pp_validate: Model validation via simulation

In rstanarm: Bayesian Applied Regression Modeling via Stan

Model validation via simulation

Description

The pp_validate function is based on the methods described in Cook, Gelman, and Rubin (2006) for validating software developed to fit particular Bayesian models. Here we take the perspective that models themselves are software and thus it is useful to apply this validation approach to individual models.

Usage

pp_validate(object, nreps = 20, seed = 12345, ...)

Arguments

object	A fitted model object returned by one of the rstanarm modeling functions. See stanreg-objects.
nreps	The number of replications to be performed. nreps must be sufficiently large so that the statistics described below in Details are meaningful. Depending on the model and the size of the data, running pp_validate may be slow. See also the Note section below for advice on avoiding numerical issues.
seed	A seed passed to Stan to use when refitting the model.
...	Currently ignored.

Details

We repeat nreps times the process of simulating parameters and data from the model and refitting the model to this simulated data. For each of the nreps replications we do the following:

1. Refit the model but without conditioning on the data (setting prior_PD=TRUE), obtaining draws \theta^{true} from the prior distribution of the model parameters.

2. Given \theta^{true}, simulate data y^\ast from the prior predictive distribution (calling posterior_predict on the fitted model object obtained in step 1).

3. Fit the model to the simulated outcome y^\ast, obtaining parameters \theta^{post}.

For any individual parameter, the quantile of the "true" parameter value with respect to its posterior distribution should be uniformly distributed. The validation procedure entails looking for deviations from uniformity by computing statistics for a test that the quantiles are uniformly distributed. The absolute values of the computed test statistics are plotted for batches of parameters (e.g., non-varying coefficients are grouped into a batch called "beta", parameters that vary by group level are in batches named for the grouping variable, etc.). See Cook, Gelman, and Rubin (2006) for more details on the validation procedure.

Value

A ggplot object that can be further customized using the ggplot2 package.

Note

In order to make it through nreps replications without running into numerical difficulties you may have to restrict the range for randomly generating initial values for parameters when you fit the original model. With any of rstanarm's modeling functions this can be done by specifying the optional argument init_r as some number less than the default of 2.

References

Cook, S., Gelman, A., and Rubin, D. (2006). Validation of software for Bayesian models using posterior quantiles. Journal of Computational and Graphical Statistics. 15(3), 675–692.

See Also

pp_check for graphical posterior predictive checks and posterior_predict to draw from the posterior predictive distribution.

color_scheme_set to change the color scheme of the plot.

Examples

if (.Platform$OS.type != "windows" || .Platform$r_arch != "i386") {
## Not run: 
if (!exists("example_model")) example(example_model)
try(pp_validate(example_model)) # fails with default seed / priors

## End(Not run)
}

rstanarm documentation built on May 29, 2024, 5:51 a.m.