| rnmixGibbs {bayesm} | R Documentation |
rnmixGibbs implements a Gibbs Sampler for normal mixtures.
rnmixGibbs(Data, Prior, Mcmc)
Data |
list(y) |
Prior |
list(Mubar,A,nu,V,a,ncomp) (only ncomp required) |
Mcmc |
list(R,keep) (R required) |
Model:
y_i ~ N(mu_{ind_i},Sigma_{ind_i}).
ind ~ iid multinomial(p). p is a ncomp x 1 vector of probs.
Priors:
mu_j ~ N(mubar,Sigma_j (x) A^{-1}). mubar=vec(Mubar).
Sigma_j ~ IW(nu,V).
note: this is the natural conjugate prior – a special case of multivariate
regression.
p ~ Dirchlet(a).
Output of the components is in the form of a list of lists.
compsdraw[[i]] is ith draw – list of ncomp lists.
compsdraw[[i]][[j]] is list of parms for jth normal component.
jcomp=compsdraw[[i]][j]]. Then jth comp ~ N(jcomp[[1]],Sigma),
Sigma = t(R)%*%R, R^{-1} = jcomp[[2]].
List arguments contain:
a list containing:
probdraw |
R/keep x ncomp array of mixture prob draws |
zdraw |
R/keep x nobs array of indicators of mixture comp identity for each obs |
compdraw |
R/keep lists of lists of comp parm draws |
In this model, the component normal parameters are not-identified due to label-switching.
However, the fitted mixture of normals density is identified as it is invariant to label-switching.
See Allenby et al, chapter 5 for details. Use eMixMargDen or momMix to compute
posterior expectation or distribution of various identified parameters.
Peter Rossi, Graduate School of Business, University of Chicago, Peter.Rossi@ChicagoGsb.edu.
For further discussion, see Bayesian Statistics and Marketing
by Rossi, Allenby and McCulloch, Chapter 3.
http://gsbwww.uchicago.edu/fac/peter.rossi/research/bsm.html
rmixture, rmixGibbs ,eMixMargDen, momMix,
mixDen, mixDenBi
##
if(nchar(Sys.getenv("LONG_TEST")) != 0) {R=2000} else {R=10}
set.seed(66)
dim=5; k=3 # dimension of simulated data and number of "true" components
sigma = matrix(rep(0.5,dim^2),nrow=dim);diag(sigma)=1
sigfac = c(1,1,1);mufac=c(1,2,3); compsmv=list()
for(i in 1:k) compsmv[[i]] = list(mu=mufac[i]*1:dim,sigma=sigfac[i]*sigma)
comps = list() # change to "rooti" scale
for(i in 1:k) comps[[i]] = list(mu=compsmv[[i]][[1]],rooti=solve(chol(compsmv[[i]][[2]])))
pvec=(1:k)/sum(1:k)
nobs=500
dm = rmixture(nobs,pvec,comps)
Data=list(y=dm$x)
ncomp=9
Prior=list(ncomp=ncomp)
Mcmc=list(R=R,keep=1)
out=rnmixGibbs(Data=Data,Prior=Prior,Mcmc=Mcmc)
tmom=momMix(matrix(pvec,nrow=1),list(comps))
if(R < 1000) {begin=1} else {begin=500}
pmom=momMix(out$probdraw[begin:R,],out$compdraw[begin:R])
mat=rbind(tmom$mu,pmom$mu)
rownames(mat)=c("true","post expect")
cat(" mu and posterior expectation of mu",fill=TRUE)
print(mat)
mat=rbind(tmom$sd,pmom$sd)
rownames(mat)=c("true","post expect")
cat(" std dev and posterior expectation of sd",fill=TRUE)
print(mat)
mat=rbind(as.vector(tmom$corr),as.vector(pmom$corr))
rownames(mat)=c("true","post expect")
cat(" corr and posterior expectation of corr",fill=TRUE)
print(t(mat))
if(0){
##
## plotting examples
##
## check true and estimated marginal densities
end=R
grid=NULL
for (i in 1:dim){
rgi=range(dm$x[,i])
gr=seq(from=rgi[1],to=rgi[2],length.out=50)
grid=cbind(grid,gr)
}
tmden=mixDen(grid,pvec,comps)
pmden=eMixMargDen(grid,out$probdraw[begin:end,],out$compdraw[begin:end])
## plot the marginal on third variable
plot(range(grid[,3]),c(0,1.1*max(tmden[,3],pmden[,3])),type="n",xlab="",ylab="density")
lines(grid[,3],tmden[,3],col="blue",lwd=2)
lines(grid[,3],pmden[,3],col="red",lwd=2)
## compute implied bivariate marginal distributions
i=1
j=2
rxi=range(dm$x[,1])
rxj=range(dm$x[,2])
xi=seq(from=rxi[1],to=rxi[2],length.out=50)
xj=seq(from=rxj[1],to=rxj[2],length.out=50)
den=matrix(0,ncol=length(xi),nrow=length(xj))
for(ind in as.integer(seq(from=begin,to=end,length.out=100))){
den=den+mixDenBi(i,j,xi,xj,out$probdraw[ind,],out$compdraw[[ind]])
}
tden=matrix(0,ncol=length(xi),nrow=length(xj))
tden=mixDenBi(i,j,xi,xj,pvec,comps)
par(mfrow=c(2,1))
image(xi,xj,tden,col=terrain.colors(100),xlab="",ylab="")
contour(xi,xj,tden,add=TRUE,drawlabels=FALSE)
title("True Bivariate Marginal")
image(xi,xj,den,col=terrain.colors(100),xlab="",ylab="")
contour(xi,xj,den,add=TRUE,drawlabels=FALSE)
title("Posterior Mean of Bivariate Marginal")
}