## Monday, September 24, 2007

### Fitting a Beta Sampling Model

To illustrate a "brute-force" method of summarizing a posterior, suppose that we observe a sample y1, ..., yn from a beta distribution with parameters a and b. If we assign (a, b) a uniform prior, then the posterior density is given by

g(a, b | data) propto prod_{i=1}^n f(y_i; a, b),

where f(y; a, b) = 1/B(a, b) y^(a-1) (1-y)^(b-1) is the beta density. As an example, suppose we are given the following proportions of students who are "math proficient" on the Ohio Graduation Test for a random sample of 20 schools in Ohio.

y=c(0.955, 0.819, 0.472, 0.925, 0.780, 0.931, 0.945, 0.926, 0.852, 0.920, 0.885, 0.890, 0.789, 0.973, 0.831, 0.835, 0.884, 0.904, 0.900, 0.806)

Here is our method:

1. We write a short R function betasampling.post.R that computes the logarithm of the posterior density. Note that the built-in function dbeta is used -- the log=TRUE option gives the logarithm of the beta density.

betasampling.post=function(theta,data)

{

a=theta[,1]

b=theta[,2]

n=length(data)

val=0*a

for (i in 1:n) val=val+dbeta(data[i],a,b,log=TRUE)

return(val)

}

2. Next, by trial and error, we find a rectangle (a_lo, a_hi, b_lo, b_hi) that contains the contour plot of the joint posterior (remember that the contours given in the function mycontour.R are located at 10%, 1%, and 0.1% of the height of the density at the mode.)

mycontour(betasampling.post,c(.001,35,.001,6),y)

title(main="Posterior density of (a, b)",xlab="a",ylab="b")

3. We then sample from the grid of values of (a, b) that is used in constructing the scatterplot.

s=simcontour(betasampling.post,c(.001,35,.001,6),y,1000)

4. Suppose we are interested in the marginal posterior densities of a and b. We find these by use of density estimates on the simulated draws of a and b.

par(mfrow=c(2,1))

plot(density(s$x),main="POSTERIOR OF a",xlab="a",lwd=3)

plot(density(s$y),main="POSTERIOR OF b",xlab="b",lwd=3)

Subscribe to:
Post Comments (Atom)

## 1 comment:

Dr. Albert,

How did you determine what theta is in this example?

Post a Comment