mh {hmclearn} | R Documentation |
Fit a generic model using Metropolis-Hastings (MH)
Description
This function runs the MH algorithm on a generic model provided
the logPOSTERIOR
function.
All parameters specified within the list param
are passed to these the posterior function.
Usage
mh(
N,
theta.init,
qPROP,
qFUN,
logPOSTERIOR,
nu = 0.001,
varnames = NULL,
param = list(),
chains = 1,
parallel = FALSE,
...
)
Arguments
N |
Number of MCMC samples |
theta.init |
Vector of initial values for the parameters |
qPROP |
Function to generate proposal |
qFUN |
Probability for proposal function. First argument is where to evaluate, and second argument is the conditional parameter |
logPOSTERIOR |
Function to calculate and return the log posterior given a vector of values of |
nu |
Single value or vector parameter passed to |
varnames |
Optional vector of theta parameter names |
param |
List of additional parameters for |
chains |
Number of MCMC chains to run |
parallel |
Logical to set whether multiple MCMC chains should be run in parallel |
... |
Additional parameters for |
Value
Object of class hmclearn
Elements for hmclearn
objects
N
-
Number of MCMC samples
theta
-
Nested list of length
N
of the sampled values oftheta
for each chain thetaCombined
-
List of dataframes containing sampled values, one for each chain
r
-
NULL for Metropolis-Hastings
theta.all
-
Nested list of all parameter values of
theta
sampled prior to accept/reject step for each r.all
-
NULL for Metropolis-Hastings
accept
-
Number of accepted proposals. The ratio
accept
/N
is the acceptance rate accept_v
-
Vector of length
N
indicating which samples were accepted M
-
NULL for Metropolis-Hastings
algorithm
-
MH
for Metropolis-Hastings varnames
-
Optional vector of parameter names
chains
-
Number of MCMC chains
Available logPOSTERIOR
functions
linear_posterior
-
Linear regression: log posterior
logistic_posterior
-
Logistic regression: log posterior
poisson_posterior
-
Poisson (count) regression: log posterior
lmm_posterior
-
Linear mixed effects model: log posterior
glmm_bin_posterior
-
Logistic mixed effects model: log posterior
glmm_poisson_posterior
-
Poisson mixed effects model: log posterior
Author(s)
Samuel Thomas samthoma@iu.edu, Wanzhu Tu wtu@iu.edu
Examples
# Linear regression example
set.seed(521)
X <- cbind(1, matrix(rnorm(300), ncol=3))
betavals <- c(0.5, -1, 2, -3)
y <- X%*%betavals + rnorm(100, sd=.2)
f1_mh <- mh(N = 3e3,
theta.init = c(rep(0, 4), 1),
nu <- c(rep(0.001, 4), 0.1),
qPROP = qprop,
qFUN = qfun,
logPOSTERIOR = linear_posterior,
varnames = c(paste0("beta", 0:3), "log_sigma_sq"),
param=list(y=y, X=X), parallel=FALSE, chains=1)
summary(f1_mh, burnin=1000)