EbayesThresh (version 1.4-12)

ebayesthresh: Empirical Bayes thresholding on a sequence

Description

Given a sequence of data, performs Empirical Bayes thresholding, as discussed in Johnstone and Silverman (2004).

Usage

ebayesthresh(x, prior = "laplace", a = 0.5, bayesfac = FALSE, 
sdev = NA, verbose = FALSE, threshrule = "median", universalthresh = TRUE,
stabadjustment)

Arguments

x

Vector of data values.

prior

Specification of prior to be used conditional on the mean being nonzero; can be "cauchy" or "laplace".

a

Scale factor if Laplace prior is used. Ignored if Cauchy prior is used. If, on entry, a = NA and prior = "laplace", then the scale parameter will also be estimated by marginal maximum likelihood. If a is not specified then the default value 0.5 will be used.

bayesfac

If bayesfac = TRUE, then whenever a threshold is explicitly calculated, the Bayes factor threshold will be used.

sdev

The sampling standard deviation of the data x. If, on entry, sdev = NA, then the standard deviation will be estimated using the median absolute deviation from zero, as mad(x, center = 0). If a single value is passed to sdev, sampling standard deviation will be the same for all observations. A vector of the same length as data sequence can be passed to allow heterogeneous standard deviation, currently only for Laplace prior.

verbose

Controls the level of output. See below.

threshrule

Specifies the thresholding rule to be applied to the data. Possible values are "median" (use the posterior median); "mean" (use the posterior mean); "hard" (carry out hard thresholding); "soft" (carry out soft thresholding); "none" (find various parameters, but do not carry out any thresholding).

universalthresh

If universalthresh = TRUE, the thresholds will be upper bounded by universal threshold; otherwise, the thresholds can take any non-negative values.

stabadjustment

If stabadjustment = TRUE, the vectors of standard deviations and data values will be divided by the mean of standard deviations in case of inefficiency caused by large value of standard deviation. For heterogeneous sampling standard deviation only; ignored if standard deviation is homogeneous.

Value

If verbose = FALSE, a vector giving the values of the estimates of the underlying mean vector.

If verbose = TRUE, a list with the following elements:

muhat

the estimated mean vector (omitted if threshrule = "none")

x

the data vector as supplied

threshold.sdevscale

the threshold as a multiple of the standard deviation sdev

threshold.origscale

the threshold measured on the original scale of the data

prior

the prior that was used

w

the mixing weight as estimated by marginal maximum likelihood

a

(only present if Laplace prior used) the scale factor as supplied or estimated

bayesfac

the value of the parameter bayesfac, determining whether Bayes factor or posterior median thresholds are used

sdev

the standard deviations of the data as supplied or estimated

threshrule

the thresholding rule used, as specified above

Details

It is assumed that the data vector \((x_1, \ldots, x_n)\) is such that each \(x_i\) is drawn independently from a normal distribution with mean \(\theta_i\) and variance \(\sigma_i^2\) (\(\sigma_i\) is the same in the homogeneous case). The prior distribution of each \(\theta_i\) is a mixture with probability \(1-w\) of zero and probability \(w\) of a given symmetric heavy-tailed distribution. The mixing weight, and possibly a scale factor in the symmetric distribution, are estimated by marginal maximum likelihood. The resulting values are used as the hyperparameters in the prior.

The true effects \(\theta_i\) can be estimated as the posterior median or the posterior mean given the data, or by hard or soft thresholding using the posterior median threshold. If hard or soft thresholding is chosen, then there is the additional choice of using the Bayes factor threshold, which is the value such thatthe posterior probability of zero is exactly half if the data value is equal to the threshold.

References

Johnstone, I. M. and Silverman, B. W. (2004) Needles and straw in haystacks: Empirical Bayes estimates of possibly sparse sequences. Annals of Statistics, 32, 1594--1649.

Johnstone, I. M. and Silverman, B. W. (2004) EbayesThresh: R software for Empirical Bayes thresholding. Journal of Statistical Software, 12.

Johnstone, I. M. (2004) `Function Estimation and Classical Normal Theory' `The Threshold Selection Problem'. The Wald Lectures I and II, 2004. Available from http://www-stat.stanford.edu/~imj.

Johnstone, I. M. and Silverman, B. W. (2005) Empirical Bayes selection of wavelet thresholds. Annals of Statistics, 33, 1700--1752.

The papers by Johnstone and Silverman are available from http://www.bernardsilverman.com.

See also http://www-stat.stanford.edu/~imj for further references, including the draft of a monograph by I. M. Johnstone.

See Also

tfromx, threshld

Examples

# NOT RUN {
# Data with homogeneous sampling standard deviation using 
# Cauchy prior.
eb1 <- ebayesthresh(x = rnorm(100, c(rep(0,90),rep(5,10))),
                     prior = "cauchy", sdev = NA)

# Data with homogeneous sampling standard deviation using 
# Laplace prior.
eb2 <- ebayesthresh(x = rnorm(100, c(rep(0,90), rep(5,10))),
                     prior = "laplace", sdev = 1)
             
# Data with heterogeneous sampling standard deviation using 
# Laplace prior.
set.seed(123)
mu <- c(rep(0,90), rep(5,10))
sd <- c(rep(1, 40), rep(3, 60))
x  <- mu + rnorm(100, sd = sd)

# With constraints on thresholds.
eb3 <- ebayesthresh(x = x, prior = "laplace", a = NA, sdev = sd)

# Without constraints on thresholds. Observe that the estimates with
# constraints on thresholds have fewer zeroes than the estimates without
# constraints.
eb4 <- ebayesthresh(x = x, prior = "laplace", a = NA, sdev = sd,
                     universalthresh = FALSE)
print(sum(eb3 == 0))
print(sum(eb4 == 0))

# Data with heterogeneous sampling standard deviation using Laplace
# prior.
set.seed(123)
mu <- c(rep(0,90), rep(5,10))
sd <- c(rep(1, 40), rep(5,40), rep(15, 20))
x  <- mu + rnorm(100, sd = sd)

# In this example, infinity is returned as estimate when some of the
# sampling standard deviations are extremely large. However, this can
# be solved by stabilizing the data sequence before the analysis.
eb5 <- ebayesthresh(x = x, prior = "laplace", a = NA, sdev = sd)

# With stabilization.
eb6 <- ebayesthresh(x = x, prior = "laplace", a = NA, sdev = sd,
                    stabadjustment = TRUE)

# }