BayesMoFo-vignette
This vignette is intended to show how an analysis of mortality data would work using the BayesMoFo R package. We start by installing and loading the package.
# install package
# Recommended installation
# install.packages("BayesMoFo")
# Development version (use only if needed)
# install.packages("devtools")
# devtools::install_github("jstw1g09/Rpackage-BayesMoFo")
#load package
library(BayesMoFo)The package fits various mortality models to two types of data: age-period (AP) data and age-period-product (APP) data. AP data refers to data structured by individuals’ age and the calendar period (or year) in which events (such as deaths or exposures) are observed. Each observation corresponds to a specific age and period combination, summarising the number of events and the population at risk for that group. For example, an AP dataset might record the number of deaths and the exposure (population at risk) for individuals aged 50 in the year 2010, aged 51 in 2011, and so on.
APP data extends the AP framework by including an additional stratifying variable - the “product” - which in general can be any other stratifying variable (such as cause of death, country, deprivation level, gender/sex, geographical location/region, insurance product, marital status, socioeconomic group, smoking behaviour, etc.). Each observation in an APP dataset corresponds to a specific combination of age, period, and product, capturing the number of events and the population at risk for that stratum. For example, an APP dataset might record deaths and exposures for individuals aged 50 in 2010, by cause of death or by insurance product type.
We will separately consider each analysis.
Age-Period (AP) data
Data preparation
The package accepts several types of data formats. For AP data, users can supply a data-frame, a 3-dimensional (3D) data array, or a data matrix.
Data supplied as a data-frame
The data needs to be formatted as a data.frame with
columns name Age, Year, Deaths and
Exposures. An example is provided below.
You can access a dataset in this format for comparison by running
The first few lines of the data look like the following:
head(uk_mortalitydata, n = 20)
#> Age Year Deaths Exposures
#> 1 0 1922 74065.19 908771.5
#> 2 1 1922 23947.07 916468.6
#> 3 2 1922 10891.03 866680.1
#> 4 3 1922 4507.01 727009.9
#> 5 4 1922 2870.01 657473.8
#> 6 5 1922 2692.41 704711.4
#> 7 6 1922 2339.34 764959.2
#> 8 7 1922 2009.12 811532.0
#> 9 8 1922 1724.79 837073.8
#> 10 9 1922 1554.36 838640.6
#> 11 10 1922 1482.40 834416.1
#> 12 11 1922 1414.43 836638.8
#> 13 12 1922 1467.02 847043.2
#> 14 13 1922 1569.20 857801.8
#> 15 14 1922 1764.97 857463.9
#> 16 15 1922 1855.20 846678.5
#> 17 16 1922 2116.68 836631.3
#> 18 17 1922 2261.27 826264.3
#> 19 18 1922 2400.99 814563.2
#> 20 19 1922 2582.88 805320.9Next, we need to format the data in the format necessary for the function runBayesMoFo to work properly. To do this, we pass the dataset (separately for death and exposure) to the function preparedata_fn, which takes the arguments ages, years, and data. In the case of deaths, we pass the data using the column Age, Year, and Claim; and in the case of exposures, we use Exposure in place of Claim.
Data supplied as a 3D data array
Alternatively, users can supply the data as a 3-dimensional (3D) data
array. dxt_array_product is a 3D array containing mortality
data stratified by insurance product (see
?dxt_array_product for details), where dim one: 4 insurance
products, dim two: 83 ages, dim three: 5 years.
data("dxt_array_product")
data("Ext_array_product")
# preview of death data the 1st insurance product called "ACI"
str(dxt_array_product["ACI",,,drop = FALSE])
#> num [1, 1:83, 1:5] 0 1.01 0 0 2 ...
#> - attr(*, "dimnames")=List of 3
#> ..$ : chr "ACI"
#> ..$ : chr [1:83] "18" "19" "20" "21" ...
#> ..$ : chr [1:5] "2016" "2017" "2018" "2019" ...Similarly, users can prepare the data by either by inputting the data
as a 3-way array, or by specifying the name of the stratum to load using
the argument strat_name:
# inputting the data as a 3-way array
death <- preparedata_fn(dxt_array_product["ACI",,,drop = FALSE], ages = 35:65, years = 2016:2020)
expo <- preparedata_fn(Ext_array_product["ACI",,,drop = FALSE], ages = 35:65, years = 2016:2020)
# specifying the name of the stratum to load using `strat_name`
death <- preparedata_fn(dxt_array_product,strat_name="ACI", ages = 35:65, years = 2016:2020)
expo <- preparedata_fn(Ext_array_product,strat_name="ACI", ages = 35:65, years = 2016:2020)Data array types are less conventional but can be useful if data has been stored as it is. Preserving this data structure is useful for JAGS implementation later (for package development purposes).
Data supplied as a data matrix
Suppose the data is provided in a 2-dimensional matrix format by age and year, commonly used in the literature. For example, the following is an illustration:
# preview of death data the 1st insurance product called "ACI"
str(dxt_array_product["ACI",,,drop = TRUE])
#> num [1:83, 1:5] 0 1.01 0 0 2 ...
#> - attr(*, "dimnames")=List of 2
#> ..$ : chr [1:83] "18" "19" "20" "21" ...
#> ..$ : chr [1:5] "2016" "2017" "2018" "2019" ...To prepare data of type matrix, users need to specify the argument
data_matrix=TRUE.
Running the model
For illustrative purposes, we chose the UK mortality data.
Once the data have been prepared, they can be passed to runBayesMoFo, which is the core function in the package for estimating mortality models.
As this package is built on top of the rjags package, it
is capable of handling missing values in the death data, provided they
are coded as NA. However, if missing values are present in
the exposures data, these will be automatically replaced with a default
value of 100, and predictions will be performed using that value. If the
user wishes to perform prediction for a specific exposure value, they
can manually set the desired value of the exposure (leaving the value of
death count as NA, of course).
Users also have the option to perform model selection, depending on
their needs. If more than one model is provided in the
models argument, model selection is performed by default
using deviance information criterion (DIC). The argument
models can be set equal to:
- “all”, in which case, all models are fitted;
- a vector with the name of the models, in which case the models in the list are fitted;
- If the argument is left unspecified, a default set of models is fitted.
For example, the code below fit the LC,
CMB_M3, and APCI models to the data.
Note that one can also run the individual functions rather than using the function runBayesMoFo. For example,
All other functions for analysing the output (see later) would work equally. That being said, users are highly recommend to use the function runBayesMoFo even when only one model is needed. That is,
The full list of models, with the specific names, is available by
checking ?runBayesMoFo. Alternatively, one can query the
model details through the documentation within the package,
i.e. ?fit_LC.
The argument family defines the specification for the
distribution of death. A summary is as below (note that for AP data,
just suppress the subscript \(p\)):
If
family="poisson", then as proposed by Brouhns et al. (2002), \[d_{x,t,p} \sim \text{Poisson}(E^c_{x,t,p} m_{x,t,p}) , \] where \(d_{x,t,p}\) represents the number of deaths at age \(x\) in year \(t\) of stratum \(p\), while \(E^c_{x,t,p}\) and \(m_{x,t,p}\) represents respectively the corresponding central exposed to risk and central mortality rate at age \(x\) in year \(t\) of stratum \(p\). The specification is used in conjunction with the log link function, i.e. \[\log(m_{x,t,p}) = \eta_{x,t,p} \] where \(\eta_{x,t,p}\) is the predictor that depends on the functional form of the mortality model, a full list of which is provided in Appendices A and B.Similarly, if
family="nb"(default), then a negative binomial distribution is fitted with the log link function, i.e. \[d_{x,t,p} \sim \text{Negative-Binomial}(\phi,\frac{\phi}{\phi+E^c_{x,t,p} m_{x,t,p}}) , \] \[\log(m_{x,t,p}) = \eta_{x,t,p} , \] where \(\phi\) is the overdispersion parameter. This specification of the death distribution is standard practice for incorporating overdispersion, a phenomenon commonly observed in mortality modelling. See Wong et al. (2023).If
\code{family="binomial"}, then \[d_{x,t,p} \sim \text{Binomial}(E^0_{x,t,p} , q_{x,t,p}) , \] where \(q_{x,t,p}\) represents the initial mortality rate at age \(x\) in year \(t\) of stratum \(p\), while \(E^0_{x,t,p}\approx E^c_{x,t,p}+\frac{1}{2}d_{x,t,p}\) is the corresponding initial exposed to risk. The binomial specification is used in conjunction with the logit link function, i.e. \[\text{logit}(q_{x,t,p})= \log(\frac{q_{x,t,p}}{1-q_{x,t,p}}) = \eta_{x,t,p}. \]
For example, the following fit the same set of models using the Poisson distribution for modelling number of death.
There are also other arguments for customising the MCMC sampling of the posterior distributions, as below:
n.adaptspecifies the number of iterations for the adaptation phase. See?rjags::adaptfor more details.n.chainspecifies the number of parallel chains for the posterior sampling under each model.n_iterspecifies the number of iterations in the posterior sampling.thinspecifies the thinning interval for the posterior sampling
Forecast
As part of the function runBayesMoFo, forecasting
can be performed by setting the argument forecast=TRUE,
with the parameter h specifying the forecast horizon. For
example, the code below fit the LC, CMB_M3,
and APCI models to the data, and forecast the models for
h=6 time points into the future.
fitmodel_forecast <- runBayesMoFo(death, expo,
models = c("LC",
"CBD_M3",
"APCI"),
forecast = TRUE,
h = 6,
n.chain = 2
)
#> Compiling model graph
#> Resolving undeclared variables
#> Allocating nodes
#> Graph information:
#> Observed stochastic nodes: 651
#> Unobserved stochastic nodes: 248
#> Total graph size: 7904
#>
#> Initializing model
#>
#> Completed: LC (1/3)
#> Compiling model graph
#> Resolving undeclared variables
#> Allocating nodes
#> Graph information:
#> Observed stochastic nodes: 651
#> Unobserved stochastic nodes: 304
#> Total graph size: 6383
#>
#> Initializing model
#> NOTE: Stopping adaptation
#>
#>
#> Completed: CBD_M3 (2/3)
#> Compiling model graph
#> Resolving undeclared variables
#> Allocating nodes
#> Graph information:
#> Observed stochastic nodes: 651
#> Unobserved stochastic nodes: 302
#> Total graph size: 8266
#>
#> Initializing model
#> NOTE: Stopping adaptation
#>
#>
#> Completed: APCI (3/3)Analyzing the output
After running the model, users can then query the best and worst models (in terms of DIC) among the competing models.
A table showing the DIC of all models fitted can be returned too.
One can retrieve the fitted results for the best and worst performing
models, both of which are of type fit_result.
The function plot_param_fn plots all the fitted
parameters of the model specified, using posterior samples generated. If
more than one models were specified previously when running
runBayesMoFo, then only the best model will be
illustrated.
As evident in the plot, all fitted and forecasted parameters will be
included, with solid lines indicating the medians and dashed lines
representing the credible intervals generated from the posterior
samples. By default, the intervals are constructed based on 95%
credibility, but can be changed using the argument
pred_int. For instance, for 80% credible intervals,
The argument legends argument can be used to suppress
the legends for better visualisation (e.g. if visibility is blocked by
the legend boxes).
The function plot_rates_fn plots the fitted death rates
of the model specified for specific ages and years, using posterior
samples generated. Again, if more than one models were specified
previously when running runBayesMoFo, then only the
best model will be illustrated. By default, the (log) death rates will
be plotted against age for the first nine years.
As before, both fitted and forecasted death rates will be included,
with solid lines indicating the medians and dashed lines representing
the credible intervals (95% by default but can be changed using the
argument pred_int) generated from the posterior samples.
Also, observed crude death rates will also be included as coloured
dots.
plot_rates_fn(fitmodel_forecast)
#> Warning in plot_rates_fn(fitmodel_forecast): Too many years selected, only
#> printing the first 9 years.
For better visualisation, one may customise the argument
plot_years to plot only selected years. Note that if more
than nine years have been specified, then only the first nine years will
be plotted.
The argument plot_type allows users to plot death rates
against year instead to better visualise temporal variations in death
rates. The argument plot_ages can be used accordingly to
specify which ages to plot.
The function summary_fn produces a summary of the model
results, including posterior means, standard deviations, medians, lower
and upper quantiles based on the credibility specified using
pred_int.
To obtain the posterior means and standard deviations of all death rates,
#posterior means
summary_fitmodel$rates_summary$mean
#posterior standard deviations
summary_fitmodel$rates_summary$stdTo obtain the posterior medians and lower/upper quantiles of all death rates,
#posterior medians
summary_fitmodel$rates_pn$median
#lower quantiles
summary_fitmodel$rates_pn$lower
#upper quantiles
summary_fitmodel$rates_pn$upperCorrespondingly, for model parameters,
Convergence diagnostics
Users can assess if convergence has been attained by the MCMC
posterior sampling procedure. The functions diag_rates_fn
produces (by default) trace plots, density plots, as well as effective
sample sizes of the posterior samples of death rates under the best
model. For example,
The effective sample sizes can be viewed as:
diagnostics_rates_result$ESS
#> q[1,1,2] q[1,1,17] q[1,1,21] q[1,4,2] q[1,4,17] q[1,4,21] q[1,18,2]
#> 123.51274 83.52100 2000.00000 376.94385 179.51634 27.23326 126.55769
#> q[1,18,17] q[1,18,21]
#> 194.28539 146.09357The arguments plot_strata, plot_ages,
plot_years can be used to specify which death rates to
examine, as follows.
#> $ESS
#> q[1,6,17] q[1,6,21] q[1,6,25] q[1,16,17] q[1,16,21] q[1,16,25] q[1,26,17]
#> 268.25751 98.32316 434.40921 206.86825 170.98738 1469.65707 230.37002
#> q[1,26,21] q[1,26,25]
#> 203.33335 1713.25339The arguments trace and density can be used
to specify only plotting one of them or none according to personal
preferences.
#for only trace plots
converge_diag_rates_fn(fitmodel_forecast, plot_ages = c(35,45,55), plot_years = c(2016,2020,2024), trace = TRUE, density = FALSE)Auto-correlation plots can also displayed to check if posterior samples are too correlated.
#for only acf plots
converge_diag_rates_fn(fitmodel_forecast, plot_ages = c(35,45,55), plot_years = c(2016,2020,2024), trace = FALSE, density = FALSE, acf_plot = TRUE)
#> $ESS
#> q[1,6,17] q[1,6,21] q[1,6,25] q[1,16,17] q[1,16,21] q[1,16,25] q[1,26,17]
#> 268.25751 98.32316 434.40921 206.86825 170.98738 1469.65707 230.37002
#> q[1,26,21] q[1,26,25]
#> 203.33335 1713.25339Similarly, convergence can be assessed for fitted parameters using
the function converge_diag_rates_fn.
#> NOTE: Only showing three randomly selected alpha.
#> NOTE: Only showing three randomly selected kappa.
#> NOTE: Only showing three randomly selected gamma.The effective sample sizes can be viewed as:
diagnostics_param_result$ESS
#> eta[1] eta[2] rho rho_gamma sigma2_kappa sigma2_gamma
#> 1466.776520 628.284590 1040.065733 42.076080 695.853968 32.040238
#> phi alpha[1,18] alpha[1,23] alpha[1,1] kappa[1,3] kappa[1,21]
#> 345.730921 952.974911 10.853637 9.714214 21.789444 26.644751
#> kappa[1,4] gamma[1,45] gamma[1,25] gamma[1,9]
#> 20.741508 5.492552 39.650932 5.325944By default, the function examines a selection of the parameters. But
the arguments plot_params can be used to specify which set
of parameters to examine, as follows.
converge_diag_param_fn(fitmodel_forecast, plot_params = c("kappa","gamma","rho","phi","sigma2_kappa"))
#> NOTE: Only showing three randomly selected kappa.
#> NOTE: Only showing three randomly selected gamma.
#> $ESS
#> rho rho_gamma phi sigma2_kappa kappa[1,3] kappa[1,12]
#> 1040.065733 42.076080 345.730921 695.853968 21.789444 117.735152
#> kappa[1,25] gamma[1,16] gamma[1,3] gamma[1,50]
#> 959.716693 10.561989 5.851227 17.631119To check the names of parameters available for examining:
fitmodel_forecast$result$best$param
#> [1] "alpha" "kappa" "gamma" "eta" "rho"
#> [6] "sigma2_kappa" "rho_gamma" "sigma2_gamma" "phi"For the rate-related parameters such as alpha, beta, kappa, gamma etc., only three of the randomly selected subset will be examined when specified. If a particular parameter is to be assessed, users need to specify clearly the indices of the parameters to be examined. For instance, the following will assess the beta parameters for the first stratum and the third age, as well as kappa for the first stratum and the fourth year.
#> $ESS
#> kappa[1,4] gamma[1,2]
#> 20.741508 8.630955To check the full list of parameters available for examining:
colnames(fitmodel_forecast$result$best$post_sample[[1]])[!startsWith(colnames(fitmodel_forecast$result$best$post_sample[[1]]),"q[")]
#> [1] "alpha[1,1]" "alpha[1,2]" "alpha[1,3]" "alpha[1,4]" "alpha[1,5]"
#> [6] "alpha[1,6]" "alpha[1,7]" "alpha[1,8]" "alpha[1,9]" "alpha[1,10]"
#> [11] "alpha[1,11]" "alpha[1,12]" "alpha[1,13]" "alpha[1,14]" "alpha[1,15]"
#> [16] "alpha[1,16]" "alpha[1,17]" "alpha[1,18]" "alpha[1,19]" "alpha[1,20]"
#> [21] "alpha[1,21]" "alpha[1,22]" "alpha[1,23]" "alpha[1,24]" "alpha[1,25]"
#> [26] "alpha[1,26]" "alpha[1,27]" "alpha[1,28]" "alpha[1,29]" "alpha[1,30]"
#> [31] "alpha[1,31]" "eta[1]" "eta[2]" "gamma[1,1]" "gamma[1,2]"
#> [36] "gamma[1,3]" "gamma[1,4]" "gamma[1,5]" "gamma[1,6]" "gamma[1,7]"
#> [41] "gamma[1,8]" "gamma[1,9]" "gamma[1,10]" "gamma[1,11]" "gamma[1,12]"
#> [46] "gamma[1,13]" "gamma[1,14]" "gamma[1,15]" "gamma[1,16]" "gamma[1,17]"
#> [51] "gamma[1,18]" "gamma[1,19]" "gamma[1,20]" "gamma[1,21]" "gamma[1,22]"
#> [56] "gamma[1,23]" "gamma[1,24]" "gamma[1,25]" "gamma[1,26]" "gamma[1,27]"
#> [61] "gamma[1,28]" "gamma[1,29]" "gamma[1,30]" "gamma[1,31]" "gamma[1,32]"
#> [66] "gamma[1,33]" "gamma[1,34]" "gamma[1,35]" "gamma[1,36]" "gamma[1,37]"
#> [71] "gamma[1,38]" "gamma[1,39]" "gamma[1,40]" "gamma[1,41]" "gamma[1,42]"
#> [76] "gamma[1,43]" "gamma[1,44]" "gamma[1,45]" "gamma[1,46]" "gamma[1,47]"
#> [81] "gamma[1,48]" "gamma[1,49]" "gamma[1,50]" "gamma[1,51]" "gamma[1,52]"
#> [86] "gamma[1,53]" "gamma[1,54]" "gamma[1,55]" "gamma[1,56]" "gamma[1,57]"
#> [91] "kappa[1,1]" "kappa[1,2]" "kappa[1,3]" "kappa[1,4]" "kappa[1,5]"
#> [96] "kappa[1,6]" "kappa[1,7]" "kappa[1,8]" "kappa[1,9]" "kappa[1,10]"
#> [101] "kappa[1,11]" "kappa[1,12]" "kappa[1,13]" "kappa[1,14]" "kappa[1,15]"
#> [106] "kappa[1,16]" "kappa[1,17]" "kappa[1,18]" "kappa[1,19]" "kappa[1,20]"
#> [111] "kappa[1,21]" "kappa[1,22]" "kappa[1,23]" "kappa[1,24]" "kappa[1,25]"
#> [116] "kappa[1,26]" "kappa[1,27]" "phi" "rho" "rho_gamma"
#> [121] "sigma2_gamma" "sigma2_kappa"The arguments trace and density can be used
to specify only plotting one of them or none according to personal
preferences.
#for only trace plots
converge_diag_param_fn(fitmodel_forecast, plot_params = c("kappa[1,4]","gamma[1,2]"), trace = TRUE, density = FALSE)Auto-correlation plots can also displayed to check if posterior samples are correlated.
#for only acf plots
converge_diag_param_fn(fitmodel_forecast, plot_params = c("kappa[1,4]","gamma[1,2]"), trace = FALSE, density = FALSE, acf_plot = TRUE)
#> $ESS
#> kappa[1,4] gamma[1,2]
#> 20.741508 8.630955Several other commonly used MCMC convergence diagnostics, such as
Gelman’s R statistic (Gelman and Rubin
(1992)), Geweke’s Z scores (Geweke
(1991)), Heidel’s Stationarity and Half-width tests (see Heidelberger and Welch (1981) and Heidelberger and Welch (1983) for more details),
can be computed and illustrated using the function
converge_diag_fn.
converge_diag_result<-converge_diag_fn(fitmodel_forecast, plot_gelman = TRUE, plot_geweke = TRUE)
#> Note: no convergence issues identified.
#Gelman's R
head(converge_diag_result$gelman_diag$psrf)
#> Point est. Upper C.I.
#> q[1,1,1] 1.013907 1.067183
#> q[1,2,1] 1.007813 1.027257
#> q[1,3,1] 1.002106 1.008194
#> q[1,4,1] 1.001907 1.010856
#> q[1,5,1] 1.011539 1.042846
#> q[1,6,1] 1.022023 1.101641
#Geweke's Z
head(converge_diag_result$geweke_diag$z)
#> q[1,1,1] q[1,2,1] q[1,3,1] q[1,4,1] q[1,5,1] q[1,6,1]
#> -2.4185440 -5.8672610 -2.2253517 -0.9398919 -0.1144942 2.1528947
#Heidel's Stationarity and Half-width tests
head(converge_diag_result$heidel_diag)
#> stest start pvalue htest mean halfwidth
#> q[1,1,1] 1 401 0.06444374 1 0.0007023075 8.587721e-07
#> q[1,2,1] 1 201 0.06951964 1 0.0007278810 7.635593e-07
#> q[1,3,1] 1 1 0.12625107 1 0.0007821351 1.091788e-06
#> q[1,4,1] 1 1 0.95947615 1 0.0008106899 1.793100e-06
#> q[1,5,1] 1 1 0.14125930 1 0.0008710451 8.766721e-07
#> q[1,6,1] 1 401 0.07624797 1 0.0009336915 1.277044e-06Age-period-product (APP) data
Data preparation
Similarly to before, the data needs to be formatted in a data.frame with columns name Age, Year, Deaths,Exposures and Cause. Some examples are provided below.
Data supplied as a data-frame
data(uk_deathscausedata)
head(uk_deathscausedata, n = 10)
#> # A tibble: 10 × 5
#> Age Year Deaths Exposures Cause
#> <dbl> <int> <dbl> <dbl> <chr>
#> 1 15 2001 0 1653794. L057
#> 2 15 2001 0.96 1653794. L108
#> 3 15 2001 0 1653794. L110
#> 4 15 2001 0 1653794. L115
#> 5 15 2001 0 1653794. L132
#> 6 20 2001 0 1577382. L057
#> 7 20 2001 3.03 1577382. L108
#> 8 20 2001 2.02 1577382. L110
#> 9 20 2001 1.01 1577382. L115
#> 10 20 2001 0 1577382. L132death <- preparedata_fn(uk_deathscausedata[,c("Age","Year","Deaths","Cause")])
expo <- preparedata_fn(uk_deathscausedata[,c("Age","Year","Exposures","Cause")])
#or if require a subset of the data
death <- preparedata_fn(uk_deathscausedata[,c("Age","Year","Deaths","Cause")],
ages = seq(45,90,by=5), years = 2001:2020)
expo <- preparedata_fn(uk_deathscausedata[,c("Age","Year","Exposures","Cause")],
ages = seq(45,90,by=5), years = 2001:2020)
str(death)
#> List of 7
#> $ data : num [1:5, 1:10, 1:20] 272 506 588 37 39 ...
#> ..- attr(*, "dimnames")=List of 3
#> .. ..$ : chr [1:5] "L057" "L108" "L110" "L115" ...
#> .. ..$ : chr [1:10] "45" "50" "55" "60" ...
#> .. ..$ : chr [1:20] "2001" "2002" "2003" "2004" ...
#> $ strat_name: chr [1:5] "L057" "L108" "L110" "L115" ...
#> $ ages : num [1:10] 45 50 55 60 65 70 75 80 85 90
#> $ years : int [1:20] 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 ...
#> $ n_strat : int 5
#> $ n_ages : int 10
#> $ n_years : int 20
str(expo)
#> List of 7
#> $ data : num [1:5, 1:10, 1:20] 1643774 1643774 1643774 1643774 1643774 ...
#> ..- attr(*, "dimnames")=List of 3
#> .. ..$ : chr [1:5] "L057" "L108" "L110" "L115" ...
#> .. ..$ : chr [1:10] "45" "50" "55" "60" ...
#> .. ..$ : chr [1:20] "2001" "2002" "2003" "2004" ...
#> $ strat_name: chr [1:5] "L057" "L108" "L110" "L115" ...
#> $ ages : num [1:10] 45 50 55 60 65 70 75 80 85 90
#> $ years : int [1:20] 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 ...
#> $ n_strat : int 5
#> $ n_ages : int 10
#> $ n_years : int 20As shown above, the cause of death data consists of numbers of death and exposures for five causes of death, spanning years 2001-2020 and 5-year age groups between 45-90.
Data supplied as a 3D data array
Alternatively, users may wish to supply data which is already sorted as a 3D array (dim 1: strata, dim 2: ages, dim 3: years).
Running the model
The syntax is similar to the case of the age-period data. The
function automatically recognises the structure of the data after being
processed by preparedata_fn. For illustration, we fit the
model by Li and Lee (2005) on the cause of
death data.
fitmodel_forecast <- runBayesMoFo(death, expo,
models = "MLiLee",
forecast = TRUE,
h = 5,
quiet = TRUE,
n.chain = 2
)
#> NOTE: Stopping adaptation
#>
#>
#> Completed: MLiLee (1/1)The argument quiet=TRUE was used to suppress messages
generated during model compilation stage.
Plot the output
The argument plot_type allows users to plot death rates
against year instead to better visualise temporal variations in death
rates. The argument plot_ages can be used accordingly to
specify which ages to plot.
Convergence diagnostics
diagnostics_param_result<-converge_diag_rates_fn(fitmodel_forecast, plot_ages = c(45,65,85), plot_years = c(2005,2020,2025))
#for only acf plots
converge_diag_rates_fn(fitmodel_forecast, plot_ages = c(45,65,85), plot_years = c(2005,2020,2025), trace = FALSE, density = FALSE, acf_plot = TRUE)
#> $ESS
#> q[2,1,5] q[2,1,20] q[2,1,25] q[2,5,5] q[2,5,20] q[2,5,25] q[2,9,5] q[2,9,20]
#> 304.4576 133.4379 1079.3330 158.6672 160.4233 1839.2047 232.0330 166.7742
#> q[2,9,25] q[3,1,5] q[3,1,20] q[3,1,25] q[3,5,5] q[3,5,20] q[3,5,25] q[3,9,5]
#> 1760.7256 267.8543 102.5355 1564.4651 173.1793 145.2371 2000.0000 191.6045
#> q[3,9,20] q[3,9,25] q[4,1,5] q[4,1,20] q[4,1,25] q[4,5,5] q[4,5,20] q[4,5,25]
#> 181.5738 1367.3483 175.7020 127.1973 217.0768 206.3575 126.2814 1284.3712
#> q[4,9,5] q[4,9,20] q[4,9,25]
#> 278.0192 180.6064 1473.1294The effective sample sizes can be viewed as:
diagnostics_param_result$ESS
#> q[1,1,5] q[1,1,20] q[1,1,25] q[1,5,5] q[1,5,20] q[1,5,25] q[1,9,5]
#> 194.36811 167.58131 1093.03796 176.07000 142.46873 743.02956 112.73086
#> q[1,9,20] q[1,9,25] q[2,1,5] q[2,1,20] q[2,1,25] q[2,5,5] q[2,5,20]
#> 93.96583 244.16563 304.45765 133.43793 1079.33299 158.66717 160.42330
#> q[2,5,25] q[2,9,5] q[2,9,20] q[2,9,25] q[3,1,5] q[3,1,20] q[3,1,25]
#> 1839.20468 232.03299 166.77421 1760.72562 267.85432 102.53546 1564.46506
#> q[3,5,5] q[3,5,20] q[3,5,25] q[3,9,5] q[3,9,20] q[3,9,25]
#> 173.17927 145.23714 2000.00000 191.60449 181.57385 1367.34830By default, the function examines a selection of the parameters. But
the arguments plot_params can be used to specify which set
of parameters to examine, as follows.
converge_diag_param_fn(fitmodel_forecast, plot_params = c("beta","kappa","rho","phi","sigma2_kappa"))
#> NOTE: Only showing three randomly selected beta.
#> NOTE: Only showing three randomly selected kappa.
#> $ESS
#> rho_Kappa rho_kappa phi sigma2_kappa beta[1,2] beta[4,5]
#> 375.43834 1037.52218 121.49957 524.61950 17.84837 49.85918
#> beta[4,10] kappa[3,16] kappa[3,15] kappa[3,25]
#> 56.85467 151.18698 164.39823 2000.00000To check the names of parameters available for examining:
fitmodel_forecast$result$best$param
#> [1] "alpha" "beta" "kappa" "Beta" "Kappa"
#> [6] "eta_kappa" "rho_kappa" "sigma2_kappa" "eta_Kappa" "rho_Kappa"
#> [11] "sigma2_Kappa" "phi"For the predictor-related parameters such as alpha, beta, kappa, gamma etc., only three of the randomly selected subset will be examined when specified. If a particular parameter is to be assessed, users need to specify clearly the indices of the parameters to be examined. For instance, the following will assess the beta parameters for the first stratum and the third age, as well as kappa for the second stratum and the fourth year.
#> $ESS
#> beta[1,3] kappa[2,4]
#> 41.99436 154.64983To check the full list of parameters available for examining:
colnames(fitmodel_forecast$result$best$post_sample[[1]])[!startsWith(colnames(fitmodel_forecast$result$best$post_sample[[1]]),"q[")]
#> [1] "Beta[1]" "Beta[2]" "Beta[3]" "Beta[4]" "Beta[5]"
#> [6] "Beta[6]" "Beta[7]" "Beta[8]" "Beta[9]" "Beta[10]"
#> [11] "Kappa[1]" "Kappa[2]" "Kappa[3]" "Kappa[4]" "Kappa[5]"
#> [16] "Kappa[6]" "Kappa[7]" "Kappa[8]" "Kappa[9]" "Kappa[10]"
#> [21] "Kappa[11]" "Kappa[12]" "Kappa[13]" "Kappa[14]" "Kappa[15]"
#> [26] "Kappa[16]" "Kappa[17]" "Kappa[18]" "Kappa[19]" "Kappa[20]"
#> [31] "Kappa[21]" "Kappa[22]" "Kappa[23]" "Kappa[24]" "Kappa[25]"
#> [36] "alpha[1,1]" "alpha[2,1]" "alpha[3,1]" "alpha[4,1]" "alpha[5,1]"
#> [41] "alpha[1,2]" "alpha[2,2]" "alpha[3,2]" "alpha[4,2]" "alpha[5,2]"
#> [46] "alpha[1,3]" "alpha[2,3]" "alpha[3,3]" "alpha[4,3]" "alpha[5,3]"
#> [51] "alpha[1,4]" "alpha[2,4]" "alpha[3,4]" "alpha[4,4]" "alpha[5,4]"
#> [56] "alpha[1,5]" "alpha[2,5]" "alpha[3,5]" "alpha[4,5]" "alpha[5,5]"
#> [61] "alpha[1,6]" "alpha[2,6]" "alpha[3,6]" "alpha[4,6]" "alpha[5,6]"
#> [66] "alpha[1,7]" "alpha[2,7]" "alpha[3,7]" "alpha[4,7]" "alpha[5,7]"
#> [71] "alpha[1,8]" "alpha[2,8]" "alpha[3,8]" "alpha[4,8]" "alpha[5,8]"
#> [76] "alpha[1,9]" "alpha[2,9]" "alpha[3,9]" "alpha[4,9]" "alpha[5,9]"
#> [81] "alpha[1,10]" "alpha[2,10]" "alpha[3,10]" "alpha[4,10]" "alpha[5,10]"
#> [86] "beta[1,1]" "beta[2,1]" "beta[3,1]" "beta[4,1]" "beta[1,2]"
#> [91] "beta[2,2]" "beta[3,2]" "beta[4,2]" "beta[1,3]" "beta[2,3]"
#> [96] "beta[3,3]" "beta[4,3]" "beta[1,4]" "beta[2,4]" "beta[3,4]"
#> [101] "beta[4,4]" "beta[1,5]" "beta[2,5]" "beta[3,5]" "beta[4,5]"
#> [106] "beta[1,6]" "beta[2,6]" "beta[3,6]" "beta[4,6]" "beta[1,7]"
#> [111] "beta[2,7]" "beta[3,7]" "beta[4,7]" "beta[1,8]" "beta[2,8]"
#> [116] "beta[3,8]" "beta[4,8]" "beta[1,9]" "beta[2,9]" "beta[3,9]"
#> [121] "beta[4,9]" "beta[1,10]" "beta[2,10]" "beta[3,10]" "beta[4,10]"
#> [126] "eta_Kappa[1]" "eta_Kappa[2]" "eta_kappa[1]" "eta_kappa[2]" "kappa[1,1]"
#> [131] "kappa[2,1]" "kappa[3,1]" "kappa[4,1]" "kappa[1,2]" "kappa[2,2]"
#> [136] "kappa[3,2]" "kappa[4,2]" "kappa[1,3]" "kappa[2,3]" "kappa[3,3]"
#> [141] "kappa[4,3]" "kappa[1,4]" "kappa[2,4]" "kappa[3,4]" "kappa[4,4]"
#> [146] "kappa[1,5]" "kappa[2,5]" "kappa[3,5]" "kappa[4,5]" "kappa[1,6]"
#> [151] "kappa[2,6]" "kappa[3,6]" "kappa[4,6]" "kappa[1,7]" "kappa[2,7]"
#> [156] "kappa[3,7]" "kappa[4,7]" "kappa[1,8]" "kappa[2,8]" "kappa[3,8]"
#> [161] "kappa[4,8]" "kappa[1,9]" "kappa[2,9]" "kappa[3,9]" "kappa[4,9]"
#> [166] "kappa[1,10]" "kappa[2,10]" "kappa[3,10]" "kappa[4,10]" "kappa[1,11]"
#> [171] "kappa[2,11]" "kappa[3,11]" "kappa[4,11]" "kappa[1,12]" "kappa[2,12]"
#> [176] "kappa[3,12]" "kappa[4,12]" "kappa[1,13]" "kappa[2,13]" "kappa[3,13]"
#> [181] "kappa[4,13]" "kappa[1,14]" "kappa[2,14]" "kappa[3,14]" "kappa[4,14]"
#> [186] "kappa[1,15]" "kappa[2,15]" "kappa[3,15]" "kappa[4,15]" "kappa[1,16]"
#> [191] "kappa[2,16]" "kappa[3,16]" "kappa[4,16]" "kappa[1,17]" "kappa[2,17]"
#> [196] "kappa[3,17]" "kappa[4,17]" "kappa[1,18]" "kappa[2,18]" "kappa[3,18]"
#> [201] "kappa[4,18]" "kappa[1,19]" "kappa[2,19]" "kappa[3,19]" "kappa[4,19]"
#> [206] "kappa[1,20]" "kappa[2,20]" "kappa[3,20]" "kappa[4,20]" "kappa[1,21]"
#> [211] "kappa[2,21]" "kappa[3,21]" "kappa[4,21]" "kappa[1,22]" "kappa[2,22]"
#> [216] "kappa[3,22]" "kappa[4,22]" "kappa[1,23]" "kappa[2,23]" "kappa[3,23]"
#> [221] "kappa[4,23]" "kappa[1,24]" "kappa[2,24]" "kappa[3,24]" "kappa[4,24]"
#> [226] "kappa[1,25]" "kappa[2,25]" "kappa[3,25]" "kappa[4,25]" "phi"
#> [231] "rho_Kappa" "rho_kappa" "sigma2_Kappa" "sigma2_kappa"The arguments trace and density can be used
to specify only plotting one of them or none according to personal
preferences.
#for only trace plots
converge_diag_param_fn(fitmodel_forecast, plot_params = c("beta[1,3]","kappa[2,4]"), trace = TRUE, density = FALSE)Auto-correlation plots can also displayed to check if posterior samples are correlated.
#for only acf plots
converge_diag_param_fn(fitmodel_forecast, plot_params = c("beta[1,3]","kappa[2,4]"), trace = FALSE, density = FALSE, acf_plot = TRUE)
#> $ESS
#> beta[1,3] kappa[2,4]
#> 41.99436 154.64983Convergence diagnostics can be applied as usual, but are not run in the example below.
#Gelman's R
head(converge_diag_result$gelman_diag$psrf)
#Geweke's Z
head(converge_diag_result$geweke_diag$z)
#Heidel's Stationarity and Half-width tests
head(converge_diag_result$heidel_diag)Interestingly, there is an article discussing the use of common (shared) cohort effects for modelling cause of death data as described by Cairns (2023). Thus, we can fit some of the models that incorporate shared cohort effects as below (NOT RUN).
fitmodel_forecast <- runBayesMoFo(death, expo,
models = c("APCI_sharegamma",
"RH_sharegamma"),
forecast = TRUE,
h = 5,
quiet = TRUE
)Appendix A: full list of age-period models considered
| Model | Predictor, \(\eta_{x,t}\) |
|---|---|
| APCI | \(a_{x}+b_{x}(t-\bar{t})+k_{t} + \gamma_{c}\) |
| CBD_M3 | \(a_{x}+k_{t} + \gamma_{c}\) |
| CBD_M5 | \(k^1_{t} + k^2_{t}(x-\bar{x})\) |
| CBD_M6 | \(k^1_{t} + k^2_{t}(x-\bar{x}) +\gamma_{c}\) |
| CBD_M7 | \(k^1_{t} + k^2_{t}(x-\bar{x}) + k^3_{t}((x-\bar{x})^2-\hat{\sigma}_x^2) +\gamma_{c}\) |
| CBD_M8 | \(k^1_{t} + k^2_{t}(x-\bar{x}) +\gamma_{c}(constant-x)\) |
| LC | \(a_{x}+b_{x}k_{t}\) |
| MLiLee | \(a_{x}+B_xK_t\) |
| PLAT | \(a_{x}+k^1_{t} + k^2_{t}(\bar{x}-x) + k^3_{t}(\bar{x}-x)^+ +\gamma_{c}\) |
| RH | \(a_{x}+b_{x}k_{t} + \gamma_{c}\) |
Appendix B: full list of age-period-product models considered
| Model | Predictor, \(\eta_{x,t,p}\) |
|---|---|
| APCI | \(a_{x,p}+b_{x,p}(t-\bar{t})+k_{t,p} + \gamma_{c,p}\) |
| APCI_sharealpha | \(a_{x}+b_{x,p}(t-\bar{t})+k_{t,p} + \gamma_{c,p}\) |
| APCI_sharebeta | \(a_{x,p}+b_{x}(t-\bar{t})+k_{t,p} + \gamma_{c,p}\) |
| APCI_sharegamma | \(a_{x,p}+b_{x,p}(t-\bar{t})+k_{t,p} + \gamma_{c}\) |
| APCI_sharealpha_sharebeta | \(a_{x}+b_{x}(t-\bar{t})+k_{t,p} + \gamma_{c,p}\) |
| APCI_sharealpha_sharegamma | \(a_{x}+b_{x,p}(t-\bar{t})+k_{t,p} + \gamma_{c}\) |
| APCI_sharebeta_sharegamma | \(a_{x,p}+b_{x}(t-\bar{t})+k_{t,p} + \gamma_{c}\) |
| APCI_shareall | \(a_{x}+b_{x}(t-\bar{t})+k_{t,p} + \gamma_{c}\) |
| CBD_M3 | \(a_{x,p}+k_{t,p} + \gamma_{c,p}\) |
| CBD_M3_sharealpha | \(a_{x}+k_{t,p} + \gamma_{c,p}\) |
| CBD_M3_sharegamma | \(a_{x,p}+k_{t,p} + \gamma_{c}\) |
| CBD_M3_shareall | \(a_{x}+k_{t,p} + \gamma_{c}\) |
| CBD_M5 | \(k^1_{t,p} + k^2_{t,p}(x-\bar{x})\) |
| CBD_M6 | \(k^1_{t,p} + k^2_{t,p}(x-\bar{x}) +\gamma_{c,p}\) |
| CBD_M6_sharegamma | \(k^1_{t,p} + k^2_{t,p}(x-\bar{x}) +\gamma_{c}\) |
| CBD_M7 | \(k^1_{t,p} + k^2_{t,p}(x-\bar{x}) + k^3_{t,p}((x-\bar{x})^2-\hat{\sigma}_x^2) +\gamma_{c,p}\) |
| CBD_M7_sharegamma | \(k^1_{t,p} + k^2_{t,p}(x-\bar{x}) + k^3_{t,p}((x-\bar{x})^2-\hat{\sigma}_x^2) +\gamma_{c}\) |
| CBD_M8 | \(k^1_{t,p} + k^2_{t,p}(x-\bar{x}) +\gamma_{c,p}(c_p-x)\) |
| CBD_M8_sharegamma | \(k^1_{t,p} + k^2_{t,p}(x-\bar{x}) +\gamma_{c}(c_p-x)\) |
| LC | \(a_{x,p}+b_{x,p}k_{t,p}\) |
| LC_sharealpha | \(a_{x}+b_{x,p}k_{t,p}\) |
| LC_sharebeta | \(a_{x,p}+b_{x}k_{t,p}\) |
| LC_shareall | \(a_{x}+b_{x}k_{t,p}\) |
| M1A | \(a_{x}+c_p+b_xk_t\) |
| M1U | \(a_{x,p}+b_xk_t\) |
| M1M | \(a_{x}c_p+b_xk_t\) |
| M2A1 | \(a_{x}+(c_p+b_x)k_t\) |
| M2A2 | \(a_{x}+b_{x,p}k_t\) |
| M2Y1 | \(a_{x}+b_x(k_t+c_p)\) |
| M2Y2 | \(a_{x}+b_{x}k_{t,p}\) |
| MLiLee | \(a_{x,p}+b_{x,p}k_{t,p}+B_xK_t\) |
| MLiLee_sharealpha | \(a_{x}+b_{x,p}k_{t,p}+B_xK_t\) |
| PLAT | \(a_{x,p}+k^1_{t,p} + k^2_{t,p}(\bar{x}-x) + k^3_{t,p}(\bar{x}-x)^+ +\gamma_{c,p}\) |
| PLAT_sharealpha | \(a_{x}+k^1_{t,p} + k^2_{t,p}(\bar{x}-x) + k^3_{t,p}(\bar{x}-x)^+ +\gamma_{c,p}\) |
| PLAT_sharegamma | \(a_{x,p}+k^1_{t,p} + k^2_{t,p}(\bar{x}-x) + k^3_{t,p}(\bar{x}-x)^+ +\gamma_{c}\) |
| PLAT_shareall | \(a_{x}+k^1_{t,p} + k^2_{t,p}(\bar{x}-x) + k^3_{t,p}(\bar{x}-x)^+ +\gamma_{c}\) |
| RH | \(a_{x,p}+b_{x,p}k_{t,p} + \gamma_{c,p}\) |
| RH_sharealpha | \(a_{x}+b_{x,p}k_{t,p} + \gamma_{c,p}\) |
| RH_sharebeta | \(a_{x,p}+b_{x}k_{t,p} + \gamma_{c,p}\) |
| RH_sharegamma | \(a_{x,p}+b_{x,p}k_{t,p} + \gamma_{c}\) |
| RH_sharealpha_sharebeta | \(a_{x}+b_{x}k_{t,p} + \gamma_{c,p}\) |
| RH_sharealpha_sharegamma | \(a_{x}+b_{x,p}k_{t,p} + \gamma_{c}\) |
| RH_sharebeta_sharegamma | \(a_{x,p}+b_{x}k_{t,p} + \gamma_{c}\) |
| RH_shareall | \(a_{x}+b_{x}k_{t,p} + \gamma_{c}\) |