gaussian.glm <- function(formula, data=NULL, burnin, n.sample, thin=1, prior.mean.beta=NULL, prior.var.beta=NULL, prior.nu2=NULL, verbose=TRUE) { ############################################## #### Format the arguments and check for errors ############################################## #### Verbose a <- common.verbose(verbose) #### Frame object frame.results <- common.frame(formula, data, "gaussian") K <- frame.results$n p <- frame.results$p X <- frame.results$X X.standardised <- frame.results$X.standardised X.sd <- frame.results$X.sd X.mean <- frame.results$X.mean X.indicator <- frame.results$X.indicator offset <- frame.results$offset Y <- frame.results$Y which.miss <- frame.results$which.miss n.miss <- frame.results$n.miss Y.DA <- Y #### Priors if(is.null(prior.mean.beta)) prior.mean.beta <- rep(0, p) if(is.null(prior.var.beta)) prior.var.beta <- rep(100000, p) if(is.null(prior.nu2)) prior.nu2 <- c(1, 0.01) common.prior.beta.check(prior.mean.beta, prior.var.beta, p) common.prior.var.check(prior.nu2) #### MCMC quantities - burnin, n.sample, thin common.burnin.nsample.thin.check(burnin, n.sample, thin) ############################# #### Initial parameter values ############################# #### Initial parameter values mod.glm <- lm(Y~X.standardised-1, offset=offset) beta.mean <- mod.glm$coefficients beta.sd <- sqrt(diag(summary(mod.glm)$cov.unscaled)) * summary(mod.glm)$sigma beta <- rnorm(n=length(beta.mean), mean=beta.mean, sd=beta.sd) res.temp <- Y - X.standardised %*% beta.mean - offset nu2 <- var(as.numeric(res.temp), na.rm=TRUE) fitted <- as.numeric(X.standardised %*% beta) + offset ############################### #### Set up the MCMC quantities ############################### #### Matrices to store samples n.keep <- floor((n.sample - burnin)/thin) samples.beta <- array(NA, c(n.keep, p)) samples.nu2 <- array(NA, c(n.keep, 1)) samples.loglike <- array(NA, c(n.keep, K)) samples.fitted <- array(NA, c(n.keep, K)) if(n.miss>0) samples.Y <- array(NA, c(n.keep, n.miss)) #### Metropolis quantities nu2.posterior.shape <- prior.nu2[1] + 0.5*K #### Beta update quantities data.precision.beta <- t(X.standardised) %*% X.standardised if(length(prior.var.beta)==1) { prior.precision.beta <- 1 / prior.var.beta }else { prior.precision.beta <- solve(diag(prior.var.beta)) } ########################### #### Run the Bayesian model ########################### #### Start timer if(verbose) { cat("Generating", n.keep, "post burnin and thinned (if requested) samples.\n", sep = " ") progressBar <- txtProgressBar(style = 3) percentage.points<-round((1:100/100)*n.sample) }else { percentage.points<-round((1:100/100)*n.sample) } #### Create the MCMC samples for(j in 1:n.sample) { #################################### ## Sample from Y - data augmentation #################################### if(n.miss>0) { Y.DA[which.miss==0] <- rnorm(n=n.miss, mean=fitted[which.miss==0], sd=sqrt(nu2)) }else {} #################### ## Sample from beta #################### fc.precision <- prior.precision.beta + data.precision.beta / nu2 fc.var <- solve(fc.precision) beta.offset <- as.numeric(Y.DA - offset) beta.offset2 <- t(X.standardised) %*% beta.offset / nu2 + prior.precision.beta %*% prior.mean.beta fc.mean <- fc.var %*% beta.offset2 chol.var <- t(chol(fc.var)) beta <- fc.mean + chol.var %*% rnorm(p) ################## ## Sample from nu2 ################## fitted.current <- as.numeric(X.standardised %*% beta) + offset nu2.posterior.scale <- prior.nu2[2] + 0.5 * sum((Y.DA - fitted.current)^2) nu2 <- 1 / rgamma(1, nu2.posterior.shape, scale=(1/nu2.posterior.scale)) ######################### ## Calculate the deviance ######################### fitted <- as.numeric(X.standardised %*% beta) + offset loglike <- dnorm(Y, mean = fitted, sd = rep(sqrt(nu2),K), log=TRUE) ################### ## Save the results ################### if(j > burnin & (j-burnin)%%thin==0) { ele <- (j - burnin) / thin samples.beta[ele, ] <- beta samples.nu2[ele, ] <- nu2 samples.loglike[ele, ] <- loglike samples.fitted[ele, ] <- fitted if(n.miss>0) samples.Y[ele, ] <- Y.DA[which.miss==0] }else {} ################################ ## print progress to the console ################################ if(j %in% percentage.points & verbose) { setTxtProgressBar(progressBar, j/n.sample) } } ##### end timer if(verbose) { cat("\nSummarising results.") close(progressBar) }else {} ################################### #### Summarise and save the results ################################### #### Compute the acceptance rates accept.final <- rep(100, 2) names(accept.final) <- c("beta", "nu2") #### Compute the fitted deviance mean.beta <- apply(samples.beta, 2, mean) fitted.mean <- X.standardised %*% mean.beta + offset nu2.mean <- mean(samples.nu2) deviance.fitted <- -2 * sum(dnorm(Y, mean = fitted.mean, sd = rep(sqrt(nu2.mean),K), log = TRUE), na.rm=TRUE) #### Model fit criteria modelfit <- common.modelfit(samples.loglike, deviance.fitted) #### transform the parameters back to the origianl covariate scale. samples.beta.orig <- common.betatransform(samples.beta, X.indicator, X.mean, X.sd, p, FALSE) #### Create a summary object samples.beta.orig <- mcmc(samples.beta.orig) summary.beta <- t(apply(samples.beta.orig, 2, quantile, c(0.5, 0.025, 0.975))) summary.beta <- cbind(summary.beta, rep(n.keep, p), rep(100,p), effectiveSize(samples.beta.orig), geweke.diag(samples.beta.orig)$z) rownames(summary.beta) <- colnames(X) colnames(summary.beta) <- c("Median", "2.5%", "97.5%", "n.sample", "% accept", "n.effective", "Geweke.diag") summary.hyper <- array(NA, c(1 ,7)) summary.hyper[1, 1:3] <- quantile(samples.nu2, c(0.5, 0.025, 0.975)) summary.hyper[1, 4:7] <- c(n.keep, 100, effectiveSize(samples.nu2), geweke.diag(samples.nu2)$z) summary.results <- rbind(summary.beta, summary.hyper) rownames(summary.results)[nrow(summary.results)] <- c("nu2") summary.results[ , 1:3] <- round(summary.results[ , 1:3], 4) summary.results[ , 4:7] <- round(summary.results[ , 4:7], 1) #### Create the Fitted values and residuals fitted.values <- apply(samples.fitted, 2, mean) response.residuals <- as.numeric(Y) - fitted.values pearson.residuals <- response.residuals /sqrt(nu2.mean) residuals <- data.frame(response=response.residuals, pearson=pearson.residuals) #### Compile and return the results model.string <- c("Likelihood model - Gaussian (identity link function)", "\nRandom effects model - None\n") if(n.miss==0) samples.Y = NA samples <- list(beta=samples.beta.orig, nu2=mcmc(samples.nu2), fitted=mcmc(samples.fitted), Y=mcmc(samples.Y)) results <- list(summary.results=summary.results, samples=samples, fitted.values=fitted.values, residuals=residuals, modelfit=modelfit, accept=accept.final, localised.structure=NULL, formula=formula, model=model.string, X=X) class(results) <- "CARBayes" #### Finish by stating the time taken if(verbose) { b<-proc.time() cat("Finished in ", round(b[3]-a[3], 1), "seconds.\n") }else {} return(results) }