multi_laplace_mcmc {BMIselect} | R Documentation |
Multi-Laplace MCMC Sampler for Multiply-Imputed Regression
Description
Implements Bayesian variable selection under the Multi-Laplace prior on
regression coefficients across multiply-imputed datasets. The prior shares
local shrinkage parameters (lambda2
) across imputations and places
a Gamma(h
, v
) hyperprior on the global parameter rho
.
Usage
multi_laplace_mcmc(
X,
Y,
intercept = TRUE,
h = 2,
v = NULL,
nburn = 4000,
npost = 4000,
seed = NULL,
verbose = TRUE,
printevery = 1000,
chain_index = 1
)
Arguments
X |
A 3-D array of predictors with dimensions |
Y |
A matrix of outcomes with dimensions |
intercept |
Logical; include an intercept? Default |
h |
Numeric; shape parameter of the Gamma prior on |
v |
Numeric or |
nburn |
Integer; number of burn-in iterations. Default |
npost |
Integer; number of post-burn-in samples to store. Default |
seed |
Integer or |
verbose |
Logical; print progress messages? Default |
printevery |
Integer; print progress every this many iterations. Default |
chain_index |
Integer; index of this MCMC chain (for messages). Default |
Value
A named list
with elements:
post_beta
Array
npost × D × p
of sampled regression coefficients.post_alpha
Matrix
npost × D
of sampled intercepts (if used).post_sigma2
Numeric vector of length
npost
, sampled residual variances.post_lambda2
Matrix
npost × p
of sampled local shrinkage parameters.post_rho
Numeric vector of length
npost
, sampled global parameters.post_fitted_Y
Array
npost × D × n
of posterior predictive draws (with noise).post_pool_beta
Matrix
(npost * D) × p
of pooled coefficient draws.post_pool_fitted_Y
Matrix
(npost * D) × n
of pooled predictive draws (with noise).hat_matrix_proj
Matrix
D × n × n
of averaged projection hat-matrices. To avoid recalculate for estimating degree of freedom.h
,v
Numeric; the shape and scale hyperparameters used.
Examples
sim <- sim_B(n = 100, p = 20, type = "MAR", SNP = 1.5, corr = 0.5, low_missing = TRUE,
n_imp = 5, seed = 123)
X <- sim$data_MI$X
Y <- sim$data_MI$Y
fit <- multi_laplace_mcmc(X, Y, intercept = TRUE, nburn = 100, npost = 100)