R/MCMCquantreg.R

In MCMCpack: Markov Chain Monte Carlo (MCMC) Package

#' Bayesian quantile regression using Gibbs sampling
#'
#' This function fits quantile regression models under Bayesian inference.  The
#' function samples from the posterior distribution using Gibbs sampling with
#' data augmentation.  A multivariate normal prior is assumed for
#' \eqn{\beta}. The user supplies the prior parameters.  A sample of the
#' posterior distribution is returned as an mcmc object, which can then be
#' analysed by functions in the coda package.
#'
#' \code{MCMCquantreg} simulates from the posterior distribution using Gibbs
#' sampling with data augmentation (see
#' \url{http://people.brunel.ac.uk/~mastkky/}).  \eqn{\beta} are drawn
#' from a multivariate normal distribution. The augmented data are drawn
#' conditionally from the inverse Gaussian distribution. The simulation is
#' carried out in compiled C++ code to maximise efficiency.  Please consult the
#' coda documentation for a comprehensive list of functions that can be used to
#' analyse the posterior sample.
#'
#' We assume the model
#'
#' \deqn{Q_{\tau}(y_i|x_i) = x_i'\beta}
#'
#' where \eqn{Q_{\tau}(y_i|x_i)} denotes the
#' conditional \eqn{\tau}th quantile of \eqn{y_i} given
#' \eqn{x_i}, and \eqn{\beta=\beta(\tau)} are the
#' regression parameters possibly dependent on \eqn{\tau}. The likelihood
#' is formed based on assuming independent Asymmetric Laplace distributions on
#' the \eqn{y_i} with skewness parameter \eqn{\tau} and location
#' parameters \eqn{x_i'\beta}. This assumption ensures that the
#' likelihood function is maximised by the \eqn{\tau}th conditional
#' quantile of the response variable.  We assume standard, semi-conjugate
#' priors on \eqn{\beta}:
#'
#' \deqn{\beta \sim \mathcal{N}(b_0,B_0^{-1})}
#'
#' Only starting values for
#' \eqn{\beta} are allowed for this sampler.
#'
#' @param formula Model formula.
#'
#' @param data Data frame.
#'
#' @param tau The quantile of interest. Must be between 0 and 1. The default
#' value of 0.5 corresponds to median regression.
#'
#' @param burnin The number of burn-in iterations for the sampler.
#'
#' @param mcmc The number of MCMC iterations after burnin.
#'
#' @param thin The thinning interval used in the simulation.  The number of
#' MCMC iterations must be divisible by this value.
#'
#' @param verbose A switch which determines whether or not the progress of the
#' sampler is printed to the screen.  If \code{verbose} is greater than 0 the
#' iteration number and the most recently sampled values of \eqn{\beta}
#' and \eqn{\sigma} are printed to the screen every \code{verbose}th
#' iteration.
#'
#' @param 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 default value for this argument
#' is a random integer between 1 and 1,000,000. This default value ensures that
#' if the function is used again with a different value of \eqn{\tau}, it
#' is extremely unlikely that the seed will be identical. 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 \code{rep(12345,6)} is used).  The second element of list is a positive
#' substream number. See the MCMCpack specification for more details.
#'
#' @param beta.start The starting values for \eqn{\beta}.  This can
#' either be a scalar or a column vector with dimension equal to the dimension
#' of \eqn{\beta}.  The default value of NA will use the OLS estimate
#' \eqn{\hat{\beta}} with
#' \eqn{\hat{\sigma}\Phi^{-1}(\tau)} added on to the
#' first element of \eqn{\hat{\beta}} as the starting value.
#' (\eqn{\hat{\sigma}^2} denotes the usual unbiased estimator of
#' \eqn{\sigma^2} under ordinary mean regression and
#' \eqn{\Phi^{-1}(\tau)} denotes the inverse of the cumulative
#' density function of the standard normal distribution.)  Note that the
#' default value assume that an intercept is included in the model.  If a
#' scalar is given, that value will serve as the starting value for all
#' \eqn{\beta}.
#'
#' @param b0 The prior mean of \eqn{\beta}.  This can either be a scalar
#' or a column vector with dimension equal to the dimension of
#'
#' \eqn{\beta}. If this takes a scalar value, then that value will serve
#' as the prior mean for all \eqn{\beta}.
#'
#' @param B0 The prior precision of \eqn{\beta}.  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 \eqn{\beta}. Default value of 0 is
#' equivalent to an improper uniform prior for \eqn{\beta}.
#'
#' @param ... further arguments to be passed
#'
#' @return An mcmc object that contains the posterior sample.  This object can
#' be summarised by functions provided by the coda package.
#'
#' @export
#'
#' @author Craig Reed
#'
#' @seealso \code{\link[MCMCpack]{MCMCregress}}, \code{\link[coda]{plot.mcmc}},
#' \code{\link[coda]{summary.mcmc}}, \code{\link[stats]{lm}},
#' \code{\link[quantreg]{rq}}
#'
#' @references Daniel Pemstein, Kevin M. Quinn, and Andrew D. Martin.  2007.
#' \emph{Scythe Statistical Library 1.2.} \url{http://scythe.lsa.umich.edu}.
#'
#' Craig Reed and Keming Yu. 2009. ``An Efficient Gibbs Sampler for Bayesian
#' Quantile Regression.'' Technical Report.
#'
#' Keming Yu and Jin Zhang. 2005. ``A Three Parameter Asymmetric Laplace
#' Distribution and it's extensions.'' \emph{Communications in Statistics -
#' Theory and Methods}, 34, 1867-1879.
#'
#' Martyn Plummer, Nicky Best, Kate Cowles, and Karen Vines. 2006.  ``Output
#' Analysis and Diagnostics for MCMC (CODA)'', \emph{R News}. 6(1): 7-11.
#' \url{https://CRAN.R-project.org/doc/Rnews/Rnews_2006-1.pdf}.
#'
#' @keywords models
#'
#' @examples
#'
#' \dontrun{
#'
#' x<-rep(1:10,5)
#' y<-rnorm(50,mean=x)
#' posterior_50 <- MCMCquantreg(y~x)
#' posterior_95 <- MCMCquantreg(y~x, tau=0.95, verbose=10000,
#'     mcmc=50000, thin=10, seed=2)
#' plot(posterior_50)
#' plot(posterior_95)
#' raftery.diag(posterior_50)
#' autocorr.plot(posterior_95)
#' summary(posterior_50)
#' summary(posterior_95)
#' }
#'
"MCMCquantreg" <-
  function(formula, data=NULL, tau=0.5, burnin = 1000, mcmc = 10000,
           thin=1, verbose = 0, seed = sample(1:1000000,1), beta.start = NA,
           b0 = 0, B0 = 0,
           ...) {

    ## checks
    check.offset(list(...))
    check.mcmc.parameters(burnin, mcmc, thin)

    cl <- match.call()
    if (tau<=0 || tau>=1){
	stop("tau must be in (0,1). \nPlease respecify and call again.\n")
	}

    ## seeds
    seeds <- form.seeds(seed)
    lecuyer <- seeds[[1]]
    seed.array <- seeds[[2]]
    lecuyer.stream <- seeds[[3]]

    ## form response and model matrices
    holder <- parse.formula(formula, data=data)
    Y <- holder[[1]]
    X <- holder[[2]]
    xnames <- holder[[3]]
    K <- ncol(X)  # number of covariates

    ## starting values and priors
    ols.fit <- lm(formula, data=data)
    defaults <- matrix(coef(ols.fit),K,1)
    defaults[1] <- defaults[1]+summary(ols.fit)$sigma*qnorm(tau)
    beta.start <- coef.start(beta.start, K, formula, family=gaussian, data, defaults=defaults)
    mvn.prior <- form.mvn.prior(b0, B0, K)
    b0 <- mvn.prior[[1]]
    B0 <- mvn.prior[[2]]


    B0.eigenvalues <- eigen(B0)$values
    if (min(B0.eigenvalues) < 0){
      stop("B0 is not positive semi-definite.\nPlease respecify and call again.\n")
    }



    ## define holder for posterior sample
    sample <- matrix(data=0, mcmc/thin, K)
    posterior <- NULL

    ## call C++ code to draw samples
    auto.Scythe.call(output.object="posterior", cc.fun.name="cMCMCquantreg",
                     sample.nonconst=sample, tau=as.double(tau), Y=Y, X=X,
                     burnin=as.integer(burnin),
                     mcmc=as.integer(mcmc), thin=as.integer(thin),
                     lecuyer=as.integer(lecuyer),
                     seedarray=as.integer(seed.array),
                     lecuyerstream=as.integer(lecuyer.stream),
                     verbose=as.integer(verbose), betastart=beta.start,
                     b0=b0, B0=B0, package="MCMCpack")


## pull together matrix and build MCMC object to return
    output <- form.mcmc.object(posterior,
                               names=xnames,
                               title="MCMCquantreg Posterior Sample",
                               y=Y, call=cl)

    return(output)
}