MCMCpack: MCMCprobit – R documentation

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MCMCprobit

Markov Chain Monte Carlo for Probit Regression

Description

This function generates a sample from the posterior distribution of a probit regression model using the data augmentation approach of Albert and Chib (1993). The user supplies data and priors, and a sample from the posterior distribution is returned as an mcmc object, which can be subsequently analyzed with functions provided in the coda package.

Usage

MCMCprobit(
  formula,
  data = NULL,
  burnin = 1000,
  mcmc = 10000,
  thin = 1,
  verbose = 0,
  seed = NA,
  beta.start = NA,
  b0 = 0,
  B0 = 0,
  bayes.resid = FALSE,
  marginal.likelihood = c("none", "Laplace", "Chib95"),
  ...
)

Arguments

`formula`	Model formula.
`data`	Data frame.
`burnin`	The number of burn-in iterations for the sampler.
`mcmc`	The number of Gibbs iterations for the sampler.
`thin`	The thinning interval used in the simulation. The number of Gibbs iterations must be divisible by this value.
`verbose`	A switch which determines whether or not the progress of the sampler is printed to the screen. If `verbose` is greater than 0 the iteration number and the betas are printed to the screen every `verbose`th iteration.
`seed`	The seed for the random number generator. If NA, the Mersenne Twister generator is used with default seed 12345; if an integer is passed it is used to seed the Mersenne twister. The user can also pass a list of length two to use the L'Ecuyer random number generator, which is suitable for parallel computation. The first element of the list is the L'Ecuyer seed, which is a vector of length six or NA (if NA a default seed of `rep(12345,6)` is used). The second element of list is a positive substream number. See the MCMCpack specification for more details.
`beta.start`	The starting value for the β vector. This can either be a scalar or a column vector with dimension equal to the number of betas. If this takes a scalar value, then that value will serve as the starting value for all of the betas. The default value of NA will use the maximum likelihood estimate of β as the starting value.
`b0`	The prior mean of β. This can either be a scalar or a column vector with dimension equal to the number of betas. If this takes a scalar value, then that value will serve as the prior mean for all of the betas.
`B0`	The prior precision of β. This can either be a scalar or a square matrix with dimensions equal to the number of betas. If this takes a scalar value, then that value times an identity matrix serves as the prior precision of β. Default value of 0 is equivalent to an improper uniform prior on β.
`bayes.resid`	Should latent Bayesian residuals (Albert and Chib, 1995) be returned? Default is FALSE meaning no residuals should be returned. Alternatively, the user can specify an array of integers giving the observation numbers for which latent residuals should be calculated and returned. TRUE will return draws of latent residuals for all observations.
`marginal.likelihood`	How should the marginal likelihood be calculated? Options are: `none` in which case the marginal likelihood will not be calculated, `Laplace` in which case the Laplace approximation (see Kass and Raftery, 1995) is used, or `Chib95` in which case Chib (1995) method is used.
`...`	further arguments to be passed

Details

MCMCprobit simulates from the posterior distribution of a probit regression model using data augmentation. The simulation proper is done in compiled C++ code to maximize efficiency. Please consult the coda documentation for a comprehensive list of functions that can be used to analyze the posterior sample.

The model takes the following form:

y_i \sim \mathcal{B}ernoulli(π_i)

Where the inverse link function:

π_i = Φ(x_i'β)

We assume a multivariate Normal prior on β:

β \sim \mathcal{N}(b_0,B_0^{-1})

See Albert and Chib (1993) for estimation details.

Value

An mcmc object that contains the posterior sample. This object can be summarized by functions provided by the coda package.

References

Albert, J. H. and S. Chib. 1993. “Bayesian Analysis of Binary and Polychotomous Response Data.” J. Amer. Statist. Assoc. 88, 669-679

Albert, J. H. and S. Chib. 1995. “Bayesian Residual Analysis for Binary Response Regression Models.” Biometrika. 82, 747-759.

Andrew D. Martin, Kevin M. Quinn, and Jong Hee Park. 2011. “MCMCpack: Markov Chain Monte Carlo in R.”, Journal of Statistical Software. 42(9): 1-21. https://www.jstatsoft.org/v42/i09/.

Siddhartha Chib. 1995. “Marginal Likelihood from the Gibbs Output.” Journal of the American Statistical Association. 90: 1313-1321. <doi: 10.1080/01621459.1995.10476635>

Daniel Pemstein, Kevin M. Quinn, and Andrew D. Martin. 2007. Scythe Statistical Library 1.0. http://scythe.lsa.umich.edu.

Martyn Plummer, Nicky Best, Kate Cowles, and Karen Vines. 2006. “Output Analysis and Diagnostics for MCMC (CODA)”, R News. 6(1): 7-11. https://CRAN.R-project.org/doc/Rnews/Rnews_2006-1.pdf.

Examples

## Not run: 
   data(birthwt)
   out1 <- MCMCprobit(low~as.factor(race)+smoke, data=birthwt,
   	b0 = 0, B0 = 10, marginal.likelihood="Chib95")
   out2 <- MCMCprobit(low~age+as.factor(race), data=birthwt,
   	b0 = 0, B0 = 10,  marginal.likelihood="Chib95")
   out3 <- MCMCprobit(low~age+as.factor(race)+smoke, data=birthwt,
   	b0 = 0, B0 = 10,  marginal.likelihood="Chib95")
   BayesFactor(out1, out2, out3)
   plot(out3)
   summary(out3)
   
## End(Not run)

MCMCpack

Markov Chain Monte Carlo (MCMC) Package

v1.5-0

GPL-3

Authors

Andrew D. Martin [aut], Kevin M. Quinn [aut], Jong Hee Park [aut,cre], Ghislain Vieilledent [ctb], Michael Malecki[ctb], Matthew Blackwell [ctb], Keith Poole [ctb], Craig Reed [ctb], Ben Goodrich [ctb], Ross Ihaka [cph], The R Development Core Team [cph], The R Foundation [cph], Pierre L'Ecuyer [cph], Makoto Matsumoto [cph], Takuji Nishimura [cph]

Initial release

2021-01-19