I am trying to do a very simple regression analysis using a truncated normal distribution with WinBUGS.

Let's suppose the following model $Y|\beta_0,\beta_1,\sigma \sim Normal(\beta_0+\beta_1X,\sigma)$ where $Y$ is the grade of 13 students (from 0 to 10) and $X$ is the gender of each student (1 for Males and 0 for Females). We wonder whether the grade depends on the gender, so we could state if males have higher grades than females or the other way around. The following code is fine and does the job. However, as the grade is scaled from 0 to 10, I thought that using a truncated normal distribution could improve the model: $Y|\beta_0,\beta_1,\sigma \sim TrNormal(\beta_0+\beta_1X,\sigma,\alpha=0,\beta=10)$ where $\alpha$ and $\beta$ are the lower and upper bounds respectively.

The truncated normal distribution for WinBUGS is available as a WBDev shared component. However, when I am trying to use it with the following script it hangs unexpectedly. It returns a messages titled "undefined real result". What am I doing wrong?

WinBUGS script:

    for(i in 1:N)
list(tau=1, b0=0, b1=0)
  • $\begingroup$ Hmm...b0 and b1 will likely be in the millions and tau is likely less than 0.01. That would place your truncation interval [0,10] a gazillion standard deviations away from the mean, making its total probability equal to about exponential(-gazillion^2), which is guaranteed to underflow. This suggests that rethinking some of the prior parameters might help. But why use a truncated normal? It's not very flexible anyway. Why not a (scaled) beta or even a mixture of betas? $\endgroup$ – whuber Jan 10 '12 at 15:47
  • $\begingroup$ openbugs.net/Manuals/ModelSpecification.html This link will help you specify the model for Truncation! $\endgroup$ – Kanika Nahata May 23 '18 at 19:59

I found the solution by consulting the WinBUGS User Manual (Page 47). I had to modify the initial parameters but I end up using the I() function with dnorm.

undefined real result indicates numerical overflow. Possible reasons include:

  • initial values generated from a 'vague' prior distribution may be numerically extreme - specify appropriate initial values;

  • numerically impossible values such as log of a non-positive number - check, for example, that no zero expectations have been given when Poisson modelling;

  • numerical difficulties in sampling. Possible solutions include:

    • better initial values;
    • more informative priors - uniform priors might still be used but with their range restricted to plausible values;
    • better parameterisation to improve orthogonality;
    • standardisation of covariates to have mean 0 and standard deviation 1.
  • can happen if all initial values are equal.

Probit models are particularly susceptible to this problem, i.e. generating undefined real results. If a probit is a stochastic node, it may help to put reasonable bounds on its distribution, e.g.

probit(p[i]) <- delta[i] delta[i] ~ dnorm(mu[i], tau)I(-5, 5)

This trap can sometimes be escaped from by simply clicking on the update button. The equivalent construction

p[i] <- phi(delta[i])

may be more forgiving.

  • 1
    $\begingroup$ The manual does state, though, that "It is vital to note that this construct does NOT correspond to a truncated distribution, which generates a likelihood that is a complex function of the basic parameters. Truncated distributions might be handled by working out an algebraic form for the likelihood and using the techniques for arbitrary distributions described in Tricks: Advanced Use of the BUGS Language." $\endgroup$ – jbaums Jan 9 '15 at 0:28

In openbugs (so I would assume the same in winbugs, but could be wrong) you can do a truncated distribution using the T function, something like:

y[i] ~ dnorm(x[i],tau)T(0,10)
  • $\begingroup$ Unlike OpenBUGS, WinBUGS doesn't provide the T() operation $\endgroup$ – guest Jan 10 '12 at 23:28
  • 2
    $\begingroup$ @guest Actually, WinBUGS has I() which is a censoring and truncation function. WinBUGS manual page 12. mrc-bsu.cam.ac.uk/bugs/winbugs/manual14.pdf $\endgroup$ – Emer Jan 11 '12 at 13:41
  • $\begingroup$ And according to this page, OpenBUGS does not truncate the student t distribution properly. github.com/MultiBUGS/MultiBUGS/issues/4 $\endgroup$ – Nate Jan 17 '19 at 23:02

According to http://www.unc.edu/courses/2010fall/ecol/563/001/docs/solutions/assign10.htm, two gotchas that may apply are that

  1. the upper truncation point may need to be adjusted (e.g., from 10 to 10.0001)
  2. initial values that seed the chains need to be specified explicitly, because WinBUGS may pick ones that lie outside of ($\alpha$,$\beta$).

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