bamlss: MVNORM – R documentation

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MVNORM

Create Samples for BAMLSS by Multivariate Normal Approximation

Description

This sampler function for BAMLSS uses estimated parameters and the Hessian information to create samples from a multivariate normal distribution. Note that smoothing variance uncertainty is not accounted for, therefore, the resulting credible intervals are most likely too narrow.

Usage

sam_MVNORM(x, y = NULL, family = NULL, start = NULL,
  n.samples = 500, hessian = NULL, ...)

MVNORM(x, y = NULL, family = NULL, start = NULL,
  n.samples = 500, hessian = NULL, ...)

Arguments

`x`	The `x` list, as returned from function `bamlss.frame`, holding all model matrices and other information that is used for fitting the model. Or an object returned from function `bamlss`.
`y`	The model response, as returned from function `bamlss.frame`.
`family`	A bamlss family object, see `family.bamlss`.
`start`	A named numeric vector containing possible starting values, the names are based on function `parameters`.
`n.samples`	Sets the number of samples that should be generated.
`hessian`	The Hessian matrix that should be used. Note that the row and column names must be the same as the names of the `parameters`. If `hessian = NULL` the function uses `optim` to compute the Hessian if it is not provided within `x`.
`...`	Arguments passed to function `optim`.

Value

Function MVNORM() returns samples of parameters. The samples are provided as a mcmc matrix.

Examples

## Simulated data example illustrating
## how to call the sampler function.
## This is done internally within
## the setup of function bamlss().
d <- GAMart()
f <- num ~ s(x1, bs = "ps")
bf <- bamlss.frame(f, data = d, family = "gaussian")

## First, find starting values with optimizer.
o <- with(bf, opt_bfit(x, y, family))

## Sample.
samps <- with(bf, sam_MVNORM(x, y, family, start = o$parameters))
plot(samps)

bamlss

Bayesian Additive Models for Location, Scale, and Shape (and Beyond)

v1.1-3

GPL-2 | GPL-3

Authors

Nikolaus Umlauf [aut, cre] (<https://orcid.org/0000-0003-2160-9803>), Nadja Klein [aut] (<https://orcid.org/0000-0002-5072-5347>), Achim Zeileis [aut] (<https://orcid.org/0000-0003-0918-3766>), Meike Koehler [ctb], Thorsten Simon [aut] (<https://orcid.org/0000-0002-3778-7738>), Stanislaus Stadlmann [ctb]

Initial release

2021-01-25