BeQut (version 0.1.0)

lqm: lqm fits linear quantile regression model

Description

Function using 'JAGS' software to estimate the linear quantile regression model assuming asymmetric Laplace distribution for residual error.

Usage

lqm(
  formula,
  data,
  tau = 0.5,
  n.chains = 3,
  n.iter = 10000,
  n.burnin = 5000,
  n.thin = 1,
  n.adapt = NULL,
  save_jagsUI = TRUE,
  parallel = FALSE
)

Value

A Blqm object which is a list with the following elements:

mean

list of posterior mean for each parameter

median

list of posterior median for each parameter

modes

list of posterior mode for each parameter

StErr

list of standard error for each parameter

StDev

list of standard deviation for each parameter

Rhat

Gelman and Rubin diagnostic for all parameters

ICs

list of the credibility interval at 0.95 for each parameters excepted for covariance parameters in covariance matrix of random effects. Otherwise, use save_jagsUI=TRUE to have the associated quantiles.

data

data included in argument

sims.list

list of the MCMC chains of the parameters and random effects

control

list of arguments giving details about the estimation

W

list including both posterior mean and posterior standard deviation of subject-specific random variable W

out_jagsUI

only if save_jagsUI=TRUE in argument: list including posterior mean, median, quantiles (2.5%, 25%, 50%, 75%, 97.5%), standard deviation for each parameter and each random effect. Moreover, this list also returns the MCMC draws, the Gelman and Rubin diagnostics (see output of jagsUI objects)

Arguments

formula

formula for the quantile regression including response variable

data

dataset of observed variables

tau

the quantile(s) to be estimated. This must be a number between 0 and 1, otherwise the execution is stopped. If more than one quantile is specified, rounding off to the 4th decimal must give non–duplicated values of tau, otherwise the execution is stopped.

n.chains

the number of parallel chains for the model; default is 1.

n.iter

integer specifying the total number of iterations; default is 10000

n.burnin

integer specifying how many of n.iter to discard as burn-in ; default is 5000

n.thin

integer specifying the thinning of the chains; default is 1

n.adapt

integer specifying the number of iterations to use for adaptation; default is NULL

save_jagsUI

If TRUE (is TRUE by default), the output of jagsUI package is return by the function

parallel

see jagsUI::jags() function

Author

Antoine Barbieri

Examples

# \donttest{
#---- Use data
data(wave)

#---- Fit regression model for the first quartile
lqm_025 <- lqm(formula = h110d~vent_vit_moy,
               data = wave,
               n.iter = 1000,
               n.burnin = 500,
               tau = 0.25)

#---- Get the posterior mean of parameters
lqm_025$mean

#---- Visualize the trace for beta parameters
jagsUI::traceplot(lqm_025$out_jagsUI, parameters = "beta" )

#---- Summary of output
summary(lqm_025)
# }