normalmixture: Compute normal mixtures

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

View source: R/bayesmeta.R

Description

This function allows to derive density, distribution function and quantile function of a normal mixture with fixed mean (μ) and random standard deviation (σ).

Usage

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  normalmixture(density,
                cdf = Vectorize(function(x){integrate(density,0,x)$value}),
                mu = 0, delta = 0.01, epsilon = 0.0001,
                rel.tol.integrate = 2^16*.Machine$double.eps,
                abs.tol.integrate = rel.tol.integrate,
                tol.uniroot = rel.tol.integrate)

Arguments

density

the σ mixing distribution's probability density function.

cdf

the σ mixing distribution's cumulative distribution function.

mu

the normal mean (μ).

delta, epsilon

the parameters specifying the desired accuracy for approximation of the mixing distribution, and with that determining the number of σ support points being used internally. Smaller values imply greater accuracy and greater computational burden (Roever and Friede, 2017).

rel.tol.integrate, abs.tol.integrate, tol.uniroot

the rel.tol, abs.tol and tol ‘accuracy’ arguments that are passed to the integrate() or uniroot() functions for internal numerical integration or root finding (see also the help there).

Details

When a normal random variable

X|mu,sigma ~ Normal(mu, sigma^2)

has a fixed mean μ, but a random standard deviation

sigma|phi ~ G(phi)

following some probability distribution G(phi), then the marginal distribution of X,

X|mu,phi

is a mixture distribution (Lindsay, 1995; Seidel, 2010).

The mixture distribution's probability density function etc. result from integration and often are not available in analytical form. The normalmixture() function approximates density, distribution function and quantile function to some pre-set accuracy by a discrete mixture of normal distributions based on a finite number of σ values using the ‘DIRECT’ algorithm (Roever and Friede, 2017).

Either the “density” or “cdf” argument needs to be supplied. If only “density” is given, then the CDF is derived via integration, if only “cdf” is supplied, then the density function is not necessary.

In meta-analysis applications, mixture distributions arise e.g. in the context of prior predictive distributions. Assuming that a study-specific effect theta[i] a priori is distributed as

theta[i]|mu,tau ~ Normal(mu, tau^2)

with a prior distribution for the heterogeneity τ,

tau|phi ~ G(phi)

yields a setup completely analogous to the above one.

Since it is sometimes hard to judge what constitutes a sensible heterogeneity prior, it is often useful to inspect the implications of certain settings in terms of the corresponding prior predictive distribution of

theta[i]|mu,phi

indicating the a priori implied variation between studies due to heterogeneity alone based on a certain prior setup (Spiegelhalter et al., 2004, Sec. 5.7.3). Some examples using different heterogeneity priors are illustrated below.

Value

A list containing the following elements:

delta, epsilon

The supplied design parameters.

mu

the normal mean.

bins

the number of bins used.

support

the matrix containing lower, upper and reference points for each bin and its associated probability.

density

the mixture's density function(x).

cdf

the mixture's cumulative distribution function(x) (CDF).

quantile

the mixture's quantile function(p) (inverse CDF).

mixing.density

the mixing distribution's density function() (if supplied).

mixing.cdf

the mixing distribution's cumulative distribution function().

Author(s)

Christian Roever [email protected]

References

B.G. Lindsay. Mixture models: theory, geometry and applications. Vol. 5 of CBMS Regional Conference Series in Probability and Statistics, Institute of Mathematical Statistics, Hayward, CA, USA, 1995.

C. Roever, T. Friede. Discrete approximation of a mixture distribution via restricted divergence. Journal of Computational and Graphical Statistics, 26(1):217-222, 2017.

C. Roever. Bayesian random-effects meta-analysis using the bayesmeta R package. arXiv preprint 1711.08683 (submitted for publication), 2017.

W.E. Seidel. Mixture models. In M. Lovric (ed.) International Encyclopedia of Statistical Science, Springer, Heidelberg, pp. 827-829, 2010.

D.J. Spiegelhalter, K.R. Abrams, J.P.Myles. Bayesian approaches to clinical trials and health-care evaluation. Wiley & Sons, 2004.

See Also

bayesmeta.

Examples

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##################################################################
# compare half-normal mixing distributions with different scales:
nm05 <- normalmixture(cdf=function(x){phalfnormal(x, scale=0.5)})
nm10 <- normalmixture(cdf=function(x){phalfnormal(x, scale=1.0)})
# (this corresponds to the case of assuming a half-normal prior
# for the heterogeneity tau)

# check the structure of the returned object:
str(nm05)

# show density functions:
# (these would be the marginal (prior predictive) distributions
# of study-specific effects theta[i])
x <- seq(-1, 3, by=0.01)
plot(x, nm05$density(x), type="l", col="blue", ylab="density")
lines(x, nm10$density(x), col="red")
abline(h=0, v=0, col="grey")

# show cumulative distributions:
plot(x, nm05$cdf(x), type="l", col="blue", ylab="CDF")
lines(x, nm10$cdf(x), col="red")
abline(h=0:1, v=0, col="grey")

# determine 5 percent and 95 percent quantiles:
rbind("HN(0.5)"=nm05$quantile(c(0.05,0.95)),
      "HN(1.0)"=nm10$quantile(c(0.05,0.95)))


##################################################################
# compare different mixing distributions
# (half-normal, half-Cauchy, exponential and Lomax):
nmHN <- normalmixture(cdf=function(x){phalfnormal(x, scale=0.5)})
nmHC <- normalmixture(cdf=function(x){phalfcauchy(x, scale=0.5)})
nmE  <- normalmixture(cdf=function(x){pexp(x, rate=2)})
nmL  <- normalmixture(cdf=function(x){plomax(x, shape=4, scale=2)})

# show densities (logarithmic y-axis):
x <- seq(-1, 3, by=0.01)
plot(x,  nmHN$density(x), col="green",  type="l", ylab="density", ylim=c(0.005, 6.5), log="y")
lines(x, nmHC$density(x), col="red")
lines(x, nmE$density(x),  col="blue")
lines(x, nmL$density(x),  col="cyan")
abline(v=0, col="grey")

# show CDFs:
plot(x,  nmHN$cdf(x), col="green",  type="l", ylab="CDF", ylim=c(0,1))
lines(x, nmHC$cdf(x), col="red")
lines(x, nmE$cdf(x),  col="blue")
lines(x, nmL$cdf(x),  col="cyan")
abline(h=0:1, v=0, col="grey")
# add "exponential" x-axis at top:
axis(3, at=log(c(0.5,1,2,5,10,20)), lab=c(0.5,1,2,5,10,20))
# show 95 percent quantiles:
abline(h=0.95, col="grey", lty="dashed")
abline(v=nmHN$quantile(0.95), col="green", lty="dashed")
abline(v=nmHC$quantile(0.95), col="red", lty="dashed")
abline(v=nmE$quantile(0.95),  col="blue", lty="dashed")
abline(v=nmL$quantile(0.95),  col="cyan", lty="dashed")
rbind("half-normal(0.5)"=nmHN$quantile(0.95),
      "half-Cauchy(0.5)"=nmHC$quantile(0.95),
      "exponential(2.0)"=nmE$quantile(0.95),
      "Lomax(4,2)"      =nmL$quantile(0.95))


#####################################################################
# a normal mixture distribution example where the solution
# is actually known analytically: the Student-t distribution.
# If  Y|sigma ~ N(0,sigma^2),  where  sigma = sqrt(k/X)
# and  X|k ~ Chi^2(df=k),
# then the marginal  Y|k  is Student-t with k degrees of freedom.

# define CDF of sigma:
CDF <- function(sigma, df){pchisq(df/sigma^2, df=df, lower.tail=FALSE)}

# numerically approximate normal mixture (with k=5 d.f.):
k <- 5
nmT1 <- normalmixture(cdf=function(x){CDF(x, df=k)})
# in addition also try a more accurate approximation:
nmT2 <- normalmixture(cdf=function(x){CDF(x, df=k)}, delta=0.001, epsilon=0.00001)
# check: how many grid points were required?
nmT1$bins
nmT2$bins

# show true and approximate densities:
x <- seq(-2,10,le=400)
plot(x, dt(x, df=k), type="l")
abline(h=0, v=0, col="grey")
lines(x, nmT1$density(x), col="red", lty="dashed")
lines(x, nmT2$density(x), col="blue", lty="dotted")

# show ratios of true and approximate densities:
plot(x, nmT1$density(x)/dt(x, df=k), col="red",
     type="l", log="y", ylab="density ratio")
abline(h=1, v=0, col="grey")
lines(x, nmT2$density(x)/dt(x, df=k), col="blue")

bayesmeta documentation built on Oct. 11, 2018, 5:04 p.m.