sliceGammaVariance {BSL} | R Documentation |
Generate a random sample of gamma for the R-BSL-V method of Frazier and Drovandi (2021) using slice sampling
Description
This function updates the gamma parameter with a slice sampler (Neal 2003). The target distribution is the variance inflated approximate posterior of BSL with model misspecification. See Frazier and Drovandi (2021). Note this function is mainly designed for internal usage.
Usage
sliceGammaVariance(
ssy,
ssx,
loglike,
gamma = numeric(length(ssy)),
tau = 1,
w = 1,
std = NULL,
maxit = 1000
)
Arguments
ssy |
The observed summary statisic. |
ssx |
A matrix of the simulated summary statistics. The number of rows is the same as the number of simulations per iteration. |
loglike |
The current log synthetic likelihood. This is computed with
function |
gamma |
The additional latent parameter to account for possible
incompatability between the model and observed summary statistic. In
“BSLmisspec” method, this is updated with a slice sampler
(Neal 2003). The default gamma implies no model misspecification
and is equivalent to the standard |
tau |
Numeric. Scale (or inverse rate) parameter of the exponential prior distribution. |
w |
Step size for the stepping out in the slice sampler. The default step size is 1. |
std |
Standard deviation of the columns of ssx. If this is not
|
maxit |
The maximum number of iteration of the stepping out and shrink steps of slice sampler. The default is 1e3. |
References
Frazier DT, Drovandi C (2021).
“Robust Approximate Bayesian Inference with Synthetic Likelihood.”
Journal of Computational and Graphical Statistics (In Press).
https://arxiv.org/abs/1904.04551.
Neal RM (2003).
“Slice sampling.”
The Annals of Statistics, 31(3), 705–767.
See Also
sliceGammaMean
for the slice sampler of the mean
adjusted target distribution.