mcmcsvdreg.rd

使用R语言的马尔科夫链蒙特卡洛模拟（MCMC）源代码程序。

\name{MCMCSVDreg}
\alias{MCMCSVDreg}
\title{Markov Chain Monte Carlo for SVD Regression}
\description{
  This function generates a sample from the posterior distribution
  of a linear regression model with Gaussian errors in which the
  design matrix has been decomposed with singular value
  decomposition.The sampling is done via the Gibbs sampling algorithm.
  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.
  }
  
\usage{
MCMCSVDreg(formula, data=parent.frame(), burnin = 1000, mcmc = 10000,
           thin=1, verbose = 0, seed = NA, tau2.start = 1,
           g0 = 0, a0 = 0.001, b0 = 0.001, c0=2, d0=2, w0=1,
           beta.samp=FALSE, intercept=TRUE, ...)}

\arguments{
    \item{formula}{Model formula. Predictions are returned for elements
      of y that are coded as NA.}

    \item{data}{Data frame.}

    \item{burnin}{The number of burn-in iterations for the sampler.}

    \item{mcmc}{The number of MCMC iterations after burnin.}

    \item{thin}{The thinning interval used in the simulation.  The number of
      MCMC iterations must be divisible by this value.}

    \item{verbose}{A switch which determines whether or not the progress of
    the sampler is printed to the screen.  If \code{verbose} is greater
    than 0 the iteration number, the
    \eqn{\beta}{beta} vector, and the error variance are printed to 
    the screen every \code{verbose}th iteration.}

    \item{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 \code{rep(12345,6)} is used).  The second element of 
    list is a positive substream number. See the MCMCpack 
    specification for more details.}

  \item{tau2.start}{The starting values for the \eqn{\tau^2}{tau^2} vector. Can
  be either a scalar or a vector. If a scalar is passed then that value
  will be the starting value for all elements of \eqn{\tau^2}{tau^2}.}

  

    \item{g0}{The prior mean of \eqn{\gamma}{gamma}.  This can either be a 
    scalar or a
    column vector with dimension equal to the number of gammas. If this
    takes a scalar  value, then that value will serve as the prior
    mean for all of the betas.} 

  
  \item{a0}{\eqn{a_0/2}{a0/2} is the shape parameter for the inverse
    Gamma prior on \eqn{\sigma^2}{sigma^2} (the variance of the
    disturbances). The amount of information in the inverse Gamma prior
    is something like that from \eqn{a_0}{a0} pseudo-observations.} 
    
    \item{b0}{\eqn{b_0/2}{b0/2} is the scale parameter for the
    inverse Gamma prior on \eqn{\sigma^2}{sigma^2} (the variance of the
    disturbances). In constructing the inverse Gamma prior,
    \eqn{b_0}{b0} acts like the sum of squared errors from the
    \eqn{a_0}{a0} pseudo-observations.}

  \item{c0}{\eqn{c_0/2}{c0/2} is the shape parameter for the inverse
    Gamma prior on \eqn{\tau_i^2}{tau[i]^2}.} 
    
    \item{d0}{\eqn{d_0/2}{d0/2} is the scale parameter for the
    inverse Gamma prior on \eqn{\tau_i^2}{tau[i]^2}.}

  \item{w0}{The prior probability that \eqn{\gamma_i = 0}{gamma[i] = 0}.
    Can be either a scalar or an \eqn{N}{N} vector where \eqn{N}{N} is the
    number of observations.}

  \item{beta.samp}{Logical indicating whether the sampled elements of
    beta should be stored and returned.}

  \item{intercept}{Logical indicating whether the original design matrix
    should include a constant term.}
  
    \item{...}{further arguments to be passed}       
}

\value{
   An mcmc object that contains the posterior sample.  This 
   object can be summarized by functions provided by the coda package.
}

\details{
  The model takes the following form:
  \deqn{y = X \beta + \varepsilon}{y = X beta + epsilon}
  Where the errors are assumed to be iid Gaussian:
  \deqn{\varepsilon_{i} \sim \mathcal{N}(0, \sigma^2)}{epsilon_i ~ N(0,
    sigma^2)}

  Let \eqn{N}{N} denote the number of rows of \eqn{X}{X} and \eqn{P}{P}
  the number of columns of \eqn{X}{X}. Unlike the standard regression
  setup where \eqn{N >> P}{N >> P} here it is the case that \eqn{P >>
    N}{P >> N}.

  To deal with this problem a singular value decomposition of
  \eqn{X'}{X'} is performed: \eqn{X' = ADF}{X' = ADF} and the regression
  model becomes

  \deqn{y = F'D \gamma + \varepsilon}{y = F'D gamma + epsilon}

  where \eqn{\gamma = A' \beta}{gamma = A' beta}. 

  We assume the following priors:

  \deqn{\sigma^{-2} \sim \mathcal{G}amma(a_0/2, b_0/2)}{sigma^(-2) ~
    Gamma(a0/2, b0/2)}

  \deqn{\tau^{-2} \sim \mathcal{G}amma(c_0/2, d_0/2)}{tau^(-2) ~
    Gamma(c0/2, d0/2)}

  \deqn{\gamma_i \sim w0_i \delta_0 + (1-w0_i) \mathcal{N}(g0_i,
    \sigma^2 \tau^2_i / d_i^2)}{
    gamma[i] ~ w0[i] delta0 + (1-w0[i] N(g0[i], sigma^2  tau[i]^2/ d[i]^2)}

  where \eqn{\delta_0}{delta0} is a unit point mass at 0 and
  \eqn{d_i}{d[i]} is the \eqn{i}{i}th diagonal element of \eqn{D}{D}.

  }
  
  \references{
    Mike West, Josheph Nevins, Jeffrey Marks, Rainer Spang, and Harry
   Zuzan. 2000. ``DNA Microarray Data Analysis and Regression Modeling
   for Genetic Expression Profiling." Duke ISDS working paper.

   Gottardo, Raphael, and Adrian Raftery. 2004. ``Markov chain Monte
   Carlo with mixtures of singular distributions.'' Statistics
   Department, University of Washington, Technical Report 470. 
   
   Daniel Pemstein, Kevin M. Quinn, and Andrew D. Martin.  2007.  
   \emph{Scythe Statistical Library 1.0.} \url{http://scythe.wustl.edu}.
   
   Martyn Plummer, Nicky Best, Kate Cowles, and Karen Vines. 2002.
   \emph{Output Analysis and Diagnostics for MCMC (CODA)}.
   \url{http://www-fis.iarc.fr/coda/}.
}


\keyword{models}

\seealso{\code{\link[coda]{plot.mcmc}},
  \code{\link[coda]{summary.mcmc}}, \code{\link[stats]{lm}}}