MCMCprobitChange {MCMCpack} | R Documentation |
This function generates a sample from the posterior distribution of a linear Gaussian model with multiple changepoints. The function uses the Markov chain Monte Carlo method of Chib (1998). The user supplies data and priors, and a sample from the posterior distribution is returned as an mcmc object, which can be subsequently analyzed with functions provided in the coda package.
MCMCprobitChange(formula, data=parent.frame(), m = 1, burnin = 10000, mcmc = 10000, thin = 1, verbose = 0, seed = NA, beta.start = NA, P.start = NA, b0 = NULL, B0 = NULL, a = NULL, b = NULL, marginal.likelihood = c("none", "Chib95"), ...)
formula |
Model formula. |
data |
Data frame. |
m |
The number of changepoints. |
burnin |
The number of burn-in iterations for the sampler. |
mcmc |
The number of MCMC iterations after burnin. |
thin |
The thinning interval used in the simulation. The number of MCMC iterations must be divisible by this value. |
verbose |
A switch which determines whether or not the progress of
the sampler is printed to the screen. If |
seed |
The seed for the random number generator. If NA, the Mersenne
Twister generator is used with default seed 12345; if an integer is
passed it is used to seed the Mersenne twister. The user can also
pass a list of length two to use the L'Ecuyer random number generator,
which is suitable for parallel computation. The first element of the
list is the L'Ecuyer seed, which is a vector of length six or NA (if NA
a default seed of |
beta.start |
The starting values for the beta vector. This can either be a scalar or a column vector with dimension equal to the number of betas. The default value of of NA will use the MLE estimate of beta as the starting value. If this is a scalar, that value will serve as the starting value mean for all of the betas. |
P.start |
The starting values for the transition matrix.
A user should provide a square matrix with dimension equal to the number of states.
By default, draws from the |
b0 |
The prior mean of beta. This can either be a scalar or a column vector with dimension equal to the number of betas. If this takes a scalar value, then that value will serve as the prior mean for all of the betas. |
B0 |
The prior precision of beta. This can either be a scalar or a square matrix with dimensions equal to the number of betas. If this takes a scalar value, then that value times an identity matrix serves as the prior precision of beta. Default value of 0 is equivalent to an improper uniform prior for beta. |
a |
a is the shape1 beta prior for transition probabilities. By default, the expected duration is computed and corresponding a and b values are assigned. The expected duration is the sample period divided by the number of states. |
b |
b is the shape2 beta prior for transition probabilities. By default, the expected duration is computed and corresponding a and b values are assigned. The expected duration is the sample period divided by the number of states. |
marginal.likelihood |
How should the marginal likelihood be
calculated? Options are: |
... |
further arguments to be passed |
MCMCprobitChange
simulates from the posterior distribution of
a probit regression model with multiple parameter breaks. The simulation is based on Chib (1998) and Park (2011).
The model takes the following form:
Pr(y_t = 1) = Phi(x_i'beta_m)
Where M is the number of states, and beta_m is a parameter when a state is m at t.
We assume Gaussian distribution for prior of beta:
beta_m ~ N(b0,B0^(-1)), m = 1,...,M.
And:
p_mm ~ Beta(a, b), m = 1,...,M.
Where M is the number of states.
An mcmc object that contains the posterior sample. This
object can be summarized by functions provided by the coda package.
The object contains an attribute prob.state
storage matrix that contains the probability of state_i for each period, the
log-likelihood of the model (loglike
), and
the log-marginal likelihood of the model (logmarglike
).
Jong Hee Park, jhp@uchicago.edu, http://home.uchicago.edu/~jhp/.
Jong Hee Park. 2011. “Changepoint Analysis of Binary and Ordinal Probit Models: An Application to Bank Rate Policy Under the Interwar Gold Standard." Political Analysis. 19: 188-204.
Andrew D. Martin, Kevin M. Quinn, and Jong Hee Park. 2011. “MCMCpack: Markov Chain Monte Carlo in R.”, Journal of Statistical Software. 42(9): 1-21. http://www.jstatsoft.org/v42/i09/.
Siddhartha Chib. 1998. “Estimation and comparison of multiple change-point models.” Journal of Econometrics. 86: 221-241.
Albert, J. H. and S. Chib. 1993. “Bayesian Analysis of Binary and Polychotomous Response Data.” J. Amer. Statist. Assoc. 88, 669-679
## Not run: set.seed(1973) x1 <- rnorm(300, 0, 1) true.beta <- c(-.5, .2, 1) true.alpha <- c(.1, -1., .2) X <- cbind(1, x1) ## set two true breaks at 100 and 200 true.phi1 <- pnorm(true.alpha[1] + x1[1:100]*true.beta[1]) true.phi2 <- pnorm(true.alpha[2] + x1[101:200]*true.beta[2]) true.phi3 <- pnorm(true.alpha[3] + x1[201:300]*true.beta[3]) ## generate y y1 <- rbinom(100, 1, true.phi1) y2 <- rbinom(100, 1, true.phi2) y3 <- rbinom(100, 1, true.phi3) Y <- as.ts(c(y1, y2, y3)) ## fit multiple models with a varying number of breaks out0 <- MCMCprobitChange(formula=Y~X-1, data=parent.frame(), m=0, mcmc=1000, burnin=1000, thin=1, verbose=1000, b0 = 0, B0 = 10, a = 1, b = 1, marginal.likelihood = c("Chib95")) out1 <- MCMCprobitChange(formula=Y~X-1, data=parent.frame(), m=1, mcmc=1000, burnin=1000, thin=1, verbose=1000, b0 = 0, B0 = 10, a = 1, b = 1, marginal.likelihood = c("Chib95")) out2 <- MCMCprobitChange(formula=Y~X-1, data=parent.frame(), m=2, mcmc=1000, burnin=1000, thin=1, verbose=1000, b0 = 0, B0 = 10, a = 1, b = 1, marginal.likelihood = c("Chib95")) out3 <- MCMCprobitChange(formula=Y~X-1, data=parent.frame(), m=3, mcmc=1000, burnin=1000, thin=1, verbose=1000, b0 = 0, B0 = 10, a = 1, b = 1, marginal.likelihood = c("Chib95")) ## find the most reasonable one BayesFactor(out0, out1, out2, out3) ## draw plots using the "right" model plotState(out2) plotChangepoint(out2) ## End(Not run)