately focused our paper on these simpler classes of functional regression
model, and chosen to use the term HGAM rather than functional regression, as we believe
that this more clearly connects these models to modeling approaches already familiar
to ecologists. Further, we consider the unit of analysis to still be individual observations,
as compared to functional regression where the unit of analysis is whole functions.
For instance, we are interested in applications such as species distribution modeling, where
the presence of a given species may be predicted from a sum of several species-specific
functions of different environmental variables.
However, there is an extensive literature dedicated to the estimation of more complex
functional regression models for any interested reader (see Morris (2015) and Greven & Scheipl
(2017) for a good introduction and overview of more recent work in this field). The
refund package (Greven & Scheipl, 2017) uses the statistical machinery of mgcv to fit these
models, and should be usable by anyone familiar with mgcv modeling syntax. Functional
regression is also a major area of study in Bayesian statistics (Kaufman & Sain, 2010).

CONCLUSION
Hierarchical GAMs are a powerful tool to model intergroup variability, and we have
attempted to illustrate some of the range and possibilities that these models are capable of,
how to fit them, and some issues that may arise during model fitting and testing. Specifying
these models and techniques for fitting them are active areas statistical research,
so this paper should be viewed as a jumping-off point for these models, rather than an
end-point; we refer the reader to the rich literature on GAMs (Wood, 2017a) and
functional regression (Ramsay & Silverman, 2005; Kaufman & Sain, 2010; Scheipl,
Staicu & Greven, 2014) for more on these ideas.

ACKNOWLEDGEMENTS
The authors would like to thank Carly Ziter, Tiago Marques, Jake Walsh, Geoff Evans,
Paul Regular, Laura Wheeland, and Isabella Ghement for their thoughtful feedback on
earlier versions of this manuscript, and the Ecological Society of America for hosting
the mgcv workshops that this work started from. The authors also thank the three
reviewers (Paul Bürkner, Fabian Scheipl, and Matteo Fasiolo) for their insightful and
useful feedback.
All authors contributed to developing the initial idea for this paper, and to writing and
editing the manuscript. Author order after the first author was chosen using the code:
set.seed(11)
sample(c('Miller','Ross','Simpson'))

Pedersen et al. (2019), PeerJ, DOI 10.7717/peerj.6876 38/42

 All code used to generate this paper, as well as prior versions of this manuscript, are
available at: github.com/eric-pedersen/mixed-effect-gams.

ADDITIONAL INFORMATION AND DECLARATIONS

Funding
This work was funded by Fisheries and Oceans Canada, Natural Science and Engineering
Research Council of Canada (NSERC) Discovery Grant (RGPIN-2014-04032), by OPNAV
N45 and the SURTASS LFA Settlement Agreement, managed by the U.S. Navy’s Living
Marine Resources Program under Contract No. N39430-17-C-1982, and by the USAID
PREDICT-2 Program. There was no additional external funding received for this study. The
funders had no role in study design, data collection and analysis, decision to publish, or
preparation of the manuscript.

Grant Disclosures
The following grant information was disclosed by the authors:
Fisheries and Oceans Canada, Natural Science and Engineering Research Council of
Canada (NSERC) Discovery Grant: RGPIN-2014-04032.
OPNAV N45 and the SURTASS LFA Settlement Agreement, managed by the U.S. Navy’s
Living Marine Resources program: N39430-17-C-1982.
USAID PREDICT-2 Program.

Competing Interests
Eric Pedersen is an employee of Fisheries and Oceans Canada, and Noam Ross is employed
by EcoHealth Alliance, a nonprofit organization.

Author Contributions
 Eric J. Pedersen conceived and designed the experiments, performed the experiments,
analyzed the data, prepared figures and/or tables, authored or reviewed drafts of the
paper, approved the final draft.
 David L. Miller conceived and designed the experiments, prepared figures and/or tables,
authored or reviewed drafts of the paper, approved the final draft.
 Gavin L. Simpson conceived and designed the experiments, prepared
figures and/or tables, authored or reviewed drafts of the paper, approved the
final draft.
 Noam Ross conceived and designed the experiments, prepared figures and/or tables,
authored or reviewed drafts of the paper, approved the final draft.

Data Availability
The following information was supplied regarding data availability:
All data and code for this article are available via GitHub:
https://github.com/eric-pedersen/mixed-effect-gams

Pedersen et al. (2019), PeerJ, DOI 10.7717/peerj.6876 39/42

 Eric J. Pedersen, David L. Miller, Gavin L. Simpson, & Noam Ross. (2019, February 25).
Hierarchical Generalized Additive Models: an introduction with mgcv (Version v0.2.0).
Zenodo. DOI 10.5281/zenodo.2577381.

Supplemental Information
Supplemental information for this article can be found online at http://dx.doi.org/10.7717/
peerj.6876#supplemental-information.

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regression splines. Australian & New Zealand Journal of Statistics 48(4):445–464
DOI 10.1111/j.1467-842x.2006.00450.x.
Wood SN. 2011. Fast stable restricted maximum likelihood and marginal likelihood estimation of
semiparametric generalized linear models. Journal of the Royal Statistical Society: Series B
(Statistical Methodology) 73(1):3–36 DOI 10.1111/j.1467-9868.2010.00749.x.
Wood SN. 2017a. Generalized additive models: an introduction with R. Second Edition.
Boco Raton: CRC Press.
Wood SN. 2017b. P-splines with derivative based penalties and tensor product smoothing of
unevenly distributed data. Statistics and Computing 27(4):985–989
DOI 10.1007/s11222-016-9666-x.
Wood S. Simplified integrated nested Laplace approximation. Biometrika (in press).
Wood SN, Goude Y, Shaw S. 2015. Generalized additive models for large data sets. Journal of the
Royal Statistical Society: Series C (Applied Statistics) 64(1):139–155 DOI 10.1111/rssc.12068.
Wood SN, Li Z, Shaddick G, Augustin NH. 2017. Generalized additive models for gigadata:
modeling the U.K. black smoke network daily data. Journal of the American Statistical
Association 112(519):1199–1210 DOI 10.1080/01621459.2016.1195744.
Wood SN, Pya N, Säfken B. 2016. Smoothing parameter and model selection for general
smooth models. Journal of the American Statistical Association 111(516):1548–1563
DOI 10.1080/01621459.2016.1180986.
Wood SN, Scheipl F, Faraway JJ. 2013. Straightforward intermediate rank tensor product
smoothing in mixed models. Statistics and Computing 23(3):341–360
DOI 10.1007/s11222-012-9314-z.

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