Based on my experience teaching Bayes this fall, I've added some new functions to LearnBayes. The new version, LearnBayes 1.20, is available from the book website http://bayes.bgsu.edu/bcwr

One simple way of extending conjugate priors is by the use of discrete mixtures. There are three new functions, binomial.beta.mix, poisson.gamma.mix, and normal.normal.mix, that do the posterior computations for binomial, Poisson, and normal problems using mixtures of conjugate priors.

Here I'll illustrate one of the functions for Poisson sampling. Suppose we are interested in learning about the home run rate for Derek Jeter before the start of the 2004 season. (A home run rate is the proportion of official at-bats that are home runs.) Suppose our prior beliefs are that the median of is equal to 0.05 and the 90th percentile is equal to 0.081.

Here are two priors that match this information. The first is a conjugate Gamma prior and the second is a mixture of two conjugate Gamma priors.

Prior 1: Gamma(shape = 6, rate = 113.5)

Prior 2: 0.88 x Gamma(shape = 10, rate = 193.5) + 0.12 x Gamma(shape = 0.2, rate = 0.415)

I check below that these two priors match the prior information.

pgamma(c(.05,.081),shape=6,rate=113.5)

[1] 0.5008145 0.8955648

probs[1]*pgamma(c(.05,.081),shape=gammapar[1,1],rate=gammapar[1,2])+

probs[2]*pgamma(c(.05,.081),shape=gammapar[2,1],rate=gammapar[2,2])

[1] 0.5007136 0.9012596

Graphs of the two priors are shown below. They look similar, but the mixture prior has flatter tails.

Now we observe some data -- the number of at-bats and home runs hit by Jeter in the 2004 season. This data is contained in the dataset jeter2004 contained in the LearnBayes pacakge.

library(LearnBayes)

data(jeter2004)

The function poisson.gamma.mix will compute the posterior for the mixture prior. The inputs are prior, the vector of prior probabilities of the components, gammapar, a matrix of the gamma parameters for the components, and data, a list with components y (the observed counts) and t (the corresponding time intervals).

probs=c(.88,.12)

gammapar=rbind(c(10,193.5),c(.2,.415)

data=list(y=jeter2004$HR,t=jeter2004$AB)

Now we can run the function.

poisson.gamma.mix(probs,gammapar,data)

$probs

[1] 0.98150453 0.01849547

$gammapar

[,1] [,2]

[1,] 33.0 836.500

[2,] 23.2 643.415

We see from the output that the posterior for is distributed

0.98 x Gamma(33.0, 836.5) + 0.02 x Gamma(23.3, 643.4)

Does the choice of prior make a difference here? The following figure displays the posteriors for the two priors. They look similar, indicating that inference about is robust to the choice of prior.

But this robustness will depend on the observed data. Suppose that Jeter is a "steriod slugger" during the 2004 season and hits 70 home runs in 500 at-bats.

We run the function poisson.gamma.mix for these data.

poisson.gamma.mix(probs,gammapar,list(y=70,t=500))

$probs

[1] 0.227754 0.772246

$gammapar

[,1] [,2]

[1,] 80.0 693.500

[2,] 70.2 500.415

Here the posterior is

0.23 x gamma(80, 693.5) + 0.77 x gamma(70.2, 500.4)

I've graphed the two posteriors from the two priors. Here we see that the two posteriors are significantly different, indicating that the inference depends on the choice of prior.

## Monday, December 31, 2007

## Tuesday, December 4, 2007

### A Poisson Change-Point Model

In Chapter 11 of BCWR, I describe an analysis of a famous dataset, the counts of British coal mining disasters described in Carlin et al (1992). We observe the number of disasters for year , where actual year - 1850. We assume for early years (), has a Poisson distribution with mean , and for the later years, is Poisson(). Suppose we place vague priors on . (Specifically, we'll put a common gamma(c0, d0) prior on each Poisson mean.)

This model can be fit by the use of Gibbs sampling through the introduction of latent data. For each year, one introduces a state where or 2 if is Poisson() or Poisson(). Then one implements Gibbs sampling on the vector , ..., ).

In Chapter 11, I illustrate the use of WinBUGS and the R interface to simulate from this model. MCMCpack also offers a R function MCMCpoissonChangepoint to fit from this model which I'll illustrate here.

First we load in the MCMC package.

library(MCMCpack)

We load in the disaster numbers in a vector data.

data=c(4,5,4,1,0,4,3,4,0,6,

3,3,4,0,2,6,3,3,5,4,5,3,1,4,4,1,5,5,3,4,2,5,2,2,3,4,2,1,3,2,

1,1,1,1,1,3,0,0,1,0,1,1,0,0,3,1,0,3,2,2,

0,1,1,1,0,1,0,1,0,0,0,2,1,0,0,0,1,1,0,2,

2,3,1,1,2,1,1,1,1,2,4,2,0,0,0,1,4,0,0,0,

1,0,0,0,0,0,1,0,0,1,0,0)

Suppose we decide to assign gamma(c0, d0) priors on each Poisson mean where c0=1 and d0=1. Then we fit this changepoint model simply by running the function MCMCpoissonChangepoint:

fit=MCMCpoissonChangepoint(data, m = 1, c0 = 1, d0 = 1,

burnin = 10000, mcmc = 10000)

I have included the important arguments: data is obviously the vector of counts, m is the number of unknown changepoints (here m = 1), c0, d0 are the gamma prior parameters, we choose to have a burnin period of 10,000 iterations, and then collect the following 10,000 iterations.

MCMCpack includes several graphical and numerical summaries of the MCMC output: plot(fit), summary(fit), plotState(fit), and plotChangepoint(fit).

plot(fit) shows trace plots and density estimates for the two Poisson means.

summary(fit) gives you summary statistics, including suitable standard errors, for each Poisson mean

Iterations = 10001:20000

Thinning interval = 1

Number of chains = 1

Sample size per chain = 10000

1. Empirical mean and standard deviation for each variable,

plus standard error of the mean:

Mean SD Naive SE Time-series SE

lambda.1 3.0799 0.2870 0.002870 0.002804

lambda.2 0.8935 0.1130 0.001130 0.001170

2. Quantiles for each variable:

2.5% 25% 50% 75% 97.5%

lambda.1 2.5411 2.8861 3.0660 3.271 3.667

lambda.2 0.6853 0.8153 0.8895 0.966 1.130

plotState(fit) - this shows the probability that the process falls in each of the two states for all years

plotChangepoint(fit) -- this displays the posterior distribution of the changepoint location.

This analysis agrees with the analysis of this problem using WinBUGS described in Chapter 11 of BCWR.

This model can be fit by the use of Gibbs sampling through the introduction of latent data. For each year, one introduces a state where or 2 if is Poisson() or Poisson(). Then one implements Gibbs sampling on the vector , ..., ).

In Chapter 11, I illustrate the use of WinBUGS and the R interface to simulate from this model. MCMCpack also offers a R function MCMCpoissonChangepoint to fit from this model which I'll illustrate here.

First we load in the MCMC package.

library(MCMCpack)

We load in the disaster numbers in a vector data.

data=c(4,5,4,1,0,4,3,4,0,6,

3,3,4,0,2,6,3,3,5,4,5,3,1,4,4,1,5,5,3,4,2,5,2,2,3,4,2,1,3,2,

1,1,1,1,1,3,0,0,1,0,1,1,0,0,3,1,0,3,2,2,

0,1,1,1,0,1,0,1,0,0,0,2,1,0,0,0,1,1,0,2,

2,3,1,1,2,1,1,1,1,2,4,2,0,0,0,1,4,0,0,0,

1,0,0,0,0,0,1,0,0,1,0,0)

Suppose we decide to assign gamma(c0, d0) priors on each Poisson mean where c0=1 and d0=1. Then we fit this changepoint model simply by running the function MCMCpoissonChangepoint:

fit=MCMCpoissonChangepoint(data, m = 1, c0 = 1, d0 = 1,

burnin = 10000, mcmc = 10000)

I have included the important arguments: data is obviously the vector of counts, m is the number of unknown changepoints (here m = 1), c0, d0 are the gamma prior parameters, we choose to have a burnin period of 10,000 iterations, and then collect the following 10,000 iterations.

MCMCpack includes several graphical and numerical summaries of the MCMC output: plot(fit), summary(fit), plotState(fit), and plotChangepoint(fit).

plot(fit) shows trace plots and density estimates for the two Poisson means.

summary(fit) gives you summary statistics, including suitable standard errors, for each Poisson mean

Iterations = 10001:20000

Thinning interval = 1

Number of chains = 1

Sample size per chain = 10000

1. Empirical mean and standard deviation for each variable,

plus standard error of the mean:

Mean SD Naive SE Time-series SE

lambda.1 3.0799 0.2870 0.002870 0.002804

lambda.2 0.8935 0.1130 0.001130 0.001170

2. Quantiles for each variable:

2.5% 25% 50% 75% 97.5%

lambda.1 2.5411 2.8861 3.0660 3.271 3.667

lambda.2 0.6853 0.8153 0.8895 0.966 1.130

plotState(fit) - this shows the probability that the process falls in each of the two states for all years

plotChangepoint(fit) -- this displays the posterior distribution of the changepoint location.

This analysis agrees with the analysis of this problem using WinBUGS described in Chapter 11 of BCWR.

## Saturday, December 1, 2007

### Probit modeling via MCMCpack

I thought briefly about doing a survey of Bayesian R packages in my book. I'm sure a comparative survey would be helpful to many users, but it is difficult to cover all of the packages in any depth in a 30 page chapter. Also, since packages are evolving so fast, much of what I could say would quickly be out of date.

One package that looks attractive is the MCMCpack package written by Andrew Martin and Kevin Quinn. They provide MCMC algorithms for many popular statistical models and it seems, at first glance, easy to use.

Since I just demonstrated the use of Gibbs sampling for a probit model with a normal prior, let's fit this model by MCMCpack.

The appropriate R function to use is MCMCprobit which uses the same Albert-Chib sampling algorithm-- in it's most basic form, the function looks like

fit = MCMCprobit(model, data, burnin, mcmc, thin, b0, B0)

Here

fit: is a description of the probit model, written as any R model like lm.

data: is the data frame that is used

burnin: is the number of iterations for the burnin period

mcmc: is the number of Gibbs iterations

thin: is the thinning interval

b0: is the prior mean of the multivariate prior

B0: is the prior precision matrix

For my model, here is the syntax:

fit=MCMCprobit(success~prev.success+act, data=as.data.frame(DATA), burnin=0,

mcmc=10000, thin=1, b0=prior$beta, B0=prior$P)

After it is run, one can get summaries of the simulated draws of beta by the summary command.

summary(fit)

Iterations = 1:10000

Thinning interval = 1

Number of chains = 1

Sample size per chain = 10000

1. Empirical mean and standard deviation for each variable,

plus standard error of the mean:

Mean SD Naive SE Time-series SE

(Intercept) -1.53215 0.75595 0.0075595 0.0110739

prev.success 1.03590 0.24887 0.0024887 0.0038060

act 0.05093 0.03700 0.0003700 0.0005172

2. Quantiles for each variable:

2.5% 25% 50% 75% 97.5%

(Intercept) -3.03647 -2.03970 -1.53613 -1.02398 -0.04206

prev.success 0.54531 0.86842 1.03246 1.20129 1.52685

act -0.02117 0.02567 0.05132 0.07559 0.12451

Also, one can get trace plots and density estimates by the plot command.

plot(command)

What do I think about this particular function in MCMCpack?

1. The execution time for the MCMC is much faster using MCMCprobit since the sampling is done using compiled C++ code. How much faster? For 10,000 iterations of Gibbs sampling, it took my laptop 0.58 seconds to do this sampling in MCMCpack compared with 4.53 seconds using my R function.

2. MCMCprobit allows for more user input such as the burnin period, thinning rate, starting values, random number seed, etc.

3. It allows one to output latent residuals (Albert and Chib, Biometrika) and compute marginal likelihoods by the Laplace method.

Generally, the function worked fine and I got essentially the same results as I had before. My only quibble is that it took two tries for MCMCprobit to run. It complained that my prior precision matrix was not symmetric, although I computed this matrix by the var command in R. There was a quick fix -- I rounded the values of this matrix to two decimal places and MCMCprobit didn't complain.

One package that looks attractive is the MCMCpack package written by Andrew Martin and Kevin Quinn. They provide MCMC algorithms for many popular statistical models and it seems, at first glance, easy to use.

Since I just demonstrated the use of Gibbs sampling for a probit model with a normal prior, let's fit this model by MCMCpack.

The appropriate R function to use is MCMCprobit which uses the same Albert-Chib sampling algorithm-- in it's most basic form, the function looks like

fit = MCMCprobit(model, data, burnin, mcmc, thin, b0, B0)

Here

fit: is a description of the probit model, written as any R model like lm.

data: is the data frame that is used

burnin: is the number of iterations for the burnin period

mcmc: is the number of Gibbs iterations

thin: is the thinning interval

b0: is the prior mean of the multivariate prior

B0: is the prior precision matrix

For my model, here is the syntax:

fit=MCMCprobit(success~prev.success+act, data=as.data.frame(DATA), burnin=0,

mcmc=10000, thin=1, b0=prior$beta, B0=prior$P)

After it is run, one can get summaries of the simulated draws of beta by the summary command.

summary(fit)

Iterations = 1:10000

Thinning interval = 1

Number of chains = 1

Sample size per chain = 10000

1. Empirical mean and standard deviation for each variable,

plus standard error of the mean:

Mean SD Naive SE Time-series SE

(Intercept) -1.53215 0.75595 0.0075595 0.0110739

prev.success 1.03590 0.24887 0.0024887 0.0038060

act 0.05093 0.03700 0.0003700 0.0005172

2. Quantiles for each variable:

2.5% 25% 50% 75% 97.5%

(Intercept) -3.03647 -2.03970 -1.53613 -1.02398 -0.04206

prev.success 0.54531 0.86842 1.03246 1.20129 1.52685

act -0.02117 0.02567 0.05132 0.07559 0.12451

Also, one can get trace plots and density estimates by the plot command.

plot(command)

What do I think about this particular function in MCMCpack?

1. The execution time for the MCMC is much faster using MCMCprobit since the sampling is done using compiled C++ code. How much faster? For 10,000 iterations of Gibbs sampling, it took my laptop 0.58 seconds to do this sampling in MCMCpack compared with 4.53 seconds using my R function.

2. MCMCprobit allows for more user input such as the burnin period, thinning rate, starting values, random number seed, etc.

3. It allows one to output latent residuals (Albert and Chib, Biometrika) and compute marginal likelihoods by the Laplace method.

Generally, the function worked fine and I got essentially the same results as I had before. My only quibble is that it took two tries for MCMCprobit to run. It complained that my prior precision matrix was not symmetric, although I computed this matrix by the var command in R. There was a quick fix -- I rounded the values of this matrix to two decimal places and MCMCprobit didn't complain.

### Probit Modeling

I should have put more prior modeling in my Bayesian R book. One of the obvious advantages of the Bayesian approach is the ability to incorporate prior information. I'll illustrate the use of informative priors in a simple setting -- binary regression modeling with a probit link where one has prior information about the regression vector.

At my school, many students typically take a precalculus class that prepares them to take a business calculus class. We want our students to do well (that is, get a A or B) in the calculus class and wish to understand how the student's performance in the precalculus class and his/her ACT math score are useful in predicting the student's success.

Here is the probit model. If y=1 and y=0 represent respectively a student doing well and not well in the calculus class, then we model the probability that y=1 by

Prob(y=1) = Phi(beta0 + beta1 (PrecalculusGrade) + beta2 (ACT))

where Phi() is the standard normal cdf, PrecalculusGrade is 1 (0) if the student gets an A (B or C) in the precalculus class, and ACT is the math ACT score.

Suppose that the regression vector beta = (beta0, beta1, beta2) is assigned a multivariate normal prior with mean vector beta0 and precision matrix P. Then there is a simple Gibbs sampling algorithm for simulating from the posterior distribution of beta. The algorithm is based on the idea of augmenting the problem with latent continuous data from a normal distribution.

Although you might not understand the code, one can implement one iteration of Gibbs sampling by three lines of R code:

z=rtruncated(N,LO,HI,pnorm,qnorm,X%*%beta,1)

mn=solve(BI+t(X)%*%X,BIbeta0+t(X)%*%z)

beta = t(aa) %*% array(rnorm(p), c(p, 1)) + mn

Anyway, I want to focus on using this model with prior information.

1. First suppose I have a "prior dataset" of 50 students. I fit this probit model with a vague prior on beta. The inputs to the function bayes.probit.prior are (1) the vector of binary responses y, (2) the covariate matrix X, and (3) the number of iterations of the Gibbs sampoler.

fit1=bayes.probit.prior(prior.data[,1],prior.data[,-1],1000)

2. I compute the posterior mean and posterior variance-covariance matrix of the simulated draws of beta. I use these values for my multivariate normal prior on beta.

prior=list(beta=apply(fit1,2,mean),P=solve(var(fit1)))

(Note that I'm inputting the precision matrix P that is the inverse of the var-cov matrix.)

3. Using this informative prior, I fit the probit model with a new sample of 100 students.

fit2=bayes.probit.prior(DATA[,1],DATA[,-1],10000,prior=prior)

The only change in the input is that I input a list "prior" that includes the mean "beta" and the precision matrix P.

4. Now I summarize my fit to learn about the relationship of previous grade and ACT on the success of the calculus students. I define a grid of ACT scores and consider two sets of covariates corresponding to students who were not successful (0) and successful (1) in precalculs.

act=seq(15,29)

x0=cbind(1,0,act)

x1=cbind(1,1,act)

Then I use the function bprobit.probs to obtain posterior samples of the probability of success in calculus for each set of covariates.

fit.x0=bprobit.probs(x0,fit2)

fit.x1=bprobit.probs(x1,fit2)

I graph the posterior means of the fitted probabilities in the below graph. There are two lines -- one corresponding to the students who aced the precalculus class, and another line corresponding to the students who did not ace precalculus.

Several things are clear from this graph. The performance in the precalc class matters -- students who ace precalculus have a 30% higher chance of succeeding in the calculus class. On the other hand, the ACT score (that the student took during high school) has essentially no predictive ability. It is interesting that the slopes of the lines are negative, but these clearly isn't significant.

At my school, many students typically take a precalculus class that prepares them to take a business calculus class. We want our students to do well (that is, get a A or B) in the calculus class and wish to understand how the student's performance in the precalculus class and his/her ACT math score are useful in predicting the student's success.

Here is the probit model. If y=1 and y=0 represent respectively a student doing well and not well in the calculus class, then we model the probability that y=1 by

Prob(y=1) = Phi(beta0 + beta1 (PrecalculusGrade) + beta2 (ACT))

where Phi() is the standard normal cdf, PrecalculusGrade is 1 (0) if the student gets an A (B or C) in the precalculus class, and ACT is the math ACT score.

Suppose that the regression vector beta = (beta0, beta1, beta2) is assigned a multivariate normal prior with mean vector beta0 and precision matrix P. Then there is a simple Gibbs sampling algorithm for simulating from the posterior distribution of beta. The algorithm is based on the idea of augmenting the problem with latent continuous data from a normal distribution.

Although you might not understand the code, one can implement one iteration of Gibbs sampling by three lines of R code:

z=rtruncated(N,LO,HI,pnorm,qnorm,X%*%beta,1)

mn=solve(BI+t(X)%*%X,BIbeta0+t(X)%*%z)

beta = t(aa) %*% array(rnorm(p), c(p, 1)) + mn

Anyway, I want to focus on using this model with prior information.

1. First suppose I have a "prior dataset" of 50 students. I fit this probit model with a vague prior on beta. The inputs to the function bayes.probit.prior are (1) the vector of binary responses y, (2) the covariate matrix X, and (3) the number of iterations of the Gibbs sampoler.

fit1=bayes.probit.prior(prior.data[,1],prior.data[,-1],1000)

2. I compute the posterior mean and posterior variance-covariance matrix of the simulated draws of beta. I use these values for my multivariate normal prior on beta.

prior=list(beta=apply(fit1,2,mean),P=solve(var(fit1)))

(Note that I'm inputting the precision matrix P that is the inverse of the var-cov matrix.)

3. Using this informative prior, I fit the probit model with a new sample of 100 students.

fit2=bayes.probit.prior(DATA[,1],DATA[,-1],10000,prior=prior)

The only change in the input is that I input a list "prior" that includes the mean "beta" and the precision matrix P.

4. Now I summarize my fit to learn about the relationship of previous grade and ACT on the success of the calculus students. I define a grid of ACT scores and consider two sets of covariates corresponding to students who were not successful (0) and successful (1) in precalculs.

act=seq(15,29)

x0=cbind(1,0,act)

x1=cbind(1,1,act)

Then I use the function bprobit.probs to obtain posterior samples of the probability of success in calculus for each set of covariates.

fit.x0=bprobit.probs(x0,fit2)

fit.x1=bprobit.probs(x1,fit2)

I graph the posterior means of the fitted probabilities in the below graph. There are two lines -- one corresponding to the students who aced the precalculus class, and another line corresponding to the students who did not ace precalculus.

Several things are clear from this graph. The performance in the precalc class matters -- students who ace precalculus have a 30% higher chance of succeeding in the calculus class. On the other hand, the ACT score (that the student took during high school) has essentially no predictive ability. It is interesting that the slopes of the lines are negative, but these clearly isn't significant.

## Thursday, November 29, 2007

### Comparing sampling models by Bayes factors

In the last posting, I illustrated fitting a t(4) sampling model to some baseball data where I suspected there was an outlier. To compare this model to other sampling models, we can use Bayes factors.

Here is a t sampling model with a convenient choice of prior.

1.is a random sample from

2. and are independent, with distributed and distributed

I define a R function tsampling.R that computes the logarithm of the posterior. Note that I am careful to include all of the normalizing constants, since I am primarily interested in computing the marginal density of .

tsampling=function(theta,datapar)

{

mu=theta[1]; logsigma=theta[2]; sigma=exp(logsigma)

y=datapar$y; df=datapar$df

mu.mean=datapar$mu.mean; mu.sd=datapar$mu.sd

lsigma.mean=datapar$lsigma.mean; lsigma.sd=datapar$lsigma.sd

loglike=sum(dt((y-mu)/sigma,df,log=TRUE)-log(sigma))

logprior=dnorm(mu,mu.mean,mu.sd,log=TRUE)+

dnorm(logsigma,lsigma.mean,lsigma.sd,log=TRUE)

return(loglike+logprior)

}

We use this function together with the function laplace to compute the log marginal density for two models.

Model 1 -- t(4) sampling, is normal(90, 20), is normal(1, 1).

Model 2 -- t(30) sampling, is normal(90, 20), is normal(1, 1).

Note that I'm using the same prior for both models -- the only difference is the choice of degrees of freedom in the sampling density.

dataprior1=list(y=y, df=4, mu.mean=90, mu.sd=20,

lsigma.mean=1, lsigma.sd=1)

log.m1=laplace(tsampling,c(80, 3), dataprior1)$int

dataprior2=list(y=y, df=30, mu.mean=90, mu.sd=20,

lsigma.mean=1, lsigma.sd=1)

log.m2=laplace(tsampling,c(80, 3), dataprior2)$int

BF.12=exp(log.m1-log.m2)

BF.12

[1] 14.8463

We see that there is substantial support for the t(4) model over the "close to normal" t(30) model.

Here is a t sampling model with a convenient choice of prior.

1.is a random sample from

2. and are independent, with distributed and distributed

I define a R function tsampling.R that computes the logarithm of the posterior. Note that I am careful to include all of the normalizing constants, since I am primarily interested in computing the marginal density of .

tsampling=function(theta,datapar)

{

mu=theta[1]; logsigma=theta[2]; sigma=exp(logsigma)

y=datapar$y; df=datapar$df

mu.mean=datapar$mu.mean; mu.sd=datapar$mu.sd

lsigma.mean=datapar$lsigma.mean; lsigma.sd=datapar$lsigma.sd

loglike=sum(dt((y-mu)/sigma,df,log=TRUE)-log(sigma))

logprior=dnorm(mu,mu.mean,mu.sd,log=TRUE)+

dnorm(logsigma,lsigma.mean,lsigma.sd,log=TRUE)

return(loglike+logprior)

}

We use this function together with the function laplace to compute the log marginal density for two models.

Model 1 -- t(4) sampling, is normal(90, 20), is normal(1, 1).

Model 2 -- t(30) sampling, is normal(90, 20), is normal(1, 1).

Note that I'm using the same prior for both models -- the only difference is the choice of degrees of freedom in the sampling density.

dataprior1=list(y=y, df=4, mu.mean=90, mu.sd=20,

lsigma.mean=1, lsigma.sd=1)

log.m1=laplace(tsampling,c(80, 3), dataprior1)$int

dataprior2=list(y=y, df=30, mu.mean=90, mu.sd=20,

lsigma.mean=1, lsigma.sd=1)

log.m2=laplace(tsampling,c(80, 3), dataprior2)$int

BF.12=exp(log.m1-log.m2)

BF.12

[1] 14.8463

We see that there is substantial support for the t(4) model over the "close to normal" t(30) model.

### Robust Modeling using Gibbs Sampling

To illustrate the use of Gibbs sampling for robust modeling, here are the batting statistics for the "regular" players on the San Francisco Giants for the 2007 baseball season:

We read the OPS values for the 15 players into R into the vector y.

> y

[1] 86 92 65 81 62 170 80 105 73 84 103 107 93 85 102

We assume that the observations y1, ..., y15 are iid from a t distribution with location , scale and 4 degrees of freedom. We place the usual noninformative prior on .

We implement 10,000 iterations of Gibbs sampling by use of the function robustt.R in the LearnBayes package. This function is easy to use -- we just input the data vector y, the degrees of freedom, and the number of iterations.

fit=robustt(y,4,10000)

The object fit is a list with components mu, sigma2, and lam -- mu is a vector of simulated draws of , sigma2 is a vector of simulated draws of , and lam is a matrix of simulated draws of the scale parameters . (The are helpful for identifying outliers in the data -- here the outlier is pretty obvious.)

Below I have graphed the data as solid dots and placed a density estimate of the posterior of on top. We see that the estimate of appears to ignore the one outlier (Barry Bonds) in the data.

plot(y,0*y,cex=1.5,pch=19,ylim=c(0,.1),ylab="DENSITY",xlab="MU")

lines(density(fit$mu),lwd=3,col="red")

By the way, we have assumed that robust modeling was suitable for this dataset since I knew that the Giants had one unusually good hitter on their team. Can we formally show that robust modeling the t(4) distribution is better than normal modeling for these data?

Sure -- we can define two models (with the choice of proper prior distributions) and compare the models by use of a Bayes factor. I'll illustrate this in my next posting.

Pos Player Ag G AB R H 2B 3B HR RBI BB SO BA OBP SLG SB CS GDP HBP SH SF IBB OPS+We'll focus on the last batting measure OPS that is a summary of a player's batting effectiveness.

---+-------------------+--+----+----+----+----+---+--+---+----+---+----+-----+-----+-----+---+---+---+---+---+---+---+----+

C Bengie Molina 32 134 497 38 137 19 1 19 81 15 53 .276 .298 .433 0 0 13 2 1 2 2 86

1B *Ryan Klesko 36 116 362 51 94 27 3 6 44 46 68 .260 .344 .401 5 1 14 1 1 1 2 92

2B #Ray Durham 35 138 464 56 101 21 2 11 71 53 75 .218 .295 .343 10 2 18 2 0 9 6 65

3B Pedro Feliz 32 150 557 61 141 28 2 20 72 29 70 .253 .290 .418 2 2 15 1 0 3 2 81

SS #Omar Vizquel 40 145 513 54 126 18 3 4 51 44 48 .246 .305 .316 14 6 14 1 14 3 6 62

LF *Barry Bonds 42 126 340 75 94 14 0 28 66 132 54 .276 .480 .565 5 0 13 3 0 2 43 170

CF *Dave Roberts 35 114 396 61 103 17 9 2 23 42 66 .260 .331 .364 31 5 4 0 4 0 1 80

RF #Randy Winn 33 155 593 73 178 42 1 14 65 44 85 .300 .353 .445 15 3 12 7 4 5 3 105

Rich Aurilia 35 99 329 40 83 19 2 5 33 22 45 .252 .304 .368 0 0 8 4 0 3 1 73

Kevin Frandsen 25 109 264 26 71 12 1 5 31 21 24 .269 .331 .379 4 3 17 5 3 3 3 84

*Fred Lewis 26 58 157 34 45 6 2 3 19 19 32 .287 .374 .408 5 1 4 3 1 0 0 103

#Dan Ortmeier 26 62 157 20 45 7 4 6 16 7 41 .287 .317 .497 2 1 2 1 0 2 1 107

Rajai Davis 26 51 142 26 40 9 1 1 7 14 25 .282 .363 .380 17 4 0 4 2 0 1 93

*Nate Schierholtz 23 39 112 9 34 5 3 0 10 2 19 .304 .316 .402 3 1 0 1 0 2 0 85

*Mark Sweeney 37 76 90 18 23 8 0 2 10 13 18 .256 .368 .411 2 0 0 3 1 0 0 102

We read the OPS values for the 15 players into R into the vector y.

> y

[1] 86 92 65 81 62 170 80 105 73 84 103 107 93 85 102

We assume that the observations y1, ..., y15 are iid from a t distribution with location , scale and 4 degrees of freedom. We place the usual noninformative prior on .

We implement 10,000 iterations of Gibbs sampling by use of the function robustt.R in the LearnBayes package. This function is easy to use -- we just input the data vector y, the degrees of freedom, and the number of iterations.

fit=robustt(y,4,10000)

The object fit is a list with components mu, sigma2, and lam -- mu is a vector of simulated draws of , sigma2 is a vector of simulated draws of , and lam is a matrix of simulated draws of the scale parameters . (The are helpful for identifying outliers in the data -- here the outlier is pretty obvious.)

Below I have graphed the data as solid dots and placed a density estimate of the posterior of on top. We see that the estimate of appears to ignore the one outlier (Barry Bonds) in the data.

plot(y,0*y,cex=1.5,pch=19,ylim=c(0,.1),ylab="DENSITY",xlab="MU")

lines(density(fit$mu),lwd=3,col="red")

By the way, we have assumed that robust modeling was suitable for this dataset since I knew that the Giants had one unusually good hitter on their team. Can we formally show that robust modeling the t(4) distribution is better than normal modeling for these data?

Sure -- we can define two models (with the choice of proper prior distributions) and compare the models by use of a Bayes factor. I'll illustrate this in my next posting.

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