MCMCmnl {MCMCpack} | R Documentation

## Markov Chain Monte Carlo for Multinomial Logistic Regression

### Description

This function generates a sample from the posterior distribution of a multinomial logistic regression model using either a random walk Metropolis algorithm or a slice sampler. The user supplies data and priors, and a sample from the posterior distribution is returned as an mcmc object, which can be subsequently analyzed with functions provided in the coda package.

### Usage

    MCMCmnl(
      formula,
      baseline = NULL,
      data = NULL,
      burnin = 1000,
      mcmc = 10000,
      thin = 1,
      mcmc.method = c("IndMH", "RWM", "slice"),
      tune = 1,
      tdf = 6,
      verbose = 0,
      seed = NA,
      beta.start = NA,
      b0 = 0,
      B0 = 0,
      ...
    )

### Arguments

`formula` | Model formula. If the choicesets do not vary across individuals, the `y` variable should be a factor or numeric variable that gives the observed choice of each individual. If the choicesets do vary across individuals, `y` should be a n \times p matrix where n is the number of individuals and p is the maximum number of choices in any choiceset. Here each column of `y` corresponds to a particular observed choice and the elements of `y` should be either `0` (not chosen but available), `1` (chosen), or `-999` (not available). Choice-specific covariates have to be entered using the syntax: `choicevar(cvar, "var", "choice")` where `cvar` is the name of a variable in `data`, `"var"` is the name of the new variable to be created, and `"choice"` is the level of `y` that `cvar` corresponds to. Specifying each choice-specific covariate will typically require p calls to the `choicevar` function in the formula. Individual specific covariates can be entered into the formula normally. See the examples section below to see the syntax used to fit various models.
`baseline` | The baseline category of the response variable. `baseline` should be set equal to one of the observed levels of the response variable. If left equal to `NULL` then the baseline level is set to the alpha-numerically first element of the response variable. If the choicesets vary across individuals, the baseline choice must be in the choiceset of each individual.
`data` | The data frame used for the analysis. Each row of the dataframe should correspond to an individual who is making a choice.
`burnin` | The number of burn-in iterations for the sampler.
`mcmc` | The number of iterations to run the sampler past burn-in.
`thin` | The thinning interval used in the simulation. The number of mcmc iterations must be divisible by this value.
`mcmc.method` | Can be set to either "IndMH" (default), "RWM", or "slice" to perform independent Metropolis-Hastings sampling, random walk Metropolis sampling or slice sampling respectively.
`tune` | Metropolis tuning parameter. Can be either a positive scalar or a k-vector, where k is the length of β. Make sure that the acceptance rate is satisfactory (typically between 0.20 and 0.5) before using the posterior sample for inference.
`tdf` | Degrees of freedom for the multivariate-t proposal distribution when `mcmc.method` is set to "IndMH". Must be positive.
`verbose` | A switch which determines whether or not the progress of the sampler is printed to the screen. If `verbose` is greater than 0 the iteration number, the current beta vector, and the Metropolis acceptance rate are printed to the screen every `verbose`th iteration.
`seed` | The seed for the random number generator. If NA, the Mersenne Twister generator is used with default seed 12345; if an integer is passed it is used to seed the Mersenne twister. The user can also pass a list of length two to use the L'Ecuyer random number generator, which is suitable for parallel computation. The first element of the list is the L'Ecuyer seed, which is a vector of length six or NA (if NA a default seed of `rep(12345,6)` is used). The second element of list is a positive substream number. See the MCMCpack specification for more details.
`beta.start` | The starting value for the β vector. This can either be a scalar or a column vector with dimension equal to the number of betas. If this takes a scalar value, then that value will serve as the starting value for all of the betas. The default value of NA will use the maximum likelihood estimate of β as the starting value.
`b0` | The prior mean of β. This can either be a scalar or a column vector with dimension equal to the number of betas. If this takes a scalar value, then that value will serve as the prior mean for all of the betas.
`B0` | The prior precision of β. This can either be a scalar or a square matrix with dimensions equal to the number of betas. If this takes a scalar value, then that value times an identity matrix serves as the prior precision of β. Default value of 0 is equivalent to an improper uniform prior for beta.
`...` | Further arguments to be passed.

### Details

`MCMCmnl` simulates from the posterior distribution of a multinomial logistic regression model using either a random walk Metropolis algorithm or a univariate slice sampler. The simulation proper is done in compiled C++ code to maximize efficiency. Please consult the coda documentation for a comprehensive list of functions that can be used to analyze the posterior sample.

The model takes the following form:

y_i \sim \mathcal{M}ultinomial(π_i)

where:

π_{ij} = \frac{\exp(x_{ij}'β)}{∑_{k=1}^p\exp(x_{ik}'β)}

We assume a multivariate Normal prior on β:

β \sim \mathcal{N}(b_0,B_0^{-1})

The Metropolis proposal distribution is centered at the current value of β and has variance-covariance V = T(B_0 + C^{-1})^{-1} T, where T is a the diagonal positive definite matrix formed from the `tune`, B_0 is the prior precision, and C is the large sample variance-covariance matrix of the MLEs. This last calculation is done via an initial call to `optim`.

### Value

An mcmc object that contains the posterior sample. This object can be summarized by functions provided by the coda package.

### References

Andrew D. Martin, Kevin M. Quinn, and Jong Hee Park. 2011. “MCMCpack: Markov Chain Monte Carlo in R.”, Journal of Statistical Software. 42(9): 1-21. https://www.jstatsoft.org/v42/i09/.

Daniel Pemstein, Kevin M. Quinn, and Andrew D. Martin. 2007. Scythe Statistical Library 1.0. http://scythe.lsa.umich.edu.

Radford Neal. 2003. “Slice Sampling” (with discussion). Annals of Statistics, 31: 705-767.

Martyn Plummer, Nicky Best, Kate Cowles, and Karen Vines. 2006. “Output Analysis and Diagnostics for MCMC (CODA)”, R News. 6(1): 7-11. https://CRAN.R-project.org/doc/Rnews/Rnews_2006-1.pdf.

Siddhartha Chib, Edward Greenberg, and Yuxin Chen. 1998. “MCMC Methods for Fitting and Comparing Multinomial Response Models."

### See Also

`plot.mcmc`,`summary.mcmc`, `multinom`

### Examples

      ## Not run:
      data(Nethvote)

      ## just a choice-specific X var
      post1 <- MCMCmnl(vote ~
                    choicevar(distD66, "sqdist", "D66") +
                    choicevar(distPvdA, "sqdist", "PvdA") +
                    choicevar(distVVD, "sqdist", "VVD") +
                    choicevar(distCDA, "sqdist", "CDA"),
                    baseline="D66", mcmc.method="IndMH", B0=0,
                    verbose=500, mcmc=100000, thin=10, tune=1.0,
                    data=Nethvote)

      plot(post1)
      summary(post1)

      ## just individual-specific X vars
      post2<- MCMCmnl(vote ~
                    relig + class + income + educ + age + urban,
                    baseline="D66", mcmc.method="IndMH", B0=0,
                    verbose=500, mcmc=100000, thin=10, tune=0.5,
                    data=Nethvote)

      plot(post2)
      summary(post2)

      ## both choice-specific and individual-specific X vars
      post3 <- MCMCmnl(vote ~
                    choicevar(distD66, "sqdist", "D66") +
                    choicevar(distPvdA, "sqdist", "PvdA") +
                    choicevar(distVVD, "sqdist", "VVD") +
                    choicevar(distCDA, "sqdist", "CDA") +
                    relig + class + income + educ + age + urban,
                    baseline="D66", mcmc.method="IndMH", B0=0,
                    verbose=500, mcmc=100000, thin=10, tune=0.5,
                    data=Nethvote)

      plot(post3)
      summary(post3)

      ## numeric y variable
      nethvote$vote <- as.numeric(nethvote$vote)
      post4 <- MCMCmnl(vote ~
                    choicevar(distD66, "sqdist", "2") +
                    choicevar(distPvdA, "sqdist", "3") +
                    choicevar(distVVD, "sqdist", "4") +
                    choicevar(distCDA, "sqdist", "1") +
                    relig + class + income + educ + age + urban,
                    baseline="2", mcmc.method="IndMH", B0=0,
                    verbose=500, mcmc=100000, thin=10, tune=0.5,
                    data=Nethvote)

      plot(post4)
      summary(post4)

      ## Simulated data example with nonconstant choiceset
      n <- 1000
      y <- matrix(0, n, 4)
      colnames(y) <- c("a", "b", "c", "d")
      xa <- rnorm(n)
      xb <- rnorm(n)
      xc <- rnorm(n)
      xd <- rnorm(n)
      xchoice <- cbind(xa, xb, xc, xd)
      z <- rnorm(n)
      for (i in 1:n){
        ## randomly determine choiceset (c is always in choiceset)
        choiceset <- c(3, sample(c(1,2,4), 2, replace=FALSE))
        numer <- matrix(0, 4, 1)
        for (j in choiceset){
          if (j == 3){
            numer[j] <- exp(xchoice[i, j] )
          }
          else {
            numer[j] <- exp(xchoice[i, j] - z[i] )
          }
        }
        p <- numer / sum(numer)
        y[i,] <- rmultinom(1, 1, p)
        y[i,-choiceset] <- -999
      }

      post5 <- MCMCmnl(y~choicevar(xa, "x", "a") +
                      choicevar(xb, "x", "b") +
                      choicevar(xc, "x", "c") +
                      choicevar(xd, "x", "d") + z,
                      baseline="c", verbose=500,
                      mcmc=100000, thin=10, tune=.85)

      plot(post5)
      summary(post5)

    ## End(Not run)

[Package MCMCpack version 1.5-0 Index]