blr: Bayesian Linear Regression

In bsamGP: Bayesian Spectral Analysis Models using Gaussian Process Priors

Bayesian Linear Regression

Description

This function fits a Bayesian linear regression model using scale invariant prior.

Usage

blr(formula, data = NULL, mcmc = list(), prior = list(), marginal.likelihood = TRUE)

Arguments

formula	an object of class “formula”
data	an optional data frame.
mcmc	a list giving the MCMC parameters. The list includes the following integers (with default values in parentheses): nblow (1000) giving the number of MCMC in transition period, nskip (1) giving the thinning interval, smcmc (1000) giving the number of MCMC for analysis.
prior	a list giving the prior information. The list includes the following parameters (default values specify the non-informative prior): beta_m0 and beta_v0 giving the hyperparameters of the multivariate normal distribution for parametric part including intercept, sigma2_m0 and sigma2_v0 giving the prior mean and variance of the inverse gamma prior for the scale parameter of response.
marginal.likelihood	a logical variable indicating whether the log marginal likelihood is calculated.

Details

This generic function fits a Bayesian linear regression model using scale invariant prior.

Let y_i and w_i be the response and the vector of parametric predictors, respectively. The model for regression function is as follows.

y_i = w_i^T\beta + \epsilon_i, ~ i=1,\ldots,n,

where the error terms \{\epsilon_i\} are a random sample from a normal distribution, N(0,\sigma^2).

The conjugate priors are assumed for \beta and \sigma:

\beta | \sigma \sim N(m_{0,\beta}, \sigma^2V_{0,\beta}), \quad \sigma^2 \sim IG\Big(\frac{r_{0,\sigma}}{2}, \frac{s_{0,\sigma}}{2}\Big)

Value

An object of class blm representing the Bayesian spectral analysis model fit. Generic functions such as print and fitted have methods to show the results of the fit.

The MCMC samples of the parameters in the model are stored in the list mcmc.draws and the posterior samples of the fitted values are stored in the list fit.draws. The output list also includes the following objects:

post.est	posterior estimates for all parameters in the model.
lmarg	log marginal likelihood.
rsquarey	correlation between y and \hat{y}.
call	the matched call.
mcmctime	running time of Markov chain from system.time().

See Also

blq, gblr

Examples

#####################
# Simulated example #
#####################

# Simulate data
set.seed(1)

n <- 100
w <- runif(n)
y <- 3 + 2*w + rnorm(n, sd = 0.8)

# Fit the model with default priors and mcmc parameters
fout <- blr(y ~ w)

# Summary
print(fout); summary(fout)

# Fitted values
fit <- fitted(fout)

# Plots
plot(fout)

bsamGP documentation built on April 3, 2025, 9:35 p.m.