spGLMstack: Bayesian spatial generalized linear model using predictive stacking

Description

Fits Bayesian spatial generalized linear model on a collection of candidate models constructed based on some candidate values of some model parameters specified by the user and subsequently combines inference by stacking predictive densities. See Pan, Zhang, Bradley, and Banerjee (2024) for more details.

Usage

spGLMstack(
  formula,
  data = parent.frame(),
  family,
  coords,
  cor.fn,
  priors,
  params.list,
  n.samples,
  loopd.controls,
  parallel = FALSE,
  solver = "ECOS",
  verbose = TRUE,
  ...
)

Value

An object of class spGLMstack, which is a list including the following tags -

family: the distribution of the responses as indicated in the function call
samples: a list of length equal to total number of candidate models with each entry corresponding to a list of length 3, containing posterior samples of fixed effects (beta), spatial effects (z) and fine-scale variation term (xi) for that particular model.
loopd: a list of length equal to total number of candidate models with each entry containing leave-one-out predictive densities under that particular model.
loopd.method: a list containing details of the algorithm used for calculation of leave-one-out predictive densities.
n.models: number of candidate models that are fit.
candidate.models: a matrix with n_model rows with each row containing details of the model parameters and its optimal weight.
stacking.weights: a numeric vector of length equal to the number of candidate models storing the optimal stacking weights.
run.time: a proc_time object with runtime details.
solver.status: solver status as returned by the optimization routine.

The return object might include additional data that is useful for subsequent prediction, model fit evaluation and other utilities.

Arguments

formula: a symbolic description of the regression model to be fit. See example below.
data: an optional data frame containing the variables in the model. If not found in data, the variables are taken from environment(formula), typically the environment from which spLMstack is called.
family: Specifies the distribution of the response as a member of the exponential family. Supported options are 'poisson', 'binomial' and 'binary'.
coords: an $n \times 2$ matrix of the observation coordinates in $\mathbb{R}^2$ (e.g., easting and northing).
cor.fn: a quoted keyword that specifies the correlation function used to model the spatial dependence structure among the observations. Supported covariance model key words are: 'exponential' and 'matern'. See below for details.
priors: (optional) a list with each tag corresponding to a parameter name and containing prior details. Valid tags include V.beta, nu.beta, nu.z and sigmaSq.xi.
params.list: a list containing candidate values of spatial process parameters for the cor.fn used, and, the boundary parameter.
n.samples: number of posterior samples to be generated.
loopd.controls: a list with details on how leave-one-out predictive densities (LOO-PD) are to be calculated. Valid tags include method, CV.K and nMC. The tag method can be either 'exact' or 'CV'. If sample size is more than 100, then the default is 'CV' with CV.K equal to its default value 10 (Gelman et al. 2024). The tag nMC decides how many Monte Carlo samples will be used to evaluate the leave-one-out predictive densities, which must be at least 500 (default).
parallel: logical. If parallel=FALSE, the parallelization plan, if set up by the user, is ignored. If parallel=TRUE, the function inherits the parallelization plan that is set by the user via the function future::plan() only. Depending on the parallel backend available, users may choose their own plan. More details are available at https://cran.R-project.org/package=future.
solver: (optional) Specifies the name of the solver that will be used to obtain optimal stacking weights for each candidate model. Default is 'ECOS'. Users can use other solvers supported by the CVXR-package package.
verbose: logical. If TRUE, prints model-specific optimal stacking weights.
...: currently no additional argument.

Author

Soumyakanti Pan span18@ucla.edu,
Sudipto Banerjee sudipto@ucla.edu

Details

Instead of assigning a prior on the process parameters $\phi$ and $\nu$, the boundary adjustment parameter $\epsilon$, we consider a set of candidate models based on some candidate values of these parameters supplied by the user. Suppose the set of candidate models is $\mathcal{M} = \{M_1, \ldots, M_G\}$. Then for each $g = 1, \ldots, G$, we sample from the posterior distribution $p(\sigma^2, \beta, z \mid y, M_g)$ under the model $M_g$ and find leave-one-out predictive densities $p(y_i \mid y_{-i}, M_g)$. Then we solve the optimization problem $$ \begin{aligned} \max_{w_1, \ldots, w_G}& \, \frac{1}{n} \sum_{i = 1}^n \log \sum_{g = 1}^G w_g p(y_i \mid y_{-i}, M_g) \\ \text{subject to} & \quad w_g \geq 0, \sum_{g = 1}^G w_g = 1 \end{aligned} $$ to find the optimal stacking weights $\hat{w}_1, \ldots, \hat{w}_G$.

References

Pan S, Zhang L, Bradley JR, Banerjee S (2024). "Bayesian Inference for Spatial-temporal Non-Gaussian Data Using Predictive Stacking." tools:::Rd_expr_doi("10.48550/arXiv.2406.04655").

Vehtari A, Simpson D, Gelman A, Yao Y, Gabry J (2024). "Pareto Smoothed Importance Sampling." Journal of Machine Learning Research, 25(72), 1-58. URL https://jmlr.org/papers/v25/19-556.html.

Examples

Run this code

# \donttest{
data("simPoisson")
dat <- simPoisson[1:100,]
mod1 <- spGLMstack(y ~ x1, data = dat, family = "poisson",
                   coords = as.matrix(dat[, c("s1", "s2")]), cor.fn = "matern",
                  params.list = list(phi = c(3, 7, 10), nu = c(0.25, 0.5, 1.5),
                                     boundary = c(0.5, 0.6)),
                  n.samples = 1000,
                  loopd.controls = list(method = "CV", CV.K = 10, nMC = 1000),
                  parallel = TRUE, solver = "ECOS", verbose = TRUE)

# print(mod1$solver.status)
# print(mod1$run.time)

post_samps <- stackedSampler(mod1)
post_beta <- post_samps$beta
print(t(apply(post_beta, 1, function(x) quantile(x, c(0.025, 0.5, 0.975)))))

post_z <- post_samps$z
post_z_summ <- t(apply(post_z, 1, function(x) quantile(x, c(0.025, 0.5, 0.975))))

z_combn <- data.frame(z = dat$z_true,
                      zL = post_z_summ[, 1],
                      zM = post_z_summ[, 2],
                      zU = post_z_summ[, 3])

library(ggplot2)
plot_z <- ggplot(data = z_combn, aes(x = z)) +
 geom_errorbar(aes(ymin = zL, ymax = zU),
               width = 0.05, alpha = 0.15,
               color = "skyblue") +
 geom_point(aes(y = zM), size = 0.25,
            color = "darkblue", alpha = 0.5) +
 geom_abline(slope = 1, intercept = 0,
             color = "red", linetype = "solid") +
 xlab("True z") + ylab("Posterior of z") +
 theme_bw() +
 theme(panel.background = element_blank(),
       aspect.ratio = 1)
# }

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