LSBP_VB | R Documentation |
This function is an implementation of the variational Bayes Algorithm 3 in Rigon, T. and Durante, D. (2020).
LSBP_VB(Formula, data, H, prior, control = control_VB(), verbose = TRUE)
Formula |
An object of class |
data |
A data frame containing the variables described in |
H |
An integer indicating the number of mixture components. |
prior |
A list of prior hyperparameters as returned by |
control |
A list as returned by |
verbose |
A logical value indicating whether additional information should be displayed while the algorithm is running. |
The Formula
specification contains the response y
, separated from the covariates with the symbol '~
', and two sets of covariates. The latters are separated by the symbol '|
', indicating the kernel covariates and the mixing covariates, respectively. For example, one could specify y ~ x1 + x2 | x3 + x4
. NOTE: if the second set of covariates is omitted, then it is implicitely assumed that the two sets are the same.
If offsets
or weights
are provided in Formula
, they will be IGNORED in the current version.
A predict
method is available and described at predict.LSBP_VB
.
The output is an object of class "LSBP_VB
" containing the following quantities:
param
. A list containing the parameters for the variational approximation of each distribution: mu_mixing
, Sigma_mixing
, mu_kernel
, Sigma_kernel
, a_tilde
, b_tilde
.
cluster
. A n
dimensional vector containing, for each observation, the mixture component having with the highest probability.
z
. A n x H
matrix containing the probabilities of belonging to each of the mixture components, where n
denotes the number of observations.
lowerbound
. The lowerbound
is the evidence lower bound (ELBO) of the model at convergence. NOTE: the lowerbound
is reported up to an additive constant.
call
. The input Formula.
data
. The input data frame.
control
. The control list provided as input.
H
. The input number of mixture components.
prior
. The input prior hyperparameters.
Rigon, T. and Durante, D., (2020), Tractable Bayesian density regression via logit stick-breaking priors. Journal of Statistical Planning and Inference.
data(cars) # A model with constant kernels fit_vb <- LSBP_VB(dist ~ 1 | speed, data = cars, H = 4) plot(cars) lines(cars$speed, colMeans(predict(fit_vb))) # A model with linear kernels fit_vb <- LSBP_VB(dist ~ speed | speed, data = cars, H = 2) plot(cars) lines(cars$speed, colMeans(predict(fit_vb)))
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