MCMClogit {MCMCpack} | R Documentation |
This function generates a sample from the posterior distribution of a logistic regression model using a random walk Metropolis algorithm. The user supplies data and priors, and a sample from the posterior distribution is returned as an mcmc object, which can be subsequently analyzed with functions provided in the coda package.
MCMClogit(formula, data = parent.frame(), burnin = 1000, mcmc = 10000, thin=1, tune=1.1, verbose = 0, seed = NA, beta.start = NA, b0 = 0, B0 = 0, user.prior.density=NULL, logfun=TRUE, marginal.likelihood=c("none", "Laplace"), ...)
formula |
Model formula. |
data |
Data frame. |
burnin |
The number of burn-in iterations for the sampler. |
mcmc |
The number of Metropolis iterations for the sampler. |
thin |
The thinning interval used in the simulation. The number of mcmc iterations must be divisible by this value. |
tune |
Metropolis tuning parameter. Can be either a positive scalar or a k-vector, where k is the length of beta.Make sure that the acceptance rate is satisfactory (typically between 0.20 and 0.5) before using the posterior sample for inference. |
verbose |
A switch which determines whether or not the progress of
the sampler is printed to the screen. If verbose is greater
than 0 the iteration number,
the current beta vector, and the Metropolis acceptance rate are
printed to the screen every verbose th iteration. |
seed |
The seed for the random number generator. If NA, the Mersenne
Twister generator is used with default seed 12345; if an integer is
passed it is used to seed the Mersenne twister. The user can also
pass a list of length two to use the L'Ecuyer random number generator,
which is suitable for parallel computation. The first element of the
list is the L'Ecuyer seed, which is a vector of length six or NA (if NA
a default seed of rep(12345,6) is used). The second element of
list is a positive substream number. See the MCMCpack
specification for more details. |
beta.start |
The starting value for the beta vector. This can either be a scalar or a column vector with dimension equal to the number of betas. If this takes a scalar value, then that value will serve as the starting value for all of the betas. The default value of NA will use the maximum likelihood estimate of beta as the starting value. |
b0 |
If user.prior.density==NULL b0 is the prior
mean of beta under a multivariate normal prior. This
can either be a scalar or a column vector with dimension equal to
the number of betas. If this takes a scalar value, then that value
will serve as the prior mean for all of the betas. |
B0 |
If user.prior.density==NULL B0 is the prior
precision of beta under a multivariate normal prior.
This can either be a scalar or a square matrix with dimensions
equal to the number of betas. If this takes a scalar value, then
that value times an identity matrix serves as the prior precision
of beta. Default value of 0 is equivalent to an
improper uniform prior for beta. |
user.prior.density |
If non-NULL, the prior (log)density up to
a constant of proportionality. This must be a function defined in
R whose first argument is a continuous (possibly vector)
variable. This first argument is the point in the state space at
which the prior (log)density is to be evaluated. Additional
arguments can be passed to user.prior.density() by
inserting them in the call to MCMClogit() . See the Details
section and the examples below for more information. |
logfun |
Logical indicating whether use.prior.density()
returns the natural log of a density function (TRUE) or a density
(FALSE). |
marginal.likelihood |
How should the marginal likelihood be
calculated? Options are: none in which case the marginal
likelihood will not be calculated or Laplace in which case the
Laplace approximation (see Kass and Raftery, 1995) is used. |
... |
further arguments to be passed |
MCMClogit
simulates from the posterior distribution of a
logistic regression model using a random walk Metropolis
algorithm. The simulation proper is done in compiled C++ code to
maximize efficiency. Please consult the coda documentation for a
comprehensive list of functions that can be used to analyze the
posterior sample.
The model takes the following form:
y_i ~ Bernoulli(pi_i)
Where the inverse link function:
pi_i = exp(x_i'beta) / [1 + exp(x_i'beta)]
By default, we assume a multivariate Normal prior on beta:
beta ~ N(b0,B0^(-1))
Additionally, arbitrary user-defined priors can be specified with the
user.prior.density
argument.
If the default multivariate normal prior is used, the Metropollis
proposal distribution is centered at the current value of
beta and has variance-covariance V = T (B0 + C^{-1})^{-1} T, where T is a
the diagonal positive definite matrix formed from the tune
,
B0 is the prior precision, and C is the large
sample variance-covariance matrix of the MLEs. This last calculation
is done via an initial call to glm
.
If a user-defined prior is used, the Metropollis
proposal distribution is centered at the current value of
beta and has variance-covariance V = T C T, where T is a
the diagonal positive definite matrix formed from the tune
and
C is the large sample variance-covariance matrix of the
MLEs. This last calculation is done via an initial call to
glm
.
An mcmc object that contains the posterior sample. This object can be summarized by functions provided by the coda package.
Andrew D. Martin, Kevin M. Quinn, and Daniel Pemstein. 2004. Scythe Statistical Library 1.0. http://scythe.wustl.edu.
Martyn Plummer, Nicky Best, Kate Cowles, and Karen Vines. 2002. Output Analysis and Diagnostics for MCMC (CODA). http://www-fis.iarc.fr/coda/.
## Not run: ## default improper uniform prior data(birthwt) posterior <- MCMClogit(low~age+as.factor(race)+smoke, data=birthwt) plot(posterior) summary(posterior) ## multivariate normal prior data(birthwt) posterior <- MCMClogit(low~age+as.factor(race)+smoke, b0=0, B0=.001, data=birthwt) plot(posterior) summary(posterior) ## user-defined independent Cauchy prior logpriorfun <- function(beta){ sum(dcauchy(beta, log=TRUE)) } posterior <- MCMClogit(low~age+as.factor(race)+smoke, data=birthwt, user.prior.density=logpriorfun, logfun=TRUE) plot(posterior) summary(posterior) ## user-defined independent Cauchy prior with additional args logpriorfun <- function(beta, location, scale){ sum(dcauchy(beta, location, scale, log=TRUE)) } posterior <- MCMClogit(low~age+as.factor(race)+smoke, data=birthwt, user.prior.density=logpriorfun, logfun=TRUE, location=0, scale=10) plot(posterior) summary(posterior) ## End(Not run)