MCMClogit {MCMCpack}R Documentation

Markov chain Monte Carlo for Logistic Regression

Description

This function generates a posterior density sample from a logistic regression model using a random walk Metropolis algorithm. The user supplies data and priors, and a sample from the posterior density is returned as an mcmc object, which can be subsequently analyzed with functions provided in the coda package.

Usage

MCMClogit(formula, data = parent.frame(), burnin = 1000, mcmc = 10000,
   thin=1, tune=1.1, verbose = FALSE, seed = NA,  beta.start = NA,
   b0 = 0, B0 = 0, ...) 

Arguments

formula Model formula.
data Data frame.
burnin The number of burn-in iterations for the sampler.
mcmc The number of Metropolis iterations for the sampler.
thin The thinning interval used in the simulation. The number of mcmc iterations must be divisible by this value.
tune Metropolis tuning parameter. Can be either a positive scalar or a k-vector, where k is the length of beta.Make sure that the acceptance rate is satisfactory (typically between 0.20 and 0.5) before using the posterior density sample for inference.
verbose A switch which determines whether or not the progress of the sampler is printed to the screen. If TRUE, the iteration number, the current beta vector, and the Metropolis acceptance rate are printed to the screen every 500 iterations.
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 rep(12345,6) is used). The second element of list is a positive substream number. See the MCMCpack specification for more details.
beta.start The starting value for the beta vector. 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 starting value for all of the betas. The default value of NA will use the maximum likelihood estimate of beta as the starting value.
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.
... further arguments to be passed

Details

MCMClogit simulates from the posterior density of a logistic regression model using a random walk Metropolis algorithm. The simulation proper is done in compiled C++ code to maximize efficiency. Please consult the coda documentation for a comprehensive list of functions that can be used to analyze the posterior density sample.

The model takes the following form:

y_i ~ Bernoulli(pi_i)

Where the inverse link function:

pi_i = exp(x_i'beta) / [1 + exp(x_i'beta)]

We assume a multivariate Normal prior on beta:

beta ~ N(b0,B0^(-1))

The Metropollis proposal distribution is centered at the current value of theta and has variance-covariance V = T (B0 + C^{-1})^{-1} T, where T is a the diagonal positive definite matrix formed from the tune, B0 is the prior precision, and C is the large sample variance-covariance matrix of the MLEs. This last calculation is done via an initial call to glm.

Value

An mcmc object that contains the posterior density sample. This object can be summarized by functions provided by the coda package.

References

Andrew D. Martin, Kevin M. Quinn, and Daniel Pemstein. 2004. Scythe Statistical Library 1.0. http://scythe.wustl.edu.

Martyn Plummer, Nicky Best, Kate Cowles, and Karen Vines. 2002. Output Analysis and Diagnostics for MCMC (CODA). http://www-fis.iarc.fr/coda/.

See Also

plot.mcmc,summary.mcmc, glm

Examples

   ## Not run: 
   data(birthwt)
   posterior <- MCMClogit(low~age+as.factor(race)+smoke, data=birthwt)
   plot(posterior)
   summary(posterior)
   
## End(Not run)

[Package MCMCpack version 0.5-2 Index]