rhierLinearModel: Gibbs Sampler for Hierarchical Linear Model with Normal...

Description Usage Arguments Details Value Author(s) References See Also Examples

View source: R/rhierLinearModel_rcpp.R

Description

rhierLinearModel implements a Gibbs Sampler for hierarchical linear models with a normal prior.

Usage

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rhierLinearModel(Data, Prior, Mcmc)

Arguments

Data

list(regdata, Z)

Prior

list(Deltabar, A, nu.e, ssq, nu, V)

Mcmc

list(R, keep, nprint)

Details

Model and Priors

nreg regression equations with nvar X variables in each equation
y_i = X_iβ_i + e_i with e_i ~ N(0, τ_i)

τ_i ~ nu.e*ssq_i/χ^2_{nu.e} where τ_i is the variance of e_i
β_i ~ N(ZΔ[i,], V_{β})
Note: ZΔ is the matrix Z * Δ and [i,] refers to ith row of this product

vec(Δ) given V_{β} ~ N(vec(Deltabar), V_{β}(x) A^{-1})
V_{β} ~ IW(nu,V)
Delta, Deltabar are nz x nvar; A is nz x nz; V_{β} is nvar x nvar.

Note: if you don't have any Z variables, omit Z in the Data argument and a vector of ones will be inserted; the matrix Δ will be 1 x nvar and should be interpreted as the mean of all unit βs.

Argument Details

Data = list(regdata, Z) [Z optional]

regdata: list of lists with X and y matrices for each of nreg=length(regdata) regressions
regdata[[i]]$X: n_i x nvar design matrix for equation i
regdata[[i]]$y: n_i x 1 vector of observations for equation i
Z: nreg x nz matrix of unit characteristics (def: vector of ones)

Prior = list(Deltabar, A, nu.e, ssq, nu, V) [optional]

Deltabar: nz x nvar matrix of prior means (def: 0)
A: nz x nz matrix for prior precision (def: 0.01I)
nu.e: d.f. parameter for regression error variance prior (def: 3)
ssq: scale parameter for regression error var prior (def: var(y_i))
nu: d.f. parameter for Vbeta prior (def: nvar+3)
V: Scale location matrix for Vbeta prior (def: nu*I)

Mcmc = list(R, keep, nprint) [only R required]

R: number of MCMC draws
keep: MCMC thinning parm -- keep every keepth draw (def: 1)
nprint: print the estimated time remaining for every nprint'th draw (def: 100, set to 0 for no print)

Value

A list containing:

betadraw

nreg x nvar x R/keep array of individual regression coef draws

taudraw

R/keep x nreg matrix of error variance draws

Deltadraw

R/keep x nz*nvar matrix of Deltadraws

Vbetadraw

R/keep x nvar*nvar matrix of Vbeta draws

Author(s)

Peter Rossi, Anderson School, UCLA, [email protected].

References

For further discussion, see Chapter 3, Bayesian Statistics and Marketing by Rossi, Allenby, and McCulloch.
http://www.perossi.org/home/bsm-1

See Also

rhierLinearMixture

Examples

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if(nchar(Sys.getenv("LONG_TEST")) != 0) {R=2000} else {R=10}
set.seed(66)

nreg = 100
nobs = 100
nvar = 3
Vbeta = matrix(c(1, 0.5, 0, 0.5, 2, 0.7, 0, 0.7, 1), ncol=3)

Z = cbind(c(rep(1,nreg)), 3*runif(nreg))
Z[,2] = Z[,2] - mean(Z[,2])
nz = ncol(Z)
Delta = matrix(c(1,-1,2,0,1,0), ncol=2)
Delta = t(Delta) # first row of Delta is means of betas
Beta = matrix(rnorm(nreg*nvar),nrow=nreg)%*%chol(Vbeta) + Z%*%Delta

tau = 0.1
iota = c(rep(1,nobs))
regdata = NULL
for (reg in 1:nreg) { 
  X = cbind(iota, matrix(runif(nobs*(nvar-1)),ncol=(nvar-1)))
	y = X%*%Beta[reg,] + sqrt(tau)*rnorm(nobs)
	regdata[[reg]] = list(y=y, X=X) 
}

Data1 = list(regdata=regdata, Z=Z)
Mcmc1 = list(R=R, keep=1)

out = rhierLinearModel(Data=Data1, Mcmc=Mcmc1)

cat("Summary of Delta draws", fill=TRUE)
summary(out$Deltadraw, tvalues=as.vector(Delta))

cat("Summary of Vbeta draws", fill=TRUE)
summary(out$Vbetadraw, tvalues=as.vector(Vbeta[upper.tri(Vbeta,diag=TRUE)]))

## plotting examples
if(0){
  plot(out$betadraw)
  plot(out$Deltadraw)
}

Example output

 
Starting Gibbs Sampler for Linear Hierarchical Model
    100  Regressions
    2  Variables in Z (if 1, then only intercept)
 
Prior Parms: 
Deltabar
     [,1] [,2] [,3]
[1,]    0    0    0
[2,]    0    0    0
A
     [,1] [,2]
[1,] 0.01 0.00
[2,] 0.00 0.01
nu.e (d.f. parm for regression error variances)=  3
Vbeta ~ IW(nu,V)
nu =  6
V 
     [,1] [,2] [,3]
[1,]    6    0    0
[2,]    0    6    0
[3,]    0    0    6
 
MCMC parms: 
R=  10  keep=  1  nprint=  100
 
 MCMC Iteration (est time to end - min) 
 Total Time Elapsed: 0.00 
Summary of Delta draws
fewer than 100 draws submitted 
Summary of Vbeta draws
fewer than 100 draws submitted 

bayesm documentation built on July 21, 2017, 7:18 p.m.