If you can write the likelihood function for your model, MHadaptive will take care of the rest (ie. all that MCMC business). I wrote this R package to simplify the estimation of posterior distributions of arbitrary models. Here’s how it works:

1) Define your model (ie the likelihood * prior). In this example, lets build a simple linear regression model.

(log)Likelihood:

li_reg<-function(pars,data)
{
a<-pars[1] #intercept
b<-pars[2] #slope
sd_e<-pars[3] #error (residuals)
if(sd_e<=0){return(NaN)}
pred <- a + b * data[,1]
log_likelihood<-sum( dnorm(data[,2],pred,sd_e, log=TRUE) )
prior<- prior_reg(pars)
return(log_likelihood + prior)
}

Prior:

prior_reg<-function(pars)
{
a<-pars[1] #intercept
b<-pars[2] #slope
epsilon<-pars[3] #error
prior_a<-dnorm(a,0,100,log=TRUE) ## non-informative (flat) priors on all
prior_b<-dnorm(b,0,100,log=TRUE) ## parameters.
prior_epsilon<-dgamma(epsilon,1,1/100,log=TRUE)
return(prior_a + prior_b + prior_epsilon)
}

Now lets just simulate some data to give it a test run:

x<-runif(30,5,15)
y<-x+rnorm(30,0,5) ##Slope=1, intercept=0, epsilon=5
d<-cbind(x,y)
plot(x,y)

2) The function Metro_Hastings() does all the work. Just pass your model to this function, sit back and let MC Emmcee take it away.

mcmc_r<-Metro_Hastings(li_func=li_reg,pars=c(0,1,1),
par_names=c('a','b','epsilon'),data=d)

3) You can view the posteriors of all model parameters using plotMH()

plotMH(mcmc_r)

By default, this will also plot the pair-wise correlation between all parameters.

4) Print posterior Credible Intervals.

BCI(mcmc_r)
# 0.025 0.975
# a -5.3345970 6.841016
# b 0.4216079 1.690075
# epsilon 3.8863393 6.660037

Tadda! Easy-Peasy.

For a more introductory look at Bayesian modeling, check out the slides and script file from an R workshop I gave at McGill on the subject. There are some additional optional arguments you can pass to Metro_Hastings() which you can read all about in the package manual. You can get the package source from cran, or from my github page.

*notes: MHadaptive is only recommended for relatively low dimensional models. Mixing can be quite slow for higher order models.

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This is great, and looks very simple to use! To address the slow-mixing issue, we’ve implemented something very similar, whereby the user inputs their density function and 2 algorithms (parallel adaptive MH and a parallel adaptive Wang-Landau algorithm) conduct automatic estimation of the function. You can find the R package here:

http://cran.r-project.org/web/packages/PAWL/index.html

We’ve also written a bit about why automatic Monte Carlo methods are so crucial:

http://arxiv.org/abs/1109.3829

Very cool. I’m checking out PAWL right now. Yours is the first method I have seen which can handle multi-modality in a reliable way. MHadaptive assumes that the target distribution can be adequately approximated by a multivariate normal. Thanks for the note!

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Thanks for making this available with such clear and detailed instructions. Is there any chance you could show how to get an r-squared distribution using MHadaptive? I can see some code here http://www.stat.columbia.edu/~gelman/research/published/rsquared.pdf for BUGS but it would be nice to be able to do it entirely in R. Thanks!

There are two ways I can think of doing this. I’m not 100% sure of either method as in each case it is possible to get R^2 < 0. Both approaches treat R^2 as 1-(residual var of y given model)/(total var of y).

## Using the posterior estimated residual variance (sigma^2):

r_sq<-1-mcmc_r$trace[,3]^2/var(y)

## Using the actual residual variance over the posterior distribution of slope and intercept:

var_res<-sapply(1:length(mcmc_r$trace[,1]),function(i){var(mcmc_r$trace[i,1]+mcmc_r$trace[i,2]*x)})

r_sq<-1-var_res/var(y)

Thanks very much for responding so quickly. The second method does not give r-squared values anything like what I’m getting from lm()… Your first method seems to be right on, thanks again for that.

I’m trying to use Metro_Hasting but i had a proplem can you help me please??

There are several adaptive MH, then can you give me a reference that explain this method with more details?