Nothing
#### Function to sample from location-scale t and multivariate t distribution
rt_ls <- function(n, df, location, scale) rt(n,df)*scale + location
rmnorm <- function(n=1, mean, sqrt=NULL)
{
sqrt.varcov <- sqrt
d <- if(is.matrix(sqrt.varcov)) ncol(sqrt.varcov) else 1
mean <- outer(rep(1,n), as.vector(matrix(mean,d)))
drop(mean + t(matrix(rnorm(n*d), d, n)) %*% sqrt.varcov)
}
rmt <- function(n=1, mean, S, df=Inf, sqrt=NULL)
{
sqrt.S <- if(is.null(sqrt)) chol(S) else sqrt
d <- if(is.matrix(sqrt.S)) ncol(sqrt.S) else 1
x <- if(df==Inf) 1 else rchisq(n, df)/df
z <- rmnorm(n, mean = rep(0, d), sqrt=sqrt.S)
mean <- outer(rep(1, n), as.vector(matrix(mean,d)))
drop(mean + z/sqrt(x))
}
#### Function to sample from Inverse Gamma
#### The rate here is rate for Gamma Distribution, in Inverse Gamma it is scale
r_igamma <- function(n, shape, rate = 1, scale = 1/rate){
if(missing(rate) && !missing(scale)) rate <- 1/scale
1/rgamma(n, shape, rate)
}
#### Assume Joint Prior of beta and sigmasq is (1/sigmasq)^a*Normal(mu0, sigmasq*R^-1) when b = 1
#### Assume Joint Prior of beta and sigmasq is (1/sigmasq)^a when b = 0
LMNPP_MCMC <- function(y.Cur, y.Hist, x.Cur = NULL, x.Hist = NULL,
prior = list(a = 1.5, b = 0, mu0 = 0,
Rinv = matrix(1, nrow = 1),
delta.alpha = 1, delta.beta = 1),
MCMCmethod = 'IND', rw.logit.delta = 0.1,
ind.delta.alpha= 1, ind.delta.beta= 1, nsample = 5000,
control.mcmc = list(delta.ini = NULL, burnin = 0, thin = 1))
{
# prior = list(a = 1, b = 0, mu0 = matrix(0, nrow = 1),
# R = matrix(1, nrow = 1),
# delta.alpha = 1, delta.beta = 1)
### Start
a = prior$a; b = prior$b
mu0 = as.matrix(prior$mu0); R = solve(prior$Rinv)
delta.alpha = prior$delta.alpha; delta.beta = prior$delta.beta
n0 <- length(y.Hist); n1 <- length(y.Cur)
yVec0 = matrix(y.Hist, ncol = 1)
yVec1 = matrix(y.Cur, ncol = 1)
if(is.null(x.Cur) && is.null(x.Hist)){
x.Cur = matrix(1, ncol = 1, nrow = n1)
x.Hist = matrix(1, ncol = 1, nrow = n0)
}
if(is.data.frame(x.Cur)) x.Cur = as.matrix(x.Cur)
if(is.data.frame(x.Hist)) x.Hist = as.matrix(x.Hist)
x.Cur = cbind(1, x.Cur); x.Hist = cbind(1, x.Hist)
if(nrow(x.Cur) != n1){stop("number of observations in covariates must match response")}
if(nrow(x.Hist) != n0){stop("number of observations in covariates must match response")}
if(ncol(x.Hist) != ncol(x.Cur)){stop("dimension of x.Hist must equal to x.Cur")}
XtX0 = unname(t(x.Hist)%*%x.Hist)
XtX1 = unname(t(x.Cur)%*%x.Cur)
betaHat0 = solve(XtX0)%*%t(x.Hist)%*%yVec0
betaHat1 = solve(XtX1)%*%t(x.Cur)%*%yVec1
S0 = as.numeric(t(yVec0 - x.Hist%*%betaHat0)%*%(yVec0 - x.Hist%*%betaHat0))
S1 = as.numeric(t(yVec1 - x.Cur%*%betaHat1)%*%(yVec1 - x.Cur%*%betaHat1))
ncovariate = ncol(x.Cur)
if(!(b == 0 | b == 1)){stop("b must be either 0 or 1")}
if(b == 1){
if(nrow(R) != ncovariate){stop("Dimension of R must equal to dimension of covariates")}
if(nrow(mu0) != ncovariate){stop("Number of rows of mu0 must equal to dimension of covariates")}
}
#### Normalized Power Prior for Normal Log Marginal Posterior (unnormalized) of Delta
if(b == 1){
LogPostNDelta <- function(x){
betaS = solve(R+x*XtX0)%*%(R%*%mu0 + x*XtX0%*%betaHat0)
H0 = as.numeric(t(mu0-betaHat0)%*%XtX0%*%(solve(R+x*XtX0))%*%R%*%(mu0-betaHat0))
H1 = as.numeric(t(betaS-betaHat1)%*%XtX1%*%(solve(R+x*XtX0+XtX1))%*%(R+x*XtX0)%*%(betaS-betaHat1))
lgM = (n1/2)*log(S1+H1+x*(S0+H0))+(a+x*n0/2-1)*log(1+(S1+H1)/(x*(S0+H0)))
lden = (delta.alpha-1)*log(x)+(delta.beta-1)*log(1-x)+
log(abs(det(R+x*XtX0)))/2+lgamma(a+n1/2+x*n0/2-1)-
log(abs(det(R+x*XtX0+XtX1)))/2-lgamma(a+x*n0/2-1)-lgM
return(lden)
}
}
if(b == 0){
deltamin = max(0, (ncovariate + 2 -2*a)/n0)
LogPostNDelta <- function(x){
H1 = as.numeric(t(betaHat0-betaHat1)%*%XtX1%*%(solve(x*XtX0+XtX1))%*%(x*XtX0)%*%(betaHat0-betaHat1))
lgM = (n1/2)*log(S1+H1+x*(S0))+(a+x*n0/2-ncovariate/2-1)*log(1+(S1+H1)/(x*(S0)))
lden = (delta.alpha-1)*log(x)+(delta.beta-1)*log(1-x)+
log(abs(det(x*XtX0)))/2+lgamma(a+n1/2+x*n0/2-ncovariate/2-1)-
log(abs(det(x*XtX0+XtX1)))/2-lgamma(a+x*n0/2-ncovariate/2-1)-lgM
out = ifelse(x>deltamin, lden, log(.Machine$double.xmin))
return(out)
}
}
if(is.null(control.mcmc$delta.ini)) delta.ini = 0.5
delta_cur <- delta.ini
delta <- rep(delta.ini, nsample)
counter <- 0
niter <- nsample*control.mcmc$thin + control.mcmc$burnin
for (i in 1:niter){
### Update delta with RW MH for Logit delta
if(MCMCmethod == 'RW'){
lgdelta_cur <- log(delta_cur/(1-delta_cur))
lgdelta_prop <- rnorm(1, mean = lgdelta_cur, sd = sqrt(rw.logit.delta))
delta_prop <- exp(lgdelta_prop)/(1+exp(lgdelta_prop))
llik.prop <- LogPostNDelta(delta_prop)
llik.cur <- LogPostNDelta(delta_cur)
logr <- min(0, (llik.prop-llik.cur+log(delta_prop)+log(1-delta_prop)-log(delta_cur)-log(1-delta_cur)))
}
if(MCMCmethod == 'IND'){
delta_prop <- rbeta(1, shape1 = ind.delta.alpha, shape2 = ind.delta.beta)
llik.prop <- LogPostNDelta(delta_prop)
llik.cur <- LogPostNDelta(delta_cur)
logr <- min(0, (llik.prop-llik.cur+
dbeta(delta_cur, shape1 = ind.delta.alpha, shape2 = ind.delta.beta, log = TRUE) -
dbeta(delta_prop, shape1 = ind.delta.alpha, shape2 = ind.delta.beta, log = TRUE)))
}
if(runif(1) <= exp(logr)){
delta_cur = delta_prop; counter = counter+1
}
if( i > control.mcmc$burnin & (i-control.mcmc$burnin)%%control.mcmc$thin==0) {
delta[(i-control.mcmc$burnin)/control.mcmc$thin] <- delta_cur
}
}
if(ncovariate == 1){
mean0 <- mean(y.Hist); mean1 <- mean(y.Cur)
var0 <- var(y.Hist)*(n0-1)/n0
var1 <- var(y.Cur)*(n1-1)/n1
K = (delta*n0*n1*(mean0-mean1)^2/(delta*n0+n1) + delta*n0*var0 + n1*var1)/2
mu = rt_ls(nsample, df= delta*n0+n1+2*a-3, location= (delta*n0*mean0+n1*mean1)/(delta*n0 + n1),
scale= sqrt(2*K/((delta*n0+n1+2*a-3)*(delta*n0+n1))))
sigmasq= r_igamma(n = nsample, shape = (delta*n0+n1+2*a-3)/2, rate = K)
meanmu <- mean(mu); meansigmasq <- mean(sigmasq)
### DIC without constant term
D <- -2*(-n1*log(sigmasq)/2 -n1*(var1 + (mu-mean1)^2)/(2*sigmasq))
Dbar <- -2*(-n1*log(meansigmasq)/2 -n1*(var1 + (meanmu-mean1)^2)/(2*meansigmasq))
DIC <- 2*mean(D)-Dbar
return(list(beta = mu, sigmasq = sigmasq, delta = delta, acceptrate = counter/niter, DIC = DIC))
}
#### Sample the beta (non-vectorized input due to dimensionality) and then sigmasq (vectorized)
if(ncovariate > 1){
scalevec = rep(1, nsample)
beta = matrix(1, nrow = nsample, ncol = ncovariate)
if(b == 1){
for(i in 1:nsample){
betaS = solve(R+delta[i]*XtX0)%*%(R%*%mu0 + delta[i]*XtX0%*%betaHat0)
mu = solve(R+delta[i]*XtX0+XtX1)%*%((R+delta[i]*XtX0)%*%betaS +XtX1%*%betaHat1)
dfv = delta[i]*n0+n1+2*a - 2
H0 = as.numeric(t(mu0-betaHat0)%*%XtX0%*%(solve(R+delta[i]*XtX0))%*%R%*%(mu0-betaHat0))
H1 = as.numeric(t(betaS-betaHat1)%*%XtX1%*%(solve(R+delta[i]*XtX0+XtX1))%*%
(R+delta[i]*XtX0)%*%(betaS-betaHat1))
Sigma = ((H1+S1+delta[i]*(S0+H0))/dfv)*(solve(R+delta[i]*XtX0 + XtX1))
beta[i, ] = rmt(n = 1, mean = mu, S = Sigma, df = dfv)
scalevec[i] = (H1+S1+delta[i]*(S0+H0))/2
}
sigmasq= r_igamma(n = nsample, shape = (delta*n0+n1)/2+a-1, rate = scalevec)
}
if(b == 0){
for(i in 1:nsample){
mu = solve(delta[i]*XtX0 +XtX1)%*%(delta[i]*XtX0%*%betaHat0 +XtX1%*%betaHat1)
dfv = delta[i]*n0+n1+2*a-ncovariate-2
H1 = as.numeric(t(betaHat0-betaHat1)%*%XtX1%*%(solve(delta[i]*XtX0+XtX1))%*%
(delta[i]*XtX0)%*%(betaHat0-betaHat1))
Sigma = ((H1+S1+delta[i]*S0)/dfv)*(solve(delta[i]*XtX0 + XtX1))
beta[i, ] = rmt(n = 1, mean = mu, S = Sigma, df = dfv)
scalevec[i] = (H1+S1+delta[i]*S0)/2
}
sigmasq= r_igamma(n = nsample, shape = (delta*n0+n1-ncovariate)/2+a-1, rate = scalevec)
}
yHat = beta%*%t(x.Cur)
meansigmasq <- mean(sigmasq)
yHatBar = apply(yHat, 2, mean)
### DIC without constant term
SQdiffSum = apply((t(as.numeric(yVec1) - t(yHat)))^2, 1, sum)
D <- -2*( -n1*log(sigmasq)/2 -SQdiffSum/(2*sigmasq) )
Dbar <- -2*( -n1*log(meansigmasq)/2 -(sum((y.Cur-yHatBar)^2))/(2*meansigmasq) )
DIC <- 2*mean(D)-Dbar
return(list(beta = beta, sigmasq = sigmasq, delta = delta,
acceptrate = counter/niter, DIC = DIC))
}
}
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