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Suppose we have the following classical normal linear regression model:

$$y_i = \beta_1 x_{1i} + \beta_2x_{2i} + \beta_3x_{3i} + e_i$$

where $e_{i} \sim iid.N(0, \sigma^2)$ for all $i = 1, 2, \cdots, n$ and $x_{1i} = 1$ for all $i = 1, 2, \cdots, n$.

Assume that we have known data values for both $x_{2i}$ and $x_{3i}$ for all $i = 1, 2, \cdots, n$. Defining $\boldsymbol{\beta} = (\beta_1, \beta_2, \beta_3)'$ and assuming a non-informative prior of the form $p(\boldsymbol{\beta}, \sigma) \propto \frac{1}{\sigma}$, then we can show that the conditional posterior pdf for $\boldsymbol{\beta}$ and $\sigma$, that is, $p(\boldsymbol{\beta}|\sigma, \mathbf{y})$ and $p(\sigma|\boldsymbol{\beta},\mathbf{y})$ are normal and inverted gamma, respectively.

The question is: Use a Gibbs Sampler and estimate the posterior pdf of the parameter function: $\displaystyle \psi = \frac{\beta_2 + \beta_3}{\sigma^2}$.

Now I have run a Gibbs sampler (in R) and after a burn in period of 100 draws, I have obtained 1000 draws of $(\boldsymbol{\beta}^{(i)}, \sigma^{(i)})$, that is, I have a sample of $(\beta_1^{(i)}, \beta_2^{(i)}, \beta_3^{(i)}, \sigma^{(i)})$ for $i = 1, 2, \cdots, 1000$, how can I use these draws to produce an estimate of the posterior pdf of $\psi$? In other words, how can I estimate $p(\psi|\mathbf{y})$?


EDIT: I'm new to MCMC logarithms. I do understand what you mean but I am still not too sure how to use it in the context of this question. From what I've learnt so far, say we have $\boldsymbol{\theta} = (\theta_1, \theta_2)'$ and $p(\boldsymbol{\theta}|\mathbf{y}) = p(\theta_1, \theta_2|\boldsymbol{y})$ is the joint posterior, then the marginal posterior of $\theta_1$ is given by $p(\theta_1|\mathbf{y}) = \int_{\theta_1} p(\theta_1|\theta_2,\mathbf{y})p(\theta_2|\mathbf{y})d\theta_2$, now say I have a sample of $M$ draws of $(\theta_1^{(i)}, \theta_2^{(i)})$ from $p(\theta_1, \theta_2|\boldsymbol{y})$, then to estimate $p(\theta_1|\mathbf{y})$, we use the following sample mean: $\widehat{p(\theta_1|\mathbf{y})} = \frac{1}{M} \sum_{i=1}^M p(\theta_1|\theta_2^{(i)}, \mathbf{y}) $, that is, we estimate the marginal density by averaging over the conditional densities. How can I implement that here?


EDIT2: After the help of @Tomas and @BabakP, I have tried to code the problem into R myself (I'm quite new to R, only learnt the language in the last couple of weeks). The following is my code: (Note: just for practice, I purposely went the other route of drawing from each conditional rather than @BabakP's more efficient decomposition)

###########################################################
########       Generation of data = y               #######
###########################################################


true_beta = matrix(c(2,0.5,0.7),3,1)      ## True value of beta (vector) used in the data generating process (dgp)

true_sig = 0.3                            ## True value of sig used in the data generating process (dgp)


## Setting the random number seed

set.seed(123456, kind = NULL, normal.kind = NULL)


## Number of observations

nobs=20


## Generating the values for x1, x2, x3 and y. Using Gaussian distribution here for convenience.

x1 = matrix(1,nobs,1)
x2 = matrix(c(rnorm(nobs,0,1)),nobs,1)
x3 = matrix(c(rnorm(nobs,0,1)),nobs,1)
u  = matrix(c(rnorm(nobs,0,1)),nobs,1)%*%true_sig

x = cbind(x1,x2,x3)

y = x%*%true_beta + u


###########################################################
### Specification of sample statistics
###########################################################


invxx = solve(t(x)%*%x)
betahat = invxx%*%t(x)%*%y

df = nobs - 3
sighat = sqrt((t(y-x%*%betahat)%*%(y-x%*%betahat))/df)


###############################################################
###
###  Generation of draws of beta/sigma/psi via Gibbs sampling
###
###############################################################


B = 100+1        ## Extra +1 since the Gibbs sampler coded below starts at j=2, hence burn-in period is from j=2 to j=101
M = 1000         ## Number of draws after burn in period.
repl = B+M       ## Total number of Gibbs iterations including burn in and number of draws after burn in period.


## Dimensioning the matrix of beta/sigma/psi draws ## 


betav = matrix(0,repl,3)      
sigv = matrix(0,repl,1)
psiv = matrix(0,repl,1)


## Generating underlying normal random draws to be used in Gibbs algorithm


stnbeta = matrix(c(rnorm((repl*3),0,1)),repl,3) 


## Specifying starting value for Gibbs chain

sigv[1] = true_sig


## Gibbs sampling

for(j in 2:repl){

  ## Generation of beta (vector) via its known multivariate normal conditional

  meanbeta = betahat
  varbeta = (sigv[j-1])^2*invxx

  betagen = chol(varbeta)%*%stnbeta[j,] + meanbeta 
  betav[j,] = betagen


  ## Generation of sigma via its known inverted gamma conditional

  a = t(y-x%*%betav[j,])%*%(y-x%*%betav[j,])

  zvec = matrix(c(rnorm(nobs,0,1)),nobs,1)

  chisq = t(zvec)%*%zvec

  sigv[j] = sqrt(a/chisq)


  ## Draws of psi from its marginal posterior pdf

  psiv[j] = (betav[j,2]+betav[j,3])/(sigv[j])^2



}

#################################################################################
## Estimation of the marginal posterior pdf of psi using kernel density smoothing
#################################################################################

## Remove burn in period of psiv which is from j=1 to j=101 to create the vector psi which conists of 1000 draws after the burn in period 

psi = psiv[102:repl]


## Histogram of draws of psi

hist(psi,30,ylab="Percentage frequencies",xlab=expression(psi),
     main=expression(paste("Histogram of draws of ",psi)))


## kernel density plot of the draws of psi

d=density(psi)
plot(d,main=expression(paste("Kernel density estimate of marginal of ",psi)),
     xlab=expression(psi),ylab=expression(paste("p(",psi,"|y)")))

My question is now how can I use the 1000 draws of psi from the above code to estimate the 5% quantile of $p(\psi|\mathbf{y})$?

share|improve this question
1  
You can obtain posterior for any smooth function of parameters just by direct plug-in of parameter values obtained by Gibbs or any other MCMC algorithm. For example if you samples are indexed as $\alpha_{i}$ and $\beta_{i}$ then posterior sample for $\theta=\alpha^{2}+\beta^{2}$ is $\theta_{i}=\alpha_{i}^{2}+\beta_{i}^{2}$. –  Tomas Aug 27 '13 at 12:24
    
@Tomas Thanks Tomas, I edited my original post as a reply to your comment. –  TrueTears Aug 27 '13 at 12:59
    
The nicety of Gibbs and MCMC in general is that after the sample is obtained each chain (i.e. sample for separate parameters) is a marginal distribution. For example you have two parameters $\theta_{1}$ and $\theta_{2}$. You run your algorithm and obtain a chain/sample of values $(\theta_{1,i},\theta_{2,i})$, which represents the sample from your joint posterior distribution, say $p(\theta_{1},\theta_{2}|y)$. If you take separately each chain/sample, say $\theta_{1,i}$, then you imediately have a sample from marginal posterior distribution $p(\theta_{1}|y)$. –  Tomas Aug 27 '13 at 14:59
    
Hence, you don't need to somehow separately perform marginalization, which in fact you do incorrectly. –  Tomas Aug 27 '13 at 15:00
1  
First, obtain a sample of $\psi$ the way I explained earlyer, then if you work in some statistical software, like R, then you could use predifined function like hist(psi). Otherwise just divide the interval [min(psi),max(psi)] into some number of subintervals and count how many values from the sample of $\psi$ falls into each interval and then devide each number by the size of your sample $\psi$. And you'll get your approximation of posterior density of $\psi$ –  Tomas Aug 27 '13 at 15:21
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1 Answer 1

up vote 3 down vote accepted

I won't belabor the valid points made by @Tomas above so I will just answer with the following: The likelihood for a normal linear model is given by

$$f(y|\beta,\sigma,X)\propto\left(\frac{1}{\sigma^2}\right)^{n/2}\exp\left\{-\frac{1}{2\sigma^2}(y-X\beta)'(y-X\beta)\right\}$$ so now using the standard diffuse prior $$p(\beta,\sigma^2)\propto\frac{1}{\sigma^2}$$ we can obtain draws from the posterior distribution $p(\beta,\sigma^2|y,X)$ in a very simple Gibbs sampler. Note, although your steps above for the Gibbs sampler are not wrong, I would argue that a more efficient decomposition is the following: $$p(\beta,\sigma^2|y,X)=p(\beta|\sigma^2,y,X)p(\sigma^2|y,X)$$ and so now we want to design a Gibbs sampler to sample from $p(\beta|\sigma^2,y,X)$ and $p(\sigma^2|y,X)$.

After some tedious algebra, we obtain the following:

$$\beta|\sigma^2,y,X\sim N(\hat\beta,\sigma^2(X'X)^{-1})$$ and $$\sigma^2|y,X\sim\text{Inverse-Gamma}\left(\frac{n-k}{2},\frac{(n-k)\hat\sigma^2}{2}\right)$$ where $$\hat\beta=(X'X)^{-1}X'y$$ and $$\hat\sigma^2=\frac{(y-X\hat\beta)'(y-X\hat\beta)}{n-k}$$

Now that we have all that derived, we can obtain samples of $\beta$ and $\sigma^2$ from our Gibbs sampler and at each iteration of the Gibbs sampler we can obtain estimates of $\psi$ by plugging in our estimates of $\beta$ and $\sigma$.

Here is some code that gets at all of this:

library(mvtnorm)

#Pseudo Data
#Sample Size
n = 50

#The response variable
Y = matrix(rnorm(n,20))

#The Design matrix
X = matrix(c(rep(1,n),rnorm(n,3),rnorm(n,10)),nrow=n)
k = ncol(X)

#Number of samples
B = 1100

#Variables to store the samples in 
beta = matrix(NA,nrow=B,ncol=k)
sigma = c(1,rep(NA,B))
psi = rep(NA,B)

#The Gibbs Sampler
for(i in 1:B){

    #The least square estimators of beta and sigma
    V = solve(t(X)%*%X)
    bhat = V%*%t(X)%*%Y

    sigma.hat = t(Y-X%*%bhat)%*%(Y-X%*%bhat)/(n-k)


    #Sample beta from the full conditional 
    beta[i,] = rmvnorm(1,bhat,sigma[i]*V)

    #Sample sigma from the full conditional
    sigma[i+1] = 1/rgamma(1,(n-k)/2,(n-k)*sigma.hat/2)

    #Obtain the marginal posterior of psi
    psi[i] = (beta[i,2]+beta[i,3])/sigma[i+1]
}


#Plot the traces
dev.new()
par(mfrow=c(2,2))
plot(beta[,1],type='l',ylab=expression(beta[1]),main=expression("Plot of "*beta[1]))
plot(beta[,2],type='l',ylab=expression(beta[2]),main=expression("Plot of "*beta[2]))
plot(beta[,3],type='l',ylab=expression(beta[3]),main=expression("Plot of "*beta[2]))
plot(sigma,type='l',ylab=expression(sigma^2),main=expression("Plot of "*sigma^2))


#Burn in the first 100 samples of psi
psi = psi[-(1:100)]

dev.new()
#Plot the marginal posterior density of psi
plot(density(psi),col="red",main=expression("Marginal Posterior Density of "*psi))

Here are the plots it will generate as well enter image description here

and

enter image description here

FYI, the above trace plots of $\beta$ and $\sigma^2$ are not with burn-in.

Question 2 in response to Edit 2:

If you want the 5% quantile (or any quantile for that matter) for $\psi|y$, all you have to do is the following:

quantile(psi,prob=.05)

If you wanted a 95% confidence interval you could do the following:

lower = quantile(psi,prob=.025)
upper = quantile(psi,prob=.975)

ci = c(lower,upper)
share|improve this answer
    
I edited my post above (check EDIT2) and posted my code of using draws from each conditional rather than your more efficient decomposition as I wanted some extra practice with the coding. I'm now wondering how I can estimate the 5% quantile of $p(\psi|\mathbf{y})$ using these draws psi? –  TrueTears Aug 28 '13 at 11:17
    
I updated with your request. –  user25658 Aug 28 '13 at 13:38
    
Thanks, very simple indeed! –  TrueTears Aug 29 '13 at 12:59
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