diagnostic_posterior: Posteriors Sampling Diagnostic

In easystats/bayestestR: Understand and Describe Bayesian Models and Posterior Distributions

Posteriors Sampling Diagnostic

Description

Extract diagnostic metrics (Effective Sample Size (ESS), Rhat and Monte Carlo Standard Error MCSE).

Usage

diagnostic_posterior(posterior, ...)

## Default S3 method:
diagnostic_posterior(posterior, diagnostic = c("ESS", "Rhat"), ...)

## S3 method for class 'stanreg'
diagnostic_posterior(
  posterior,
  diagnostic = "all",
  effects = c("fixed", "random", "all"),
  component = c("location", "all", "conditional", "smooth_terms", "sigma",
    "distributional", "auxiliary"),
  parameters = NULL,
  ...
)

## S3 method for class 'brmsfit'
diagnostic_posterior(
  posterior,
  diagnostic = "all",
  effects = c("fixed", "random", "all"),
  component = c("conditional", "zi", "zero_inflated", "all"),
  parameters = NULL,
  ...
)

Arguments

posterior	A stanreg, stanfit, brmsfit, or blavaan object.
...	Currently not used.
diagnostic	Diagnostic metrics to compute. Character (vector) or list with one or more of these options: "ESS", "Rhat", "MCSE" or "all".
effects	Should parameters for fixed effects, random effects or both be returned? Only applies to mixed models. May be abbreviated.
component	Should all predictor variables, predictor variables for the conditional model, the zero-inflated part of the model, the dispersion term or the instrumental variables be returned? Applies to models with zero-inflated and/or dispersion formula, or to models with instrumental variable (so called fixed-effects regressions). May be abbreviated. Note that the conditional component is also called count or mean component, depending on the model.
parameters	Regular expression pattern that describes the parameters that should be returned.

Details

Effective Sample (ESS) should be as large as possible, although for most applications, an effective sample size greater than 1000 is sufficient for stable estimates (Bürkner, 2017). The ESS corresponds to the number of independent samples with the same estimation power as the N autocorrelated samples. It is is a measure of "how much independent information there is in autocorrelated chains" (Kruschke 2015, p182-3).

Rhat should be the closest to 1. It should not be larger than 1.1 (Gelman and Rubin, 1992) or 1.01 (Vehtari et al., 2019). The split Rhat statistic quantifies the consistency of an ensemble of Markov chains.

Monte Carlo Standard Error (MCSE) is another measure of accuracy of the chains. It is defined as standard deviation of the chains divided by their effective sample size (the formula for mcse() is from Kruschke 2015, p. 187). The MCSE "provides a quantitative suggestion of how big the estimation noise is".

References

• Gelman, A., & Rubin, D. B. (1992). Inference from iterative simulation using multiple sequences. Statistical science, 7(4), 457-472.

• Vehtari, A., Gelman, A., Simpson, D., Carpenter, B., and Bürkner, P. C. (2019). Rank-normalization, folding, and localization: An improved Rhat for assessing convergence of MCMC. arXiv preprint arXiv:1903.08008.

• Kruschke, J. (2014). Doing Bayesian data analysis: A tutorial with R, JAGS, and Stan. Academic Press.

Examples

# rstanarm models
# -----------------------------------------------
model <- suppressWarnings(
  rstanarm::stan_glm(mpg ~ wt + gear, data = mtcars, chains = 2, iter = 200, refresh = 0)
)
diagnostic_posterior(model)

# brms models
# -----------------------------------------------
model <- brms::brm(mpg ~ wt + cyl, data = mtcars)
diagnostic_posterior(model)

easystats/bayestestR documentation built on Dec. 20, 2024, 8:11 p.m.