groupSpike: Stochastic Search Variable Selection (Bernoulli-Normal...

In abnormally-distributed/Bayezilla: Bayesian Models With JAGS and Several Utilities for Data Exploration and Model Evaluation.

Description

IMPORTANT NOTICE: Center and scale your predictors before using this function.

Each group receives its own inclusion prior "phi" through a uniform beta(1, 1) prior. The marginal posterior means give the Bayesian Model Averaged estimates, which are the expected values of each parameter averaged over all possible (or all sampled) models (Hoeting et al., 1999).

Model Specification:

Usage

groupSpike(X, y, idx, family = "gaussian", phi_prior = c(1, 4),
  log_lik = FALSE, iter = 10000, warmup = 1000, adapt = 2000,
  chains = 4, thin = 1, method = "parallel", cl = makeCluster(2),
  ...)

Arguments

X	the model matrix. Construct this manually with model.matrix()[,-1]
y	the outcome variable
idx	the group labels. Should be of length = to ncol(model.matrix()[,-1]) with the group assignments for each covariate. Please ensure that you start numbering with 1, and not 0.
family	one of "gaussian", "binomial", or "poisson".
log_lik	Should the log likelihood be monitored? The default is FALSE.
iter	How many post-warmup samples? Defaults to 10000.
warmup	How many warmup samples? Defaults to 1000.
adapt	How many adaptation steps? Defaults to 2000.
chains	How many chains? Defaults to 4.
thin	Thinning interval. Defaults to 1.
method	Defaults to "parallel". For an alternative parallel option, choose "rjparallel". Otherwise, "rjags" (single core run).
cl	Use parallel::makeCluster(# clusters) to specify clusters for the parallel methods. Defaults to two cores.
...	Other arguments to run.jags.

Value

A run.jags object

References

Kuo, L., & Mallick, B. (1998). Variable Selection for Regression Models. Sankhyā: The Indian Journal of Statistics, Series B, 60(1), 65-81.

Yuan, Ming; Lin, Yi (2006). Model Selection and Estimation in Regression with Grouped Variables. Journal of the Royal Statistical Society. Series B (statistical Methodology). Wiley. 68 (1): 49–67. doi:10.1111/j.1467-9868.2005.00532.x

Hoeting, J. , Madigan, D., Raftery, A. & Volinsky, C. (1999). Bayesian model averaging: a tutorial. Statistical Science 14 382–417.

Examples

groupSpike()

abnormally-distributed/Bayezilla documentation built on Oct. 31, 2019, 1:57 a.m.