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# Copyright 2018 Google LLC. All Rights Reserved.
#
# This library is free software; you can redistribute it and/or
# modify it under the terms of the GNU Lesser General Public
# License as published by the Free Software Foundation; either
# version 2.1 of the License, or (at your option) any later version.
#
# This library is distributed in the hope that it will be useful,
# but WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
# Lesser General Public License for more details.
#
# You should have received a copy of the GNU Lesser General Public
# License along with this library; if not, write to the Free Software
# Foundation, Inc., 51 Franklin Street, Fifth Floor, Boston, MA 02110-1301, USA
library(BoomSpikeSlab)
library(testthat)
cat("test-shrinkage-regression\n")
test_that("Shrinkage regression runs", {
seed <- 8675309
set.seed(seed)
b0 <- -1
b1 <- rnorm(20, 3, .2)
b2 <- rnorm(30, -4, 7)
nobs <- 10000
beta <- c(b0, b1, b2)
X <- cbind(1, matrix(rnorm(nobs * (length(beta) - 1)),
nrow = nobs,
ncol = length(beta) - 1))
y.hat <- X %*% beta
y <- rnorm(nobs, y.hat, .5)
groups <- list(
intercept = CoefficientGroup(1, prior = NormalPrior(0, 100)),
first = CoefficientGroup(2:21,
mean.hyperprior = NormalPrior(0, 100),
sd.hyperprior = SdPrior(.2, 1)),
second = CoefficientGroup(22:51,
mean.hyperprior = NormalPrior(0, 100),
sd.hyperprior = SdPrior(7, 1)))
model <- ShrinkageRegression(y, X, groups,
residual.precision.prior = SdPrior(.5, 1),
niter = 1000,
ping = -1,
seed = seed)
## The intercept is in a singleton group. so its group mean won't update.
expect_true(CheckMcmcMatrix(model$group.means[, -1], truth = c(3, -4)),
info = paste("group.means...",
McmcMatrixReport(model$group.means[, -1], truth = c(3, -4)),
collapse = "\n"))
## The sd for the intercept is always zero, so don't check it here.
expect_true(CheckMcmcMatrix(model$group.sds[, -1], truth = c(.2, 7)),
info = paste("group sd's...",
McmcMatrixReport(model$group.sds[, -1], truth = c(.2, 7)),
collapse = "\n"))
expect_true(CheckMcmcMatrix(model$coefficients, truth = beta),
info = paste("coefficients...",
McmcMatrixReport(model$coefficients, truth = beta),
collapse = "\n"))
expect_true(CheckMcmcVector(model$residual.sd, truth =.5),
info = "residual.sd")
})
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