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##' Fits the distribution to the passed-in data using MCMC
##' as implemented in MCMCpack.
##'
##' Similar to \code{\link{dic.fit}} but uses MCMC instead of a direct likelihood optimization routine to fit the model. Currently, four distributions are supported: log-normal, gamma, Weibull, and Erlang. See Details for prior specification.
##'
##' The following models are used:
##' \deqn{Log-normal model: f(x) = \frac{1}{x*\sigma \sqrt{2 * \pi}} exp\{-\frac{(\log x - \mu)^2}{2 * \sigma^2}\}}
##' \deqn{Log-normal Default Prior: \mu ~ N(0, 1000), log(\sigma) ~ N(0,1000)}
##' \deqn{Weibull model: f(x) = \frac{\alpha}{\beta}(\frac{x}{\beta})^{\alpha-1} exp\{-(\frac{x}{\beta})^{\alpha}\}}
##' \deqn{Weibull Default Prior Specification: log(\alpha) ~ N( 0, 1000), \beta ~ Gamma(0.001,0.001)}
##' \deqn{Gamma model: f(x) = \frac{1}{\theta^k \Gamma(k)} x^{k-1} exp\{-\frac{x}{\theta}\}}
##'
##' \deqn{Gamma Default Prior Specification: p(k,\theta) \propto \frac{1}{\theta} * \sqrt{k*TriGamma(k)-1}}
##' (Note: this is Jeffery's Prior when both parameters are unknown), and
##' \deqn{Trigamma(x) = \frac{\partial}{\partial x^2} ln(\Gamma(x))}.)
##' \deqn{Erlang model: f(x) = \frac{1}{\theta^k (k-1)!} x^{k-1} exp\{-\frac{x}{\theta}\}}
##' \deqn{Erlang Default Prior Specification: k \sim NBinom(100,1), log(\theta) \sim N(0,1000)}
##' (Note: parameters in the negative binomial distribution above represent mean and size, respectively)
##'
##' @param dat the data
##' @param prior.par1 vector of first prior parameters for each model parameter. If \code{NULL} then default parameters are used (as described in Details section).
##' @param prior.par2 vector of second prior parameters for each model parameter. If \code{NULL} then default parameters are used (as described in Details section).
##' @param init.pars the initial parameter values (vector length = 2 )
##' @param ptiles returned percentiles of the survival survival distribution
##' @param verbose how often do you want a print out from MCMCpack on iteration number and M-H acceptance rate
##' @param burnin number of burnin samples
##' @param n.samples number of samples to draw from the posterior (after the burnin)
##' @param dist distribution to be used (L for log-normal,W for weibull, G for Gamma, and E for erlang, off1G for 1 day right shifted gamma)
##' @param seed seed for the random number generator for MCMC
##' @param ... additional parameters to \link{MCMCmetrop1R}
##' @return a cd.fit.mcmc S4 object
##' @importFrom MCMCpack MCMCmetrop1R
##' @export
dic.fit.mcmc <- function(dat,
prior.par1 = NULL,
prior.par2 = NULL,
init.pars = c(1,1),
ptiles = c(0.05,0.95,0.99),
verbose=1000,#how often to print update
burnin = 3000,
n.samples = 5000,
dist = "L",
seed = NULL,
...){
## check to make sure data is well formed for CDT use:
check.data.structure(dat)
## check to make sure distribution is supported
if(!dist %in% c("G","W","L","E","off1G","off1W","off1L")) stop("Please use one of the following distributions Log-Normal (L) , Weibull (W), Gamma (G), Erlang (E), offset Log-Normal (off1L), offset Weibull (off1W) or offset Gamma (off1G)")
## ## don't need MCMCpack for Erlang
## if (dist != "E") require(MCMCpack)
## check that percentiles are valid
if (any(ptiles >=1) | any(ptiles <= 0)) stop("Sorry the percentiles you are requesting are not valid.")
## default prior parameters if none specified
if (is.null(prior.par1)){
if (dist == "L" | dist == "off1L") {
prior.par1 <- c(0,0)
} else if (dist == "W" | dist == "off1W" | dist == "G" | dist=="off1G"){
prior.par1 <- c(0,0.001)
} else if (dist == "E"){
prior.par1 <- c(100,0)
}}
## default prior parameters if none specified
if (is.null(prior.par2)){
if (dist == "L" | dist == "off1L") {
prior.par2 <- c(1000,1000)
} else if (dist == "W" | dist == "off1W" | dist == "G" | dist=="off1G"){
prior.par2 <- c(1000,0.001)
} else if (dist == "E"){
prior.par2 <- c(1,1000)
}
}
## random seed based off current time if none specified
if (is.null(seed)){
t <- as.numeric(Sys.time())
seed <- 1e8 * (t - floor(t))
}
cat(sprintf("Running %.0f MCMC iterations \n",n.samples+burnin))
msg <- NULL
fail <- FALSE
## run the MCMC chains
## initial parameters set on reporting scale not estimation scale
init.pars.trans <- dist.optim.transform(dist,init.pars)
if(!dist %in% c("E")) {
#use MCMC pack for effieciency for distibutions with 2 continuous parameters
tryCatch(
mcmc.run <- MCMCmetrop1R(fun=mcmcpack.ll,
theta.init=init.pars.trans,
burnin = burnin,
mcmc=n.samples,
dat = dat,
prior.par1 = prior.par1,
prior.par2 = prior.par2,
verbose=verbose,
dist=dist,
logfun=TRUE,
seed=seed,
...),
error=function(e){
msg <<- e$message
fail <<- TRUE
},
warning = function(w){
msg <<- w$message
fail <<- TRUE
})
} else {
#Use the custom metropolis hastings algorithm for erlang
mcmc.run <- mcmc.erlang(dat,
prior.par1,
prior.par2,
init.pars,
verbose,
burnin,
n.samples,
...)
}
if (!fail){
## untransform MCMC parameter draws to natural scale
untrans.mcmcs <- t(apply(mcmc.run[,1:2],1,function(x) dist.optim.untransform(dist=dist,pars=x)))
## append median to the percentiles in case it isn't there
ptiles.appended <- sort(union(0.5,ptiles))
est.pars <- matrix(nrow=length(ptiles.appended)+2,ncol=3)
if (dist == "L"){
par1.name <- "meanlog"
par2.name <- "sdlog"
mcmc.quantiles <- apply(untrans.mcmcs,1,function(x) qlnorm(ptiles.appended,meanlog=x[1],sdlog=x[2]))
} else if (dist == "off1L"){
par1.name <- "meanlog"
par2.name <- "sdlog"
mcmc.quantiles <- apply(untrans.mcmcs,1,function(x) {qlnorm(ptiles.appended,meanlog=x[1],sdlog=x[2])+1})
} else if (dist == "G"){
par1.name <- "shape"
par2.name <- "scale"
mcmc.quantiles <- apply(untrans.mcmcs,1,function(x) qgamma(ptiles.appended,shape=x[1],scale=x[2]))
} else if (dist == "off1G"){
par1.name <- "shape"
par2.name <- "scale"
mcmc.quantiles <- apply(untrans.mcmcs,1,function(x) {qgamma(ptiles.appended,shape=x[1],scale=x[2])+1})
} else if (dist == "W"){
par1.name <- "shape"
par2.name <- "scale"
mcmc.quantiles <- apply(untrans.mcmcs,1,function(x) qweibull(ptiles.appended,shape=x[1],scale=x[2]))
} else if (dist == "off1W"){
par1.name <- "shape"
par2.name <- "scale"
mcmc.quantiles <- apply(untrans.mcmcs,1,function(x) {qweibull(ptiles.appended,shape=x[1],scale=x[2])+1})
} else if (dist == "E"){
par1.name <- "shape"
par2.name <- "scale"
mcmc.quantiles <- apply(untrans.mcmcs,1,function(x) qgamma(ptiles.appended,shape=x[1],scale=x[2]))
} else {
stop("Sorry, unknown distribution type. Check the 'dist' option.")
## not actually needed but just in case
}
## make the return matrix
colnames(est.pars) <- c("est","CIlow", "CIhigh")
rownames(est.pars) <- c(par1.name,par2.name,paste0("p", 100*ptiles.appended))
#making the matrix with the actual estimates.
est.pars[1,] <- quantile(untrans.mcmcs[,1], c(0.5,0.025,0.975))
est.pars[2,] <- quantile(untrans.mcmcs[,2], c(0.5,0.025,0.975))
cis.ptiles <- t(apply(mcmc.quantiles,1,function(x) quantile(x,c(0.5,.025,.975))))
est.pars[3:nrow(est.pars),1:3] <- cis.ptiles
## finally get tbhe log-likelihood evaluated at the mean posterior for each parameter
ll <- -loglikhd(pars=dist.optim.transform(dist=dist,est.pars[1:2,1]),dat=data.frame(dat),dist=dist)
rc <- new("cd.fit.mcmc",
ests=round(est.pars,3),
conv = numeric(),
MSG = "",
loglik=ll,
samples = data.frame(untrans.mcmcs),
data=data.frame(dat),
dist=dist,
inv.hessian = matrix(),
est.method = "MCMC",
ci.method = "MCMC"
)
return(rc)
} else {
if (msg != "") msg <- paste0("Error: ",msg)
stop(sprintf("\n%s\nTry adjusting the starting parameters (init.pars), or changing the optimization method (opt.method).",msg))
}
}
##' posterior log likelihood function to pass to MCMCpack sampler
##'
##' @param pars the parameters to calculate the ll at
##' @param dat the date to base it on
##' @param prior.par1 first parameter of each prior
##' @param prior.par2 second parameter of each prior
##' @param dist the distribution the likelihood is being calculated for
##'
##' @return the posterior log likelihood
mcmcpack.ll <- function(pars,
dat,
prior.par1,
prior.par2,
dist) {
## get parameters on untransformed scale
pars.untrans <- dist.optim.untransform(dist,pars)
if (dist == "L" || dist == "off1L"){
## default gamma on scale param and (inproper) uniform on location
ll <- tryCatch(-loglikhd(pars,dat,dist) +
## dgamma(pars.untrans[2],shape=par.prior.param1[2],
## rate=par.prior.param2[2],log=T),
sum(dnorm(pars,
prior.par1,
prior.par2,log=T)),
error=function(e) {
warning("Loglik failure, returning -Inf")
return(-Inf)
})
} else if (dist == "W" || dist == "off1W"){
## using normal prior on the log-shape param and gamma on scale
ll <- tryCatch(
-loglikhd(pars,dat,dist) +
dnorm(pars[1],
prior.par1[1],
prior.par2[1],log=T) +
dgamma(pars.untrans[2],
shape=prior.par1[2],
rate=prior.par2[2],log=T),
error=function(e) {
warning("Loglik failure, returning -Inf")
return(-Inf)
})
} else if (dist == "G" || dist=="off1G"){
## using Jeffery's prior
ll <- tryCatch(-loglikhd(pars,dat,dist)
+
log(1/pars.untrans[2]*sqrt(pars.untrans[1]*trigamma(pars.untrans[1])-1))
,
error=function(e) {
warning("Loglik failure, returning -Inf")
return(-Inf)
})
} else {
stop("Sorry, unknown distribution type. Check the 'dist' option.")
}
return(ll)
}
##' Does a metropolis hastings for the Erlang distribution
##'
##' @param dat the data to fit
##' @param prior.par1 mean of priors. A negative binomial (for shape) and a normal for log(scale)
##' @param prior.par2 dispersion parameters for priors, dispersion for negative binomial, log scale sd for normal
##' @param init.pars the starting parameters on the reporting scale
##' @param verbose how often to print an update
##' @param burnin how many burnin iterations to do
##' @param n.samples the number of samples to keep and report back
##' @param sds the standard deviations for the proposal distribution
##'
##' @return a matrix of n.samples X 2 parameters, on the estimation scale
##'
mcmc.erlang <- function (dat, prior.par1, prior.par2,
init.pars, verbose, burnin, n.samples, sds=c(1,1)) {
#make a logging return matrix
states <- matrix(nrow=burnin+n.samples, ncol=4)
colnames(states) <- c("shape", "scale", "ll", "accept")
#calculate the LL for the initial parameters.
shape.cur <- init.pars[1]
scale.cur <- log(init.pars[2])
ll.cur <- -loglikhd(c(log(shape.cur),scale.cur), dat, dist="G") +
dnbinom(shape.cur, mu=prior.par1[1], size=prior.par2[1], log=T) +
dnorm(scale.cur, prior.par1[2], prior.par2[2], log=T)
if(ll.cur==-Inf) {
stop("zero starting likelihood. check priors are appropriate for Erlang distribution")
}
states[1,] <- c(shape.cur, scale.cur, ll.cur, 1)
for (i in 2:(burnin+n.samples)) {
#propose new parameters
shape.prop <- shape.cur + round(rnorm(1,0,sds[1])) #discretized normal
scale.prop <- scale.cur + rnorm(1,0,sds[2])
#calculate the liklihood using the new parameters...go ahead and do -Inf if shape is -
if (shape.prop<0) {
ll.prop <- -Inf
} else {
ll.prop <- -loglikhd(c(log(shape.prop),scale.prop), dat, dist="G") +
dnbinom(shape.prop, mu=prior.par1[1], size=prior.par2[1], log=T) +
dnorm(scale.prop, prior.par1[2], prior.par2[2], log=T)
}
#accept or reject
l.alpha <- log(runif(1))
if ((ll.prop-ll.cur)>l.alpha) {
#accept
shape.cur <- shape.prop
scale.cur <- scale.prop
ll.cur <- ll.prop
states[i,] <- c(shape.cur, scale.cur, ll.cur, 1)
} else {
#reject
states[i,] <- c(shape.cur, scale.cur, ll.cur, 0)
}
if (verbose !=0 & i%%verbose == 0) {
cat("Erlang MCMC iteration ",i," of ", burnin+n.samples,"\n")
cat("LL = ", ll.cur, "\n")
cat("theta = ", c(shape.cur, scale.cur),"\n")
cat("acceptance rate = ",sum(states[1:i,4])/i,"\n")
}
}
rc <- states[(burnin+1):(burnin+n.samples),1:2]
return(rc)
}
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