posteriorMCMC {ExtremalDep}R Documentation

MCMC sampler for parametric spectral measures

Description

Generates a sample from the posterior distribution for the parameters and computes the posterior mean, component-wise variance and BIC.

Usage

posteriorMCMC(Nsim, Nbin=0, Hpar, MCpar, dat, par.start=NULL,
              show.progress=floor(seq(1,Nsim, length.out=20)),
	            seed=NULL, kind="Mersenne-Twister", save=FALSE,
              name.save=NULL, save.directory = "~",
              name.dat="", model, c=NULL)

Arguments

Nsim

Total number of iterations to perform.

Nbin

Length of the burn-in period.

Hpar

A vector of hyper-parameters. See prior.

MCpar

MC MC parameter.See proposal.

dat

Angular dataset. Each row corresponds to coordinates in the simplex.

par.start

Starting point for the MC MC sample.

show.progress

A vector of integers containing the times (iteration numbers) at which a message showing progression will be printed on the standard output.

seed

The seed to be set via the routine set.seed, see help of R for details.

kind

The kind of random number generator. Default is "Mersenne-Twister". See set.seed for details.

save

Logical; if save=TRUE then the result is saved

name.save

A character string giving the name under which the result is to be saved. If NULL (default), nothing is saved. Otherwise the result is saved in file paste(save.directory,"/", name.save,".rda",sep=""). A "log" is also saved, named paste(name.save, ".log", sep=""), in file paste(save.directory,"/", name.log, ".rda", sep="").

save.directory

A character string giving the directory where the result is to be saved (without trailing slash).

name.dat

A character string naming the dataset used for inference. Default is "".

model

A character string. Possible models are "Pairiwse", "Husler", "Dirichlet", "Extremalt" or "Asymmetric". See details.

c

A real value in [0,1], providing the decision rule to allocate a data point to a subset of the simplex. Only required for the Extremal-t and Asymmetric Logistic models.

Details

When model="Pairwise" the Pairiwse Beta model is selected and prior.pb, proposal.pb, pb.Hpar , pb.MCpar are considered. Similarly model="Husler" selects the Husler-Reiss model, model="Dirichlet" the Tilted Dirichlet model, model="Extremalt" the Extremal-t and model="Asymmetric" the Asymmetric Logistic model and the functions associated to these models.

Value

A list made of

stored.vales

A (Nsim-Nbin)*d matrix, where d is the dimension of the parameter space

llh

A vector of size (Nsim-Nbin) containing the log-likelihoods evaluadted at each parameter of the posterior sample.

lprior

A vector of size (Nsim-Nbin) containing the logarithm of the prior densities evaluated at each parameter of the posterior sample.

elapsed

The time elapsed, as given by porc.time between the start and end of the run.

Nsim

The same as the passed argument.

Nbin

Idem.

n.accept

The total number of accepted proposals.

n.accept.kept

The number of accepted proposals after the burn-in period.

emp.mean

The estimated posterior parameters mean.

emp.sd

The empirical posterior sample standard deviation.

BIC

The Bayesian Information Criteria.

Author(s)

Simone Padoan, simone.padoan@unibocconi.it, https://mypage.unibocconi.it/simonepadoan/; Boris Beranger, borisberanger@gmail.com https://www.borisberanger.com/;

Examples


################################################
# The following examples provide the results of
# the approximate bayesian analysis in Table 1.1
# of the paper Beranger and Padoan (2015)
################################################

## Load datasets :
data(pollution)
Nsim <- 50e+4
Nbin <- 30e+4
MCpar <- 0.35
Hpar.pb <- 	list(mean.alpha=0, mean.beta=3,sd.alpha=3, sd.beta=3)
Hpar.hr <- list(mean.lambda=0, sd.lambda=3)
Hpar.di <- list(mean.alpha=0, sd.alpha=3)
Hpar.et <- list(mean.rho=0, mean.mu=3,sd.rho=3, sd.mu=3)

## Using the PNS dataset
if (interactive()){
est.pb.PNS <- posteriorMCMC(Nsim, Nbin, Hpar.pb, MCpar, PNS, seed=14342, model='Pairwise')
est.pb.PNS$emp.mean
est.pb.PNS$emp.sd
est.pb.PNS$BIC

est.hr.PNS <- posteriorMCMC(Nsim, Nbin, Hpar.hr, MCpar, PNS, seed=14342, model='Husler')
est.hr.PNS$emp.mean
est.hr.PNS$emp.sd
est.hr.PNS$BIC

est.di.PNS <- posteriorMCMC(Nsim, Nbin, Hpar.di, MCpar, PNS, seed=14342, model='Dirichlet')
est.di.PNS$emp.mean
est.di.PNS$emp.sd
est.di.PNS$BIC

est.et.PNS <- posteriorMCMC(Nsim, Nbin, Hpar.et, MCpar, PNS, seed=14342, model='Extremalt',c=0.1)
est.et.PNS$emp.mean
est.et.PNS$emp.sd
est.et.PNS$BIC
}

## Using the NSN dataset

if (interactive()){
est.pb.NSN <- posteriorMCMC(Nsim, Nbin, Hpar.pb, MCpar, NSN, seed=14342, model='Pairwise')
est.pb.NSN$emp.mean
est.pb.NSN$emp.sd
est.pb.NSN$BIC

est.hr.NSN <- posteriorMCMC(Nsim, Nbin, Hpar.hr, MCpar, NSN, seed=14342, model='Husler')
est.hr.NSN$emp.mean
est.hr.NSN$emp.sd
est.hr.NSN$BIC

est.di.NSN <- posteriorMCMC(Nsim, Nbin, Hpar.di, MCpar, NSN, seed=14342, model='Dirichlet')
est.di.NSN$emp.mean
est.di.NSN$emp.sd
est.di.NSN$BIC

est.et.NSN <- posteriorMCMC(Nsim, Nbin, Hpar.et, MCpar, NSN, seed=14342, model='Extremalt',c=0.1)
est.et.NSN$emp.mean
est.et.NSN$emp.sd
est.et.NSN$BIC
}

## Using the PNN dataset

if (interactive()){

est.pb.PNN <- posteriorMCMC(Nsim, Nbin, Hpar.pb, MCpar, PNN, seed=14342, model='Pairwise')
est.pb.PNN$emp.mean
est.pb.PNN$emp.sd
est.pb.PNN$BIC

est.hr.PNN <- posteriorMCMC(Nsim, Nbin, Hpar.hr, MCpar, PNN, seed=14342, model='Husler')
est.hr.PNN$emp.mean
est.hr.PNN$emp.sd
est.hr.PNN$BIC

est.di.PNN <- posteriorMCMC(Nsim, Nbin, Hpar.di, MCpar, PNN, seed=14342, model='Dirichlet')
est.di.PNN$emp.mean
est.di.PNN$emp.sd
est.di.PNN$BIC

est.et.PNN <- posteriorMCMC(Nsim, Nbin, Hpar.et, MCpar, PNN, seed=14342, model='Extremalt',c=0.1)
est.et.PNN$emp.mean
est.et.PNN$emp.sd
est.et.PNN$BIC
}

################################################
# The following examples provide the results of
# the approximate bayesian analysis in Table 1.2
# of the paper Beranger and Padoan (2015)
################################################


# Using the PNNS dataset

if (interactive()){

est.pb.PNNS <- posteriorMCMC(Nsim, Nbin, Hpar.pb, MCpar, PNNS, seed=14342, model='Pairwise')
est.pb.PNNS$BIC

est.hr.PNNS <- posteriorMCMC(Nsim, Nbin, Hpar.hr, MCpar, PNNS, seed=14342, model='Husler')
est.hr.PNNS$BIC

est.di.PNNS <- posteriorMCMC(Nsim, Nbin, Hpar.di, MCpar, PNNS, seed=14342, model='Dirichlet')
est.di.PNNS$BIC
}


[Package ExtremalDep version 0.0.3-5 Index]