Nothing
"blq" <- function(formula, data = NULL, p, mcmc = list(), prior = list(), marginal.likelihood = TRUE) {
cl <- match.call()
if (missing(p)) {
p <- 0.5
} else {
if (p <= 0 || p >= 1) {
stop("p must be in (0,1).\n")
}
}
ywdata <- parse.formula(formula, data = data)
yobs <- ywdata[[1]]
yname <- ywdata[[2]]
wdata <- ywdata[[3]]
wnames <- ywdata[[4]]
nobs <- nrow(yobs)
nparw <- ncol(wdata)
ndimw <- nparw - 1
privals <- list(beta_m0 = numeric(nparw), beta_v0 = diag(100, nparw),
sigma2_m0 = 1, sigma2_v0 = 1000)
privals[names(prior)] <- prior
beta_m0 <- privals$beta_m0
beta_v0 <- privals$beta_v0
sigma2_m0 <- privals$sigma2_m0
sigma2_v0 <- privals$sigma2_v0
mcvals <- list(nblow = 1000, smcmc = 1000, nskip = 1)
mcvals[names(mcmc)] <- mcmc
nblow <- mcvals$nblow
smcmc <- mcvals$smcmc
nskip <- mcvals$nskip
mcmctime <- system.time({
fout <- .Fortran("bqreg", as.double(yobs), as.matrix(wdata), as.double(p),
as.double(beta_m0), as.double(beta_m0), as.matrix(beta_v0),
as.double(sigma2_m0), as.double(sigma2_m0), as.double(sigma2_v0),
as.integer(nobs), as.integer(nparw),
as.integer(nblow), as.integer(nskip), as.integer(smcmc),
betaps = matrix(0, smcmc, nparw), sigmasqps = numeric(smcmc),
loglikeps = numeric(smcmc), logpriorps = numeric(smcmc),
NAOK = TRUE, PACKAGE = "bsamGP")
})
mcmc.draws <- list()
mcmc.draws$beta <- fout$betaps
mcmc.draws$sigma2 <- fout$sigmasqps
mcmc.draws$sigma <- sqrt(fout$sigmasqps)
loglik.draws <- list()
loglik.draws$loglike <- fout$loglikeps
loglik.draws$logprior <- fout$logpriorps
loglik.draws$logjoint <- fout$loglikeps + fout$logpriorps
fit.draws <- list()
fit.draws$wbeta <- tcrossprod(fout$betaps, wdata)
post.est <- list()
betam <- apply(fout$betaps, 2, mean)
betas <- apply(fout$betaps, 2, sd)
post.est$betam <- betam
post.est$betas <- betas
sigma2m <- mean(fout$sigmasqps)
sigma2s <- sd(fout$sigmasqps)
post.est$sigma2m <- sigma2m
post.est$sigma2s <- sigma2s
sigmag <- sqrt(fout$sigmasqps)
sigmam <- mean(sigmag)
sigmas <- sd(sigmag)
post.est$sigmam <- sigmam
post.est$sigmas <- sigmas
if (marginal.likelihood) {
sfact <- 0.75
vfact <- sfact^2
beta_mn <- colMeans(fout$betaps)
beta_sn <- sfact * apply(fout$betaps, 2, sd)
beta_cov <- matrix(beta_sn, nparw, nparw) * (cor(fout$betaps)) * matrix(beta_sn, nparw, nparw)
beta_covi <- solve(beta_cov)
lndetbcov <- log(det(beta_cov))
sigma2_rn <- 2 * (2 + (mean(fout$sigmasqps)/(sfact * sd(fout$sigmasqps)))^2)
sigma2_sn <- mean(fout$sigmasqps) * (sigma2_rn - 2)
logg.lm <- .Fortran("bqreggetlogg", as.matrix(fout$betaps), as.double(fout$sigmasqps),
as.integer(smcmc), as.integer(nparw),
as.double(beta_mn), as.matrix(beta_covi), as.double(lndetbcov),
as.double(sigma2_rn), as.double(sigma2_sn), logg = numeric(smcmc),
NAOK = TRUE, PACKAGE = "bsamGP")$logg
logjoint.lm <- fout$logpriorps + fout$loglikeps
ratiog.lm <- logg.lm - logjoint.lm
mratio.lm <- max(ratiog.lm)
lilg.lm <- exp(ratiog.lm - mratio.lm)
lil <- -mratio.lm - log(mean(lilg.lm))
}
ym <- colMeans(tcrossprod(fout$betaps, wdata))
rsquarey <- cor(cbind(yobs, ym))^2
rsquarey <- rsquarey[1, 2]
res.out <- list()
res.out$call <- cl
res.out$model <- "blq"
res.out$y <- yobs
res.out$w <- wdata
res.out$p <- p
res.out$n <- nobs
res.out$ndimw <- ndimw
res.out$nparw <- nparw
res.out$yname <- yname
res.out$wnames <- wnames
res.out$prior <- privals
res.out$mcmctime <- mcmctime
res.out$mcmc <- mcvals
res.out$mcmc.draws <- mcmc.draws
res.out$fit.draws <- fit.draws
res.out$loglik.draws <- loglik.draws
res.out$post.est <- post.est
res.out$marglik <- marginal.likelihood
if (marginal.likelihood) {
res.out$lmarg <- lil[1]
}
res.out$rsquarey <- rsquarey
class(res.out) <- "blm"
res.out
}
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