Bayesian Model Averaging with ‘LatentBMA’

Model Uncertainty in Poisson Log-Normal Regression Models

Consider a Poisson log-normal regression model of the form y_i ∼ 𝒫(e^z_i) where z_i = α + x_i′β + ϵ_i and ϵ_i ∼ 𝒩(0, σ²). We simulate data with n = 100 observations and p = 20 covariates, where the first two covariates are relevant to the outcome, setting α = 2 and σ² = 0.25.

set.seed(123) # Ensure reproducibility
X  <- matrix(rnorm(100*20), 100, 20)
z  <- 2 + X %*% c(0.5, -0.5, rep(0, 18)) + rnorm(100, 0, sqrt(0.25))
y  <- rpois(100, exp(z))

The following code loads the package and runs a BMA MCMC algorithm with the default prior setup, which is a BRIC prior with m = p/2, see the package manual for more details. Alternative choices of priors are also documented in the package manual.

library(LatentBMA)
results <- ULLGM_BMA(X = X, y = y, model = "PLN")

Estimating a Binomial Logistic-Normal Regression Model

To estimate a binomial logistic-normal (BiL) model of the form y_i ∼ ℬ𝒾𝓃(N_i, 1/(1 + e^−z_i)), where z_i = α + x_i′β + ϵ_i and ϵ_i ∼ 𝒩(0, σ²), and N_i is the number of trials for each observation, one can use a similar syntax. The following code simulates data with n = 100 observations and p = 20 covariates, assuming N_i = 50 trials for each observation, with the first two covariates relevant to the outcome, setting α = 1 and σ² = 0.25:

set.seed(123) # Ensure reproducibility
X  <- matrix(rnorm(100*20), 100, 20)
Ni <- rep(50, 100)
z  <- 1 + X %*% c(0.5, -0.5, rep(0, 18)) + rnorm(100, 0, sqrt(0.25))
y  <- rbinom(100, Ni, 1/(1+exp(-z)))

The corresponding ULLGM-BiL model in LatentBMA can be called using a similar command as before, changing only the model parameter and specifying the number of trials N_i:

results <- ULLGM_BMA(X=X, y=y, Ni=Ni, model = "BiL")

Summarizing the Estimation Output

To summarize the posterior output in a table, one can use LatentBMA::summarizeBMA(). Note that all functions in LatentBMA that generate tables support LaTeX and HTML output. summarizeBMA() outputs a knitr::kable object which can be fully customized. The algorithm correctly identifies the first two predictors as the most relevant, as can be seen from the column with posterior inclusion probabilities.

summaryBMA(results)

To extract the top models and the corresponding posterior model probabilities (PMPs) from the regression output, LatentBMA::topModels() can be used. In this simple setting, the algorithm strongly concentrates on the true model with two included predictors.

topModels(results)

Several commands are available to visually summarize the results. To view the posterior distribution of model size, one can use LatentBMA::plotModelSize(). All plotting functions in LatentBMA output a ggplot2::ggplot object, which can be fully customized.

plotModelSize(results)

The estimated posterior inclusion probabilities and posterior means using LatentBMA::plotBeta() and LatentBMA::plotPIP() can be visualized as follows:

plotBeta(results)

plotPIP(results)

In order to assess the convergence of the algorithm, it can be useful to examine posterior traceplots. The function LatentBMA::tracePlot() provides functionality to generate traceplots for the parameters and the size of the visited models. For example, to look at the traceplots of α and σ², one can use the following code.

tracePlot(results, parameter = "alpha")

tracePlot(results, parameter = "sigma2")

Further Customization

For advanced customization of the algorithm, experienced users can utilize the internal function ULLGM_BMA_MCMC from the package. Although this function is not exported, it can be accessed using the triple colon operator (:::) or through the code repository. This function allows for deeper customization and fine-tuning of the algorithm’s parameters, offering more control over its execution.

For example, one could implement user-specified functions for likelihoods, gradients, and g-priors. Templates for these modifications can be found in the code repository. Please note that this functionality has not been thoroughly tested, so special care is advised when working with these modifications.