Package 'mombf'

Priors on model space for variable selection problems

Description

unifPrior implements a uniform prior (equal a priori probability for all models). binomPrior implements a Binomial prior. bbPrior implements a Beta-Binomial prior.

Usage

unifPrior(sel, logscale=TRUE, groups=1:length(sel),
constraints=lapply(1:length(unique(groups)), function(z) integer(0)))

binomPrior(sel, prob=.5, logscale=TRUE, probconstr=prob, groups=1:length(sel),
constraints=lapply(1:length(unique(groups)), function(z) integer(0)))

bbPrior(sel, alpha=1, beta=1, logscale=TRUE, alphaconstr=alpha,
betaconstr=beta, groups=1:length(sel),
constraints=lapply(1:length(unique(groups)), function(z) integer(0)))

Arguments

sel	Logical vector indicating which variables are included in the model
logscale	Set to TRUE to return the log-prior probability.
groups	Group that each variable belongs to (e.g. dummy indicators for categorical variables with >2 categories). The idea is that all variables in a group are jointly added/removed from the model. By default all variables are assumed to be in separate groups
constraints	List with length equal to the number of groups (distinct elements in groups). Element j in the list should indicate any hierarchical constraints on the group, for instance constraints[[3]]==c(1,2) indicates that group 3 can only be included in the model if groups 1 and 2 are also in the model. This can be used to enforce that an interaction can only be in the model if the main effects are also in the model.
prob	Success probability for the Binomial prior
probconstr	Success probability for the Binomial prior for groups that are subject to constraints
alpha	First parameter of the Beta-Binomial prior, which is equivalent to specifying a Beta(alpha,beta) prior on prob.
beta	First parameter of the Beta-Binomial prior, which is equivalent to specifying a Beta(alpha,beta) prior on prob.
alphaconstr	Same as alpha for the groups that are subject to constraints
betaconstr	Same as beta for the groups that are subject to constraints

Value

Prior probability of the specified model

Author(s)

David Rossell

Examples

library(mombf)
sel <- c(TRUE,TRUE,FALSE,FALSE)
unifPrior(sel,logscale=FALSE)
binomPrior(sel,prob=.5,logscale=FALSE)
bbPrior(sel,alpha=1,beta=1,logscale=FALSE)

---

Model with best AIC, BIC, EBIC or other general information criteria (getIC)

Description

Search for the regression model attaining the best value of the specified information criterion

Usage

bestAIC(...)

  bestBIC(...)

  bestEBIC(...)

  bestIC(..., penalty)

Arguments

...	Arguments passed on to modelSelection. The first and main argument is a model formula, see the examples
penalty	General information penalty. For example, since the AIC penalty is 2, bestIC(...,penalty=2) is the same as bestAIC(...)

Details

For details on the information criteria see help(getBIC).

Function modelSelection returns the log posterior probability of a model, postProb = log(m_k) + log(prior k), where m_k is the marginal likelihood of the model and prior k its prior probability.

When running function modelSelection with priorCoef=bicprior() and priorDelta=modelunifprior(), the BIC approximation is used for m_k, that is

log(m_k) = L_k - 0.5 * p_k log(n)

and all models are equally likely a priori, log(prior k)= p log(1/2). Then the BIC can be easily recovered

BIC_k= -2 * [postProb + p log(2)]

When using priorCoef=bicprior() and priorDelta=modelbbprior(), log(prior k)= - log(p+1) - log(p choose p_k), hence

EBIC_k= -2 * [postProb + log(p+1)].

Value

Object of class icfit. Use (coef, summary, confint, predict) to get inference for the top model, and help(icfit-class) for more details on the returned object.

Author(s)

David Rossell

See Also

modelSelection to perform model selection

Examples

x <- matrix(rnorm(100*3),nrow=100,ncol=3)
theta <- matrix(c(1,1,0),ncol=1)
y <- x %*% theta + rnorm(100)
ybin <- y>0

#BIC for all models (the intercept is also selected in/out)
fit= bestBIC(y ~ x[,1] + x[,2])
fit

#Same, but setting the BIC's log(n) penalty manually
#change the penalty for other General Info Criteria
#n= nrow(x)
#fit= bestIC(y ~ x[,1] + x[,2], penalty=log(n))

summary(fit) #usual GLM summary

coef(fit) #MLE under top model

#confint(fit) #conf int under top model (requires MASS package)

---

Number of Normal mixture components under Normal-IW and Non-local priors

Description

Posterior sampling and Bayesian model selection to choose the number of components k in multivariate Normal mixtures.

bfnormmix computes posterior probabilities under non-local MOM-IW-Dir(q) priors, and also for local Normal-IW-Dir(q.niw) priors. It also computes posterior probabilities on cluster occupancy and posterior samples on the model parameters for several k.

Usage

bfnormmix(x, k=1:2, mu0=rep(0,ncol(x)), g, nu0, S0, q=3, q.niw=1,
B=10^4, burnin= round(B/10), logscale=TRUE, returndraws=TRUE, verbose=TRUE)

Arguments

x	n x p input data matrix
k	Number of components
mu0	Prior on mu[j] is N(mu0,g Sigma[j])
g	Prior on mu[j] is N(mu0,g Sigma[j]). This is a critical MOM-IW prior parameter that specifies the separation between components deemed practically relevant. It defaults to assigning 0.95 prior probability to any pair of mu's giving a bimodal mixture, see details
S0	Prior on Sigma[j] is IW(Sigma_j; nu0, S0)
nu0	Prior on Sigma[j] is IW(Sigma_j; nu0, S0)
q	Prior parameter in MOM-IW-Dir(q) prior
q.niw	Prior parameter in Normal-IW-Dir(q.niw) prior
B	Number of MCMC iterations
burnin	Number of burn-in iterations
logscale	If set to TRUE then log-Bayes factors are returned
returndraws	If set to TRUE the MCMC posterior draws under the Normal-IW-Dir prior are returned for all k
verbose	Set to TRUE to print iteration progress

Details

The likelihood is

p(x[i,] | mu,Sigma,eta)= sum_j eta_j N(x[i,]; mu_j,Sigma_j)

The Normal-IW-Dir prior is

Dir(eta; q.niw) prod_j N(mu_j; mu0, g Sigma) IW(Sigma_j; nu0, S0)

The MOM-IW-Dir prior is

$d(\mu,A) Dir(\eta; q) \prod_j N(\mu_j; \mu0, g \Sigma_j) IW(\Sigma_j; \nu_0, S0)$

where

$d(\mu,A)= [\prod_{j<l} (\mu_j-\mu_l)' A (\mu_j-\mu_l)]$

and A is the average of $\Sigma_1^{-1},...,\Sigma_k^{-1}$. Note that one must have q>1 for the MOM-IW-Dir to define a non-local prior.

By default the prior parameter g is set such that

P( (mu[j]-mu[l])' A (mu[j]-mu[l]) < 4)= 0.05.

The reasonale when Sigma[j]=Sigma[l] and eta[j]=eta[l] then (mu[j]-mu[l])' A (mu[j]-mu[l])>4 corresponds to a bimodal density. That is, the default g focuses 0.95 prior prob on a degree of separation between components giving rise to a bimodal mixture density.

bfnormmix computes posterior model probabilities under the MOM-IW-Dir and Normal-IW-Dir priors using MCMC output. As described in Fuquene, Steel and Rossell (2018) the estimate is based on the posterior probability that one cluster is empty under each possible k.

Value

A list with elements

k	Number of components
pp.momiw	Posterior probability of k components under a MOM-IW-Dir(q) prior
pp.niw	Posterior probability of k components under a Normal-IW-Dir(q.niw) prior
probempty	Posterior probability that any one cluster is empty under a MOM-IW-Dir(q.niw) prior
bf.momiw	Bayes factor comparing 1 vs k components under a MOM-IW-Dir(q) prior
logpen	log of the posterior mean of the MOM-IW-Dir(q) penalty term
logbf.niw	Bayes factor comparing 1 vs k components under a Normal-IW-Dir(q.niw) prior

Author(s)

David Rossell

References

Fuquene J., Steel M.F.J., Rossell D. On choosing mixture components via non-local priors. 2018. arXiv

Examples

x <- matrix(rnorm(100*2),ncol=2)

bfnormmix(x=x,k=1:3)

---

Treatment effect estimation for linear models via Confounder Importance Learning using non-local priors.

Description

Treatment effect estimation for linear models in the presence of multiple treatments and a potentially high-dimensional number of controls, i.e. $p \gg n$ can be handled.

Confounder Importance Learning (CIL) proposes an estimation framework where the importance of the relationship between treatments and controls is factored in into the establishment of prior inclusion probabilities for each of these controls on the response model. This is combined with the use of non-local priors to obtain BMA estimates and posterior model probabilities.

cil is built on modelSelection and produces objects of type cilfit. Use coef and postProb to obtain treatment effect point estimates and posterior model probabilities, respectively, on this object class.

Usage

cil(y, D, X, I = NULL, family = 'normal', familyD = 'normal',
  R = 1e4, Rinit = 500, th.search = 'EB', mod1 = 'lasso_bic',
  th.prior = 'unif', priorCoef, rho.min = NULL,
  th.range = NULL, max.mod = 2^20, lpen = 'lambda.1se',
  eps = 1e-10, bvs.fit0 = NULL, th.EP = NULL, center = TRUE, scale =
  TRUE, includevars, verbose = TRUE)

Arguments

y	one-column matrix containing the observed responses. The response must be continuous (currently the only type supported)
D	treatment matrix with numeric columns, continuous or discrete. Any finite number of treatments are supported. If only one treatment is provided, supply this object in the same format used for y
X	matrix of controls with numeric columns, continuous or discrete. If only one treatment is provided, supply this object in the same format used for y
I	matrix with the desired interaction terms between D and X. If not informed, i.e. supplied as the default NULL, this term will not be included into the response model
family	Distribution of the outcome, e.g. 'normal', 'binomial' or 'poisson'. See help(modelSelection) for a full list of options
familyD	Distribution of the treatment(s). Only 'normal' or 'binomial' currently allowed
R	Number of MCMC iterations to be run by modelSelection on each stage of CIL (see argument niter therein)
Rinit	MCMC iterations to estimate marginal posterior inclusion probabilities under a uniform model prior, needed for EP
th.search	method to estimate theta values in the marginal prior inclusion probabilities of the CIL model. Options are: EB (Empirical Bayes, based on maximum marginal likelihood) and EP (Expectation propagation approximation)
mod1	method to estimate the feature parameters corresponding to the influence of the controls on the treatments. Supported values for this argument are 'ginv' (generalised pseudo-inverse), lasso (see argument lpen), lasso_bic (default), and ridge)
th.prior	prior associated to the thetas for the Empirical Bayes estimation. Currently only unif (Uniform prior) is supported, effectively making the EB approach the maximisation of the marginal likelihood
priorCoef	Prior on the response model parameters, see modelSelection
rho.min	value of $\rho$ in (0, 1/2) employed in the prior probability model of CIL. If left uninformed, i.e. supplied as the default NULL, it will be set to $1/p^2$, where p is the dimension of the response model.
th.range	sequence of values to be considered in the grid when searching for points to initialise the search for the optimal theta parameters. If left uninformed, the function will determine a computationally suitable grid depending on the number of parameters to be estimated
max.mod	Maximum number of models considered when computing the marginal likelihood required by empirical Bayes. If set to Inf all visited models by the enumeration/MCMC are considered, but it might be computationally desirable to restrict this number when the dimension of D and/or X is large
lpen	penalty type supplied to glmnet if mod1 is set to lasso. Default is lambda.1se (see documentation corresponding to glmnet for options on how to set this parameter)
eps	small scalar used to avoid round-offs to absolute zeroes or ones in marginal prior inclusion probabilities.
bvs.fit0	object returned by modelSelection under $\theta = 0$, used as a model exploration tool to compute EB approximation on the thetas. This argument is only supposed to be used in case of a second computation the model on the same data where th.search has ben changed to EB, in order to avoid repeating the computation of the initial modelSelection fit. To use this argument, supply the object residing in the slot init.msfit of a cilfit-class object.
th.EP	Optimal theta values under the EP approximation, obtained in a previous CIL run. This argument is only supposed to be used in case of a second computation the model on the same data where th.search has ben changed to EB, in order to save the cost of the EP search to initialise the optimisation algorithm. To use this argument, supply the object residing int the slot th.hat of a cilfit-class object.
center	If TRUE, y and x are centered to have zero mean. Dummy variables corresponding to factors are NOT centered
scale	If TRUE, y and columns in x are scaled to have variance=1. Dummy variables corresponding to factors are NOT scaled
includevars	Logical vector of length ncol(x) indicating variables that should always be included in the model, i.e. variable selection is not performed for these variables
verbose	Set verbose==TRUE to print iteration progress

Details

We estimate treatment effects for the features present in the treatment matrix D. Features in X, which may or may not be causal factors of the treatments of interest, only act as controls and, therefore, are not used as inferential subjects.

Confounder importance learning is a flexible treatment effect estimation framework that essentially determines how the role of the influence of X on D should affect their relationship with the response, through establishing prior inclusion probabilities on the response model for y according to said role. This is regulated through a hyper- parameter theta that is set according to the method supplied to th.search. While the EB option obtains a more precise estimate a priori, the EP alternative achieves a reasonable approximation at a fraction of the computational cost.

See references for further details on implementation and computation.

Value

Object of class cilfit, which extends a list with elements

cil.teff	BMA estimates, 0.95 intervals and posterior inclusion probabilities for treatment effects in D
coef	BMA inference for treatment effects and all other covariates
model.postprobs	matrix returning the posterior model probabilities computed in the CIL model
margpp	numeric vector containing the estimated marginal posterior inclusion probabilities of the featured treatments and controls
margprior	Marginal prior inclusion probabilities, as estimated by CIL
margpp.unif	Marginal posterior inclusion probabilities that would be obtained under a uniform model prior
theta.hat	Values used for the hyper-parameter theta, estimated according to the argument th.search specified
treat.coefs	Estimated weights of the effect of the control variables on each of the treatments, as estimated with the method specified in argument mod1
msfit	Object returned by modelSelection (of class msfit) of the final model estimated by CIL.
theta.EP	Estimated values of theta using the EP algorithm. It coincides with theta.hat if the argument th.search is set to EB
init.msfit	Initial msfit object used to estimate the inital model where all elements in theta are set to zero (used in the optimisation process of this hyper-parameter)

Author(s)

Miquel Torrens

References

Torrens i Dinares M., Papaspiliopoulos O., Rossell D. Confounder importance learning for treatment effect inference. https://arxiv.org/abs/2110.00314, 2021, 1–48.

See Also

postProb to obtain posterior model probabilities.

coef for inference on the treatment parameters.

Examples

# Simulate data
set.seed(1)
X <- matrix(rnorm(100 * 50), nrow = 100, ncol = 50)
beta_y <- matrix(c(rep(1, 6), rep(0, 44)), ncol = 1)
beta_d <- matrix(c(rep(1, 6), rep(0, 44)), ncol = 1)
alpha <- 1
d <- X %*% beta_d + rnorm(100)
y <- d * alpha + X %*% beta_y + rnorm(100)

# Confounder Importance Learning
fit1 <- cil(y = y, D = d, X = X, th.search = 'EP')

# BMA for treatment effects
coef(fit1)

# BMA for all covariates
head(fit1$coef)

# Estimated prior inclusion prob
# vs. treatment regression coefficients
plotprior(fit1)

---

Density and random draws from the asymmetric Laplace distribution

Description

dalapl evaluates the probability density function, palapl the cumulative probability function and ralapl generates random draws.

Usage

dalapl(x, th=0, scale=1, alpha=0, logscale=FALSE)

palapl(x, th=0, scale=1, alpha=0)

ralapl(n, th=0, scale=1, alpha=0)

Arguments

x	Vector of values at which to evaluate the pdf/cdf
n	Number of random draws
th	Location parameter (mode)
scale	Scale parameter (proportional to variance)
alpha	Asymmetry parameter, must be between -1 and 1
logscale	If TRUE the log-pdf is returned

Details

For x<=th the asymmetric Laplace pdf is

0.5*exp(-abs(th-x)/(sqrt(scale)*(1+alpha)))/sqrt(scale)

and for x>th it is

0.5*exp(-abs(th-x)/(sqrt(scale)*(1-alpha)))/sqrt(scale)

Value

dalapl returns the density function, palapl the cumulative probability, ralapl random draws.

Author(s)

David Rossell

Examples

library(mombf)
e <- ralapl(n=10^4, th=1, scale=2, alpha=0.5)
thseq <- seq(min(e),max(e),length=1000)
hist(e, main='', breaks=30, prob=TRUE)
lines(thseq, dalapl(thseq, th=1, scale=2, alpha=0.5), col=2)

---

Dirichlet density

Description

Evaluate the density of a Dirichlet distribution

Usage

ddir(x, q, logscale=TRUE)

Arguments

x	Vector or matrix containing the value at which to evaluate the density. If a matrix, the density is evaluated for each row. Rows are renormalized to ensure they add up to 1
q	Dirichlet parameters. Must have the same length as ncol(x), or length 1 (in which case a symmetric Dirichlet density is valuated)
logscale	For logscale==TRUE, dimom returns the natural log of the prior density

Value

Density of a Dirichlet(q) distribution evaluated at each row of x

Author(s)

David Rossell

Examples

library(mombf)
x= matrix(c(1/3,2/3,.5,.5),nrow=2,byrow=TRUE)
ddir(x,q=2)

---

Density for Inverse Wishart distribution

Description

diwish returns the density for the inverse Wishart(nu,S) evaluated at Sigma.

Usage

diwish(Sigma, nu, S, logscale=FALSE)

Arguments

Sigma	Positive-definite matrix
nu	Degrees of freedom of the inverse Wishart
S	Scale matrix of the inverse Wishart
logscale	If logscale==TRUE the log-density is returned

Value

Inverse Wishart(nu,S) density evaluated at Sigma

Author(s)

David Rossell

See Also

dpostNIW for the Normal-IW posterior density

Examples

library(mombf)
Sigma= matrix(c(2,1,1,2),nrow=2)
diwish(Sigma,nu=4,S=diag(2))

---

Non-local prior density, cdf and quantile functions.

Description

dmom, dimom and demom return the density for the moment, inverse moment and exponential moment priors. pmom, pimom and pemom return the distribution function for the univariate moment, inverse moment and exponential moment priors (respectively). qmom and qimom return the quantiles for the univariate moment and inverse moment priors. dmomigmarg returns the marginal density implied by a MOM(x;tau*phi)*Invgamma(phi;a/2,b/2), pmomigmarg its cdf. Analogously demomigmarg and demomigmarg for eMOM(x;tau*phi)*Invgamma(phi;a/2,b/2)

Usage

dmom(x, tau, a.tau, b.tau, phi=1, r=1, V1, baseDensity='normal', nu=3,
logscale=FALSE, penalty='product')
dimom(x, tau=1, phi=1, V1, logscale=FALSE, penalty='product')
demom(x, tau, a.tau, b.tau, phi=1, logscale=FALSE)

pmom(q, V1 = 1, tau = 1)
pimom(q, V1 = 1, tau = 1, nu = 1)
pemom(q, tau, a.tau, b.tau)

qmom(p, V1 = 1, tau = 1)
qimom(p, V1 = 1, tau = 1, nu = 1)

dmomigmarg(x,tau,a,b,logscale=FALSE)
pmomigmarg(x,tau,a,b)

demomigmarg(x,tau,a,b,logscale=FALSE)
pemomigmarg(x,tau,a,b)

Arguments

x	In the univariate setting, x is a vector with the values at which to evaluate the density. In the multivariate setting it is a matrix with an observation in each row.
q	Vector of quantiles.
p	Vector of probabilities.
V1	Scale matrix (ignored if penalty=='product'). Defaults to 1 in univariate setting and the identity matrix in the multivariate setting.
tau	Prior dispersion parameter is tau*phi. See details.
a.tau	If tau is left missing, an Inverse Gamma(a.tau/2,b.tau/2) is placed on tau. In this case dmom and demom return the density marginalized with respect to tau.
b.tau	See a.tau.
phi	Prior dispersion parameter is tau*phi. See details.
r	Prior power parameter for MOM prior is 2*r
baseDensity	For baseDensity=='normal' a Normal MOM prior is used, for baseDensity=='laplace' a Laplace MOM prior, for baseDensity=='t' a T MOM prior with nu degrees of freedom is used.
nu	Prior parameter indicating the degrees of freedom for the quadratic T MOM and iMOM prior densities. The tails of the inverse moment prior are proportional to the tails of a multivariate T with nu degrees of freedom.
penalty	penalty=='product' indicates that product MOM/iMOM should be used. penalty=='quadratic' indicates quadratic iMOM. See Details.
logscale	For logscale==TRUE, dimom returns the natural log of the prior density.
a	The marginal prior on phi is IG(a/2,b/2)
b	The marginal prior on phi is IG(a/2,b/2)

Details

For type=='quadratic' the density is as follows. Define the quadratic form q(theta)= (theta-theta0)' * solve(V1) * (theta-theta0) / (tau*phi). The normal moment prior density is proportional to q(theta)*dmvnorm(theta,theta0,tau*phi*V1). The T moment prior is proportional to q(theta)*dmvt(theta,theta0,tau*phi*V1,df=nu). The inverse moment prior density is proportional to q(theta)^(-(nu+d)/2) * exp(-1/q(theta)).

pmom, pimom and qimom use closed-form expressions, while qmom uses nlminb to find quantiles numerically. Only the univariate version is implemented. In this case the product MOM is equivalent to the quadratic MOM. The same happens for the iMOM.

dmomigmarg returns the marginal density

p(x)= int MOM(x;0,tau*phi) IG(phi;a/2,b/2) dphi

Value

Prior density, cumulative distribution function or quantile.

Author(s)

David Rossell

References

Johnson V.E., Rossell D. Non-Local Prior Densities for Default Bayesian Hypothesis Tests. Journal of the Royal Statistical Society B, 2010, 72, 143-170.

Johnson V.E., Rossell D. Bayesian model selection in high-dimensional settings. Journal of the American Statistical Assocation, 2012, 107, 649-660

See http://rosselldavid.googlepages.com for technical reports.

Examples

#evaluate and plot the moment and inverse moment priors
library(mombf)
tau <- 1
thseq <- seq(-3,3,length=1000)
plot(thseq,dmom(thseq,tau=tau),type='l',ylab='Prior density')
lines(thseq,dimom(thseq,tau=tau),lty=2,col=2)

---

Posterior Normal-IWishart density

Description

dpostNIW evalutes the posterior Normal-IWishart density at (mu,Sigma). rpostNIW draws independent samples. This posterior corresponds to a Normal model for the data

x[i,] ~ N(mu,Sigma) iid i=1,...,n

under conjugate priors

mu | Sigma ~ N(mu0, g Sigma) Sigma ~ IW(nu0, S0)

Usage

dpostNIW(mu, Sigma, x, g=1, mu0=rep(0,length(mu)), nu0=nrow(Sigma)+1, S0,
  logscale=FALSE)

rpostNIW(n, x, g=1, mu0=0, nu0, S0, precision=FALSE)

Arguments

mu	Vector of length p
Sigma	p x p positive-definite covariance matrix
x	n x p data matrix (individuals in rows, variables in columns)
g	Prior dispersion parameter for mu
mu0	Prior mean for mu
nu0	Prior degrees of freedom for Sigma
S0	Prior scale matrix for Sigma, by default set to I/nu0
logscale	set to TRUE to get the log-posterior density
n	Number of samples to draw
precision	If set to TRUE, samples from the precision matrix (inverse of Sigma) are returned instead

Value

dpostNIW returns the Normal-IW posterior density evaluated at (mu,Sigma).

rpostNIW returns a list with two elements. The first element are posterior draws for the mean. The second element are posterior draws for the covariance (or its inverse if precision==TRUE). Only lower-diagonal elements are returned (Sigma[lower.tri(Sigma,diag=TRUE)]).

Author(s)

David Rossell

See Also

diwish for the inverse Wishart prior density, marginalNIW for the integrated likelihood under a Normal-IW prior

Examples

#Simulate data
x= matrix(rnorm(100),ncol=2)
#Evaluate posterior at data-generating truth
mu= c(0,0)
Sigma= diag(2)
dpostNIW(mu,Sigma,x=x,g=1,nu0=4,log=FALSE)

---

Expectation of a product of powers of Normal or T random variables

Description

Compute the mean of prod(x)^power when x follows T_dof(mu,sigma) distribution (dof= -1 for multivariate Normal).

Usage

eprod(m, S, power = 1, dof = -1)

Arguments

m	Location parameter
S	Scale matrix. For multivariate T with dof>2 the covariance is S*dof/(dof-2). For the multivariate Normal the covariance is S.
power	Power that the product is raised to
dof	Degrees of freedom of the multivariate T. Set to -1 for the multivariate Normal.

Details

The calculation is based on the computationally efficient approach by Kan (2008).

Value

Expectation of the above-mentioned product

Author(s)

John Cook

References

Kan R. From moments of sum to moments of product. Journal of Multivariate Analysis 99 (2008), 542-554.

Examples

#Check easy independence case
m <- c(0,3); S <- matrix(c(2,0,0,1),ncol=2)

eprod(m, S, power=2)

(m[1]^2+S[1][1])*(m[2]^2+S[2][2])

---

Obtain AIC, BIC, EBIC or other general information criteria (getIC)

Description

Extract information criteria from an msfit object.

Usage

getAIC(object)

  getBIC(object)

  getEBIC(object)

  getIC(object)

Arguments

object

Object of class msfit returned by modelSelection

Details

Let p be the total number of parameters and n the sample size. The BIC of a model k with p_k parameters is

- 2 L_k + p_k log(n)

the AIC is

- 2 L_k + p_k 2

the EBIC is

- 2 L_k + p_k log(n) + 2 log(p choose p_k)

and a general information criterion with a given model size penalty

- 2 L_k + p_k penalty

For getBIC() to work, object must be the result returned by modelSelection setting priorCoef=bic() and priorDelta=modelunifprior()

For getEBIC() it is priorCoef=bic() and priorDelta=modelbbprior()

For getAIC() it is priorCoef=aic() and priorDelta=modelunifprior()

For getIC() it is priorCoef=ic() and priorDelta=modelunifprior()

Function modelSelection returns the log posterior probability of a model, postProb = log(m_k) + log(prior k), where m_k is the marginal likelihood of the model and prior k its prior probability.

When running function modelSelection with priorCoef=bicprior() and priorDelta=modelunifprior(), the BIC approximation is used for m_k, that is

log(m_k) = L_k - 0.5 * p_k log(n)

and all models are equally likely a priori, log(prior k)= p log(1/2). Then the BIC can be easily recovered

BIC_k= -2 * [postProb + p log(2)]

When using priorCoef=bicprior() and priorDelta=modelbbprior(), log(prior k)= - log(p+1) - log(p choose p_k), hence

EBIC_k= -2 * [postProb + log(p+1)].

Value

BIC or EBIC values for all models enumerated / visited by modelSelection

Author(s)

David Rossell

See Also

modelSelection to perform model selection

Examples

x <- matrix(rnorm(100*3),nrow=100,ncol=3)
theta <- matrix(c(1,1,0),ncol=1)
y <- x %*% theta + rnorm(100)
ybin <- y>0

#Obtain BIC
ms= modelSelection(ybin, x=x, priorCoef=bicprior(),
priorDelta=modelunifprior(), family='binomial')
getBIC(ms)

#Obtain EBIC
ms2= modelSelection(ybin, x=x, priorCoef=bicprior(),
priorDelta=modelbbprior(), family='binomial')
getEBIC(ms2)

---

Hald Data

Description

Montgomery and Peck (1982) illustrated variable selection techniques on the Hald cement data and gave several references to other analysis. The response variable y is the heat evolved in a cement mix. The four explanatory variables are ingredients of the mix, i.e., x1: tricalcium aluminate, x2: tricalcium silicate, x3: tetracalcium alumino ferrite, x4: dicalcium silicate. An important feature of these data is that the variables x1 and x3 are highly correlated (corr(x1,x3)=-0.824), as well as the variables x2 and x4 (with corr(x2,x4)=-0.975). Thus we should expect any subset of (x1,x2,x3,x4) that includes one variable from highly correlated pair to do as any subset that also includes the other member.

Usage

data(hald)

Format

hald is a matrix with 13 observations (rows) and 5 variables (columns), the first column is the dependent variable. y.hald and x.hald are also availables.

Source

Montgomery, D.C., Peck, E.A. (1982) Introduction to linear regression analysis, John Wiley, New York.

---

Class "icfit"

Description

Stores the output of the search for the model with best information criterion value, e.g. produced by bestBIC, bestBIC, bestAIC or bestIC. The class extends a list, so all usual methods for lists also work for icfit objects, e.g. accessing elements, retrieving names etc.

Methods are provided to extract coefficients, predictions, confidence intervals and summary information about the best model.

Objects from the Class

icfit objects are automatically created by a call to bestBIC or similar.

Slots

The class extends a list with elements:

topmodel

names of the variables in the top model

topmodel.fit

top model as fitted by glm

models

data frame with the information criterion for all models (when enumeration is feasible) or those visited by an MCMC model search in modelSelection (when enumeration is not feasible)

varnames

the names of all variables in the design matrix

msfit

Output of modelSelection (used to search the top model)

Methods

coef

glm fit for the top model

confint

Confidence intervals under the top model

predict

Predictions for the top model (predict.glm)

show

signature(object = "icfit"): Displays general information about the object.

Author(s)

David Rossell

See Also

See also bestBIC.

Examples

showClass("icfit")

---

Extract estimated inverse covariance

Description

Extract the estimated inverse covariance from an msfit_ggm object.

Bayesian model averaging is used, optionally entries with posterior probability of being non-zero below a threshold are set to 0.

Usage

icov(fit, threshold)

Arguments

fit	Object of class msfit_ggm, returned by modelSelectionGGM
threshold	Entries with posterior probability of being non-zero below threshold are set to 0. If missing this argument is ignored and no entries are set to exact zeroes. When the goal is to identify zeroes, a sensible default is threshold=0.95

Details

The inverse covariance is obtained via Bayesian model averaging, using posterior samples of Omega. When threshold is specified, entries in the BMA estimate are set to zero, which may result in a non positive-definite matrix.

Value

Estimated inverse covariance matrix.

Author(s)

David Rossell

See Also

modelSelectionGGM, coef.msfit_ggm for Bayesian model averaging estimates and intervals.

Examples

## See modelSelectionGGM

---

Local variable selection

Description

Learn whether covariate effects are zero at given coordinates using Bayesian model selection or information criteria.

Use coef to extract estimates and posterior probabilities for local effects.

Usage

localnulltest(y, x, z, x.adjust, localgridsize=100, localgrid,
nbaseknots=20, nlocalknots=c(5,10,15), basedegree=3, cutdegree=0,
usecutbasis=TRUE, priorCoef=normalidprior(taustd=1),
priorGroup=normalidprior(taustd=1), priorDelta=modelbbprior(),
mc.cores=min(4,length(nlocalknots)), return.mcmc=FALSE, verbose=FALSE,
...)

localnulltest_fda(y, x, z, x.adjust, function_id,
Sigma='AR/MA', localgridsize=100, localgrid, nbaseknots=20,
nlocalknots=c(5,10,15), basedegree=3, cutdegree=0, usecutbasis=TRUE,
priorCoef=momprior(), priorGroup=groupmomprior(),
priorDelta=modelbbprior(), mc.cores=min(4,length(nlocalknots)),
return.mcmc=FALSE, verbose=FALSE, ...)

localnulltest_givenknots(y, x, z, x.adjust, localgridsize=100,
localgrid, nbaseknots=20, nlocalknots=10, basedegree=3, cutdegree=0,
usecutbasis=TRUE, priorCoef=normalidprior(taustd=1),
priorGroup=normalidprior(taustd=1), priorDelta=modelbbprior(),
verbose=FALSE, ...)

localnulltest_fda_givenknots(y, x, z, x.adjust, function_id,
Sigma='AR/MA', localgridsize=100, localgrid, nbaseknots=20,
nlocalknots=10, basedegree=3, cutdegree=0, usecutbasis=TRUE,
priorCoef=normalidprior(taustd=1), priorGroup=normalidprior(taustd=1),
priorDelta=modelbbprior(), verbose=FALSE, ...)

Arguments

y	Vector with the outcome variable
x	Numerical matrix with covariate values
z	Matrix with d-dimensional coordinates (d>=1$ for each entry in y, and d columns)
x.adjust	Optionally, further adjustment covariates to be included in the model with no testing being performed
function_id	Function identifier. It is assumed that one observes multiple functions over z, this is the identifier of each individual function
Sigma	Error covariance. By default 'identity', other options are 'MA', 'AR' or 'AR/MA' (meaning that BIC is used to choose between MA and AR). Alternatively the user can supply a function such that Sigma(z[i,],z[j,]) returns the within-function cov(y[i,], y[j,])
localgridsize	Local test probabilities will be returned for a grid of z values of size localgridsize for each dimension
localgrid	Regions at which tests will be performed. Defaults to dividing each [min(z[,i]), max(z[,i])] into 10 equal intervals. If provided, localgrid must be a list with one entry for each z[,i], containing a vector with the desired grid for that z[,i]
nbaseknots	Number of knots for the spline approximation to the baseline effect of x on y
nlocalknots	Number of knots for the basis capturing the local effects
basedegree	Degree of the spline approximation to the baseline
cutdegree	Degree of the cut spline basis used for testing
usecutbasis	If FALSE, then the basis is not cut and a standard spline basis is returned (not recommended unless you know what you're doing)
priorCoef	Prior on the coefficients, passed on to modelSelection
priorGroup	Prior on grouped coefficients, passed on to modelSelection
priorDelta	Prior on the models, passed on to modelSelection
mc.cores	If package parallel is available on your system and nlocalknots has several entries defining several resolution levels, they will be run in parallel on mc.cores
return.mcmc	Set to TRUE to return the MCMC output from modelSelection
verbose	If TRUE some progress information is printed
...	Other arguments to be passed on to modelSelection, e.g. family='binomial' for logistic regression

Details

Local variable selection considers the model

$y_i= \beta_0(z_i) + sum_{j=1}^p \beta_j(z_i, x_i) + e_i$

$\beta_0(z_i)$ is the baseline mean

$\beta_j(z_i,x_i)$ is local effect of covariate j at coordinate z_i

$e_i$ a Gaussian error term assumed either independent or with a covariance structure given by Sigma. If assuming independence it is possible to consider alternatives to Gaussianity, e.g. set family='binomial' for logistic regression or family='poisson' for Poisson regression

Note: a sum-to-zero type constraint is set on $\beta_1(z_i,x_i)$ so that it defines a deviation from the baseline mean $\beta_0(z_i)$

We model $\beta_0$ using B-splines of degree basedegree with nbaseknots knots. We model $\beta_j$ using B-splines of degree cutdegree with nlocalknots. Using cutdegree=0 runs fastest is usually gives similar inference than higher degrees, and is hence recommended by default.

Value

Object of class localtest, which extends a list with elements

covareffects	Estimated local covariate effects at different z values, 0.95 posterior intervals and posterior probability for the existence of an effect
pplocalgrid	Posterior probabilities for the existence of an effect for regions of z values. Do not use these unless you know what you're doing
covareffects.mcmc	MCMC output used to build covareffects. Only returned if return.mcmc=TRUE
ms	Objects of class msfit returned by modelSelection
pp_localknots	Posterior probability for each resolution level (value of nlocalknots)
Sigma	Input parameter
nlocalknots	Input parameter
basedegree	Input parameter
cutdegree	Input parameter
knots	Input parameters
regionbounds	List with region bounds defined by the local testing knots at each resolution level

Author(s)

David Rossell

Examples

#Simulate outcome and 2 covariates
#Covariate 1 has local effect for z>0
#Covariate 2 has no effect for any z

truemean= function(x,z) {
    ans= double(nrow(x))
    group1= (x[,1]==1)
    ans[group1]= ifelse(z[group1] <=0, cos(z[group1]), 1)
    ans[!group1]= ifelse(z[!group1]<=0, cos(z[!group1]), 1/(z[!group1]+1)^2)
    return(ans)
}

n= 1000
x1= rep(0:1,c(n/2,n/2))
x2= x1 + rnorm(n)
x= cbind(x1,x2)
z= runif(n,-3,3)
m= truemean(x,z)
y= truemean(x,z) + rnorm(n, 0, .5)

#Run localnulltest with 10 knots
fit0= localnulltest(y, x=x, z=z, nlocalknots=10, niter=1000)

#Estimated covariate effects and posterior probabilities
b= coef(fit0)
b

---

Marginal likelihood under a multivariate Normal likelihood and a conjugate Normal-inverse Wishart prior.

Description

The argument z can be used to specify cluster allocations. If left missing then the usual marginal likelihood is computed, else it is computed conditional on the clusters (this is equivalent to the product of marginal likelihoods across clusters)

Usage

marginalNIW(x, xbar, samplecov, n, z, g,  mu0=rep(0,ncol(x)),
nu0=ncol(x)+4, S0, logscale=TRUE)

Arguments

x	Data matrix (individuals in rows, variables in columns). Alternatively you can leave missing and specify xbar, samplecov and n instead
xbar	Either a vector with column means of x or a list where each element corresponds to the column means for each cluster
samplecov	Either the sample covariance matrix cov(x) or a list where each element contains the covariance for each clsuter
n	Either an integer indicating the sample size nrow(x) or a vector indicating the cluster counts table(z)
z	Optional argument specifying cluster allocations
g	Prior dispersion parameter for mu
mu0	Prior mean for mu
nu0	Prior degrees of freedom for Sigma
S0	Prior scale matrix for Sigma, by default set to I/nu0
logscale	set to TRUE to get the log-posterior density

Details

The function computes

p(x)= int p(x | mu,Sigma) p(mu,Sigma) dmu dSigma

where p(x[i])= N(x[i]; mu,Sigma) iid i=1,...,n

p(mu | Sigma)= N(mu; mu0, g Sigma) p(Sigma)= IW(Sigma; nu0, S0)

Value

If z is missing the integrated likelihood under a Normal-IW prior. If z was specified then the product of integrated likelihoods across clusters

Author(s)

David Rossell

See Also

dpostNIW for the posterior Normal-IW density.

Examples

#Simulate data
x= matrix(rnorm(100),ncol=2)

#Integrated likelihood under correct model
marginalNIW(x,g=1,nu0=4,log=FALSE)

#Integrated likelihood under random cluster allocations
z= rep(1:2,each=25)
marginalNIW(x,z=z,g=1,nu0=4,log=FALSE)

---

Class "mixturebf"

Description

Stores the output of Bayesian model selection for mixture models, e.g. as produced by function bfnormmix.

Methods are provided for retrieving the posterior probability of a given number of mixture components, posterior means and posterior samples of the mixture model parameters.

Objects from the Class

Typically objects are automatically created by a call to bfnormmix.

Slots

The class has the following slots:

postprob

data.frame containing posterior probabilities for different numbers of components (k) and log-posterior probability of a component being empty (contain no individuals)

p

Number of variables in the data to which the model was fit

n

Number of observations in the data to which the model was fit

priorpars

Prior parameters used when fitting the model

postpars

Posterior parameters for a 1-component mixture, e.g. for a Normal mixture the posterior is N(mu1,Sigma/prec) IW(nu1,S1)

mcmc

For each considered value of k, posterior samples for the parameters of the k-component model are stored

Methods

coef

Computes posterior means for all parameters

show

signature(object = "mixturebf"): Displays general information about the object.

postProb

signature(object = "mixturebf"): Extracts posterior model probabilities, Bayes factors and posterior probability of a cluster being empty

postSamples

signature(object = "mixturebf"): Extracts posterior samples

Author(s)

David Rossell

References

Fuquene J., Steel M.F.J., Rossell D. On choosing mixture components via non-local priors. 2018. arXiv

See Also

See also bfnormmix

Examples

showClass("mixturebf")

---

Bayesian variable selection for linear models via non-local priors.

Description

Bayesian model selection for linear, asymmetric linear, median and quantile regression under non-local or Zellner priors. p>>n can be handled.

modelSelection enumerates all models when feasible and uses a Gibbs scheme otherwise. See coef and coefByModel for estimates and posterior intervals of regression coefficients, and rnlp for posterior samples.

modelsearchBlockDiag seeks the highest posterior probability model using an iterative block search.

Usage

modelSelection(y, x, data, smoothterms, nknots=9,
groups=1:ncol(x), constraints, center=TRUE, scale=TRUE,
enumerate, includevars=rep(FALSE,ncol(x)), models,
maxvars, niter=5000, thinning=1,
burnin=round(niter/10), family='normal', priorCoef,
priorGroup, priorDelta=modelbbprior(1,1),
priorConstraints,
priorVar=igprior(.01,.01),
priorSkew=momprior(tau=0.348), phi, deltaini=rep(FALSE,ncol(x)),
initSearch='greedy', method='auto', adj.overdisp='intercept',
hess='asymp', optimMethod, optim_maxit, initpar='none', B=10^5,
XtXprecomp= ifelse(ncol(x)<10^4,TRUE,FALSE), verbose=TRUE)

modelsearchBlockDiag(y, x, priorCoef=momprior(tau=0.348),
priorDelta=modelbbprior(1,1), priorVar=igprior(0.01,0.01),
blocksize=10, maxiter=10, maxvars=100, maxlogmargdrop=20,
maxenum=10, verbose=TRUE)

Arguments

y	Either a formula with the regression equation or a vector with observed responses. The response can be either continuous or of class Surv (survival outcome). If y is a formula then x, groups and constraints are automatically created
x	Design matrix with linear covariates for which we want to assess if they have a linear effect on the response. Ignored if y is a formula
data	If y is a formula then data should be a data frame containing the variables in the model
smoothterms	Formula for non-linear covariates (cubic splines), modelSelection assesses if the variable has no effect, linear or non-linear effect. smoothterms can also be a design matrix or data.frame containing linear terms, for each column modelSelection creates a spline basis and tests no/linear/non-linear effects
nknots	Number of spline knots. For cubic splines the non-linear basis adds knots-4 coefficients for each linear term, we recommend setting nknots to a small/moderate value
groups	If variables in x such be added/dropped in groups, groups indicates the group that each variable corresponds to (by default each variable goes in a separate group)
constraints	Constraints on the model space. List with length equal to the number of groups; if group[[i]]=c(j,k) then group i can only be in the model if groups j and k are also in the model
center	If TRUE, y and x are centered to have zero mean. Dummy variables corresponding to factors are NOT centered
scale	If TRUE, y and columns in x are scaled to have variance=1. Dummy variables corresponding to factors are NOT scaled
enumerate	Default is TRUE if there's less than 15 variable groups. If TRUE all models with up to maxvars are enumerated, else Gibbs sampling is used to explore the model space
includevars	Logical vector of length ncol(x) indicating variables that should always be included in the model, i.e. variable selection is not performed for these variables
models	Optional logical matrix indicating the models to be enumerated with rows equal to the number of desired models and columns to the number of variables in x.
maxvars	When enumerate==TRUE only models with up to maxvars variables enumerated (defaults to all variables). In modelsearchBlockDiag a sequence of models is defined from 1 up to maxvars
niter	Number of Gibbs sampling iterations
thinning	MCMC thinning factor, i.e. only one out of each thinning iterations are reported. Defaults to thinning=1, i.e. no thinning
burnin	Number of burn-in MCMC iterations. Defaults to .1*niter. Set to 0 for no burn-in
family	Family of parametric distribution. Use 'normal' for Normal errors, 'binomial' for logistic regression, 'poisson' for Poisson regression. 'twopiecenormal' for two-piece Normal, 'laplace' for Laplace errors and 'twopiecelaplace' for double exponential. For 'auto' the errors are assumed continuous and their distribution is inferred from the data among 'normal', 'laplace', 'twopiecenormal' and 'twopiecelaplace'. 'laplace' corresponds to median regression and 'twopiecelaplace' to quantile regression. See argument priorSkew
priorCoef	Prior on coefficients, created by momprior, imomprior, emomprior or zellnerprior. Prior dispersion is on coefficients/sqrt(scale) for Normal and two-piece Normal, and on coefficients/sqrt(2*scale) for Laplace and two-piece Laplace.
priorGroup	Prior on grouped coefficients (e.g. categorical predictors with >2 categories, splines). Created by groupmomprior, groupemomprior, groupimomprior or groupzellnerprior
priorDelta	Prior on model space. Use modelbbprior() for Beta-Binomial prior, modelbinomprior(p) for Binomial prior with prior inclusion probability p, modelcomplexprior for Complexity prior, or modelunifprior() for Uniform prior
priorConstraints	Prior distribution on the number of terms subject to hierarchical constrains that are included in the model
priorVar	Inverse gamma prior on scale parameter. For Normal outcomes variance=scale, for Laplace outcomes variance=2*scale
priorSkew	Either a fixed value for tanh(alpha) where alpha is the asymmetry parameter or a prior on tanh(alpha). For family=='twopiecelaplace' setting alpha=a is equivalent to performing quantile regression for the quantile (1+a)/2. Ignored if family is 'normal' or 'laplace'.
phi	The error variance in Gaussian models, typically this is unknown and is left missing
deltaini	Logical vector of length ncol(x) indicating which coefficients should be initialized to be non-zero. Defaults to all variables being excluded from the model
initSearch	Algorithm to refine deltaini. initSearch=='greedy' uses a greedy Gibbs sampling search. initSearch=='SCAD' sets deltaini to the non-zero elements in a SCAD fit with cross-validated regularization parameter. initSearch=='none' leaves deltaini unmodified
method	Method to compute marginal likelihood. method=='Laplace' for Laplace approx, method=='ALA' for approximate Laplace approximation. method=='MC' for Importance Sampling, method=='Hybrid' for Hybrid Laplace-IS (only available for piMOM prior). See Details.

method=='auto' attempts to use exact calculations when possible, otherwise ALA if available, otherwise Laplace approx.

adj.overdisp	Only used when method=='ALA'. Over-dispersion adjustment in models with fixed dispersion parameter, as in logistic and Poisson regression. adj.overdisp='none' for no adjustment (not recommended, particularly for Poisson models). adj.overdisp='intercept' to estimate over-dispersion from the intercept-only model, and adj.overdisp='residuals' from the Pearson residuals of each model
hess	Method to estimat the hessian in the Laplace approximation to the integrated likelihood under Laplace or asymmetric Laplace errors. When hess=='asymp' the asymptotic hessian is used, hess=='asympDiagAdj' a diagonal adjustment is applied (see Rossell and Rubio for details).
optimMethod	Algorithm to maximize objective function when method=='Laplace'. Leave unspecified or set optimMethod=='auto' for an automatic choice. optimMethod=='LMA' uses modified Newton-Raphson algorithm, 'CDA' coordinate descent algorithm
optim_maxit	Maximum number of iterations when method=='Laplace'
initpar	Initial regression parameter values when finding the posterior mode to approximate the integrated likelihood. 'none', 'MLE', 'L1', or a numeric vector with initial values. 'auto': if p<n/2 MLE is used, else L1 (regularization parameter set via BIC)
B	Number of samples to use in Importance Sampling scheme. Ignored if method=='Laplace'
XtXprecomp	Set to TRUE to pre-compute the Gram matrix x'x upfront (saves time), to FALSE to compute and store elements only as needed (saves memory)
verbose	Set verbose==TRUE to print iteration progress
blocksize	Maximum number of variables in a block. Careful, the cost of the algorithm is of order 2^blocksize
maxiter	Maximum number of iterations, each iteration includes a screening pass to add and subtract variables
maxlogmargdrop	Stop the sequence of models when the drop in log p(y|model) is greater than maxlogmargdrop. This option avoids spending unnecessary time exploring overly large models
maxenum	If the posterior mode found has less than maxenum variables then do a full enumeration of all its submodels

Details

Let delta be the vector indicating inclusion/exclusion of each column of x in the model. The Gibbs algorithm sequentially samples from the posterior of each element in delta conditional on all the remaining elements in delta and the data. To do this it is necessary to evaluate the marginal likelihood for any given model. These have closed-form expression for the MOM prior, but for models with >15 variables these are expensive to compute and Laplace approximations are used instead (for the residual variance a log change of variables is used, which improves the approximation). For other priors closed forms are not available, so by default Laplace approximations are used. For the iMOM prior we also implement a Hybrid Laplace-IS which uses a Laplace approximation to evaluate the integral wrt beta and integrates wrt phi (residual variance) numerically.

It should be noted that Laplace approximations tend to under-estimate the marginal densities when the MLE for some parameter is very close to 0. That is, it tends to be conservative in the sense of excluding more variables from the model than an exact calculation would.

Finally, method=='plugin' provides a BIC-type approximation that is faster than exact or Laplace methods, at the expense of some accuracy. In non-sparse situations where models with many variables have large posterior probability method=='plugin' can be substantially faster.

For more details on the methods used to compute marginal densities see Johnson & Rossell (2012).

modelsearchBlockDiag uses the block search method described in Papaspiliopoulos & Rossell. Briefly, spectral clustering is run on X'X to cluster variables into blocks of blocksize and subsequently the Coolblock algorithm is used to define a sequence of models of increasing size. The exact integrated likelihood is evaluated for all models in this path, the best model chosen, and the scheme iteratively repeated to add and drop variables until convergence.

Value

Object of class msfit, which extends a list with elements

postSample	matrix with posterior samples for the model indicator. postSample[i,j]==1 indicates that variable j was included in the model in the MCMC iteration i
postOther	postOther returns posterior samples for parameters other than the model indicator, i.e. basically hyper-parameters. If hyper-parameters were fixed in the model specification, postOther will be empty.
margpp	Marginal posterior probability for inclusion of each covariate. This is computed by averaging marginal post prob for inclusion in each Gibbs iteration, which is much more accurate than simply taking colMeans(postSample)

.

postMode	Model with highest posterior probability amongst all those visited
postModeProb	Unnormalized posterior prob of posterior mode (log scale)
postProb	Unnormalized posterior prob of each visited model (log scale)
priors	List with priors specified when calling modelSelection

Author(s)

David Rossell

References

Johnson V.E., Rossell D. Non-Local Prior Densities for Default Bayesian Hypothesis Tests. Journal of the Royal Statistical Society B, 2010, 72, 143-170.

Johnson V.E., Rossell D. Bayesian model selection in high-dimensional settings. Journal of the American Statistical Association, 2012, 107, 649-660.

Papaspiliopoulos O., Rossell, D. Scalable Bayesian variable selection and model averaging under block orthogonal design. 2016

Rossell D., Rubio F.J. Tractable Bayesian variable selection: beyond normality. 2016

See Also

msfit-class for details on the output. postProb to obtain posterior model probabilities. coef.msfit for Bayesian model averaging estimates and intervals. predict.msfit for BMA estimates and intervals for user-supplied covariate values. plot.msfit for an MCMC diagnostic plot showing estimated marginal posterior inclusion probabilities vs. iteration number. rnlp to obtain posterior samples for the coefficients. nlpMarginal to compute marginal densities for a given model.

Examples

#Simulate data
x <- matrix(rnorm(100*3),nrow=100,ncol=3)
theta <- matrix(c(1,1,0),ncol=1)
y <- x %*% theta + rnorm(100)

#Specify prior parameters
priorCoef <- momprior(tau=0.348)
priorDelta <- modelunifprior()

#Alternative model space prior: 0.5 prior prob for including any covariate
priorDelta <- modelbinomprior(p=0.5)

#Alternative: Beta-Binomial prior for model space
priorDelta <- modelbbprior(alpha.p=1,beta.p=1)

#Model selection
fit1 <- modelSelection(y=y, x=x, center=FALSE, scale=FALSE,
priorCoef=priorCoef, priorDelta=priorDelta)
postProb(fit1) #posterior model probabilities

fit1$margpp #posterior marginal inclusion prob

coef(fit1) #BMA estimates, 95% intervals, marginal post prob

---

Bayesian variable selection for linear models via non-local priors.

Description

Bayesian model selection for linear, asymmetric linear, median and quantile regression under non-local or Zellner priors. p>>n can be handled.

modelSelection enumerates all models when feasible and uses a Gibbs scheme otherwise. See coef and coefByModel for estimates and posterior intervals of regression coefficients, and rnlp for posterior samples.

modelsearchBlockDiag seeks the highest posterior probability model using an iterative block search.

Usage

modelSelectionGGM(y, priorCoef=normalidprior(tau=1), 
priorModel=modelbinomprior(1/ncol(y)), 
priorDiag=exponentialprior(lambda=1), center=TRUE, scale=TRUE, 
almost_parallel= FALSE, sampler='Gibbs', niter=10^3, 
burnin= round(niter/10), pbirth=0.5, nbirth, 
Omegaini='glasso-ebic', verbose=TRUE)

Arguments

y	Data matrix
priorCoef	Prior on off-diagonal entries of the precision matrix, conditional on their not being zero (slab)
priorModel	Prior probabilities on having non-zero diagonal entries
priorDiag	Prior on diagonal entries of the precision matrix
center	If TRUE, the columns of y will be centered to zero mean
scale	If TRUE, the columns of y will be scaled to unit sample variance
almost_parallel	Use almost parallel algorithm sampling from each column independently and using an MH step
sampler	Posterior sampler. Options are "Gibbs", "birthdeath" and "zigzag"
niter	Number of posterior samples to be obtained
pbirth	Probability of a birth move. Ignored unless sampler=="birthdeath"
nbirth	Number of birth/death updates to perform for each row of the precision matrix. Defaults to ncol(y)
burnin	The first burnin samples will be discarded
Omegaini	Initial value of the precision matrix Omega. "null" sets all off-diagonal entries to 0. "glasso-bic" and "glasso-ebic" use GLASSO with regularization parameter set via BIC/EBIC, respectively. Alternatively, Omegaini can be a matrix
verbose	Set verbose==TRUE to print iteration progress

Details

Let Omega be the inverse covariance matrix. A spike-and-slab prior is used. Specifically, independent priors are set on all Omega[j,k], and then a positive-definiteness truncation is added.

The prior on diagonal entries Omega[j,j] is given by priorDiag. Off-diagonal Omega[j,k] are equal to zero with probability given by modelPrior and, when non-zero, they are

Independent spike-and-slab priors are set on the off-diagonal entries of Omega, i.e. Omega[j,k]=0 with positive probability (spike) and otherwise arises from the distribution indicated in priorCoef (slab).

Value

Posterior inference on the inverse covariance of y. Object of class msfit_ggm, which extends a list with elements

postSample	Posterior samples for the upper-diagonal entries of the precision matrix. Stored as a sparse matrix, see package Matrix to utilities to work with such matrices
p	Number of columns in y
priors	List storing the priors specified when calling modelSelectionGGM

Author(s)

David Rossell

See Also

msfit_ggm-class for further details on the output. icov for the estimated precision (inverse covariance) matrix. coef.msfit_ggm for Bayesian model averaging estimates and intervals.

Examples

#Simulate data with p=3
Th= diag(3); Th[1,2]= Th[2,1]= 0.5
sigma= solve(Th)

z= matrix(rnorm(1000*3), ncol=3)
y= z 

#Obtain posterior samples
fit= modelSelectionGGM(y, scale=FALSE)

#Parameter estimates, intervals, prob of non-zero
coef(fit)

#Estimated inverse covariance
icov(fit)

#Estimated inverse covariance, entries set to 0
icov(fit, threshold=0.95)

#Shows first posterior samples
head(fit$postSample)

---

Moment and inverse moment Bayes factors for linear models.

Description

mombf computes moment Bayes factors to test whether a subset of regression coefficients are equal to some user-specified value. imombf computes inverse moment Bayes factors.

Usage

mombf(lm1, coef, g, prior.mode, baseDensity='normal', nu=3, theta0,
logbf=FALSE, B=10^5)
imombf(lm1, coef, g, prior.mode, nu = 1, theta0 , method='adapt',
nquant=100, B = 10^5)

Arguments

lm1	Linear model fit, as returned by lm1.
coef	Vector with indexes of coefficients to be tested. e.g. coef==c(2,3) and theta0==c(0,0) tests coef(lm1)[2]=coef(lm1)[3]=0.
g	Vector with prior parameter values. See dmom and dimom for details.
prior.mode	If specified, g is set such that the prior mode is prior.mode
baseDensity	Density upon which the Mom prior is based. baseDensity=='normal' results in the normal Mom prior, baseDensity=='t' in the t Mom prior with nu degrees of freedom.
nu	For mombf, nu specifies the degrees of freedom of the t Mom prior. It is ignored unless baseDensity=='t'. nu defaults to 3. For imombf, nu specifies the degrees of freedom for the inverse moment prior (see dimom for details). Defaults to nu=1, which Cauchy-like tails.
theta0	Null value for the regression coefficients. Defaults to 0.
logbf	If logbf==TRUE the natural logarithm of the Bayes factor is returned.
method	Numerical integration method to compute the bivariate integral (only used by imombf). For method=='adapt', the inner integral is evaluated (via integrate) at a series of nquant quantiles of the residual variance posterior distribution, and then averaged as described in Johnson (1992). Set method=='MC' to use Monte Carlo integration.
nquant	Number of quantiles at which to evaluate the integral for known sigma. Only used if method=='adapt'.
B	Number of Monte Carlo samples to estimate the T Mom and the inverse moment Bayes factor. Only used in mombf if baseDensity=='t'. Only used in imombf if method=='MC'.

Details

These functions actually call momunknown and imomunknown, but they have a simpler interface. See dmom and dimom for details on the moment and inverse moment priors.

Value

mombf returns the moment Bayes factor to compare the model where theta!=theta0 with the null model where theta==theta0. Large values favor the alternative model; small values favor the null. imombf returns inverse moment Bayes factors.

Author(s)

David Rossell

References

See http://rosselldavid.googlepages.com for technical reports. For details on the quantile integration, see Johnson, V.E. A Technique for Estimating Marginal Posterior Densities in Hierarchical Models Using Mixtures of Conditional Densities. Journal of the American Statistical Association, Vol. 87, No. 419. (Sep., 1992), pp. 852-860.

See Also

nlpMarginal for a better interface to integrated likelihoods and modelSelection to also search over the model space

Examples

##compute Bayes factor for Hald's data
data(hald)
lm1 <- lm(hald[,1] ~ hald[,2] + hald[,3] + hald[,4] + hald[,5])

# Set g so that interval (-0.2,0.2) has 5% prior probability
# (in standardized effect size scale)
priorp <- .05; q <- .2
gmom <- priorp2g(priorp=priorp,q=q,prior='normalMom')
gimom <- priorp2g(priorp=priorp,q=q,prior='iMom')

mombf(lm1,coef=2,g=gmom) #moment BF
imombf(lm1,coef=2,g=gimom,B=10^5) #inverse moment BF

---

Bayes factors for moment and inverse moment priors

Description

momknown and momunknown compute moment Bayes factors for linear models when sigma^2 is known and unknown, respectively. The functions can also be used to compute approximate Bayes factors for generalized linear models and other settings. imomknown, imomunknown compute inverse moment Bayes factors.

Usage

momknown(theta1hat, V1, n, g = 1, theta0, sigma, logbf = FALSE)
momunknown(theta1hat, V1, n, nuisance.theta, g = 1, theta0, ssr, logbf =
FALSE)
imomknown(theta1hat, V1, n, nuisance.theta, g = 1, nu = 1, theta0,
sigma, method='adapt', B=10^5)
imomunknown(theta1hat, V1, n, nuisance.theta, g = 1, nu = 1, theta0,
ssr, method='adapt', nquant = 100, B = 10^5)

Arguments

theta1hat	Vector with regression coefficients estimates.
V1	Matrix proportional to the covariance of theta1hat. For linear models, the covariance is sigma^2*V1.
n	Sample size.
nuisance.theta	Number of nuisance regression coefficients, i.e. coefficients that we do not wish to test for.
ssr	Sum of squared residuals from a linear model call.
g	Prior parameter. See dmom and dimom for details.
theta0	Null value for the regression coefficients. Defaults to 0.
sigma	Dispersion parameter is sigma^2.
logbf	If logbf==TRUE the natural logarithm of the Bayes factor is returned.
nu	Prior parameter for the inverse moment prior. See dimom for details. Defaults to nu=1, which Cauchy-like tails.
method	Numerical integration method (only used by imomknown and imomunknown). Set method=='adapt' in imomknown to integrate using adaptive quadrature of functions as implemented in the function integrate. In imomunknown the integral is evaluated as in imomknown at a series of nquant quantiles of the posterior for sigma, and then averaged as described in Johnson (1992). Set method=='MC' to use Monte Carlo integration.
nquant	Number of quantiles at which to evaluate the integral for known sigma.
B	Number of Monte Carlo samples to estimate the inverse moment Bayes factor. Ignored if method!='MC'.

Details

See dmom and dimom for details on the moment and inverse moment priors. The Zellner-Siow g-prior is given by dmvnorm(theta,theta0,n*g*V1).

Value

momknown and momunknown return the moment Bayes factor to compare the model where theta!=theta0 with the null model where theta==theta0. Large values favor the alternative model; small values favor the null. imomknown and imomunknown return inverse moment Bayes factors.

Author(s)

David Rossell

References

See http://rosselldavid.googlepages.com for technical reports.

For details on the quantile integration, see Johnson, V.E. A Technique for Estimating Marginal Posterior Densities in Hierarchical Models Using Mixtures of Conditional Densities. Journal of the American Statistical Association, Vol. 87, No. 419. (Sep., 1992), pp. 852-860.

See Also

mombf and imombf for a simpler interface to compute Bayes factors in linear regression

Examples

#simulate data from probit regression
set.seed(4*2*2008)
n <- 50; theta <- c(log(2),0)
x <- matrix(NA,nrow=n,ncol=2)
x[,1] <- rnorm(n,0,1); x[,2] <- rnorm(n,.5*x[,1],1)
p <- pnorm(x[,1]*theta[1]+x[,2]+theta[2])
y <- rbinom(n,1,p)

#fit model
glm1 <- glm(y~x[,1]+x[,2],family=binomial(link = "probit"))
thetahat <- coef(glm1)
V <- summary(glm1)$cov.scaled

#compute Bayes factors to test whether x[,1] can be dropped from the model
g <- .5
bfmom.1 <- momknown(thetahat[2],V[2,2],n=n,g=g,sigma=1)
bfimom.1 <- imomknown(thetahat[2],V[2,2],n=n,nuisance.theta=2,g=g,sigma=1)
bfmom.1
bfimom.1

---

Class "msfit_ggm"

Description

Stores the output of Bayesian Gaussian graphical model selection and averaging, as produced by function modelSelectionGGM. The class extends a list, so all usual methods for lists also work for msfit_ggm objects, e.g. accessing elements, retrieving names etc.

Methods are provided to obtain parameter estimates, posterior intervals (Bayesian model averaging), and posterior probabilities of parameters being non-zero

Objects from the Class

Objects are created by a call to modelSelectionGGM.

Slots

The class extends a list with elements:

postSample

Sparse matrix (dgCMatrix) with posterior samples for the Gaussian precision (inverse covariance) parameters. Each row is a posterior sample. Within each row, only the upper-diagonal of the precision matrix is stored in a flat manner. The row and column indexes are stored in indexes

indexes

For each column in postSample, it indicates the row and column of the precision matrix

p

Number of variables

priors

Priors specified when calling modelSelection

Methods

coef

Obtain BMA posterior means, intervals and posterior probability of non-zeroes

plot

Shows estimated posterior inclusion probability for each parameter vs. number of MCMC iterations. Only up to the first 5000 parameters are shown

show

signature(object = "msfit_ggm"): Displays general information about the object.

Author(s)

David Rossell

See Also

modelSelectionGGM

Examples

showClass("msfit_ggm")

---

Class "msfit"

Description

Stores the output of Bayesian variable selection, as produced by function modelSelection. The class extends a list, so all usual methods for lists also work for msfit objects, e.g. accessing elements, retrieving names etc.

Methods are provided to compute posterior probabilities, obtaining regression coefficient estimates and posterior intervals (both via Bayesian model averaging and for individual models), and sampling from their posterior distribution, as indicated below.

Objects from the Class

Typically objects are automatically created by a call to modelSelection. Alternatively, objects can be created by calls of the form new("msfit",x) where x is a list with the adequate elements (see slots).

Slots

The class extends a list with elements:

postSample

matrix with posterior samples for the model indicator. postSample[i,j]==1 indicates that variable j was included in the model in the MCMC iteration i

postOther

postOther returns posterior samples for parameters other than the model indicator, i.e. basically hyper-parameters. If hyper-parameters were fixed in the model specification, postOther will be empty.

margpp

Marginal posterior probability for inclusion of each covariate. This is computed by averaging marginal post prob for inclusion in each Gibbs iteration, which is much more accurate than simply taking colMeans(postSample)

.

postMode

Model with highest posterior probability amongst all those visited

postModeProb

Unnormalized posterior prob of posterior mode (log scale)

postProb

Unnormalized posterior prob of each visited model (log scale)

family

Residual distribution, i.e. argument family when calling modelSelection

p

Number of variables

priors

Priors specified when calling modelSelection

ystd

For internal use. Stores the response variable, standardized if center or scale were set to TRUE

xstd

For internal use. Stores the covariates, standardized if center or scale were set to TRUE

stdconstants

For internal use. If center or scale were set to TRUE, stores the sample mean and standard deviation of the outcome and covariates

call

Stores info about the call, the formula used (if any), splines used etc

Methods

coef

Obtains posterior means and intervals via Bayesian model averaging

coefByModel

Obtains posterior means and intervals for individual models

plot

Shows estimated posterior inclusion probability for each parameter vs. number of MCMC iterations

predict

Obtains posterior means and intervals for given covariate values. These are posterior intervals for the mean, not posterior predictive intervals for the outcome

show

signature(object = "msfit"): Displays general information about the object.

postProb

signature(object = "msfit"): Extracts posterior model probabilities.

rnlp

signature(object = "msfit"): Obtain posterior samples for regression coefficients.

Author(s)

David Rossell

References

Johnson VE, Rossell D. Non-Local Prior Densities for Default Bayesian Hypothesis Tests. Journal of the Royal Statistical Society B, 2010, 72, 143-170

Johnson VE, Rossell D. Bayesian model selection in high-dimensional settings. Journal of the American Statistical Association, 107, 498:649-660.

See Also

See also modelSelection and rnlp.

Examples

showClass("msfit")

---

Class "msPriorSpec"

Description

Stores the prior distributions to be used for Bayesian variable selection in normal regression models. This class can be used to specify the prior on non-zero regression coefficients, the model indicator or the nuisance parameters.

Usage

aic()
bic()
bicprior()
ic(penalty)

momprior(taustd=1, tau, tau.adj=10^6, r=1)
imomprior(tau, tau.adj=10^6)
emomprior(tau, tau.adj=10^6)
zellnerprior(taustd=1, tau, tau.adj=10^6)
normalidprior(taustd=1, tau, tau.adj=10^6)

exponentialprior(lambda = 1)

groupmomprior(taustd=1, tau, tau.adj=10^6)
groupimomprior(tau, tau.adj=10^6)
groupemomprior(tau, tau.adj=10^6)
groupzellnerprior(taustd=1, tau, tau.adj=10^6)

modelunifprior()
modelbinomprior(p=0.5)
modelbbprior(alpha.p=1, beta.p=1)
modelcomplexprior(c=1)

igprior(alpha=.01, lambda=.01)

Arguments

penalty	Penalty on model dimension, i.e. for the AIC penalty=2
tau	Prior dispersion parameter for covariates undergoing selection
taustd	Prior dispersion parameter for covariates undergoing selection. It is calibrated so that 'taustd=1' equals the unit information prior.
tau.adj	Prior variance in Normal prior for covariates not undergoing selection
r	MOM prior parameter is 2*r
p	Prior inclusion probability for binomial prior on model space
alpha.p	Beta-binomial prior on model space has parameters alpha.p, beta.p
beta.p	Beta-binomial prior on model space has parameters alpha.p, beta.p
c	Under the Complexity prior the prior probability of having k variables in the model is proportional to 1/p^(ck)
alpha	Inverse gamma prior has parameters alpha/2, lambda/2
lambda	igprior defines an inverse gamma prior with parameters alpha/2, lambda/2. exponentialprior defines an exponential prior with rate parameter lambda

Details

DISCUSSION OF PRIOR ON PARAMETERS

Let beta=(beta_1,...,beta_p) be the regression coefficients for individual variables and delta=(delta_1,...,delta_q) those for grouped variables (e.g. factors or smooth terms in modelSelection).

momprior, emomprior, imomprior, zellnerprior and normalid can be priors on both beta or delta. For further information see the vignette.

groupzellnerprior is the prior density on delta

$p_z(\delta; \tau)= \prod_j N(\delta_j; 0, (\tau/p_j)) (X_j'X_j)^{-1}$

where $X_j$ are the design matrix columns associated to $delta_j$ and p_j=ncol(X_j) is the number of covariates in the group (for groupmomprior, the term in the denominator is (p_j +2) instead of p_j). A default tau=n=nrow(X_j) mimics the unit information prior and implies that the ratio of variance explained by X_j / residual variance is expected to be 1 a priori. To set the dispersion in terms of unit information prior, taustd is also available.

groupmomprior adds a quadratic MOM penalty

p_m(delta; tau)= p_z(delta; tau * n) prod_j delta_j'X_j'X_jdelta_j ncol(X_j)/(tau * n * p_j / (p_j + 2))

and analogously for eMOM and iMOM. Note that unlike groupzellnerprior, the nrow(X_j) factor is already included in the code. This is done to give user introduced tau values a roughly similar meaning between momprior and groupmomprior.

DISCUSSION OF PRIOR ON MODELS

Under the uniform prior, the prior probability of any model is 1 / number of models.

Under the Binomial, Beta-Binomial and Complexity priors a model with k out of K active variables has prior probability P(Z=k) / (K choose k), where where Z ~ Binomial(K,p), Z ~ BetaBinomial(K,alpha.p,beta.p) or for the Complexity prior P(Z=k) proportional to 1/K^(c*k).

Objects from the Class

Objects can be created by calls of the form new("msPriorSpec", ...), but it is easier to use creator functions.

For priors on regression coefficients use momprior, imomprior or emomprior. For prior on model space modelunifprior, modelbinomprior modelbbprior, or modelcomplexprior. For prior on residual variance use igprior.

Slots

priorType:

Object of class "character". "coefficients" indicates that the prior is for the non-zero regression coefficients. "modelIndicator" that it is for the model indicator, and "nuisancePars" that it is for the nuisance parameteres. Several prior distributions are available for each choice of priorType, and these can be speicified in the slot priorDist.

priorDistr:

Object of class "character". If priorType=="coefficients", priorDistr can be equal to "pMOM", "piMOM", "peMOM", "zellner", "normalid", "groupMOM" or "groupzellner" (product moment, product inverse moment, product exponential moment, Zellner prior, normal prior with $\Sigma=\mathbf{I}$, respectively). If priorType=="modelIndicator", priorDistr can be equal to "uniform" or "binomial" to specify a uniform prior (all models equaly likely a priori) or a binomial prior, or to "complexity" for the Complexity prior of Castillo et al 2015. For a binomial prior, the prior inclusion probability for any single variable must be specified in slot priorPars['p']. For a beta-binomial prior, the Beta hyper-prior parameters must be in priorPars['alpha.p'] and priorPars['beta.p']. For the Complexity prior, the prior parameter must be in the slot priorPars['c']. If priorType=="nuisancePars", priorDistr must be equal to "invgamma". This corresponds to an inverse gamma distribution for the residual variance, with parameters specified in the slot priorPars.

priorPars:

Object of class "vector", where each element must be named. For priorDistr=='pMOM', there must be an element "r" (MOM power is 2r). For any priorDistr there must be either an element "tau" indicating the prior dispersion or elements "a.tau" and "b.tau" specifying an inverse gamma hyper-prior for "tau". Optionally, there may be an element "tau.adj" indicating the prior dispersion for the adjustment variables (i.e. not undergoing variable selection). If not defined, "tau.adj" is set to 0.001 by default. For priorDistr=='binomial', there must be either an element "p" specifying the prior inclusion probability for any single covariate, or a vector with elements "alpha.p" and "beta.p" specifying a Beta(alpha.p,beta.p) hyper-prior on p. For priorDistr=='invgamma' there must be elements "alpha" and "lambda". The prior for the residual variance is an inverse gamma with parameteres .5*alpha and .5*lambda.

Methods

No methods defined with class "msPriorSpec" in the signature.

Note

When new instances of the class are created a series of check are performed to ensure that a valid prior specification is produced.

Author(s)

David Rossell

References

Johnson VE, Rossell D. Non-Local Prior Densities for Default Bayesian Hypothesis Tests. Journal of the Royal Statistical Society B, 2010, 72, 143-170

Johnson VE, Rossell D. Bayesian model selection in high-dimensional settings. Journal of the American Statistical Association, 107, 498:649-660.

See Also

See also modelSelection for an example of defining an instance of the class and perform Bayesian model selection.

Examples

showClass("msPriorSpec")

---

Marginal density of the observed data for linear regression with Normal, two-piece Normal, Laplace or two-piece Laplace residuals under non-local and Zellner priors

Description

The marginal density of the data, i.e. the likelihood integrated with respect to the given prior distribution on the regression coefficients of the variables included in the model and an inverse gamma prior on the residual variance.

nlpMarginal is the general function, the remaining ones correspond to particular cases and are kept for backwards compatibility with old code, and will be deprecated in the future.

Usage

nlpMarginal(sel, y, x, data, smoothterms, nknots=9, groups=1:ncol(x),
family="normal", priorCoef, priorGroup,
priorVar=igprior(alpha=0.01,lambda=0.01), priorSkew=momprior(tau=0.348),
phi, method='auto', adj.overdisp='intercept', hess='asymp', optimMethod,
optim_maxit, initpar='none', B=10^5, logscale=TRUE, XtX, ytX)

pimomMarginalK(sel, y, x, phi, tau=1, method='Laplace', B=10^5, logscale=TRUE, XtX, ytX)
pimomMarginalU(sel, y, x, alpha=0.001, lambda=0.001, tau=1,
method='Laplace', B=10^5, logscale=TRUE, XtX, ytX)
pmomMarginalK(sel, y, x, phi, tau, r=1, method='auto', B=10^5,
logscale=TRUE, XtX, ytX)
pmomMarginalU(sel, y, x, alpha=0.001, lambda=0.001, tau=1,
r=1, method='auto', B=10^5, logscale=TRUE, XtX, ytX)

Arguments

sel	Vector with indexes of columns in x to be included in the model. Ignored if y is a formula
y	Either a formula with the regression equation or a vector with observed responses. The response can be either continuous or of class Surv (survival outcome). If y is a formula then x, groups and constraints are automatically created
x	Design matrix with linear covariates for which we want to assess if they have a linear effect on the response. Ignored if y is a formula
data	If y is a formula then data should be a data frame containing the variables in the model
smoothterms	Formula for non-linear covariates (cubic splines), modelSelection assesses if the variable has no effect, linear or non-linear effect. smoothterms can also be a design matrix or data.frame containing linear terms, for each column modelSelection creates a spline basis and tests no/linear/non-linear effects
nknots	Number of spline knots. For cubic splines the non-linear basis adds knots-4 coefficients for each linear term, we recommend setting nknots to a small/moderate value
groups	If variables in x such be added/dropped in groups, groups indicates the group that each variable corresponds to (by default each variable goes in a separate group)
family	Residual distribution. Possible values are 'normal','twopiecenormal','laplace', 'twopiecelaplace'
priorCoef	Prior on coefficients, created by momprior, imomprior, emomprior or zellnerprior. Prior dispersion is on coefficients/sqrt(scale) for Normal and two-piece Normal, and on coefficients/sqrt(2*scale) for Laplace and two-piece Laplace.
priorGroup	Prior on grouped coefficients (e.g. categorical predictors with >2 categories, splines). Created by groupmomprior, groupemomprior, groupimomprior or groupzellnerprior
priorVar	Inverse gamma prior on scale parameter, created by igprior(). For Normal variance=scale, for Laplace variance=2*scale.
priorSkew	Either a number fixing tanh(alpha) where alpha is the asymmetry parameter or a prior on residual skewness parameter, assumed to be of the same family as priorCoef. Ignored if family is 'normal' or 'laplace'.
method	Method to approximate the integral. See help(modelSelection).
adj.overdisp	Only used for method=='ALA'. Over-dispersion adjustment for models with fixed dispersion parameter such as logistic and Poisson regression
hess	Method to estimat the hessian in the Laplace approximation to the integrated likelihood under Laplace or asymmetric Laplace errors. When hess=='asymp' the asymptotic hessian is used, hess=='asympDiagAdj' a diagonal adjustment is applied (see Rossell and Rubio for details).
optimMethod	Algorithm to maximize objective function when method=='Laplace'. Leave unspecified or set optimMethod=='auto' for an automatic choice. optimMethod=='LMA' uses modified Newton-Raphson algorithm, 'CDA' coordinate descent algorithm
optim_maxit	Maximum number of iterations when method=='Laplace'
initpar	Initial regression parameter values when finding the posterior mode to approximate the integrated likelihood. See help(modelSelection)
B	Number of Monte Carlo samples to use (ignored unless method=='MC')
logscale	If logscale==TRUE the log marginal density is returned.
XtX	Optionally, specify the matrix X'X. Useful when the function must be called a large number of times.
ytX	Optionally, specify the vector y'X. Useful when the function must be called a large number of times.
phi	Disperson parameter. See help(modelSelection)
alpha	Prior for phi is inverse gamma alpha/2, lambda/2
lambda	Prior for phi is inverse gamma alpha/2, lambda/2
tau	Prior dispersion parameter for MOM and iMOM priors (see details)
r	Prior power parameter for MOM prior is 2*r

Details

The marginal density of the data is equal to the integral of N(y;x[,sel]*theta,phi*I) * pi(theta|phi,tau) * IG(phi;alpha/2,lambda/2) with respect to theta, where pi(theta|phi,tau) is a non-local prior and IG denotes the density of an inverse gamma.

pmomMarginalK and pimomMarginalK assume that the residual variance is known and therefore the inverse-gamma term in the integrand can be ommitted.

The product MOM and iMOM densities can be evaluated using the functions dmom and dimom.

Value

Marginal density of the observed data under the specified prior.

Author(s)

David Rossell

References

Johnson V.E., Rossell D. Non-Local Prior Densities for Default Bayesian Hypothesis Tests. Journal of the Royal Statistical Society B, 2010, 72, 143-170. See http://rosselldavid.googlepages.com for technical reports.

See Also

modelSelection to perform model selection based on product non-local priors. momunknown, imomunknown, momknown, imomknown to compute Bayes factors for additive MOM and iMOM priors

Examples

x <- matrix(rnorm(100*2),ncol=2)
y <- x %*% matrix(c(.5,1),ncol=1) + rnorm(nrow(x))
pmomMarginalK(sel=1, y=y, x=x, phi=1, tau=1, method='Laplace')
pmomMarginalK(sel=1:2, y=y, x=x, phi=1, tau=1, method='Laplace')

---

Plot estimated marginal prior inclusion probabilities

Description

Plot marginal prior inclusion probabilities as estimated by cil versus regression coefficients for the treatment(s) equation(s)

Usage

plotprior(object, xlab, ylab, ylim=c(0,1), ...)

Arguments

object	Object of class cilfit returned by cil
xlab	x-axis label
ylab	y-axis label
ylim	y-axis limits
...	Other arguments passed on to plot

Value

A plot of prior inclusion probabilities vs treatment regression coefficients (dots). The line shows the (empirical Bayes) fit

Author(s)

David Rossell

See Also

cil

Examples

#See help(cil)

---

Bayesian model selection and averaging under block-diagonal X'X for linear models.

Description

postModeOrtho is for diagonal X'X, postModeBlockDiag for the more general block-diagonal X'X, where X is the matrix with predictors.

Both functions return the model of highest posterior probability of any given size using an efficient search algorithm. This sequence of models includes the highest posterior probability model (HPM). Posterior model probabilities, marginal variable inclusion probabilities and Bayesian model averaging estimates are also provided. The unknown residual variance is integrated out using an exact deterministic algorithm of low computational cost (see details in reference).

Usage

postModeOrtho(y, x, priorCoef=momprior(tau=0.348), priorDelta=modelbbprior(1,1),
priorVar=igprior(0.01,0.01), bma=FALSE, includeModels, maxvars=100)

postModeBlockDiag(y, x, blocks, priorCoef=zellnerprior(tau=nrow(x)),
priorDelta=modelbinomprior(p=1/ncol(x)),priorVar=igprior(0.01,0.01), bma=FALSE,
maxvars=100, momcoef)

Arguments

y	Outcome
x	Matrix with predictors. If an intercept is desired x should include a column of 1's.
blocks	Factor or integer vector of length ncol(x) indicating the block that each column in x belongs to.
priorCoef	Prior distribution for the coefficients. Object created with momprior, imomprior, emomprior or zellnerprior.
priorDelta	Prior on model space. Use modelbbprior() for Beta-Binomial prior, modelbinomprior(p) for Binomial prior with prior inclusion probability p, modelcomplexprior for Complexity prior, or modelunifprior() for Uniform prior
priorVar	Inverse gamma prior on residual variance, created with igprior()
bma	Set to TRUE to obtain marginal inclusion probabilities and Bayesian model averaging parameter estimates for each column of x.
includeModels	Models that should always be included when computing posterior model probabilities. It must be a list, each element in the list corresponds to a model and must be a logical or numeric vector indicating the variables in that model
maxvars	The search for the HPM is restricted to models with up to maxvars variables (note: posterior model probabilities and BMA are valid regardless of maxvars)
momcoef	optional argument containing pre-computed coefficients needed to obtain the marginal likelihood under the pMOM prior. A first call to postModeBlockDiag returns these coefficients, thus this argument is useful to speed up successive calls.

Details

The first step is to list a sequence of models with 0,...,maxvars variables which, under fairly general conditions listed in Papaspiliopoulos & Rossell (2016), is guaranteed to include the HPM. Then posterior model probabilities are computed for all these models to determine the HPM, evaluate the marginal posterior of the residual variance on a grid, and subsequently compute the marginal density p(y) via adaptive quadrature. Finally this adaptive grid is used to compute marginal inclusion probabilities and Bayesian model averaging estimates. For more details see Papaspiliopoulos & Rossell (2016).

Value

List with elemants

models	data.frame indicating the variables included in the sequence of models found during the search of the HPM, and their posterior probabilities. The model with highest posterior probability in this list is guaranteed to be the HPM.
phi	data.frame containing an adaptive grid of phi (residual variance) values and their marginal posterior density p(phi|y).
logpy	log-marginal density p(y), i.e. normalization constant of p(phi|y).
bma	Marginal posterior inclusion probabilities and Bayesian model averaging estimates for each column in x.
postmean.model	Coefficient estimates conditional on each of the models in models
momcoef	If a MOM prior was specified in priorCoef, momcoef stores some coefficients needed to compute its marginal likelihood

Author(s)

David Rossell

References

Papaspiliopoulos O., Rossell D. Scalable Bayesian variable selection and model averaging under block-orthogonal design. 2016

Examples

#Simulate data
set.seed(1)
p <- 400; n <- 410
x <- scale(matrix(rnorm(n*p),nrow=n,ncol=p),center=TRUE,scale=TRUE)
S <- cov(x)
e <- eigen(cov(x))
x <- t(t(x %*% e$vectors)/sqrt(e$values))
th <- c(rep(0,p-3),c(.5,.75,1)); phi <- 1
y <- x %*% matrix(th,ncol=1) + rnorm(n,sd=sqrt(phi))

#Fit
priorCoef=zellnerprior(tau=n); priorDelta=modelbinomprior(p=1/p); priorVar=igprior(0.01,0.01)
pm.zell <- postModeOrtho(y,x=x,priorCoef=priorCoef,priorDelta=priorDelta,priorVar=priorVar,
bma=TRUE)

#Best models
head(pm.zell$models)

#Posterior probabilities for sequence of models
nvars <- sapply(strsplit(as.character(pm.zell$models$modelid),split=','),length)
plot(nvars,pm.zell$models$pp,ylab='post prob',xlab='number of vars',ylim=0:1,xlim=c(0,50))

#Marginal posterior of phi
plot(pm.zell$phi,type='l',xlab='phi',ylab='p(phi|y)')

#Marginal inclusion prob & BMA estimates
plot(pm.zell$bma$margpp,ylab='Marginal inclusion prob')
plot(pm.zell$bma$coef,ylab='BMA estimate')

---

Obtain posterior model probabilities

Description

Obtain posterior model probabilities after running Bayesian model selection

Usage

postProb(object, nmax, method='norm')

Arguments

object	Object of class msfit returned by modelSelection, class mixturebf returned by bfnormmix, class cilfit returned by cil or class localtest returned by localnulltest
nmax	Maximum number of models to report (defaults to no max)
method	Only when class(object) is msfit. For 'norm' probabilities are obtained by renormalizing the stored integrated likelihoods, for 'exact' they are given by the proportion of MCMC visits to each model. 'norm' has less variability but can be biased if the chain has not converged.

Value

A data.frame with posterior model probabilities in column pp. Column modelid indicates the indexes of the selected covariates (empty for the null model with no covariates)

For mixturebf objects, posterior probabilities for the specified number of components

For localtest objects, posterior probabilities of a local covariate effect at various regions

Author(s)

David Rossell

See Also

modelSelection to perform model selection

Examples

#See help(modelSelection)

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Extract posterior samples from an object

Description

Obtain posterior model probabilities after running Bayesian model selection

Usage

postSamples(object)

Arguments

object

Object containing posterior samples, e.g. of class mixture bf as returned by bfnormmix

Value

For objects of class mixturebf, a list with one element for each considered number of mixture components.

Each element in the list contains posterior samples on the mixture weights (eta) and other component-specific parameters such as means (mu) and Cholesky decomposition of the inverse covariance matrix (cholSigmainv)

Author(s)

David Rossell

Examples

#See help(bfnormmix)

---

Moment and inverse moment prior elicitation

Description

priorp2g finds the g value giving priorp prior probability to the interval (-q,q).

Usage

priorp2g(priorp, q, nu=1, prior=c("iMom", "normalMom", "tMom"))

Arguments

prior	prior=='normalMom' does computations for the normal moment prior, prior=='tMom' for the T moment prior, prior=='iMom' does computations for the inverse moment prior. Currently prior=='tMom' is not implemented in priorp2g.
q	priorp2g returns g giving priorp prior probability to the interval (-q,q).
nu	Prior degrees of freedom for the T moment prior or the iMom prior (ignored if prior=='normalMom').
priorp	priorp2g returns g giving priorp prior probability to the interval (-q,q)

Details

See pmom and pimom for the MOM/iMOM cumulative distribution functions.

Value

priorp2g returns g giving priorp prior probability to the interval (-q,q).

Author(s)

David Rossell [email protected]

References

See http://rosselldavid.googlepages.com for technical reports.

See Also

pmom, pimom

Examples

data(hald)
lm1 <- lm(hald[, 1] ~ hald[, 2] + hald[, 3] + hald[, 4] + hald[, 5])

#find g value giving 0.05 probability to interval (-.2,.2)
priorp <- .05; q <- .2
gmom <- priorp2g(priorp=priorp, q=q, prior='normalMom')
gimom <- priorp2g(priorp=priorp, q=q, prior='iMom')
gmom
gimom

---

Posterior sampling for regression parameters

Description

Gibbs sampler for linear, generalized linear and survival models under product non-local priors, Zellner's prior and a Normal approximation to the posterior. Both sampling conditional on a model and Bayesian model averaging are implemented (see Details).

If x and y not specified samples from non-local priors/posteriors with density proportional to d(theta) N(theta; m, V) are produced, where d(theta) is the non-local penalty term.

Usage

rnlp(y, x, m, V, msfit, outcometype, family, priorCoef, priorGroup,
priorVar, isgroup, niter=10^3, burnin=round(niter/10), thinning=1, pp='norm')

Arguments

y	Vector with observed responses. When class(y)=='Surv' sampling is based on the Cox partial likelihood, else a linear model is assumed.
x	Design matrix with all potential predictors
m	Mean for the Normal kernel
V	Covariance for the Normal kernel
msfit	Object of class msfit returned by modelSelection. If specified Bayesian model averaging posterior samples are returned, according to posterior model probabilities in msfit, and then arguments y, x, m, V etc. If msfit is missing then posterior samples under the full model y ~ x are returned
outcometype	Type of outcome. Possible values are "Continuous", "glm" or "Survival"
family	Assumed family for the family. Some possible values are "normal", "binomial logit" and "Cox"
priorCoef	Prior distribution for the coefficients. Ignored if msfit is supplied. Must be object of class msPriorSpec, e.g. created by momprior, emomprior, imomprior, zellnerprior
priorGroup	Prior on grouped coefficients (e.g. categorical predictors with >2 categories, splines), as passed to modelSelection
priorVar	Prior on residual variance. Ignored if msfit supplied. Must be object of class msPriorSpec, e.g. created with igprior
isgroup	Logical vector where TRUE indicates that the variable is part of a group, e.g. one of several dummy indicators for a discrete covariate
niter	Number of MCMC iterations
burnin	Number of burn-in MCMC iterations. Defaults to .1*niter. Set to 0 for no burn-in
thinning	MCMC thinning factor, i.e. only one out of each thinning iterations are reported. Defaults to no thinning
pp	When msfit is provided this is the method to compute posterior model probabilities, which determine the sampled models. Can be 'norm' or 'exact', see postProb for details.

Details

The algorithm is implemented for product MOM (pMOM), product iMOM (piMOM) and product eMOM (peMOM) priors. The algorithm combines an orthogonalization that provides low serial correlation with a latent truncation representation that allows fast sampling.

When y and x are specified sampling is for the linear regression posterior. When argument msfit is left missing, posterior sampling is for the full model regressing y on all covariates in x. When msfit is specified each model is drawn with probability given by postProb(msfit). In this case, a Bayesian Model Averaging estimate of the regression coefficients can be obtained by applying colMeans to the rnlp ouput matrix.

When y and x are left missing, sampling is from a density proportional to d(theta) N(theta; m,V), where d(theta) is the non-local penalty (e.g. d(theta)=prod(theta^(2r)) for the pMOM prior).

Value

Matrix with posterior samples

Author(s)

David Rossell

References

D. Rossell and D. Telesca. Non-local priors for high-dimensional estimation, 2014. http://arxiv.org/pdf/1402.5107v2.pdf

See Also

modelSelection to perform model selection and compute posterior model probabilities. For more details on prior specification see msPriorSpec-class.

Examples

#Simulate data
x <- matrix(rnorm(100*3),nrow=100,ncol=3)
theta <- matrix(c(1,1,0),ncol=1)
y <- x %*% theta + rnorm(100)
fit1 <- modelSelection(y=y, x=x, center=FALSE, scale=FALSE)

th <- rnlp(msfit=fit1, niter=100)
colMeans(th)

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