Conditional inference trees in dynamic microsimulation - modelling transition probabilities in the SMILE model 4th General Conference of the International Microsimulation Association Canberra, Wednesday 11th to Friday 13th December 2013 Niels Erik Kaaber Rasmussen DREAM
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Conditional inference trees (CTREEs) in dynamic microsimulation
The CTREE-algorithm groups together explanatory variables for observations with similar outcomes based on statistical tests. The data mining approach is found to be a useful tool to quantify a discrete response variable conditional on multiple individual characteristics and is generally believed to provide better covariate interactions than traditional parametric discrete choice models, i.e. logit and probit models.
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Conditional inference trees in dynamic microsimulation - modelling transition
probabilities in the SMILE model
4th General Conference of the International Microsimulation Association
Canberra, Wednesday 11th to Friday 13th December 2013
Niels Erik Kaaber Rasmussen
DREAM
SMILE
• Microsimulation model• Simulating household and person level
events• Using stocasting drawing (Monto Carlo)
Transition probabilites in SMILE
• Used for demographic, socioeconomic and housing-related events
• Transition probabilities based on rich historical data
Raw transition probabilities
• Transition probabilty = historical frequency• Behavoir depends on many characteristics• Data is too sparse• Too much noise
Moving probabilities
• The probability of moving depends on– Age (109) - Children in family (2)– Familytype and gender(3) - Dwelling type (5)– Region (11) - Dwelling kind (9)– Education (6 * 2) - Dwelling area (8)– Origin (3*4*2*3) - Dwelling est. (12)– Employed (2 *2) - Town size (5)
• Total of 537 billion combinations• 532.655 combinations in data
• Use logit or probit models• Detailed econometric analysis• Conditional inference trees (CTREEs)
Conditional inference trees
• Decision tree• Groups observations in a way so that
there’s a:– minimum of variation within a group– maximum variation across groups
• Datamining approach• Based on statistical tests
Example tree, probability of moving
CTREE algorithm1. Test for independence between any of
the explanatory variables and the response
a) Stop if p>0.05
2. Select the input variable with strongest association to the response.
3. Find best binary split point for the selected input variable.
4. Recursively repeat from step 1 until a stop criterion is reached.
Example tree, probability of moving
Moving probabilities
• The probability of moving depends on– Age (109) - Children in family (2)– Familytype and gender(3) - Dwelling type (5)– Region (11) - Dwelling kind (9)– Education (6 * 2) - Dwelling area (8)– Origin (3*4*2*3) - Dwelling est. (12)– Employed (2 *2) - Town size (5)
• Total of 537 billion combinations• 532.655 combinations in data• CTREE contains 2.180 terminal groups
Probability to not start studying
Probability to not start studying
Age dependent employment
Age dependent employment
CTREEs
• Implements a generel framework for conditional inference trees
• Works for continuous, censored, ordered, nominal and multivariate response variables
• Uses permutation tests
Curse of Dimensionality
• The computational complexity of constructing a CTREE multiplies when adding additional explanatory variables
• Number of possible permutations is too big• Draw random permutations using Monte