sbsm {SeBR}

Semiparametric Bayesian spline model

Description

Monte Carlo sampling for Bayesian spline regression with an unknown (nonparametric) transformation.

Usage

sbsm(
  y,
  x = NULL,
  x_test = NULL,
  psi = NULL,
  laplace_approx = TRUE,
  approx_g = FALSE,
  nsave = 1000,
  ngrid = 100,
  verbose = TRUE
)

Arguments

y

n x 1 response vector

x

n x 1 vector of observation points; if NULL, assume equally-spaced on [0,1]

x_test

n_test x 1 vector of testing points; if NULL, assume equal to x

psi

prior variance (inverse smoothing parameter); if NULL, sample this parameter

laplace_approx

logical; if TRUE, use a normal approximation to the posterior in the definition of the transformation; otherwise the prior is used

approx_g

logical; if TRUE, apply large-sample approximation for the transformation

nsave

number of Monte Carlo simulations

ngrid

number of grid points for inverse approximations

verbose

logical; if TRUE, print time remaining

Details

This function provides fully Bayesian inference for a transformed spline regression model using Monte Carlo (not MCMC) sampling. The transformation is modeled as unknown and learned jointly with the regression function (unless approx_g = TRUE, which then uses a point approximation). This model applies for real-valued data, positive data, and compactly-supported data (the support is automatically deduced from the observed y values). The results are typically unchanged whether laplace_approx is TRUE/FALSE; setting it to TRUE may reduce sensitivity to the prior, while setting it to FALSE may speed up computations for very large datasets.

Value

a list with the following elements:

• coefficients the posterior mean of the regression coefficients

• fitted.values the posterior predictive mean at the test points x_test

• post_theta: nsave x p samples from the posterior distribution of the regression coefficients

• post_ypred: nsave x n_test samples from the posterior predictive distribution at x_test

• post_g: nsave posterior samples of the transformation evaluated at the unique y values

• model: the model fit (here, sbsm)

as well as the arguments passed in.

Examples

# Simulate some data:
n = 100 # sample size
x = sort(runif(n)) # observation points

# Transform a noisy, periodic function:
y = g_inv_bc(
  sin(2*pi*x) + sin(4*pi*x) + rnorm(n, sd = .5),
             lambda = .5) # Signed square-root transformation

# Fit the semiparametric Bayesian spline model:
fit = sbsm(y = y, x = x)
names(fit) # what is returned

# Note: this is Monte Carlo sampling, so no need for MCMC diagnostics!

# Plot the model predictions (point and interval estimates):
pi_y = t(apply(fit$post_ypred, 2, quantile, c(0.05, .95))) # 90% PI
plot(x, y, type='n', ylim = range(pi_y,y),
     xlab = 'x', ylab = 'y', main = paste('Fitted values and prediction intervals'))
polygon(c(x, rev(x)),c(pi_y[,2], rev(pi_y[,1])),col='gray', border=NA)
lines(x, y, type='p')
lines(x, fitted(fit), lwd = 3)