Compute the Shortest Probability Interval (SPI) of posterior distributions. The SPI is a more computationally stable HDI. The implementation is based on the algorithm from the SPIn package.
Usage
spi(x, ...)
# S3 method for numeric
spi(x, ci = 0.95, verbose = TRUE, ...)
# S3 method for stanreg
spi(
x,
ci = 0.95,
effects = c("fixed", "random", "all"),
component = c("location", "all", "conditional", "smooth_terms", "sigma",
"distributional", "auxiliary"),
parameters = NULL,
verbose = TRUE,
...
)
# S3 method for brmsfit
spi(
x,
ci = 0.95,
effects = c("fixed", "random", "all"),
component = c("conditional", "zi", "zero_inflated", "all"),
parameters = NULL,
verbose = TRUE,
...
)
Arguments
- x
Vector representing a posterior distribution, or a data frame of such vectors. Can also be a Bayesian model. bayestestR supports a wide range of models (see, for example,
methods("hdi")
) and not all of those are documented in the 'Usage' section, because methods for other classes mostly resemble the arguments of the.numeric
or.data.frame
methods.- ...
Currently not used.
- ci
Value or vector of probability of the (credible) interval - CI (between 0 and 1) to be estimated. Default to
.95
(95%
).- verbose
Toggle off warnings.
- effects
Should results for fixed effects, random effects or both be returned? Only applies to mixed models. May be abbreviated.
- component
Should results for all parameters, parameters for the conditional model or the zero-inflated part of the model be returned? May be abbreviated. Only applies to brms-models.
- parameters
Regular expression pattern that describes the parameters that should be returned. Meta-parameters (like
lp__
orprior_
) are filtered by default, so only parameters that typically appear in thesummary()
are returned. Useparameters
to select specific parameters for the output.
Value
A data frame with following columns:
Parameter
The model parameter(s), ifx
is a model-object. Ifx
is a vector, this column is missing.CI
The probability of the credible interval.CI_low
,CI_high
The lower and upper credible interval limits for the parameters.
Details
The SPI is an alternative method to the HDI (hdi()
) to quantify
uncertainty of (posterior) distributions. The SPI is said to be more stable
than the HDI, because, the "HDI can be noisy (that is, have a high Monte Carlo error)"
(Liu et al. 2015). Furthermore, the HDI is sensitive to additional assumptions,
in particular assumptions related to the different estimation methods, which
can make the HDI less accurate or reliable (see also discussion
here).
Note
The code to compute the SPI was adapted from the SPIn package, and slightly modified to be more robust for Stan models. Thus, credits go to Ying Liu for the original SPI algorithm and R implementation.
References
Liu, Y., Gelman, A., & Zheng, T. (2015). Simulation-efficient shortest probability intervals. Statistics and Computing, 25(4), 809–819. https://doi.org/10.1007/s11222-015-9563-8
Examples
library(bayestestR)
posterior <- rnorm(1000)
spi(posterior)
#> 95% SPI: [-1.69, 2.01]
spi(posterior, ci = c(0.80, 0.89, 0.95))
#> Shortest Probability Interval
#>
#> 80% SPI | 89% SPI | 95% SPI
#> ---------------------------------------------
#> [-1.20, 1.18] | [-1.60, 1.40] | [-1.69, 2.01]
df <- data.frame(replicate(4, rnorm(100)))
spi(df)
#> Shortest Probability Interval
#>
#> Parameter | 95% SPI
#> -------------------------
#> X1 | [-1.68, 1.90]
#> X2 | [-1.75, 1.95]
#> X3 | [-2.39, 1.68]
#> X4 | [-1.73, 2.01]
spi(df, ci = c(0.80, 0.89, 0.95))
#> Shortest Probability Interval
#>
#> Parameter | 80% SPI | 89% SPI | 95% SPI
#> ---------------------------------------------------------
#> X1 | [-1.45, 0.76] | [-1.52, 1.45] | [-1.68, 1.90]
#> X2 | [-0.76, 1.61] | [-1.50, 1.61] | [-1.75, 1.95]
#> X3 | [-1.22, 0.86] | [-1.24, 1.68] | [-2.39, 1.68]
#> X4 | [-0.73, 1.35] | [-1.65, 1.35] | [-1.73, 2.01]
# \dontrun{
library(rstanarm)
model <- stan_glm(mpg ~ wt + gear, data = mtcars, chains = 2, iter = 200, refresh = 0)
#> Warning: Bulk Effective Samples Size (ESS) is too low, indicating posterior means and medians may be unreliable.
#> Running the chains for more iterations may help. See
#> https://mc-stan.org/misc/warnings.html#bulk-ess
#> Warning: Tail Effective Samples Size (ESS) is too low, indicating posterior variances and tail quantiles may be unreliable.
#> Running the chains for more iterations may help. See
#> https://mc-stan.org/misc/warnings.html#tail-ess
spi(model)
#> Shortest Probability Interval
#>
#> Parameter | 95% SPI
#> ----------------------------
#> (Intercept) | [30.62, 47.80]
#> wt | [-6.54, -4.28]
#> gear | [-1.64, 1.61]
# }