Package 'bayess'

Description

This function is associated with Chapter 5 on capture-recapture model. It simulates samples from the non-standard distribution on $r_1$, the number of individuals vanishing between the first and second experiments, as expressed in (5.4) in the book, conditional on $r_2$, the number of individuals vanishing between the second and third experiments.

Usage

ardipper(nsimu, n1, c2, c3, r2, q1)

Arguments

Value

A sample of nsimu integers

Examples

ardipper(10,11,3,1,0,.1)

Description

This function is related to Chapter 6 on dynamical models. It returns the numerical value of the log-likelihood associated with a time series and an AR(p) model, along with the natural coefficients $psi$ of the AR(p) model if it is defined via the roots lr and lc of the associated lag-polynomial. The function thus uses either the natural parameterisation of the AR(p) model

$x_t - \mu + \sum_{i=1}^p \psi_i (x_{t-i}-\mu) = \varepsilon_t$

or the parameterisation via the lag-polynomial roots

$\prod_{i=1}^p (1-\lambda_i B) x_t = \varepsilon_t$

where $B^j x_t = x_{t-j}$.

Usage

ARllog(p,dat,pr, pc, lr, lc, mu, sig2, compsi = TRUE, pepsi = c(1, rep(0, p)))

Arguments

Value

See Also

MAllog,ARmh

Examples

ARllog(p=3,dat=faithful[,1],pr=3,pc=0,
lr=c(-.1,.5,.2),lc=0,mu=0,sig2=var(faithful[,1]),compsi=FALSE,pepsi=c(1,rep(.1,3)))

Description

This function is associated with Chapter 6 on dynamic models. It implements a Metropolis–Hastings algorithm on the coefficients of the AR(p) model resorting to a simulation of the real and complex roots of the model. It includes jumps between adjacent numbers of real and complex roots, as well as random modifications for a given number of real and complex roots.

Usage

ARmh(x, p = 1, W = 10^3)

Arguments

Details

Even though Bayesian Essentials with R does not cover the reversible jump MCMC techniques due to Green (1995), which allows to explore spaces of different dimensions at once, this function relies on a simple form of reversible jump MCMC when moving from one number of complex roots to the next.

Value

References

Green, P.J. (1995) Reversible jump MCMC computaton and Bayesian model choice. Biometrika 82, 711–732.

See Also

ARllog

Examples

data(Eurostoxx50)
x=Eurostoxx50[, 4]
resAR5=ARmh(x=x,p=5,W=50)
plot(resAR5$mus,type="l",col="steelblue4",xlab="Iterations",ylab=expression(mu))

Description

The bank dataset we analyze in the first part of Chapter 3 comes from Flury and Riedwyl (1988) and is made of four measurements on 100 genuine Swiss banknotes and 100 counterfeit ones. The response variable $y$ is thus the status of the banknote, where 0 stands for genuine and 1 stands for counterfeit, while the explanatory factors are bill measurements.

Usage

data(bank)

Format

A data frame with 200 observations on the following 5 variables.

x1

length of the bill (in mm)

x2

width of the left edge (in mm)

x3

width of the right edge (in mm)

x4

bottom margin width (in mm)

y

response variable

Source

Flury, B. and Riedwyl, H. (1988) Multivariate Statistics. A Practical Approach, Chapman and Hall, London-New York.

Examples

data(bank)
summary(bank)

Description

This function contains the R code for the implementation of Zellner's $G$-prior analysis of the regression model as described in Chapter 3. The purpose of BayesRef is dual: first, this R function shows how easily automated this approach can be. Second, it also illustrates how it is possible to get exactly the same type of output as the standard R function summary(lm(y~X)). In particular, it calculates the Bayes factors for variable selection, more precisely single variable exclusion.

Usage

BayesReg(y, X, g = length(y), betatilde = rep(0, dim(X)[2]), prt = TRUE)

Arguments

Value

Examples

data(faithful)
BayesReg(faithful[,1],faithful[,2])

Description

The caterpillar dataset is extracted from a 1973 study on pine processionary caterpillars. The response variable is the log transform of the number of nests per unit. There are $p=8$ potential explanatory variables and $n=33$ areas.

Usage

data(caterpillar)

Format

A data frame with 33 observations on the following 9 variables.

x1

altitude (in meters)

x2

slope (in degrees)

x3

number of pine trees in the area

x4

height (in meters) of the tree sampled at the center of the area

x5

orientation of the area (from 1 if southbound to 2 otherwise)

x6

height (in meters) of the dominant tree

x7

number of vegetation strata

x8

mix settlement index (from 1 if not mixed to 2 if mixed)

y

logarithmic transform of the average number of nests of caterpillars per tree

Details

This dataset is used in Chapter 3 on linear regression. It assesses the influence of some forest settlement characteristics on the development of caterpillar colonies. It was first published and studied in Tomassone et al. (1993). The response variable is the logarithmic transform of the average number of nests of caterpillars per tree in an area of 500 square meters (which corresponds to the last column in caterpillar). There are $p=8$ potential explanatory variables defined on $n=33$ areas.

Source

Tomassone, R., Dervin, C., and Masson, J.P. (1993) Biometrie: modelisation de phenomenes biologiques. Dunod, Paris.

Examples

data(caterpillar)
summary(caterpillar)

Description

The dataset used in Chapter 6 is derived from an image of a license plate, called license and not provided in the package. The actual histogram of the grey levels is concentrated on 256 values because of the poor resolution of the image, but we transformed the original data as datha.txt.

Usage

data(datha)

Format

A data frame with 2625 observations on the following variable.

x

Grey levels

Details

datha.txt was produced by the following R code:

> license=jitter(license,10)
> datha=log((license-min(license)+.01)/
+ (max(license)+.01-license))
> write.table(datha,"datha.txt",row.names=FALSE,col.names=FALSE)

where jitter is used to randomize the dataset and avoid repetitions

Examples

data(datha)
datha=as.matrix(datha)
range(datha)

Description

Dnadataset is a base sequence corresponding to a complete HIV (which stands for Human Immunodeficiency Virus) genome where A, C, G, and T have been recoded as 1,2,3,4. It is modelled as a hidden Markov chain and is used in Chapter 7.

Usage

data(Dnadataset)

Format

A data frame with 9718 rows and two columns, the first one corresponding to the row number and the second one to the amino-acid value coded from 1 to 4.

Examples

data(Dnadataset)
summary(Dnadataset)

Description

This capture-recapture dataset on the European dipper bird covers 7 years (1981-1987 inclusive) of observations of captures within one of three zones. It is used in Chapter 5.

Usage

data(eurodip)

Format

A data frame with 294 observations on the following 7 variables.

t1

non-capture/location on year 1981

t2

non-capture/location on year 1982

t3

non-capture/location on year 1983

t4

non-capture/location on year 1984

t5

non-capture/location on year 1985

t6

non-capture/location on year 1986

t7

non-capture/location on year 1987

Details

The data consists of markings and recaptures of breeding adults each year during the breeding period from early March to early June. Birds were at least one year old when initially banded. In eurodip, each row gof seven digits corresponds to a capture-recapture story for a given dipper, 0 indicating an absence of capture that year and, in the case of a capture, 1, 2, or 3 representing the zone where the dipper is captured. This dataset corresponds to three geographical zones covering 200 square kilometers in eastern France. It was kindly provided to us by J.D. Lebreton.

References

Lebreton, J.-D., K. P. Burnham, J. Clobert, and D. R. Anderson. (1992) Modeling survival and testing biological hypotheses using marked animals: case studies and recent advances. Ecol. Monogr. 62, 67-118.

Examples

data(eurodip)
summary(eurodip)

Description

This dataset is a collection of four time series connected with the stock market. Those are the stock values of the four companies ABN Amro, Aegon, Ahold Kon., and Air Liquide, observed from January 1, 1998, to November 9, 2003.

Usage

data(Eurostoxx50)

Format

A data frame with 1486 observations on the following 5 variables.

date

six-digit date

Abn

value of the ABN Amro stock

Aeg

value of the Aegon stock

Aho

value of the Ahold Kon. stock

AL

value of the Air Liquide stock

Details

Those four companies are the first stocks (in alphabetical order) to appear in the financial index Eurostoxx50.

Examples

data(Eurostoxx50)
summary(Eurostoxx50)

Description

This function implements a regular Gibbs sampling algorithm on the posterior distribution associated with a mixture of normal distributions, taking advantage of the missing data structure. It then runs an averaging of the simulations over all permutations of the component indices in order to avoid incomplete label switching and to validate Chib's representation of the evidence. This function reproduces gibbsnorm as its first stage, however it may be much slower because of its second stage.

Usage

gibbs(niter, datha, mix)

Arguments

Value

References

Chib, S. (1995) Marginal likelihood from the Gibbs output. J. American Statist. Associ. 90, 1313-1321.

See Also

gibbsnorm

Examples

faithdata=faithful[,1]
mu=rnorm(3,mean=mean(faithdata),sd=sd(faithdata)/10)
sig=1/rgamma(3,shape=10,scale=var(faithdata))
mix=list(k=3,p=rdirichlet(par=rep(1,3)),mu=mu,sig=sig)
resim3=gibbs(100,faithdata,mix)
lulu=order(resim3$lolik)[100]
lnum1=resim3$lolik[lulu]
lnum2=sum(dnorm(resim3$mu[lulu,],mean=mean(faithdata),sd=resim3$sig[lulu,],log=TRUE)+
dgamma(resim3$sig[lulu,],10,var(faithdata),log=TRUE)-2*log(resim3$sig[lulu,]))+
sum((rep(0.5,mix$k)-1)*log(resim3$p[lulu,]))+
lgamma(sum(rep(0.5,mix$k)))-sum(lgamma(rep(0.5,mix$k)))
lchibapprox3=lnum1+lnum2-log(resim3$deno)

Description

This function implements a regular Gibbs sampler associated with Chapter 5 for a two-stage capture recapture model with open populations, accounting for the possibility that some individuals vanish between two successive capture experiments.

Usage

gibbscap1(nsimu, n1, c2, c3, N0 = n1/runif(1), r10, r20)

Arguments

Value

Examples

res=gibbscap1(100,32,21,15,200,10,5)
plot(res$p,type="l",col="steelblue3",xlab="iterations",ylab="p")

Description

In the Arnason-Schwarz capture-recapture model (see Chapter 5), individual histories are observed and missing steps can be inferred upon. For the dataset eurodip, the moves between regions can be reconstituted. This is the first instance of a hidden Markov model met in the book.

Usage

gibbscap2(nsimu, z)

Arguments

Value

Examples

data(eurodip)
res=gibbscap2(10,eurodip[1:100,])
plot(res$p,type="l",col="steelblue3",xlab="iterations",ylab="p")

Description

This function implements a Gibbs sampler for a toy mixture problem (Chapter 6) with two Gaussian components and only the means unknown, so that likelihood and posterior surfaces can be drawn.

Usage

gibbsmean(p, datha, niter = 10^4)

Arguments

Value

Sample of $\mu$'s as a matrix of size niter x 2

See Also

plotmix

Examples

dat=plotmix(plottin=FALSE)$sample
simu=gibbsmean(0.7,dat,niter=100)
plot(simu,pch=19,cex=.5,col="sienna",xlab=expression(mu[1]),ylab=expression(mu[2]))

Description

This function implements the generic Gibbs sampler of Diebolt and Robert (1994) for producing a sample from the posterior distribution associated with a univariate mixture of $k$ normal components with all $3k-1$ parameters unknown.

Usage

gibbsnorm(niter, dat, mix)

Arguments

Details

Under conjugate priors on the means (normal distributions), variances (inverse gamma distributions), and weights (Dirichlet distribution), the full conditional distributions given the latent variables are directly available and can be used in a straightforward Gibbs sampler. This function is only the first step of the function gibbs, but it may be much faster as it avoids the computation of the evidence via Chib's approach.

Value

References

Chib, S. (1995) Marginal likelihood from the Gibbs output. J. American Statist. Associ. 90, 1313-1321.

Diebolt, J. and Robert, C.P. (1992) Estimation of finite mixture distributions by Bayesian sampling. J. Royal Statist. Society 56, 363-375.

See Also

rdirichlet, gibbs

Examples

data(datha)
datha=as.matrix(datha)
mix=list(k=3,mu=mean(datha),sig=var(datha))
res=gibbsnorm(10,datha,mix)
plot(res$p[,1],type="l",col="steelblue3",xlab="iterations",ylab="p")

Description

Under the assumption that the posterior distribution is well-defined, this Metropolis-Hastings algorithm produces a sample from the posterior distribution on the logit model coefficient $\beta$ under a flat prior.

Usage

hmflatlogit(niter, y, X, scale)

Arguments

Value

The function produces a sample of $\beta$'s as a matrix of size niter x p, where p is the number of covariates.

See Also

hmflatprobit

Examples

data(bank)
bank=as.matrix(bank)
y=bank[,5]
X=bank[,1:4]
flatlogit=hmflatlogit(1000,y,X,1)
par(mfrow=c(1,3),mar=1+c(1.5,1.5,1.5,1.5))
plot(flatlogit[,1],type="l",xlab="Iterations",ylab=expression(beta[1]))
hist(flatlogit[101:1000,1],nclass=50,prob=TRUE,main="",xlab=expression(beta[1]))
acf(flatlogit[101:1000,1],lag=10,main="",ylab="Autocorrelation",ci=FALSE)

Description

This version of hmflatlogit operates on the log-linear model, assuming that the posterior associated with the flat prior and the data is well-defined. The proposal is based on a random walk Metropolis-Hastings step.

Usage

hmflatloglin(niter, y, X, scale)

Arguments

Value

The function produces a sample of $\beta$'s as a matrix of size niter x p, where p is the number of covariates.

See Also

hmflatlogit

Examples

airqual=na.omit(airquality)
ozone=cut(airqual$Ozone,c(min(airqual$Ozone),median(airqual$Ozone),max(airqual$Ozone)),
include.lowest=TRUE)
month=as.factor(airqual$Month)
tempe=cut(airqual$Temp,c(min(airqual$Temp),median(airqual$Temp),max(airqual$Temp)),
include.lowest=TRUE)
counts=table(ozone,tempe,month)
counts=as.vector(counts)
ozo=gl(2,1,20)
temp=gl(2,2,20)
mon=gl(5,4,20)
x1=rep(1,20)
lulu=rep(0,20)
x2=x3=x4=x5=x6=x7=x8=x9=lulu
x2[ozo==2]=x3[temp==2]=x4[mon==2]=x5[mon==3]=x6[mon==4]=1
x7[mon==5]=x8[ozo==2 & temp==2]=x9[ozo==2 & mon==2]=1
x10=x11=x12=x13=x14=x15=x16=lulu
x10[ozo==2 & mon==3]=x11[ozo==2 & mon==4]=x12[ozo==2 & mon==5]=1
x13[temp==2 & mon==2]=x14[temp==2 & mon==3]=x15[temp==2 & mon==4]=1
x16[temp==2 & mon==5]=1
X=cbind(x1,x2,x3,x4,x5,x6,x7,x8,x9,x10,x11,x12,x13,x14,x15,x16)
flatloglin=hmflatloglin(1000,counts,X,0.5)
par(mfrow=c(4,4),mar=1+c(1.5,1.5,1.5,1.5),cex=0.8)
for (i in 1:16) plot(flatloglin[,i],type="l",ylab="",xlab="Iterations")

Description

This random walk Metropolis-Hastings algorithm takes advantage of the availability of the maximum likelihood estimator (available via the glm function) to center and scale the random walk in an efficient manner.

Usage

hmflatprobit(niter, y, X, scale)

Arguments

Value

The function produces a sample of $\beta$'s of size niter.

See Also

hmflatlogit

Examples

data(bank)
bank=as.matrix(bank)
y=bank[,5]
X=bank[,1:4]
flatprobit=hmflatprobit(1000,y,X,1)
mean(flatprobit[101:1000,1])

Description

This function implements a Metropolis within Gibbs algorithm that produces a sample on the parameters $p_{ij}$ and $q^i_j$ of the hidden Markov model (Chapter 7). It includes a function likej that computes the likelihood of the times series using a forward-backward algorithm.

Usage

hmhmm(M = 100, y)

Arguments

Details

The Metropolis-within-Gibbs step involves Dirichlet proposals with a random choice of the scale between 1 and 1e5.

Value

Examples

res=hmhmm(M=500,y=sample(1:4,10,rep=TRUE))
plot(res$olike,type="l",main="log-likelihood",xlab="iterations",ylab="")

Description

This function provides another toy illustration of the capabilities of a tempered random walk Metropolis-Hastings algorithm applied to the posterior distribution associated with a two-component normal mixture with only its means unknown (Chapter 7). It shows how a decrease in the temperature leads to a proper exploration of the target density surface, despite the existence of two well-separated modes.

Usage

hmmeantemp(dat, niter, var = 1, alpha = 1)

Arguments

Details

When $\alpha=1$ the function operates (and can be used) as a regular Metropolis-Hastings algorithm.

Value

sample of $\mu_i$'s as a matrix of size niter x 2

Examples

dat=plotmix(plot=FALSE)$sample
simu=hmmeantemp(dat,1000)
plot(simu,pch=19,cex=.5,col="sienna",xlab=expression(mu[1]),ylab=expression(mu[2]))

Description

This function runs a Metropolis-Hastings algorithm that produces a sample from the posterior distribution for the logit model (Chapter 4) coefficient $\beta$ associated with a noninformative prior defined in the book.

Usage

hmnoinflogit(niter, y, X, scale)

Arguments

Value

sample of $\beta$'s as a matrix of size niter x p, where p is the number of covariates

See Also

hmnoinfprobit

Examples

data(bank)
bank=as.matrix(bank)
y=bank[,5]
X=bank[,1:4]
noinflogit=hmnoinflogit(1000,y,X,1)
par(mfrow=c(1,3),mar=1+c(1.5,1.5,1.5,1.5))
plot(noinflogit[,1],type="l",xlab="Iterations",ylab=expression(beta[1]))
hist(noinflogit[101:1000,1],nclass=50,prob=TRUE,main="",xlab=expression(beta[1]))
acf(noinflogit[101:1000,1],lag=10,main="",ylab="Autocorrelation",ci=FALSE)

Description

This function is a version of hmnoinflogit for the log-linear model, using a non-informative prior defined in Chapter 4 and a proposal based on a random walk Metropolis-Hastings step.

Usage

hmnoinfloglin(niter, y, X, scale)

Arguments

Value

The function produces a sample of $\beta$'s as a matrix of size niter x p, where p is the number of covariates.

See Also

hmflatloglin

Examples

airqual=na.omit(airquality)
ozone=cut(airqual$Ozone,c(min(airqual$Ozone),median(airqual$Ozone),max(airqual$Ozone)),
include.lowest=TRUE)
month=as.factor(airqual$Month)
tempe=cut(airqual$Temp,c(min(airqual$Temp),median(airqual$Temp),max(airqual$Temp)),
include.lowest=TRUE)
counts=table(ozone,tempe,month)
counts=as.vector(counts)
ozo=gl(2,1,20)
temp=gl(2,2,20)
mon=gl(5,4,20)
x1=rep(1,20)
lulu=rep(0,20)
x2=x3=x4=x5=x6=x7=x8=x9=lulu
x2[ozo==2]=x3[temp==2]=x4[mon==2]=x5[mon==3]=1
x6[mon==4]=x7[mon==5]=x8[ozo==2 & temp==2]=x9[ozo==2 & mon==2]=1
x10=x11=x12=x13=x14=x15=x16=lulu
x10[ozo==2 & mon==3]=x11[ozo==2 & mon==4]=x12[ozo==2 & mon==5]=x13[temp==2 & mon==2]=1
x14[temp==2 & mon==3]=x15[temp==2 & mon==4]=x16[temp==2 & mon==5]=1
X=cbind(x1,x2,x3,x4,x5,x6,x7,x8,x9,x10,x11,x12,x13,x14,x15,x16)
noinloglin=hmnoinfloglin(1000,counts,X,0.5)
par(mfrow=c(4,4),mar=1+c(1.5,1.5,1.5,1.5),cex=0.8)
for (i in 1:16) plot(noinloglin[,i],type="l",ylab="",xlab="Iterations")

Description

This function runs a Metropolis-Hastings algorithm that produces a sample from the posterior distribution for the probit model coefficient $\beta$ associated with a noninformative prior defined in Chapter 4.

Usage

hmnoinfprobit(niter, y, X, scale)

Arguments

Value

The function produces a sample of $\beta$'s as a matrix of size niter x p, where p is the number of covariates.

See Also

hmnoinflogit, hmflatprobit

Examples

data(bank)
bank=as.matrix(bank)
y=bank[,5]
X=bank[,1:4]
noinfprobit=hmflatprobit(1000,y,X,1)
par(mfrow=c(1,3),mar=1+c(1.5,1.5,1.5,1.5))
plot(noinfprobit[,1],type="l",xlab="Iterations",ylab=expression(beta[1]))
hist(noinfprobit[101:1000,1],nclass=50,prob=TRUE,main="",xlab=expression(beta[1]))
acf(noinfprobit[101:1000,1],lag=10,main="",ylab="Autocorrelation",ci=FALSE)

Description

This is the Metropolis-Hastings version of the original Gibbs algorithm on the Ising model (Chapter 8). Its basic step only proposes changes of values at selected pixels, avoiding the inefficient updates that do not modify the current value of x.

Usage

isinghm(niter, n, m=n,beta)

Arguments

Value

x, a realisation from the Ising distribution as a n x m matrix of 0's and 1's

See Also

isingibbs

Examples

prepa=runif(1,0,2)
prop=isinghm(10,24,24,prepa)
image(1:24,1:24,prop)

Description

This is the original Geman and Geman (1984) Gibbs sampler on the Ising model that gave its name to the method. It simulates an $n\times m$ grid from the Ising distribution.

Usage

isingibbs(niter, n, m=n, beta)

Arguments

Value

x, a realisation from the Ising distribution as a matrix of size n x m

References

Geman, S. and Geman, D. (1984) Stochastic relaxation, Gibbs distributions and the Bayesian restoration of images. IEEE Trans. Pattern Anal. Mach. Intell., 6, 721–741.

See Also

isinghm

Examples

image(1:20,1:20,isingibbs(10,20,20,beta=0.3))

Description

This dataset depicts the presence of plants (tufted sedges) in a part of a wetland. It is 25x25 matrix of zeroes and ones, used in Chapter 8.

Usage

data(Laichedata)

Format

A data frame corresponding to a 25x25 matrix of zeroes and ones.

Examples

data(Laichedata)
image(as.matrix(Laichedata))

Description

Direct computation of the logarithm of the likelihood of a standard logit model (Chapter 4)

$P(y=1|X,\beta)= \{1+\exp(-\beta^{T}X)\}^{-1}.$

Usage

logitll(beta, y, X)

Arguments

Value

returns the logarithm of the logit likelihood for the data y, covariate matrix X and parameter vector beta

See Also

probitll

Examples

data(bank)
y=bank[,5]
X=as.matrix(bank[,-5])
logitll(runif(4),y,X)

Description

This function computes the logarithm of the posterior density associated with a logit model and the noninformative prior used in Chapter 4.

Usage

logitnoinflpost(beta, y, X)

Arguments

Value

returns the logarithm of the logit likelihood for the data y, covariate matrix X and parameter beta

See Also

probitnoinflpost

Examples

data(bank)
y=bank[,5]
X=as.matrix(bank[,-5])
logitnoinflpost(runif(4),y,X)

Description

This function provides a direct computation of the logarithm of the likelihood of a standard log-linear model, as defined in Chapter 4.

Usage

loglinll(beta, y, X)

Arguments

Value

returns the logarithmic value of the logit likelihood for the data y, covariate matrix X and parameter vector beta

Examples

X=matrix(rnorm(20*3),ncol=3)
beta=c(3,-2,1)
y=rpois(20,exp(X%*%beta))
loglinll(beta, y, X)

Description

This function computes the logarithm of the posterior density associated with a log-linear model and the noninformative prior used in Chapter 4.

Usage

loglinnoinflpost(beta, y, X)

Arguments

Details

This function does not test for coherence between the lengths of y, X and beta, hence may return an error message in case of incoherence.

Value

returns the logarithm of the logit posterior density for the data y, covariate matrix X and parameter vector beta

Examples

X=matrix(rnorm(20*3),ncol=3)
beta=c(3,-2,1)
y=rpois(20,exp(X%*%beta))
loglinnoinflpost(beta, y, X)

Description

This function returns the numerical value of the log-likelihood associated with a time series and an MA(p) model in Chapter 7. It either uses the natural parameterisation of the MA(p) model

$x_t-\mu = \varepsilon_t - \sum_{j=1}^p \psi_{j} \varepsilon_{t-j}$

or the parameterisation via the lag-polynomial roots

$x_t - \mu = \prod_{i=1}^p (1-\lambda_i B) \varepsilon_t$

where $B^j \varepsilon_t = \varepsilon_{t-j}$.

Usage

MAllog(p,dat,pr,pc,lr,lc,mu,sig2,compsi=T,pepsi=rep(0,p),eps=rnorm(p))

Arguments

Value

See Also

ARllog, MAmh

Examples

MAllog(p=3,dat=faithful[,1],pr=3,pc=0,lr=rep(.1,3),lc=0,
mu=0,sig2=var(faithful[,1]),compsi=FALSE,pepsi=rep(.1,3),eps=rnorm(3))

Description

This function implements a Metropolis–Hastings algorithm on the coefficients of the MA(p) model, involving the simulation of the real and complex roots of the model. The algorithm includes jumps between adjacent numbers of real and complex roots, as well as random modifications for a given number of real and complex roots. It is thus a special case of a reversible jump MCMC algorithm (Green, 1995).

Usage

MAmh(x, p = 1, W = 10^3)

Arguments

Value

References

Green, P.J. (1995) Reversible jump MCMC computaton and Bayesian model choice. Biometrika 82, 711–732.

See Also

MAllog

Examples

data(Eurostoxx50)
x=Eurostoxx50[1:350, 5]
resMA5=MAmh(x=x,p=5,W=50)
plot(resMA5$mus,type="l",col="steelblue4",xlab="Iterations",ylab=expression(mu))

Description

This dataset is a 100x100 pixel satellite image of the lake of Menteith, near Stirling, Scotland. The purpose of analyzing this satellite dataset is to classify all pixels into one of six states in order to detect some homogeneous regions.

Usage

data(Menteith)

Format

data frame of a 100 x 100 image with 106 grey levels

See Also

reconstruct

Examples

data(Menteith)
image(1:100,1:100,as.matrix(Menteith),col=gray(256:1/256),xlab="",ylab="")

Description

This function computes the posterior probabilities of all (for less than 15 covariates) or the most probable (for more than 15 covariates) submodels obtained by eliminating some covariates.

Usage

ModChoBayesReg(y, X, g = length(y), betatilde = rep(0, dim(X)[2]), 
niter = 1e+05, prt = TRUE)

Arguments

Details

When using a conjugate prior for the linear model such as the $G$ prior, the marginal likelihood and hence the evidence are available in closed form. If the number of explanatory variables is less than 15, the exact derivation of the posterior probabilities for all submodels can be undertaken. Indeed, $2^{15}=32768$ means that the problem remains tractable. When the number of explanatory variables gets larger, a random exploration of the collection of submodels becomes necessary, as explained in the book (Chapter 3). The proposal to change one variable indicator is made at random and accepting this move follows from a Metropolis–Hastings step.

Value

Examples

data(caterpillar)
y=log(caterpillar$y)
X=as.matrix(caterpillar[,1:8])
res2=ModChoBayesReg(y,X)

Description

This dataset is used as "the" normal dataset in Chapter 2. It is linked with the famous Michelson-Morley experiment that opened the way to Einstein's relativity theory in 1887. It corresponds to the more precise experiment of Illingworth in 1927. The datapoints are measurment of differences in the speeds of two light beams travelling the same distance in two orthogonal directions.

Usage

data(normaldata)

Format

A data frame with 64 observations on the following 2 variables.

x1

index of the experiment

x2

averaged fringe displacement in the experiment

Details

The 64 data points in this dataset are associated with session numbers, corresponding to two different times of the day, and they represent the averaged fringe displacement due to orientation taken over ten measurements made by Illingworth, who assumed a normal error model.

See Also

morley

Examples

data(normaldata)
shift=matrix(normaldata,ncol=2,byrow=TRUE)[,2]
hist(shift[[1]],nclass=10,col="steelblue",prob=TRUE,main="")

Description

This function provides an estimation of the number of dippers by a posterior expectation, based on a uniform prior and the eurodip dataset, as described in Chapter 5.

Usage

pbino(nplus)

Arguments

Value

returns a numerical value that estimates the number of dippers in the population

See Also

eurodip

Examples

data(eurodip)
year81=eurodip[,1]
nplus=sum(year81>0)
sum((1:400)*pbino(nplus))

Description

This function computes the posterior expectation of the population size for a multiple stage capture-recapture experiment (Chapter 5) under a uniform prior on the range (0,400).

Usage

pcapture(T, nplus, nc)

Arguments

Details

This analysis is based on the restrictive assumption that all dippers captured in the second year were already present in the population during the first year.

Value

numerical value of the posterior expectation

See Also

pdarroch

Examples

sum((1:400)*pcapture(2,70,81))

Description

This function computes the posterior expectation of the population size for a two-stage Darroch capture-recapture experiment (Chapter 5) under a uniform prior on the range (0,400).

Usage

pdarroch(n1, n2, m2)

Arguments

Details

This model can be seen as a conditional version of the two-stage model when conditioning on both sample sizes $n_1$ and $n_2$.

Value

numerical value of the posterior expectation

See Also

pcapture

Examples

for (i in 6:16) print(round(sum(pdarroch(22,43,i)*1:400)))

Description

This function gives an image representation of the log-likelihood surface of a mixture (Chapter 6) of two normal densities with means $\mu_1$ and $\mu_2$ unknown. It first generates the random sample associated with the distribution.

Usage

plotmix(mu1 = 2.5, mu2 = 0, p = 0.7, n = 500, plottin = TRUE, nl = 50)

Arguments

Details

In this case, the parameters are identifiable: $\mu_1$ and $\mu_2$ cannot be confused when $p$ is not 0.5. Nonetheless, the log-likelihood surface in this figure often exhibits two modes, one being close to the true value of the parameters used to simulate the dataset and one corresponding to a reflected separation of the dataset into two homogeneous groups.

Value

See Also

gibbsmean, hmmeantemp

Examples

resumix=plotmix()

Description

This function produces one simulation of a square numb by numb grid from a Potts distribution with four colours and a four neighbour structure, relying on niter iterations of a standard Gibbs sampler.

Usage

pottsgibbs(niter, numb, beta)

Arguments

Value

returns a random realisation from the Potts model

References

Geman, S. and Geman, D. (1984) Stochastic relaxation, Gibbs distributions and the Bayesian restoration of images. IEEE Trans. Pattern Anal. Mach. Intell., 6, 721–741.

See Also

pottshm

Examples

ex=pottsgibbs(100,15,.4)
image(ex)

Description

This function returns a simulation of a n by m grid from a Potts distribution with ncol colours and a four neighbour structure, using a Metropolis-Hastings step that avoids proposing a value identical to the current state of the Markov chain.

Usage

pottshm(ncol=2,niter=10^4,n,m=n,beta=0)

Arguments

Value

returns a random realisation from the Potts model

See Also

pottsgibbs

Examples

ex=pottshm(niter=50,n=15,beta=.4)
hist(ex,prob=TRUE,col="steelblue",main="pottshm()")

Description

This function computes the coverage of the interval $(a,b)$ by the Beta $\mathrm{B}(\alpha,\alpha (1-c)/c)$ distribution.

Usage

probet(a, b, c, alpha)

Arguments

Value

numerical value between 0 and 1 corresponding to the coverage

See Also

solbeta

Examples

probet(.1,.5,.3,2)

Description

This function implements a direct computation of the logarithm of the likelihood of a standard probit model

$P(y=1|X,\beta)= \Phi(\beta^{T}X).$

Usage

probitll(beta, y, X)

Arguments

Value

returns the logarithm of the probit likelihood for the data y, covariate matrix X and parameter vector beta

See Also

logitll

Examples

data(bank)
y=bank[,5]
X=as.matrix(bank[,-5])
probitll(runif(4),y,X)

Description

This function computes the logarithm of the posterior density associated with a probit model and the non-informative prior used in Chapter 4.

Usage

probitnoinflpost(beta, y, X)

Arguments

Value

returns the logarithm of the posterior density associated with a logit model for the data y, covariate matrix X and parameter beta

See Also

logitnoinflpost

Examples

data(bank)
y=bank[,5]
X=as.matrix(bank[,-5])
probitnoinflpost(runif(4),y,X)

Description

This function simulates a sample from a Dirichlet distribution on the $k$ dimensional simplex with arbitrary parameters. The simulation is based on a renormalised vector of gamma variates.

Usage

rdirichlet(n = 1, par = rep(1, 2))

Arguments

Details

Surprisingly, there is no default Dirichlet distribution generator in the R base packages like MASS or stats. This function can be used in full generality, apart from the book (Chapter 6).

Value

returns a $(n,k)$ matrix of Dirichlet simulations

Examples

apply(rdirichlet(10,rep(3,5)),2,mean)

Description

This function adresses the reconstruction of an image distributed from a Potts model based on a noisy version of this image. The purpose of image segmentation (Chapter 8) is to cluster pixels into homogeneous classes without supervision or preliminary definition of those classes, based only on the spatial coherence of the structure. The underlying algorithm is an hybrid Gibbs sampler.

Usage

reconstruct(niter, y)

Arguments

Details

Using a Potts model on the true image, and uniform priors on the genuine parameters of the model, the hybrid Gibbs sampler generates the image pixels and the other parameters one at a time, the hybrid stage being due to the Potts model parameter, since it implies using a numerical integration via integrate. The code includes (or rather excludes!) the numerical integration via the vector dali, which contains the values of the integration over a 21 point grid, since this numerical integration is extremely time-consuming.

Value

See Also

Menteith

Examples

## Not run: data(Menteith)
lm3=as.matrix(Menteith)
#warning, this step is a bit lengthy
titus=reconstruct(20,lm3)
#allocation function
affect=function(u) order(u)[6]
#
aff=apply(titus$xcum,1,affect)
aff=t(matrix(aff,100,100))
par(mfrow=c(2,1))
image(1:100,1:100,lm3,col=gray(256:1/256),xlab="",ylab="")
image(1:100,1:100,aff,col=gray(6:1/6),xlab="",ylab="")

## End(Not run)

Description

In the capture-recapture experiment of Chapter 5, the prior information is represented by a prior expectation and prior confidence intervals. This function derives the corresponding beta $B(\alpha,\beta)$ prior distribution by a divide-and-conquer scheme.

Usage

solbeta(a, b, c, prec = 10^(-3))

Arguments

Details

Since the mean $\mu$ of the beta distribution is known, there is a single free parameter $\alpha$ to determine, since $\beta=\alpha(1-\mu)/\mu$. The function solbeta searches for the corresponding value of $\alpha$, starting with a precision of $1$ and stopping at the requested precision prec.

Value

See Also

probet

Examples

solbeta(.1,.5,.3,10^(-4))

Description

This function implements a path sampling approximation of the normalising constant of an Ising model with a four neighbour relation.

Usage

sumising(niter = 10^3, numb, beta)

Arguments

Value

returns a vector of 21 values for $Z(\beta)$ corresponding to a regular sequence of $\beta$'s between 0 and 2

See Also

isingibbs,isinghm

Examples

Z=seq(0,2,length=21)
for (i in 1:21)
  Z[i]=sumising(5,numb=24,beta=Z[i])
lrcst=approxfun(seq(0,2,length=21),Z)
plot(seq(0,2,length=21),Z,xlab="",ylab="")
curve(lrcst,0,2,add=TRUE)

Description

This function is used in ardipper to determine the bound for the accept-reject algorithm simulating the non-standard conditional distribution of $r_1$.

Usage

thresh(k, n1, c2, c3, r2, q1)

Arguments

Details

This upper bound is equal to

$\frac{{n_1-c_2 \choose k} {n_1-k \choose c_3+r_2}}{{\bar r\choose k}}$

Value

numerical value of the upper bound, to be compared with the uniform random draw

See Also

ardipper

Examples

## Not run: if (runif(1) < thresh(y,n1,c2,c3,r2,q1))

Description

This is a plain random generator for a normal variate $\mathcal{N}(\mu,\tau^2)$ truncated to $(a,b)$, using the inverse cdf qnorm. It may thus be imprecise for extreme values of the bounds.

Usage

truncnorm(n, mu, tau2, a, b)

Arguments

Value

a sample of real numbers over $(a,b)$ with size n

See Also

reconstruct

Examples

x=truncnorm(10^3,1,2,3,4)
hist(x,nclass=123,col="wheat",prob=TRUE)

Description

This is a basis function used in simulation algorithms on the Ising and Potts models. It counts how many of the four neighbours of $x_{a,b}$ are of the same colour as this pixel.

Usage

xneig4(x, a, b, col)

Arguments

Value

integer between 0 and 4 giving the number of neighbours with the same colour

See Also

pottsgibbs, sumising

Examples

data(Laichedata)
xneig4(Laichedata,2,3,1)
xneig4(Laichedata,2,3,0)