bayesreg-package {bayesreg} | R Documentation |

This is a comprehensive, user-friendly package implementing the state-of-the-art in Bayesian linear regression, Bayesian count regression and Bayesian logistic regression. Features of the toolbox include:

Supports Gaussian, Laplace, Student-t, Poisson, geometric and logistic binary data models.

Efficient and numerically stable implementations of Bayesian ridge, Bayesian lasso, horseshoe and horseshoe+ regression.

Provides variable ranking and importance, credible intervals and diagnostics such as the widely applicable information criterion.

Factor variables are automatically grouped together and additional shrinkage is applied to the set of indicator variables to which they expand.

Prediction tools for generating credible intervals and Bayesian averaging of predictions.

The lasso, horseshoe and horseshoe+ priors are recommended for data sets where the number of
predictors is greater than the sample size. The Laplace, Student-t and logistic models are based on scale-mixture representations;
logistic regression utilises the Polya-gamma sampler implemented in the `pgdraw`

package. The Poisson and
geometric distributions are implemented using a fast gradient-assisted Metropolis-Hastings algorithm.

Count (non-negative integer) regression is now supported through implementation of Poisson and geometric regression models. To support analysis of data with outliers, we provide two heavy-tailed error models in our implementation of Bayesian linear regression: Laplace and Student-t distribution errors. The widely applicable information criterion (WAIC) is routinely calculated and displayed to assist users in selecting an appropriate prior distribution for their particular problem, i.e., choice of regularisation or data model. Most features are straightforward to use.

Further information on the particular algorithms/methods implemented in this package provided by the literature referenced below.

Version history:

Version 1.1: Initial release

Version 1.2: Added Poisson and geometric regression; user specifiable credible interval levels for

`summary()`

and`predict()`

;`summary()`

column "ESS" now reports effective sample size rather than percentage-effective sample size

To cite this package please reference:

Makalic, E. & Schmidt, D. F. High-Dimensional Bayesian Regularised Regression with the BayesReg Package arXiv:1611.06649 [stat.CO], 2016 https://arxiv.org/pdf/1611.06649.pdf

A MATLAB-compatible implementation of this package can be obtained from:

Daniel Schmidt daniel.schmidt@monash.edu

Department of Data Science and AI, Monash University, Australia

Enes Makalic emakalic@unimelb.edu.au

Centre for Epidemiology and Biostatistics, The University of Melbourne, Australia

Bhadra, A.; Datta, J.; Polson, N. G. & Willard, B. The Horseshoe+ Estimator of Ultra-Sparse Signals Bayesian Analysis, 2016

Bhattacharya, A.; Chakraborty, A. & Mallick, B. K. Fast sampling with Gaussian scale-mixture priors in high-dimensional regression arXiv:1506.04778, 2016

Carvalho, C. M.; Polson, N. G. & Scott, J. G. The horseshoe estimator for sparse signals Biometrika, Vol. 97, pp. 465-480, 2010

Makalic, E. & Schmidt, D. F. A Simple Sampler for the Horseshoe Estimator IEEE Signal Processing Letters, Vol. 23, pp. 179-182, 2016

Park, T. & Casella, G. The Bayesian Lasso Journal of the American Statistical Association, Vol. 103, pp. 681-686, 2008

Polson, N. G.; Scott, J. G. & Windle, J. Bayesian inference for logistic models using Polya-Gamma latent variables Journal of the American Statistical Association, Vol. 108, pp. 1339-1349, 2013

Rue, H. Fast sampling of Gaussian Markov random fields Journal of the Royal Statistical Society (Series B), Vol. 63, pp. 325-338, 2001

Xu, Z., Schmidt, D.F., Makalic, E., Qian, G. & Hopper, J.L. Bayesian Grouped Horseshoe Regression with Application to Additive Models AI 2016: Advances in Artificial Intelligence, pp. 229-240, 2016

Schmidt, D.F. & Makalic, E. Bayesian Generalized Horseshoe Estimation of Generalized Linear Models ECML PKDD 2019: Machine Learning and Knowledge Discovery in Databases. pp 598-613, 2019

Stan Development Team, Stan Reference Manual (Version 2.26), Section 15.4, "Effective Sample Size", https://mc-stan.org/docs/2_18/reference-manual/effective-sample-size-section.html

## Not run: # ----------------------------------------------------------------- # Example 1: Gaussian regression X = matrix(rnorm(100*20),100,20) b = matrix(0,20,1) b[1:5] = c(5,4,3,2,1) y = X %*% b + rnorm(100, 0, 1) df <- data.frame(X,y) rv.lm <- lm(y~.,df) # Regular least-squares summary(rv.lm) rv.hs <- bayesreg(y~.,df,prior="hs") # Horseshoe regression rv.hs.s <- summary(rv.hs) # Expected squared prediction error for least-squares coef_ls = coef(rv.lm) as.numeric(sum( (as.matrix(coef_ls[-1]) - b)^2 ) + coef_ls[1]^2) # Expected squared prediction error for horseshoe as.numeric(sum( (rv.hs$mu.beta - b)^2 ) + rv.hs$mu.beta0^2) # ----------------------------------------------------------------- # Example 2: Gaussian v Student-t robust regression X = 1:10; y = c(-0.6867, 1.7258, 1.9117, 6.1832, 5.3636, 7.1139, 9.5668, 10.0593, 11.4044, 6.1677); df = data.frame(X,y) # Gaussian ridge rv.G <- bayesreg(y~., df, model = "gaussian", prior = "ridge", n.samples = 1e3) # Student-t ridge rv.t <- bayesreg(y~., df, model = "t", prior = "ridge", t.dof = 5, n.samples = 1e3) # Plot the different estimates with credible intervals plot(df$X, df$y, xlab="x", ylab="y") yhat_G <- predict(rv.G, df, bayes.avg=TRUE) lines(df$X, yhat_G[,1], col="blue", lwd=2.5) lines(df$X, yhat_G[,3], col="blue", lwd=1, lty="dashed") lines(df$X, yhat_G[,4], col="blue", lwd=1, lty="dashed") yhat_t <- predict(rv.t, df, bayes.avg=TRUE) lines(df$X, yhat_t[,1], col="darkred", lwd=2.5) lines(df$X, yhat_t[,3], col="darkred", lwd=1, lty="dashed") lines(df$X, yhat_t[,4], col="darkred", lwd=1, lty="dashed") legend(1,11,c("Gaussian","Student-t (dof=5)"),lty=c(1,1),col=c("blue","darkred"), lwd=c(2.5,2.5), cex=0.7) # ----------------------------------------------------------------- # Example 3: Poisson/geometric regression example X = matrix(rnorm(100*20),100,5) b = c(0.5,-1,0,0,1) nu = X%*%b + 1 y = rpois(lambda=exp(nu),n=length(nu)) df <- data.frame(X,y) # Fit a Poisson regression rv.pois=bayesreg(y~.,data=df,model="poisson",prior="hs", burnin=1e4, n.samples=1e4) summary(rv.pois) # Fit a geometric regression rv.geo=bayesreg(y~.,data=df,model="geometric",prior="hs", burnin=1e4, n.samples=1e4) summary(rv.geo) # Compare the two models in terms of their WAIC scores cat(sprintf("Poisson regression WAIC=%g vs geometric regression WAIC=%g", rv.pois$waic, rv.geo$waic)) # Poisson is clearly preferred to geometric, which is good as data is generated from a Poisson! # ----------------------------------------------------------------- # Example 4: Logistic regression on spambase data(spambase) # bayesreg expects binary targets to be factors spambase$is.spam <- factor(spambase$is.spam) # First take a subset of the data (1/10th) for training, reserve the rest for testing spambase.tr = spambase[seq(1,nrow(spambase),10),] spambase.tst = spambase[-seq(1,nrow(spambase),10),] # Fit a model using logistic horseshoe for 2,000 samples rv <- bayesreg(is.spam ~ ., spambase.tr, model = "logistic", prior = "horseshoe", n.samples = 2e3) # Summarise, sorting variables by their ranking importance rv.s <- summary(rv,sort.rank=TRUE) # Make predictions about testing data -- get class predictions and class probabilities y_pred <- predict(rv, spambase.tst, type='class') # Check how well did our predictions did by generating confusion matrix table(y_pred, spambase.tst$is.spam) # Calculate logarithmic loss on test data y_prob <- predict(rv, spambase.tst, type='prob') cat('Neg Log-Like for no Bayes average, posterior mean estimates: ', sum(-log(y_prob[,1])), '\n') y_prob <- predict(rv, spambase.tst, type='prob', sum.stat="median") cat('Neg Log-Like for no Bayes average, posterior median estimates: ', sum(-log(y_prob[,1])), '\n') y_prob <- predict(rv, spambase.tst, type='prob', bayes.avg=TRUE) cat('Neg Log-Like for Bayes average: ', sum(-log(y_prob[,1])), '\n') ## End(Not run)

[Package *bayesreg* version 1.2 Index]