https://github.com/cran/bayestestR
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Tip revision: 645c10f110efae44c5ac60025664cd27f2b46a87 authored by Dominique Makowski on 26 March 2020, 05:10 UTC
version 0.5.3
Tip revision: 645c10f
weighted_posteriors.R
#' Generate posterior distributions weighted across models
#'
#' Extract posterior samples of parameters, weighted across models.
#' Weighting is done by comparing posterior model probabilities, via \code{\link{bayesfactor_models}}.
#'
#' @param missing An optional numeric value to use if a model does not contain a parameter that appears in other models. Defaults to 0.
#' @param prior_odds Optional vector of prior odds for the models compared to the first model (or the denominator, for \code{BFBayesFactor} objects).
#' @inheritParams bayesfactor_models
#' @inheritParams bayesfactor_parameters
#'
#' @details
#' Note that across models some parameters might play different roles. For example,
#' the parameter \code{A} plays a different role in the model \code{Y ~ A + B} (where it is a main effect)
#' than it does in the model \code{Y ~ A + B + A:B} (where it is a simple effect). In many cases centering
#' of predictors (mean subtracting for continuous variables, and effects coding via \code{contr.sum} or
#' orthonormal coding via {\code{\link{contr.bayes}}} for factors) can reduce this issue. In any case
#' you should be mindful of this issue.
#' \cr\cr
#' See \code{\link{bayesfactor_models}} details for more info on passed models.
#' \cr\cr
#' Note that for \code{BayesFactor} models, posterior samples cannot be generated from intercept only models.
#' \cr\cr
#' This function is similar in function to \code{brms::\link[brms]{posterior_average}}.
#'
#' @return A data frame with posterior distributions (weighted across models) .
#'
#' @seealso \code{\link{bayesfactor_inclusion}} for Bayesian model averaging.
#'
#' @examples
#' \donttest{
#' if (require("rstanarm") && require("see")) {
#'   stan_m0 <- stan_glm(extra ~ 1, data = sleep,
#'                       family = gaussian(),
#'                       refresh=0,
#'                       diagnostic_file = file.path(tempdir(), "df0.csv"))
#'
#'   stan_m1 <- stan_glm(extra ~ group, data = sleep,
#'                       family = gaussian(),
#'                       refresh=0,
#'                       diagnostic_file = file.path(tempdir(), "df1.csv"))
#'
#'
#'   res <- weighted_posteriors(stan_m0, stan_m1)
#'
#'   plot(eti(res))
#' }
#'
#' # With BayesFactor and brms
#' if (require("BayesFactor") && require("brms")) {
#'   BFmods <- anovaBF(extra ~ group + ID, sleep, whichRandom = "ID")
#'
#'   res <- weighted_posteriors(BFmods)[1:3]
#'   plot(eti(res))
#'
#'   # Compare to brms::posterior_average
#'   fit1 <- brm(rating ~ treat + period + carry,
#'               data = inhaler,
#'               save_all_pars = TRUE)
#'   fit2 <- brm(rating ~ period + carry,
#'               data = inhaler,
#'               save_all_pars = TRUE)
#'
#'   res_BT <- weighted_posteriors(fit1, fit2)
#'   res_brms <- brms::posterior_average(fit1, fit2,
#'                                       weights = "marglik", missing = 0)[, 1:4]
#'
#'   plot(eti(res_BT))
#'   plot(eti(res_brms))
#' }
#' }
#' @references
#' \itemize{
#'   \item Clyde, M., Desimone, H., & Parmigiani, G. (1996). Prediction via orthogonalized model mixing. Journal of the American Statistical Association, 91(435), 1197-1208.
#'   \item Hinne, M., Gronau, Q. F., van den Bergh, D., and Wagenmakers, E. (2019, March 25). A conceptual introduction to Bayesian Model Averaging. \doi{10.31234/osf.io/wgb64}
#'   \item Rouder, J. N., Haaf, J. M., & Vandekerckhove, J. (2018). Bayesian inference for psychology, part IV: Parameter estimation and Bayes factors. Psychonomic bulletin & review, 25(1), 102-113.
#'   \item van den Bergh, D., Haaf, J. M., Ly, A., Rouder, J. N., & Wagenmakers, E. J. (2019). A cautionary note on estimating effect size.
#' }
#'
#' @export
weighted_posteriors <- function(..., prior_odds = NULL, missing = 0, verbose = TRUE) {
  UseMethod("weighted_posteriors")
}

#' @export
#' @rdname weighted_posteriors
#' @importFrom insight get_parameters
weighted_posteriors.stanreg <- function(..., prior_odds = NULL, missing = 0, verbose = TRUE,
                              effects = c("fixed", "random", "all"),
                              component = c("conditional", "zi", "zero_inflated", "all"),
                              parameters = NULL){
  Mods <- list(...)
  effects <- match.arg(effects)
  component <- match.arg(component)

  # Get Bayes factors
  BFMods <- bayesfactor_models(..., denominator = 1, verbose = verbose)

  # Compute posterior model probabilities
  prior_odds <- c(1, prior_odds)
  posterior_odds <- prior_odds * BFMods$BF
  postProbs <- posterior_odds / sum(posterior_odds)

  # Compute weighted number of samples
  nsamples <- min(sapply(Mods, .total_samps))
  weighted_samps <- round(nsamples * postProbs)

  # extract parameters
  params <- lapply(Mods, insight::get_parameters,
                   effects = effects,
                   component = component,
                   parameters = parameters)

  res <- .weighted_posteriors(params, weighted_samps, missing)
  attr(res, "weights") <- data.frame(Model = BFMods$Model, weights = weighted_samps)
  return(res)
}

#' @export
#' @rdname weighted_posteriors
weighted_posteriors.brmsfit <- weighted_posteriors.stanreg

#' @export
#' @rdname weighted_posteriors
weighted_posteriors.BFBayesFactor <- function(..., prior_odds = NULL, missing = 0, verbose = TRUE){
  Mods <- c(...)

  # Get Bayes factors
  BFMods <- bayesfactor_models(Mods, verbose = verbose)

  # Compute posterior model probabilities
  prior_odds <- c(1, prior_odds)
  posterior_odds <- prior_odds * BFMods$BF
  postProbs <- posterior_odds / sum(posterior_odds)

  # Compute weighted number of samples
  nsamples <- 4000
  weighted_samps <- round(nsamples * postProbs)

  # extract parameters
  intercept_only <- which(BFMods$Model == "1")
  params <- vector(mode = "list", length = nrow(BFMods))
  for (m in seq_along(params)) {
    if (length(intercept_only) && m == intercept_only) {
      warning(
        "Cannot sample from BFBayesFactor model with intercept only (model prob = ",
        round(postProbs[m], 3) * 100, "%).\n",
        "Ommiting the intercept model.",
        call. = FALSE
      )
      next
    } else if (m == 1) {
      # If the model is the "den" model
      params[[m]] <- BayesFactor::posterior(1 / Mods[1], iterations = nsamples, progress = FALSE)
    } else {
      params[[m]] <- BayesFactor::posterior(
        Mods[m - 1], iterations = nsamples, progress = FALSE
      )
    }
  }

  params <- lapply(params, as.data.frame)

  res <- .weighted_posteriors(params, weighted_samps, missing)
  attr(res, "weights") <- data.frame(Model = BFMods$Model, weights = weighted_samps)
  return(res)
}

.weighted_posteriors <- function(params, weighted_samps, missing) {
  par_names <- unique(unlist(sapply(params, colnames), recursive = TRUE))

  # remove empty (0 sample) models
  params <- params[weighted_samps != 0]
  weighted_samps <- weighted_samps[weighted_samps != 0]

  for (m in seq_along(weighted_samps)) {
    temp_params <- params[[m]]
    i <- sample(nrow(temp_params),size = weighted_samps[m])
    temp_params <- temp_params[i, ,drop = FALSE]

    # If any parameters not estimated in the model, they are assumed to be 0 (the default value of `missing`)
    missing_pars <- setdiff(par_names, colnames(temp_params))
    temp_params[, missing_pars] <- missing

    params[[m]] <- temp_params
  }

  # combine all
  do.call("rbind", params)
}

#' @keywords internal
#' @importFrom insight find_algorithm
.total_samps <- function(mod){
  x <- insight::find_algorithm(mod)
  x$chains * (x$iterations - x$warmup)
}
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