BclimMCMC: Bclim Markov chain Monte Carlo run

Description

A Bclim Markov chain Monte Carlo (MCMC) run to determine the volatilities and climate from a set of marginal data posteriors approximated as mixtures.

Usage

BclimMCMC(Bclimdata,chron.loc,nchron=10000,control.mcmc=list(iterations=100000,
burnin=20000,thinby=40,report=100),control.chains=list(v.mh.sd=2,phi1.mh.sd=1,
phi2.mh.sd=10,vstart=statmod::rinvgauss(Bclimdata$n-1,2,1),
Zstart=sample(1:Bclimdata$G,Bclimdata$n,replace=TRUE),phi1start=rep(3,Bclimdata$m),
phi2start=rep(20,Bclimdata$m)),control.priors=list(phi1dlmean=rep(1.275,Bclimdata$m),
phi1dlsd=rep(0.076,Bclimdata$m),phi2dlmean=rep(4.231,Bclimdata$m),
phi2dlsd=rep(0.271,Bclimdata$m)))

Arguments

Bclimdata

A set of approximated marginal data posteriors (MDPs) taken from a run of BclimMixPar or BclimMixSer

chron.loc

A character string giving the location of the chronologies file

nchron

The number of chronologies in the chronologies file

control.mcmc

A list containing elements that control the MCMC, including the number of iterations, the size of the burn-in period, the amount to thinby, and how often for the algorithm to report its progress.

control.chains

A list containing elements that control the starting values of the parameters (vstart, Zstart, phi1start and phi2) and the Metropolis-Hastings proposal standard deviation for v, phi1 and phi2.

control.priors

A list containing the prior parameters for the volatilities, given by phi1 and phi2, both of which should be the log-mean and log-sd of the .

Value

A list object wiht the following elements
v.storeSamples of the posterior estimated volatilities
chron.storeSamples of the used chronologies
c.storeSamples of the posterior estimated climates
z.storeSamples of the posterior mixture indices
phi1Values used for the IG prior on v for each climate dimension
phi2Values used for the IG prior on v for each climate dimension
chron.locA character string giving the location of the chronology file
nchronThe number of chronologies in the chronology file

Details

This function takes the MDPs, approximated as Gaussian mixtures from BclimMixPar or BclimMixSer, and produces estimated climate and climate volatilities using an MCMC algorithm. The full details are in the Arxiv paper referenced below. The options listed above allow quite a detailed level of control over the behaviour of the algorithm, and convergence should be checked using suitable means (see e.g. the R package boa or coda).

References

See Arxiv paper at http://arxiv.org/abs/1206.5009.

Examples

Run this code

# Set the working directory using setwd (not shown)

# Download and load in the response surfaces:
url1 <- 'http://mathsci.ucd.ie/~parnell_a/media/requireddata3D.RData'
download.file(url1,'required_data3D.RData')

# and now the pollen
url2 <- 'http://mathsci.ucd.ie/~parnell_a/media/SlugganPollen.txt'
download.file(url2,'SlugganPollen.txt')

# and finally the chronologies
url3 <- 'http://mathsci.ucd.ie/~parnell_a/media/Sluggan_2chrons.txt'
download.file(url3,'Slugganchrons.txt')

# Create variables which state the locations of the pollen and chronologies
pollen.loc <- paste(getwd(),'/SlugganPollen.txt',sep='')
chron.loc <- paste(getwd(),'/Slugganchrons.txt',sep='')

# Load in the response surfaces
load('required_data3D.RData')

## note that all of these functions have further options you can change with
step1 <- BclimLayer(pollen.loc,required.data3D=required.data3D)
step2 <- BclimMixSer(step1) 
# See also the parallelised version BclimMixPar if you have doMC and foreach installed
step3 <- BclimMCMC(step2,chron.loc) 
# You should probably do some convergence checking after this step
step4 <- BclimInterp(step2,step3) 
results <- BclimCompile(step1,step2,step3,step4,core.name="Sluggan Moss")

# Create a plot of MTCO (dim=2)
plotBclim(results,dim=2)

# Create a volatility plot
plotBclimVol(results,dim=2)

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