predict.bayesreg: Prediction method for Bayesian penalised regression...

In bayesreg: Bayesian Regression Models with Global-Local Shrinkage Priors

Prediction method for Bayesian penalised regression (bayesreg) models

Description

Predict values based on Bayesian penalised regression (bayesreg) models.

Usage

## S3 method for class 'bayesreg'
predict(
  object,
  newdata,
  type = "linpred",
  bayes.avg = FALSE,
  sum.stat = "mean",
  CI = 95,
  ...
)

Arguments

object	an object of class "bayesreg" created as a result of a call to bayesreg.
newdata	A data frame providing the variables from which to produce predictions.
type	The type of predictions to produce; if type="linpred" it will return the linear predictor for binary, count and continuous data. If type="prob" it will return predictive probability estimates for provided 'y' data (see below for more details). If type="response" it will return the predicted conditional mean of the target (see below for more details). If type="class" and the data is binary, it will return the best guess at the class of the target variable.
bayes.avg	logical; whether to produce predictions using Bayesian averaging.
sum.stat	The type of summary statistic to use; either sum.stat="mean" or sum.stat="median".
CI	The size (level, as a percentage) of the credible interval to report (default: 95, i.e. a 95% credible interval)
...	Further arguments passed to or from other methods.

Value

predict.bayesreg produces a vector or matrix of predictions of the specified type. If bayes.avg is FALSE a matrix with a single column pred is returned, containing the predictions.

If bayes.avg is TRUE, three additional columns are returned: se(pred), which contains standard errors for the predictions, and two columns containing the credible intervals (at the specified level) for the predictions.

Details

predict.bayesreg produces predicted values using variables from the specified data frame. The type of predictions produced depend on the value of the parameter type:

• If type="linpred", the predictions that are returned will be the value of the linear predictor formed from the model coefficients and the provided data.

• If type="response", the predictions will be the conditional mean for each data point. For Gaussian, Laplace and Student-t targets the conditional mean is simply equal to the linear predictor; for binary data, the predictions will be the probability of the target being equal to the second level of the factor variable; for count data, the conditional mean will be exp(linear predictor).

• If type="prob", the predictions will be probabilities. The specified data frame must include a column with the same name as the target variable on which the model was created. The predictions will then be the probability (density) values for these target values.

• If type="class" and the target variable is binary, the predictions will be the most likely class.

If bayes.avg is FALSE the predictions will be produced by using a summary of the posterior samples of the coefficients and scale parameters as estimates for the model. If bayes.avg is TRUE, the predictions will be produced by posterior averaging over the posterior samples of the coefficients and scale parameters, allowing the uncertainty in the estimation process to be explicitly taken into account in the prediction process.

If sum.stat="mean" and bayes.avg is FALSE, the mean of the posterior samples will be used as point estimates for making predictions. Likewise, if sum.stat="median" and bayes.avg is FALSE, the co-ordinate wise posterior medians will be used as estimates for making predictions. If bayes.avg is TRUE and type!="prob", the posterior mean (median) of the predictions from each of the posterior samples will be used as predictions. The value of sum.stat has no effect if type="prob".

See Also

The model fitting function bayesreg and summary function summary.bayesreg

Examples

# The examples below that are run by CRAN use n.cores=2 to limit the number 
# of cores to two for CRAN check compliance.

# In practice you can simply omit this option to let bayesreg use as many
# as are available (which is usually total number of cores - 1)

# If you do not want to use multiple cores you can set parallel=F

# -----------------------------------------------------------------
# Example 1: Fitting linear models to data and generating credible intervals
X = 1:10;
y = c(-0.6867, 1.7258, 1.9117, 6.1832, 5.3636, 7.1139, 9.5668, 10.0593, 11.4044, 6.1677);
df = data.frame(X,y)

# Gaussian ridge
rv.L <- bayesreg(y~., df, model = "laplace", prior = "ridge", n.samples = 1e3, n.cores = 2)

# Plot the different estimates with credible intervals
plot(df$X, df$y, xlab="x", ylab="y")

yhat <- predict(rv.L, df, bayes.avg=TRUE)
lines(df$X, yhat[,1], col="blue", lwd=2.5)
lines(df$X, yhat[,3], col="blue", lwd=1, lty="dashed")
lines(df$X, yhat[,4], col="blue", lwd=1, lty="dashed")
yhat <- predict(rv.L, df, bayes.avg=TRUE, sum.stat = "median")
lines(df$X, yhat[,1], col="red", lwd=2.5)

legend(1,11,c("Posterior Mean (Bayes Average)","Posterior Median (Bayes Average)"),
       lty=c(1,1),col=c("blue","red"),lwd=c(2.5,2.5), cex=0.7)


# -----------------------------------------------------------------
# Example 2: Predictive density for continuous data
X = 1:10;
y = c(-0.6867, 1.7258, 1.9117, 6.1832, 5.3636, 7.1139, 9.5668, 10.0593, 11.4044, 6.1677);
df = data.frame(X,y)

# Gaussian ridge
rv.G <- bayesreg(y~., df, model = "gaussian", prior = "ridge", n.samples = 1e3, n.cores = 2)

# Produce predictive density for X=2
df.tst = data.frame(y=seq(-7,12,0.01),X=2)
prob_noavg_mean <- predict(rv.G, df.tst, bayes.avg=FALSE, type="prob", sum.stat = "mean")
prob_noavg_med  <- predict(rv.G, df.tst, bayes.avg=FALSE, type="prob", sum.stat = "median")
prob_avg        <- predict(rv.G, df.tst, bayes.avg=TRUE, type="prob")

# Plot the density
plot(NULL, xlim=c(-7,12), ylim=c(0,0.14), xlab="y", ylab="p(y)")
lines(df.tst$y, prob_noavg_mean[,1],lwd=1.5)
lines(df.tst$y, prob_noavg_med[,1], col="red",lwd=1.5)
lines(df.tst$y, prob_avg[,1], col="green",lwd=1.5)

legend(-7,0.14,c("Mean (no averaging)","Median (no averaging)","Bayes Average"),
       lty=c(1,1,1),col=c("black","red","green"),lwd=c(1.5,1.5,1.5), cex=0.7)

title('Predictive densities for X=2')


## Not run: 
# -----------------------------------------------------------------
# Example 3: Poisson (count) regression

X  = matrix(rnorm(100*20),100,5)
b  = c(0.5,-1,0,0,1)
nu = X%*%b + 1
y  = rpois(lambda=exp(nu),n=length(nu))

df <- data.frame(X,y)

# Fit a Poisson regression
rv.pois = bayesreg(y~.,data=df, model="poisson", prior="hs", burnin=1e4, n.samples=1e4)
 
# Make a prediction for the first five rows
# By default this predicts the log-rate (i.e., the linear predictor)
predict(rv.pois,df[1:5,]) 

# This is the response (i.e., conditional mean of y)
exp(predict(rv.pois,df[1:5,])) 

# Same as above ... compare to the actual targets
cbind(exp(predict(rv.pois,df[1:5,])), y[1:5])

# Slightly different as E[exp(x)]!=exp(E[x])
predict(rv.pois,df[1:5,], type="response", bayes.avg=TRUE) 

# 99% credible interval for response
predict(rv.pois,df[1:5,], type="response", bayes.avg=TRUE, CI=99) 


# -----------------------------------------------------------------
# Example 4: Logistic regression on spambase
data(spambase)
 
# bayesreg expects binary targets to be factors
spambase$is.spam <- factor(spambase$is.spam)
  
# First take a subset of the data (1/10th) for training, reserve the rest for testing
spambase.tr  = spambase[seq(1,nrow(spambase),10),]
spambase.tst = spambase[-seq(1,nrow(spambase),10),]
  
# Fit a model using logistic horseshoe for 2,000 samples
rv <- bayesreg(is.spam ~ ., spambase.tr, model = "logistic", prior = "horseshoe", n.samples = 2e3)
  
# Summarise, sorting variables by their ranking importance
rv.s <- summary(rv,sort.rank=TRUE)

# Make predictions about testing data -- get class predictions and class probabilities
y_pred <- predict(rv, spambase.tst, type='class')
y_prob <- predict(rv, spambase.tst, type='prob')

# Check how well our predictions did by generating confusion matrix
table(y_pred, spambase.tst$is.spam)

# Calculate logarithmic loss on test data
y_prob <- predict(rv, spambase.tst, type='prob')
cat('Neg Log-Like for no Bayes average, posterior mean estimates: ', sum(-log(y_prob[,1])), '\n')
y_prob <- predict(rv, spambase.tst, type='prob', sum.stat="median")
cat('Neg Log-Like for no Bayes average, posterior median estimates: ', sum(-log(y_prob[,1])), '\n')
y_prob <- predict(rv, spambase.tst, type='prob', bayes.avg=TRUE)
cat('Neg Log-Like for Bayes average: ', sum(-log(y_prob[,1])), '\n')

## End(Not run)

bayesreg documentation built on Sept. 30, 2024, 9:18 a.m.