Description
Advanced Bayesian Modeling
1. (a) [2 pts] R script FlintGibbs.R implements a Gibbs sampler for the partially conjugate
Flint data model. It is very similar to the example R code in Lesson 7.2: Gibbs
Sampling. Use the script to simulate from the posterior for µ and σ
2
. Then use R
function acf to produce an autocorrelation plot for the successive µ variates and an
autocorrelation plot for the successive σ
2 variates.
(b) R script FlintMetropolis.R implements a Metropolis sampler for the same Flint data
model. It is very similar to the example R code in Lesson 7.3: Metropolis and
Metropolis-Hastings.
(i) [1 pt] Experiment with different settings for the proposal variance rho (by
uncommenting its line and changing the value). Find a value of rho that gives an
overall (average) acceptance rate of about 0.35.1 What value of rho did you find?
[Warning: Using a value of rho that is too large may cause the R code to produce
an error, due to numerical problems. Start with smaller values of rho.]
(ii) [2 pts] With the value of rho that you found, use the script to simulate from the
posterior for µ and σ
STAT 578 Assignment 3
. Then use R function acf to produce an autocorrelation
plot for the successive µ variates and an autocorrelation plot for the successive σ
2
variates.
(c) [1 pt] Compare the autocorrelation plots from the previous two parts. Which method
exhibited faster mixing: the Gibbs sampler or the Metropolis sampler?
2. Use the 2016 US presidential polls data in polls2016.txt to answer the following, running
all parts using JAGS and R (rjags). Remember that you will have to create a variable
sigma in R to represent the standard deviation of the polls, defined to be half of the margin
of error. Refer to Lesson 4.2: Normal Hierarchical Model in R/JAGS.
(a) Use the model in polls20161.bug for the following:
(i) [2 pts] Create an initialization list (in R) supporting 4 chains, with a different
initialization for each chain. Set initial values for mu to ±100 and values for tau to
100 or 0.01. Then use jags.model to create the JAGS model R object with these
initializations. List all of the R code you used.
(ii) [2 pts] Perform a burn-in of 2500 iterations, then monitor the mu and tau nodes
for 5000 iterations (for each chain). List all of the R code you used.
(iii) [3 pts] For the iterations you monitored, produce trace plots of mu and tau. Do
there appear to be any convergence problems? Display the plots and R code that
produced them.
(iv) [2 pts] For the iterations you monitored, compute Gelman-Rubin statistics
(potential scale reduction factors) for mu and tau. Do there appear to be any
convergence problems? Show your R code and its output.
1This is approximately the “optimal” acceptance rate for a two-dimensional parameter. See Roberts, G. O., &
Rosenthal, J. S. (2001). Optimal scaling for various Metropolis-Hastings algorithms. Statistical Science, 16, 351–367.
1 STAT 578 Assignment 3
(v) [2 pts] For the iterations you monitored, display autocorrelation plots for mu and
tau for one of the chains. (Hint: For example, to reference the first chain of an
mcmc.list object named x, use x[[1]].) Comment on the apparent speed of
mixing.
(vi) [2 pts] For the iterations you monitored, compute effective sample sizes (over all
chains) for mu and tau. Would they be considered adequate? Show your R code
and its output.
(b) Now consider a new model that uses an almost flat prior for tau on the log scale, as
follows: Create a new JAGS model by modifying polls20161.bug to eliminate the
current prior for tau, create a new parameter logtau with a U(−100, 100) prior
distribution, and define tau to be equal to exp(logtau).
(i) [2 pts] Display all of the code for your new JAGS model.
(ii) [2 pts] Create an initialization list (in R) supporting 4 chains, with a different
initialization for each chain. Set initial values for mu to ±100 and values for
logtau to log 100 or log 0.01. Then use jags.model to create the JAGS model R
object with these initializations. List all of the R code you used.
(iii) [2 pts] Perform a burn-in of 2500 iterations, then monitor the mu and tau nodes
for 5000 iterations (for each chain). List all of the R code you used.
(iv) [3 pts] For the iterations you monitored, produce trace plots of mu and tau. Do
there appear to be any convergence problems? Display the plots and R code that
produced them.
(v) [2 pts] For the iterations you monitored, compute Gelman-Rubin statistics
(potential scale reduction factors) for mu and tau. Do there appear to be any
convergence problems? Show your R code and its output.
(vi) [2 pts] For the iterations you monitored, display autocorrelation plots for mu and
tau for one of the chains.2 Comment on the apparent speed of mixing.
(vii) [2 pts] What is wrong with this model that could explain any problems you
noted? (Hint: What would happen if you used an improper flat prior on log τ?)
Total: 34 pts
2Ordinarily, autocorrelation plots are not used for chains that have not converged, but you are asked to produce
them here even if there was no convergence.
2 STAT 578 Assignment 3
