[This article was first published on Xi'an's Og » R, and kindly contributed to R-bloggers]. (You can report issue about the content on this page here)
Want to share your content on R-bloggers? click here if you have a blog, or here if you don't.

Following yesterday’s post on Rao’s, Liu’s, and Dunson’s paper on a new approach to intractable normalising constants, and taking advantage of being in Warwick, I tested the method on a toy model, namely the posterior associated with n Student’s t observations with unknown location parameter μ and a flat prior,

$x_1,\ldots,x_n \sim p(x|\mu) \propto \left[ 1+(x-\mu)^2/\nu \right]^{-(\nu+1)/2}$

which is “naturally” bounded by a Cauchy density with scale √ν. The constant M is then easily derived and running the new algorithm follows from a normal random walk proposal targeting the augmented likelihood (R code below).

As shown by the above graph, the completion-by-rejection scheme produces a similar outcome (tomato) as the one based on the sole observations (steelblue). With a similar acceptance rate. However, the computing time is much much degraded:

> system.time(g8())
user  system elapsed
53.751   0.056  54.103
> system.time(g9())
user  system elapsed
1.156   0.000   1.161


when compared with the no-completion version. Here is the entire R code that produced both MCMC samples:

#Student t observations and flat prior
nu=4
n=25
M=pi*sqrt(nu)
sqrtnu=sqrt(nu)
obs=rt(n,df=4)
sdobs=sd(obs)

#unormalised t
mydt=function(x,mu){
return(dt(x-mu,df=nu)/dt(0,df=nu))}
mydtc=cmpfun(mydt)

mydcauchy=function(x,mu){
y=(x-mu)/sqrtnu
return(dcauchy(y)/sqrtnu)}
mydcaucchy=cmpfun(mydcauchy)

#augmented data
augmen=function(mu){
y=NULL
for (i in 1:n){
prop=mu+rcauchy(1)*sqrtnu
reject=(runif(1)propdens-refdens) theta[t]=theta[t-1]
}
return(theta)}
g8=cmpfun(gibbsda)

gibbs2=function(T=10^4){
eta=rep(0,T)
for (t in 2:T){
eta[t]=prop=eta[t-1]+rnorm(1,sd=sdobs)
propdens=sum(dt(obs-prop,df=nu,log=TRUE))
refdens=sum(dt(obs-eta[t-1],df=nu,log=TRUE))
if (log(runif(1))>propdens-refdens) eta[t]=eta[t-1]
}
return(eta)}
g9=cmpfun(gibbsda)


To leave a comment for the author, please follow the link and comment on their blog: Xi'an's Og » R.

R-bloggers.com offers daily e-mail updates about R news and tutorials about learning R and many other topics. Click here if you're looking to post or find an R/data-science job.
Want to share your content on R-bloggers? click here if you have a blog, or here if you don't.

Never miss an update! Subscribe to R-bloggers to receive e-mails with the latest R posts.(You will not see this message again.)

Click here to close (This popup will not appear again)