BayesFactor: Bayes Factor
In LaplacesDemon: Complete Environment for Bayesian Inference
Description
Usage
Arguments
Details
Value
Author(s)
References
See Also
Examples
Description
This function calculates Bayes factors for two or more fitted objects
of class demonoid, iterquad, laplace, pmc,
or vb that were estimated respectively with the
LaplacesDemon, IterativeQuadrature,
LaplaceApproximation, PMC, or
VariationalBayes functions, and indicates the strength
of evidence in favor of the hypothesis (that each model,
M[i], is better than another model,
M[j]).
Usage
1
BayesFactor(x)
Arguments
x
This is a list of two or more fitted objects of class
demonoid, iterquad, laplace, pmc, or
vb. The components are named in order beginning with model 1,
M1, and k models are usually represented as
M[1],...,M[k].
Details
Introduced by Harold Jeffreys, a 'Bayes factor' is a Bayesian
alternative to frequentist hypothesis testing that is most often used
for the comparison of multiple models by hypothesis testing, usually
to determine which model better fits the data (Jeffreys, 1961). Bayes
factors are notoriously difficult to compute, and the Bayes factor is
only defined when the marginal density of y under
each model is proper (see is.proper). However, the Bayes
factor is easy to approximate with the Laplace-Metropolis estimator
(Lewis and Raftery, 1997) and other methods of approximating the
logarithm of the marginal likelihood (for more information, see
LML).
Hypothesis testing with Bayes factors is more robust than frequentist
hypothesis testing, since the Bayesian form avoids model selection
bias, evaluates evidence in favor of the null hypothesis, includes
model uncertainty, and allows non-nested models to be compared (though
of course the model must have the same dependent variable). Also,
frequentist significance tests become biased in favor of rejecting the
null hypothesis with sufficiently large sample size.
The Bayes factor for comparing two models may be approximated as the
ratio of the marginal likelihood of the data in model 1 and model
2. Formally, the Bayes factor in this case is
B
= (p(y|M_1)) / p(y|M_2) = (integral of p(y|Theta_1,M_1)p(Theta_1|M_1)dTheta_1)
/ (integral of p(y|Theta_2,M_2)p(Theta_2|M_2)dTheta_2)
where p(y|M_1) is the marginal
likelihood of the data in model 1.
The IterativeQuadrature,
LaplaceApproximation, LaplacesDemon,
PMC, and VariationalBayes functions each
return the LML, the approximate logarithm of the
marginal likelihood of the data, in each fitted object of class
iterquad, laplace, demonoid, pmc, or
vb. The BayesFactor function calculates matrix B,
a matrix of Bayes factors, where each element of matrix B is a
comparison of two models. Each Bayes factor is calculated as the
exponentiated difference of LML of model 1
(M[1]) and LML of model 2
(M[2]), and the hypothesis for each element of
matrix B is that the model associated with the row is greater
than the model associated with the column. For example, element
B[3,2] is the Bayes factor that model 3 is greater than model
2. The 'Strength of Evidence' aids in the interpretation (Jeffreys,
1961).
A table for the interpretation of the strength of evidence for Bayes
factors is available at
https://web.archive.org/web/20150214194051/http://www.bayesian-inference.com/bayesfactors.
Each Bayes factor, B, is the posterior odds in favor of the
hypothesis divided by the prior odds in favor of the hypothesis, where
the hypothesis is usually
M[1] > M[2]. For example, when
B[3,2]=2, the data favor M[3] over
M[2] with 2:1 odds.
It is also popular to consider the natural logarithm of the Bayes
factor. The scale of the logged Bayes factor is the same above and
below one, which is more appropriate for visual comparisons. For
example, when comparing two Bayes factors at 0.5 and 2, the logarithm
of these Bayes factors is -0.69 and 0.69.
Gelman finds Bayes factors generally to be irrelevant, because they
compute the relative probabilities of the models conditional on one
of them being true. Gelman prefers approaches that measure the
distance of the data to each of the approximate models (Gelman et al.,
2004, p. 180), such as with posterior predictive checks (see the
predict.iterquad function regarding iterative
quadrature, predict.laplace function in the context of
Laplace Approximation, predict.demonoid function in the
context of MCMC, predict.pmc function in the context
of PMC, or predict.vb function in the context of
Variational Bayes). Kass et al. (1995) asserts this can be done
without assuming one model is the true model.
Value
BayesFactor returns an object of class bayesfactor that
is a list with the following components:
B
This is a matrix of Bayes factors.
Hypothesis
This is the hypothesis, and is stated as 'row > column', indicating
that the model associated with the row of an element in matrix
B is greater than the model associated with the column of
that element.
Strength.of.Evidence
This is the strength of evidence in favor of the hypothesis.
Posterior.Probability
This is a vector of the posterior probability of each model, given
flat priors.
Author(s)
Statisticat, LLC.
References
Gelman, A., Carlin, J., Stern, H., and Rubin, D. (2004). "Bayesian
Data Analysis, Texts in Statistical Science, 2nd ed.". Chapman and
Hall, London.
Jeffreys, H. (1961). "Theory of Probability, Third Edition". Oxford
University Press: Oxford, England.
Kass, R.E. and Raftery, A.E. (1995). "Bayes Factors". Journal
of the American Statistical Association, 90(430), p. 773–795.
Lewis, S.M. and Raftery, A.E. (1997). "Estimating Bayes Factors via
Posterior Simulation with the Laplace-Metropolis Estimator".
Journal of the American Statistical Association, 92,
p. 648–655.
See Also
is.bayesfactor,
is.proper,
IterativeQuadrature,
LaplaceApproximation,
LaplacesDemon,
LML,
PMC,
predict.demonoid,
predict.iterquad,
predict.laplace,
predict.pmc,
predict.vb, and
VariationalBayes.
Examples
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
# The following example fits a model as Fit1, then adds a predictor, and
# fits another model, Fit2. The two models are compared with Bayes
# factors.
library(LaplacesDemon)
############################## Demon Data ###############################
data(demonsnacks)
J <- 2
y <- log(demonsnacks$Calories)
X <- cbind(1, as.matrix(log(demonsnacks[,10]+1)))
X[,2] <- CenterScale(X[,2])
######################### Data List Preparation #########################
mon.names <- "LP"
parm.names <- as.parm.names(list(beta=rep(0,J), sigma=0))
pos.beta <- grep("beta", parm.names)
pos.sigma <- grep("sigma", parm.names)
PGF <- function(Data) {
beta <- rnorm(Data$J)
sigma <- runif(1)
return(c(beta, sigma))
}
MyData <- list(J=J, PGF=PGF, X=X, mon.names=mon.names,
parm.names=parm.names, pos.beta=pos.beta, pos.sigma=pos.sigma, y=y)
########################## Model Specification ##########################
Model <- function(parm, Data)
{
### Parameters
beta <- parm[Data$pos.beta]
sigma <- interval(parm[Data$pos.sigma], 1e-100, Inf)
parm[Data$pos.sigma] <- sigma
### Log-Prior
beta.prior <- sum(dnormv(beta, 0, 1000, log=TRUE))
sigma.prior <- dhalfcauchy(sigma, 25, log=TRUE)
### Log-Likelihood
mu <- tcrossprod(Data$X, t(beta))
LL <- sum(dnorm(Data$y, mu, sigma, log=TRUE))
### Log-Posterior
LP <- LL + beta.prior + sigma.prior
Modelout <- list(LP=LP, Dev=-2*LL, Monitor=LP,
yhat=rnorm(length(mu), mu, sigma), parm=parm)
return(Modelout)
}
############################ Initial Values #############################
Initial.Values <- GIV(Model, MyData, PGF=TRUE)
######################## Laplace Approximation ##########################
Fit1 <- LaplaceApproximation(Model, Initial.Values, Data=MyData,
Iterations=10000)
Fit1
############################## Demon Data ###############################
data(demonsnacks)
J <- 3
y <- log(demonsnacks$Calories)
X <- cbind(1, as.matrix(demonsnacks[,c(7,8)]))
X[,2] <- CenterScale(X[,2])
X[,3] <- CenterScale(X[,3])
######################### Data List Preparation #########################
mon.names <- c("sigma","mu[1]")
parm.names <- as.parm.names(list(beta=rep(0,J), sigma=0))
pos.beta <- grep("beta", parm.names)
pos.sigma <- grep("sigma", parm.names)
PGF <- function(Data) return(c(rnormv(Data$J,0,10), rhalfcauchy(1,5)))
MyData <- list(J=J, PGF=PGF, X=X, mon.names=mon.names,
parm.names=parm.names, pos.beta=pos.beta, pos.sigma=pos.sigma, y=y)
############################ Initial Values #############################
Initial.Values <- GIV(Model, MyData, PGF=TRUE)
######################## Laplace Approximation ##########################
Fit2 <- LaplaceApproximation(Model, Initial.Values, Data=MyData,
Iterations=10000)
Fit2
############################# Bayes Factor ##############################
Model.list <- list(M1=Fit1, M2=Fit2)
BayesFactor(Model.list)
LaplacesDemon documentation built on July 9, 2021, 5:07 p.m.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Description Usage Arguments Details Value Author(s) References See Also Examples
Description
This function calculates Bayes factors for two or more fitted objects
of class demonoid, iterquad, laplace, pmc,
or vb that were estimated respectively with the
LaplacesDemon, IterativeQuadrature,
LaplaceApproximation, PMC, or
VariationalBayes functions, and indicates the strength
of evidence in favor of the hypothesis (that each model,
M[i], is better than another model,
M[j]).
Usage
1 | BayesFactor(x)
|
Arguments
x |
This is a list of two or more fitted objects of class
|
Details
Introduced by Harold Jeffreys, a 'Bayes factor' is a Bayesian
alternative to frequentist hypothesis testing that is most often used
for the comparison of multiple models by hypothesis testing, usually
to determine which model better fits the data (Jeffreys, 1961). Bayes
factors are notoriously difficult to compute, and the Bayes factor is
only defined when the marginal density of y under
each model is proper (see is.proper). However, the Bayes
factor is easy to approximate with the Laplace-Metropolis estimator
(Lewis and Raftery, 1997) and other methods of approximating the
logarithm of the marginal likelihood (for more information, see
LML).
Hypothesis testing with Bayes factors is more robust than frequentist hypothesis testing, since the Bayesian form avoids model selection bias, evaluates evidence in favor of the null hypothesis, includes model uncertainty, and allows non-nested models to be compared (though of course the model must have the same dependent variable). Also, frequentist significance tests become biased in favor of rejecting the null hypothesis with sufficiently large sample size.
The Bayes factor for comparing two models may be approximated as the ratio of the marginal likelihood of the data in model 1 and model 2. Formally, the Bayes factor in this case is
B = (p(y|M_1)) / p(y|M_2) = (integral of p(y|Theta_1,M_1)p(Theta_1|M_1)dTheta_1) / (integral of p(y|Theta_2,M_2)p(Theta_2|M_2)dTheta_2)
where p(y|M_1) is the marginal likelihood of the data in model 1.
The IterativeQuadrature,
LaplaceApproximation, LaplacesDemon,
PMC, and VariationalBayes functions each
return the LML, the approximate logarithm of the
marginal likelihood of the data, in each fitted object of class
iterquad, laplace, demonoid, pmc, or
vb. The BayesFactor function calculates matrix B,
a matrix of Bayes factors, where each element of matrix B is a
comparison of two models. Each Bayes factor is calculated as the
exponentiated difference of LML of model 1
(M[1]) and LML of model 2
(M[2]), and the hypothesis for each element of
matrix B is that the model associated with the row is greater
than the model associated with the column. For example, element
B[3,2] is the Bayes factor that model 3 is greater than model
2. The 'Strength of Evidence' aids in the interpretation (Jeffreys,
1961).
A table for the interpretation of the strength of evidence for Bayes factors is available at https://web.archive.org/web/20150214194051/http://www.bayesian-inference.com/bayesfactors.
Each Bayes factor, B, is the posterior odds in favor of the
hypothesis divided by the prior odds in favor of the hypothesis, where
the hypothesis is usually
M[1] > M[2]. For example, when
B[3,2]=2, the data favor M[3] over
M[2] with 2:1 odds.
It is also popular to consider the natural logarithm of the Bayes factor. The scale of the logged Bayes factor is the same above and below one, which is more appropriate for visual comparisons. For example, when comparing two Bayes factors at 0.5 and 2, the logarithm of these Bayes factors is -0.69 and 0.69.
Gelman finds Bayes factors generally to be irrelevant, because they
compute the relative probabilities of the models conditional on one
of them being true. Gelman prefers approaches that measure the
distance of the data to each of the approximate models (Gelman et al.,
2004, p. 180), such as with posterior predictive checks (see the
predict.iterquad function regarding iterative
quadrature, predict.laplace function in the context of
Laplace Approximation, predict.demonoid function in the
context of MCMC, predict.pmc function in the context
of PMC, or predict.vb function in the context of
Variational Bayes). Kass et al. (1995) asserts this can be done
without assuming one model is the true model.
Value
BayesFactor returns an object of class bayesfactor that
is a list with the following components:
B |
This is a matrix of Bayes factors. |
Hypothesis |
This is the hypothesis, and is stated as 'row > column', indicating
that the model associated with the row of an element in matrix
|
Strength.of.Evidence |
This is the strength of evidence in favor of the hypothesis. |
Posterior.Probability |
This is a vector of the posterior probability of each model, given flat priors. |
Author(s)
Statisticat, LLC.
References
Gelman, A., Carlin, J., Stern, H., and Rubin, D. (2004). "Bayesian Data Analysis, Texts in Statistical Science, 2nd ed.". Chapman and Hall, London.
Jeffreys, H. (1961). "Theory of Probability, Third Edition". Oxford University Press: Oxford, England.
Kass, R.E. and Raftery, A.E. (1995). "Bayes Factors". Journal of the American Statistical Association, 90(430), p. 773–795.
Lewis, S.M. and Raftery, A.E. (1997). "Estimating Bayes Factors via Posterior Simulation with the Laplace-Metropolis Estimator". Journal of the American Statistical Association, 92, p. 648–655.
See Also
is.bayesfactor,
is.proper,
IterativeQuadrature,
LaplaceApproximation,
LaplacesDemon,
LML,
PMC,
predict.demonoid,
predict.iterquad,
predict.laplace,
predict.pmc,
predict.vb, and
VariationalBayes.
Examples
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 | # The following example fits a model as Fit1, then adds a predictor, and
# fits another model, Fit2. The two models are compared with Bayes
# factors.
library(LaplacesDemon)
############################## Demon Data ###############################
data(demonsnacks)
J <- 2
y <- log(demonsnacks$Calories)
X <- cbind(1, as.matrix(log(demonsnacks[,10]+1)))
X[,2] <- CenterScale(X[,2])
######################### Data List Preparation #########################
mon.names <- "LP"
parm.names <- as.parm.names(list(beta=rep(0,J), sigma=0))
pos.beta <- grep("beta", parm.names)
pos.sigma <- grep("sigma", parm.names)
PGF <- function(Data) {
beta <- rnorm(Data$J)
sigma <- runif(1)
return(c(beta, sigma))
}
MyData <- list(J=J, PGF=PGF, X=X, mon.names=mon.names,
parm.names=parm.names, pos.beta=pos.beta, pos.sigma=pos.sigma, y=y)
########################## Model Specification ##########################
Model <- function(parm, Data)
{
### Parameters
beta <- parm[Data$pos.beta]
sigma <- interval(parm[Data$pos.sigma], 1e-100, Inf)
parm[Data$pos.sigma] <- sigma
### Log-Prior
beta.prior <- sum(dnormv(beta, 0, 1000, log=TRUE))
sigma.prior <- dhalfcauchy(sigma, 25, log=TRUE)
### Log-Likelihood
mu <- tcrossprod(Data$X, t(beta))
LL <- sum(dnorm(Data$y, mu, sigma, log=TRUE))
### Log-Posterior
LP <- LL + beta.prior + sigma.prior
Modelout <- list(LP=LP, Dev=-2*LL, Monitor=LP,
yhat=rnorm(length(mu), mu, sigma), parm=parm)
return(Modelout)
}
############################ Initial Values #############################
Initial.Values <- GIV(Model, MyData, PGF=TRUE)
######################## Laplace Approximation ##########################
Fit1 <- LaplaceApproximation(Model, Initial.Values, Data=MyData,
Iterations=10000)
Fit1
############################## Demon Data ###############################
data(demonsnacks)
J <- 3
y <- log(demonsnacks$Calories)
X <- cbind(1, as.matrix(demonsnacks[,c(7,8)]))
X[,2] <- CenterScale(X[,2])
X[,3] <- CenterScale(X[,3])
######################### Data List Preparation #########################
mon.names <- c("sigma","mu[1]")
parm.names <- as.parm.names(list(beta=rep(0,J), sigma=0))
pos.beta <- grep("beta", parm.names)
pos.sigma <- grep("sigma", parm.names)
PGF <- function(Data) return(c(rnormv(Data$J,0,10), rhalfcauchy(1,5)))
MyData <- list(J=J, PGF=PGF, X=X, mon.names=mon.names,
parm.names=parm.names, pos.beta=pos.beta, pos.sigma=pos.sigma, y=y)
############################ Initial Values #############################
Initial.Values <- GIV(Model, MyData, PGF=TRUE)
######################## Laplace Approximation ##########################
Fit2 <- LaplaceApproximation(Model, Initial.Values, Data=MyData,
Iterations=10000)
Fit2
############################# Bayes Factor ##############################
Model.list <- list(M1=Fit1, M2=Fit2)
BayesFactor(Model.list)
|
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.