calculateWAIC  R Documentation 
In addition to the core online algorithm, NIMBLE implements an offline WAIC algorithm that can be computed on the results of an MCMC. In contrast to NIMBLE's builtin online WAIC, offline WAIC can compute only conditional WAIC and does not allow for grouping data nodes.
calculateWAIC(mcmc, model, nburnin = 0, thin = 1)
mcmc 
An MCMC object (compiled or uncompiled) or matrix or dataframe
of MCMC samples as the first argument of 
model 
A model (compiled or uncompiled) as the second argument of

nburnin 
The number of prethinning MCMC samples to remove from the beginning
of the posterior samples for offline WAIC calculation via 
thin 
Thinning factor interval to apply to the samples for offline
WAIC calculation using 
The ability to calculate WAIC post hoc after all MCMC sampling has been done
has certain advantages (e.g., allowing a user to exclude additional burnin
samples beyond that specified initially for the MCMC) in addition to
providing compatibility with versions of NIMBLE before 0.12.0. This
functionality includes the ability to call the calculateWAIC
function
on an MCMC object or matrix of samples after running an MCMC and without
setting up the MCMC initially to use WAIC.
Important: The necessary variables to compute WAIC (all stochastic parent nodes of the data nodes) must have been monitored when setting up the MCMC.
See help(waic)
for details on using NIMBLE's recommended online
algorithm for WAIC.
As an alternative to online WAIC, NIMBLE also provides a function,
calculateWAIC
, that can be called on an MCMC object or a matrix of
samples, after running an MCMC. This function does not require that one
set enableWAIC = TRUE
nor WAIC = TRUE
when calling
runMCMC
. The function checks that the necessary variables were
monitored in the MCMC and returns an error if they were not. This function
behaves identically to the calculateWAIC
method of an MCMC object.
Note that to use this function when using nimbleMCMC
one would
need to build the model outside of nimbleMCMC
.
The calculateWAIC
function requires either an MCMC object or a matrix
(or dataframe) of posterior samples plus a model object. In addition, one
can provide optional burnin
and thin
arguments.
In addition, for compatibility with older versions of NIMBLE (prior to
v0.12.0), one can also use the calculateWAIC
method of the MCMC
object to calculate WAIC after all sampling has been completed.
The calculateWAIC()
method accepts a single argument, nburnin
,
equivalent to the nburnin
argument of the calculateWAIC
function described above.
The calculateWAIC
method can only be used if the enableWAIC
argument to configureMCMC
or to buildMCMC
is set to TRUE
,
or if the NIMBLE option enableWAIC
is set to TRUE
. If a user
attempts to call calculateWAIC
without having set
enableWAIC = TRUE
(either in the call to configureMCMC
, or
buildMCMC
, or as a NIMBLE option), an error will occur.
The calculateWAIC
function and method calculate the WAIC based on
Equations 5, 12, and 13 in Gelman et al. (2014) (i.e., using pWAIC2).
Note that there is not a unique value of WAIC for a model. The
calculateWAIC
function and method only provide the conditional WAIC,
namely the version of WAIC where all parameters directly involved in the
likelihood are treated as theta for the purposes of Equation 5 from
Gelman et al. (2014). As a result, the user must set the MCMC monitors
(via the monitors
argument) to include all stochastic nodes that
are parents of any data nodes; by default the MCMC monitors are only the
toplevel nodes of the model. For more detail on the use of different
predictive distributions, see Section 2.5 from Gelman et al. (2014) or
Ariyo et al. (2019).
Also note that WAIC relies on a partition of the observations, i.e.,
'pointwise' prediction. In calculateWAIC
the sum over log pointwise
predictive density values treats each data node as contributing a single
value to the sum. When a data node is multivariate, that data node contributes
a single value to the sum based on the joint density of the elements in the
node. Note that if one wants the WAIC calculation via calculateWAIC
to be based on the joint predictive density for each group of observations
(e.g., grouping the observations from each person or unit in a longitudinal
data context), one would need to use a multivariate distribution for the
observations in each group (potentially by writing a userdefined
distribution).
For more control over and flexibility in how WAIC is calculated, see
help(waic)
.
Joshua Hug and Christopher Paciorek
Watanabe, S. (2010). Asymptotic equivalence of Bayes cross validation and widely applicable information criterion in singular learning theory. Journal of Machine Learning Research 11: 35713594.
Gelman, A., Hwang, J. and Vehtari, A. (2014). Understanding predictive information criteria for Bayesian models. Statistics and Computing 24(6): 9971016.
Ariyo, O., Quintero, A., Munoz, J., Verbeke, G. and Lesaffre, E. (2019). Bayesian model selection in linear mixed models for longitudinal data. Journal of Applied Statistics 47: 890913.
Vehtari, A., Gelman, A. and Gabry, J. (2017). Practical Bayesian model evaluation using leaveoneout crossvalidation and WAIC. Statistics and Computing 27: 14131432.
Hug, J.E. and Paciorek, C.J. (2021). A numerically stable online implementation and exploration of WAIC through variations of the predictive density, using NIMBLE. arXiv eprint <arXiv:2106.13359>.
waic
configureMCMC
buildMCMC
runMCMC
nimbleMCMC
code < nimbleCode({ for(j in 1:J) { for(i in 1:n) y[j, i] ~ dnorm(mu[j], sd = sigma) mu[j] ~ dnorm(mu0, sd = tau) } tau ~ dunif(0, 10) sigma ~ dunif(0, 10) }) J < 5 n < 10 y < matrix(rnorm(J*n), J, n) Rmodel < nimbleModel(code, constants = list(J = J, n = n), data = list(y = y), inits = list(tau = 1, sigma = 1)) ## Make sure the needed variables are monitored. ## Only conditional WAIC without data grouping is available via this approach. conf < configureMCMC(Rmodel, monitors = c('mu', 'sigma')) ## Not run: Cmodel < compileNimble(Rmodel) Rmcmc < buildMCMC(conf) Cmcmc < compileNimble(Rmcmc, project = Rmodel) output < runMCMC(Cmcmc, niter = 1000) calculateWAIC(Cmcmc) # Can run on the MCMC object calculateWAIC(output, Rmodel) # Can run on the samples directly ## Apply additional burnin (additional to any burnin already done in the MCMC. calculateWAIC(Cmcmc, burnin = 500) ## End(Not run)
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