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# IIntroduction

d i to
WinBUGS
Olivier Gimenez

University of St Andrews
Andrews, Scotland

A bri
brieff hi
history
t r

## 1998: first Windows version,

version WinBUGS was born

## Initially developed by the MRC Biostatistics Unit in

Cambridge and now joint work with Imperial College
School of Medicine at St Mary's, London.

## Windows Bayesian inference Using Gibbs Sampling

Software for the Bayesian analysis of complex statistical
models using Markov chain Monte Carlo (MCMC) methods

Who?
Nicky Best
Imperial College Faculty of
Medicine, London (UK)

Thomas Andrew
Wally Gilks

University of Helsinki,
Helsinki (Finland)

## MRC Biostatistics Unit

Institute of Public Health
Cambridge (UK)

David Spiegelhalter
MRC Biostatistics Unit
Institute of Public Health
Cambridge (UK)

Key principle
l

Y
You
specify
if the
h prior
i and
d build
b ild up the
h likelihood
lik lih d

sampling
li
algorithm,
l
ith
b
based
d on:

(|D)
(
) / L(D|)
(
) ()
( )

## WinBUGS computes some convergence diagnostics that

you have to check
y

A biological
g
example
p throughout
g
White stork (Ciconia ciconia) in Alsace 1948-1970

Demographic components
(fecundity, breeding success,
survival, etc)

Climate

Y
Number
of chicks
per pairs

2.55
1.85
2.05
2.88
3.13
2.21
2 43
2.43
2.69
2.55
2.84
2.47
2.69
2.52
2 31
2.31
2.07
2.35
2.98
1.98
2.53
2.21
2 62
2.62
1.78
2.30

15.1
13.3
15.3
13.3
14.6
15.6
13 1
13.1
13.1
15.0
11.7
15.3
14.4
14.4
12 7
12.7
11.7
11.9
15.9
13.4
14.0
13.9
12 9
12.9
15.1
13.0

67
52
88
61
32
36
72
43
92
32
86
28
57
55
66
26
28
96
48
90
86
78
87

## T Temp. May (C)

R Rainf. May (mm)

## WinBUGS & Linear Regression

1. Do temperature and rainfall affect the number of chicks?
2. Regression model:
Yi = + r Ri + t Ti + i , i=1,...,23
i i.i.d. ~ N(0,2)

Yi ii.i.d.
i d ~ N(
N( i,2),
) i=1,...,23
i 1
23
i = + r Ri + t Ti
3. Estimation of parameters: , r, t,
4. Frequentist inference uses t-tests

## Linear Regression using Frequentist approach

Y
Number
of chicks
per pairs

2.55
1.85
2.05
2.88
3.13
2.21
...
2.30

Y=

temperature
rainfall

15.1
13.3
15.3
13.3
14.6
15.6
...
13.0

67
52
88
61
32
36
...
87

T Temp
Temp. May (C)
R Rainf. May (mm)

Estimate
0.031069
-0.007316

Std. Error
0.054690
0.002897

t value Pr(>|t|)
0.568 0.57629
-2.525 0.02011 *

## Linear Regression using Frequentist approach

Y
Number
of chicks
per pairs

2.55
1.85
2.05
2.88
3.13
2.21
...
2.30

Y=

temperature
rainfall

15.1
13.3
15.3
13.3
14.6
15.6
...
13.0

67
52
88
61
32
36
...
87

T Temp
Temp. May (C)
R Rainf. May (mm)

Estimate
0.031069
-0.007316

Std. Error
0.054690
0.002897

t value Pr(>|t|)
0.568 0.57629
-2.525 0.02011 *

Running WinBUGS
Wh do
What
d you need?
d?

## 1 - a model giving the

likelihood and the priors

## 3 - initial values to start

the MCMC algorithm

Running WinBUGS
T model
The
d
use the WinBUGS
command 'model'

## Specify the priors

We use noninformative
or vague or flat priors
h
here
don't forget to embrace
the model with {...}

## Define the likelihood...

Monitor
parameter
Yi ~ N(any
+ other
R
+
t T2i ,
2)
r
i
you'd like to...
e.g. = 1/
Note: 2 = 1/

Running WinBUGS
Data andd initial values

...and
'vector'
structures
(R/Splus
syntax)
Use 'list'
structures
(R/Splus
syntax)...

Running WinBUGS
Overall

## 1 - a model giving the

likelihood and the priors

2 - data

3 - initial values

Running WinBUGS
At last!!
1- check model
1
3- compile model
4
5- generate burn-in values
6- parameters to be monitored
7- p
perform the sampling
p g to g
generate p
posteriors
8- check convergence and display results

Running WinBUGS
1. Check model
d

Running WinBUGS
1. Check model:
d highlight ''model'
d '

Running WinBUGS
1. Check model:
d open the Model
d Specification T
Tool

Running WinBUGS
1. Check model:
d Now click ''check model'
d '

Running WinBUGS
1 Check
1.
Ch k model:
d l Watch
W h out for
f the
h confirmation
fi
i at the
h foot
f off the
h screen

Running WinBUGS
2. Loadd ddata: Now highlight the 'list'
' ' in the data
d window
d

Running WinBUGS

Running WinBUGS
2.
L d ddata: watchh out ffor the
h confirmation
fi
i at the
h foot
f off the
h screen

Running WinBUGS
3. Compile model:
d Next, click ''compile''

Running WinBUGS
3 Compile
3.
C il model:
d l watchh out for
f the
h confirmation
fi
i at the
h foot
f off the
h screen

Running WinBUGS
4. Loadd initial values: highlight the 'list'
' ' in the data
d window
d

Running WinBUGS
' d inits''

Running WinBUGS
4.
L d iinitial
i i l values:
l watchh out for
f the
h confirmation
fi
i at the
h foot
f off the
h screen

Running WinBUGS
5. Generate Burn-in values: Open the Model
d Update
d T
Tool

Running WinBUGS
5 Generate
5.
G
B
Burn-in
i values:
l Give
Gi the
h number
b off burn-in
b i iterations
i
i (1000)

Running WinBUGS
5 Generate
5.
G
B
Burn-in
i values:
l click
li k 'update'
' d ' to do
d the
h sampling
li

Running WinBUGS
6 Monitor
6.
M i parameters: open the
h Inference
I f
Samples
S l Tool
T l

Running WinBUGS
6 Monitor
6.
M i parameters: Enter
E
'intercept'
'i
' in
i the
h node
d box
b andd click
li k 'set'
' '

Running WinBUGS
6 Monitor
6.
M i parameters: Enter
E
'slope_temperature'
'l
' in
i the
h node
d box
b andd click
li k 'set'
' '

Running WinBUGS
6 Monitor
6.
M i parameters: Enter
E
'slope_rainfall'
'l
i f ll' in
i the
h node
d box
b andd click
li k 'set'
' '

Running WinBUGS
7 Generate
7.
G
posterior
i values:
l enter the
h number
b off samples
l you want to take
k (10000)

Running WinBUGS
7 Generate
7.
G
posterior
i values:
l click
li k 'update'
' d ' to do
d the
h sampling
li

Running WinBUGS
8. Summarize posteriors: Enter '*' in the node box and click 'stats'

Running WinBUGS
8. Summarize posteriors: mean, median and credible intervals

Running WinBUGS
8. Summarize posteriors: 95% Credible intervals

## tell us the same story

temperature
rainfall

Estimate
0.031069
-0.007316

Std. Error
0.054690
0.002897

t value Pr(>|t|)
0.568 0.57629
-2.525 0.02011 *

Running WinBUGS
8. Summarize posteriors: 95% Credible intervals

## tell us the same story

temperature
rainfall

Estimate
0.031069
-0.007316

Std. Error
0.054690
0.002897

t value Pr(>|t|)
0.568 0.57629
-2.525 0.02011 *

Running WinBUGS
8. Summarize posteriors: click 'history'

Running WinBUGS
8. Summarize posteriors: click 'auto cor'

Problem of autocorrelation

## Coping with autocorrelation

use standardized covariates

## Coping with autocorrelation

use standardized covariates

Re-running WinBUGS
1,2,...7, and 8. Summarize posteriors: click 'auto cor'
slope temperature
slope.temperature
1.0
0.5
0.0
-0.5
-1.0
0

20

40
lag

slope.rainfall
1.0
0.5
0.0
-0.5
-1.0
0

20

40
lag
g

autocorrelation OK

Re-running WinBUGS
1,2,...7, and 8. Summarize posteriors: click 'density'
slope.rainfall sample: 1000
8.0
6.0
40
4.0
2.0
0.0
-0.6
06

-0.4
04

-0.2
02

slope.temperature
p
p
sample:
p 1000
8.0
6.0
4.0
2.0
0.0
-0.4

-0.2

0.0

0.2

Re-running WinBUGS
1,2,...7, and 8. Summarize posteriors: click 'quantiles'
slope.rainfall
p
-2.77556E-17
-0.1
-0.2
-0.3
-0.4
1041

1250

1500

1750

iteration

slope.temperature
0.3
0.2
0.1
0.0
-0.1
-0.2
02
1041

1250

1500
iteration

1750

Running WinBUGS
8. Checking for convergence using the Brooks-Gelman-Rubin criterion

## A way to identify non-convergence is to simulate

multiple sequences for over-dispersed starting points
Intuitively, the behaviour of all of the chains should be
basically the same.
In other words, the variance within the chains should
be the same as the variance across the chains.
chains
In WinBUGS, stipulate the number of chains after
data and before 'compile'
compile (obviously
(obviously, as many
sets of initial values as chains have to be loaded, or
generated)

Running WinBUGS
8. Checking for convergence using the Brooks-Gelman-Rubin criterion
slope.temperature chains 1:2

1.5

1.0

10
1.0

0.5

0.5

0.0

0.0
1

5000
iteration

10000

5000

10000

iteration

## The normalized width of the central 80% interval of the pooled

runs is green
The normalized average width of the 80% intervals within the
individual runs is blue

Re-running WinBUGS
1,2,...7, and 8. Summarize posteriors: others...

## Click 'coda' to produce lists of data suitable for

external treatment via the Coda R package
Click 'trace' to produce dynamic history changing
in real time

Y
Proportion
of nests with
success
(>0 youngs)

151 / 173
105 / 164
73 / 103
107 / 113
113 / 122
87 / 112
77 / 98
108 / 121
118 / 132
122 / 136
112 / 133
120 / 137
122 / 145
89 / 117
69 / 90
71 / 80
53 / 67
41 / 54
53 / 58
31 / 39
35 / 42
14 / 23
18 / 23

15.1
13.3
15.3
13.3
14.6
15.6
13 1
13.1
13.1
15.0
11.7
15.3
14.4
14.4
12 7
12.7
11.7
11.9
15.9
13.4
14.0
13.9
12 9
12.9
15.1
13.0

67
52
88
61
32
36
72
43
92
32
86
28
57
55
66
26
28
96
48
90
86
78
87

## T Temp. May (C)

R Rainf. May (mm)

## Performing a logistic regression with WinBUGS

model
# succ. in
i year i ~ Bin(p
Bi ( i, totall # couples
l in
i year i)
where pi the probability of success in year i

logit(pi)= + r Ri + t Ti,

i=1,...,23

## Performing a logistic regression with WinBUGS

noninformative priors

the
h results
l

lower

upper

the
h results
l

## additional parameters as a by-product of the MCMC samples: just add

them in the model as parameters to be monitored
- geometric mean:
geom <- pow(prod(p[]),1/N)
- odds-ratio:
odds.rainfall <- exp(slope.rainfall)
odds.temperature <- exp(slope.temperature)

the
h results
l

## additional parameters as a by-product of the MCMC samples

- geom.
geom mean probability of success around 82% [81%;84%]
- odds-ratio: -16% for an increase of rainfall of 1 unit

## Running WinBUGS from R: R2WinBUGS package

Th logistic
The
l i ti regression
i example
pl revisited
i it d
It may be uneasy to read complex sets of data and initial values
It is also quite boring to specify the parameters to be monitored in
each
h run
It might be interesting to save the output and read it into R for
further analyses
solution 1: WinBUGS can be used in batch mode using scripts
solution 2: R2WinBUGS allows WinBUGS to be run from R
We can work with the results after importing them back into R again
create graphical displays of data and posterior simulations or use
WinBUGS in Monte Carlo simulation studies

## Running WinBUGS from R: R2WinBUGS package

Th logistic
The
l i ti regression
i example
pl revisited
i it d
To call WinBUGS from R:
1. Write a WinBUGS model in a ASCII file.
2. Go into R.
3 Prepare the inputs to the 'bugs' function and run it
3.
4. A WinBUGS window will pop up amd R will freeze up. The
model will now run in WinBUGS
WinBUGS. You will see things happening
in the Log window within WinBUGS. When WinBugs is done, its
window will close and R will work again.
5. If an error message appears, re-run with 'debug = TRUE'.

## Running WinBUGS from R: R2WinBUGS package

1 - Write
W it th
the WinBUGS
Wi BUGS code
d in
i a ASCII file
fil
# This covers logistic regression model using two explicative variables.
# The White storks in Baden-Wurttemberg (Germany) data set is provided
model
{
for( i in 1 : N)
{
# A binomial distribution as a likelihood nbsuccess[i] ~ dbin(p[i]
dbin(p[i],nbpairs[i])
nbpairs[i])
# The probability of success is a function of both rainfall and temperature
logit(p[i]) <- intercept + slope.temperature * (temperature[i] mean(temperature[]))/(sd(temperature[])) + slope.rainfall
slope rainfall * (rainfall[i] mean(rainfall[]))/(sd(rainfall[]))
}
# priors for regression parameters
intercept ~ dnorm(0,0.001)
slope.temperature ~ dnorm(0,0.001)
slope.rainfall ~ dnorm(0,0.001)
}

3 - Prepare
P p th
the inputs
i p t tto th
the 'bugs'
'b ' ffunction
ti
Nbsuccess
151
105
73
103
107
113
87
112

53
58
31
39
35
42
14
23
18
23

nbpairs
173
164
15 3
15.3
113
122
15.6
15
6

14.0
13 9
13.9
12.9
15.1
13 0
13.0

temperature
15.1
13.3
88
13.3
14.6
36

48
90
86
78
87

rainfall
67
52
61
32

## Running WinBUGS from R: R2WinBUGS package

Th logistic
The
l i ti regression
i example
pl revisited
i it d
library(R2WinBUGS)
# Data
D t (R 'list'
'li t' format)
f
t)
N = 23
attach(data)
datax = list("N","nbsuccess","nbpairs","temperature","rainfall")
# MCMC details
nb.iterations = 10000
nb.burnin = 1000

## Running WinBUGS from R: R2WinBUGS package

Th logistic
The
l i ti regression
i example
pl revisited
i it d
# Initial values
init1 = list(intercept=-1,slope.temperature=-1,slope.rainfall=-1)
init2 = list(intercept=0,slope.temperature=0,slope.rainfall=0)
i it3 = li
init3
list(intercept=1,slope.temperature=1,slope.rainfall=1)
t(i t
t 1 l
t
t
1 l
i f ll 1)
inits = list(init1,init2,init3)
nb.chains = length(inits)
# Parameters to be monitored
parameters <- c("intercept","slope.temperature","slope.rainfall")
# MCMC simulations
res.sim <- bugs(datax, inits, parameters,
"logisticregressionstandardized
logisticregressionstandardized.bug
bug", n.chains
n chains = nb
nb.chains,
chains n.iter
n iter
= nb.iterations, n.burnin = nb.burnin)
# Save results
save(res.sim, file = "logistic.Rdata")

## Running WinBUGS from R: R2WinBUGS package

Th logistic
The
l i ti regression
i example
pl revisited
i it d
# Summarize results
res.sim\$summary # use print(res.sim) alternatively
mean
sd
d
50%
97
97.5%
5%
Rh
Rhatt
Intercept
1.55122555 0.05396574
1.55100 1.6589750 1.0020641
slope.temperature 0.03030854 0.06128879
0.03148 0.1510975 0.9997848
slope rainfall
slope.rainfall
-0.15302837
0 15302837 0
0.06206554
06206554 -0.15295
0 15295 -0.0243025
0 0243025 1
1.0014894
0014894
deviance
204.60259481 2.48898337 203.90000 211.2000000 1.0002280

## Running WinBUGS from R: R2WinBUGS package

Th logistic
The
l i ti regression
i example
pl revisited
i it d
# Numerical summaries for slope.rainfall?
quantile(slope.rainfall,c(0.025,0.975))
2.5%
2
5%
97
97.5%
5%
-0.2693375 -0.0243025
# Calculate the odds
odds-ratio
ratio
odds.rainfall <- exp(slope.rainfall)
quantile(odds.rainfall,c(0.025,0.975))
2.5% 97.5%
0.7638855 0.9759904

## Running WinBUGS from R: R2WinBUGS package

Th logistic
The
l i ti regression
i example
pl revisited
i it d
# Graphical summaries for slope.rainfall?
plot(density(slope.rainfall),xlab="",ylab="", main="slope.rainfall a posteriori density")

## Recent developments in WinBUGS

Model selection using RJMCMC
We consider data relating to population of White
storks breeding in Baden Wrttemberg (Germany).
Interest lies in the impact of climate variation
(rainfall) in their wintering area on their population
d
dynamics
d lt survival
i l rates).
t )
Mark-recapture data from 1956-71 are available.
The
Th covariates
i
relate
l
to the
h amount off rainfall
i f ll
between June-September each year from 10
weather stations located around the Sahel region.
region
Interest lies in identifying the given rainfall
locations that explain the adult survival rates.

Bayesian Model
d l SSelection
l
Discriminating between different models
can often be of particular interest, since
they represent competing biological
hypotheses.
How do we decide which covariates to use?
often there may
y be a large
g number of
possible covariates.

Example
l (cont))

## We express the survival rate as a logistic function

of the covariates:
l it t = + Txt + t
logit
where xt denotes the set of covariate values at
time t and t are random effects,
effects
t ~ N(0,2).
However which rainfalls explain the survival
However,
Alternatively what values of are non-zero?
Alternatively,

Model
d l SSelection
l

## In the classical framework, likelihood ratio tests

or information criterion (e.g. AIC) are often used.
Th
There
is
i a similar
i il Bayesian
B
i
statistic
i i the
h DIC.
DIC
This is programmed within WinBUGS however
its implementation is not suitable
s itable for
fo hierarchical
hie a chical
models (e.g. random effect models).
addition, the DIC is known to give fallacious
results in even simple problems.
Within the general Bayesian framework
framework, there is
a more natural way of dealing with the issue of
model discrimination.

Bayesian Approach
A
h

## We treat the model itself as an unknown

parameter to be estimated.
Th
Then,
applying
l i
B
Bayes
Theorem
Th
we obtain
bt i the
th
posterior distribution over both parameter and
model space:
(m, m | data) L(data | m, m) p(m) p(m).
Here m denotes the parameters in model m.
m
Likelihood

Prior on parameters
in model m
Prior on model m

Posterior Model
d l Probabilities
b bl

## The Bayesian approach then allows us to

quantitatively discriminate between competing
models via posterior model probabilities:
(m | data) = s (m, m | data) dm
p(m) s L(data | m, m) p(m) dm

## Note that we need to specify priors on both the

parameters and now also on the models
p
themselves.
Thus we need to specify a prior probability for
each model to be considered.

MCMC-based
C C b d estimates

## We have a posterior distribution (over parameter

and model space) defined up to proportionality:
(
(m, m | data)
d t ) L(data
L(d t | m, m)) p(
(m | m)) p(m)
( )
If we can sample from this posterior distribution
then we are able to obtain posterior estimates of
summary statistics of interest.
In particular the posterior model probabilities can
be estimated as the proportion of time that the
chain is in each model.
So, all we need to do is define how we construct
such a Markov chain!!

Reversible
bl Jump MCMC
C C

## The reversible jump MCMC algorithm allows us to

construct a Markov chain with stationary
distribution equal to the posterior distribution.
distribution
It is simply an extension of the MetropolisHastings algorithm that allows moves between
different dimensions.
This algorithm is needed because the number of
parameters, m, in model m, may differ between
models.
Note that this algorithm needs only one Markov
chain irrespective of the number of models!!

Markov
k chain
h

Each
E
h iteration
it
ti
off the
th Markov
M k
chain
h i essentially
ti ll
involves two steps:
1
1.

2
2.

## Within model moves updating each parameter

using standard MCMC moves (Gibbs sampler,
Metropolis-Hastings)
Between model moves updating the model using
a reversible jump type move.

## Then, standard MCMC-type processes apply,

such as using an appropriate burn-in, obtaining
summary statistics of interest etc.
To illustrate the RJ algorithm
algorithm, we consider a
particular example relating to variable selection
(e.g. covariate analysis).

WinBUGS
GS

## General RJ updates cannot currently be

programmed into WinBUGS.
B
Bespoke
k code
d needs
d to
t be
b written
itt
i t d
However, the recent add-on called jump allows
two particular RJ updates to be performed in
WinBUGS:

Variable selection
Splines

See http://www.winbugs-development.org.uk/rjmcmc.html
So, in particular, WinBUGS can be used for model
selection in the White storks example.

Example:
l White
h SStorks
k

## Recall our white storks example there are 10

possible covariates, hence a total of 210 possible
models (1024!).
(1024!)
We specify a prior probability of 0.5 that each
covariate is in the model.
model
Then, conditional on the covariate being present,
we specify,
~ N(0,10).
Finally, for the random effect error variance,
2
-1
~ (0.001,0.001).

Example:
l White
h SStorks
k

WinBUGS demonstration.

## RJMCMC is performed on the betas only,

neither on the nor on the intercept

Results
l
Models with largest posterior support
0001000000
0000000000
0001010000
0001100000
0001000001
1001000000
0001000100
0001001000
0001000010
0000000100
0101000000
0011000000
1000000000
0000010000

0.5178058297
0
5178058297
0.07629791141
0.0474087675
0 03814092265
0.03814092265
0.03085379849
0.02549001607
0 02374569658
0.02374569658
0.02336699564
0.0229240303
0 02123479458
0.02123479458
0.01809960982
0.01540739041
0.01186825798
0.01103282075

0.5178058297
0
5178058297
0.5941037411
0.6415125086
0 6796534313
0.6796534313
0.7105072297
0.7359972458
0 7597429424
0.7597429424
0.783109938
0.8060339683
0 8272687629
0.8272687629
0.8453683727
0.8607757631
0.8726440211
0.8836768419

Results
l
Additionally the (marginal) posterior probability that each covariate influence
the survival rates:
node
effect
effect
effect
effect
effect
effect
effect
effect
[ ]
effect
effect
p
sdeps

mean
0.01
0 00
0.00
0.00
0.30
-0.01
0.01
0.01
-0.00
0.01
0.01
-0.01
0.91
0.20

sd
0.04
0 03
0.03
0.02
0.17
0.04
0.05
0.03
0.06
0.04
0.04
0.01
0.14

## posterior marg prob

0.06
0 04
0.04
0.03
0.83
0.07
0.09
0.04
0.07
0.05
0.05

Results:
l survivall rates

0.8

1.0

S
Survival
i l rate
t for
f white
hit storks
t k

0.6

*
-

*
-

*
-

*
-

*
*
-

*
-

0..4

0.2

*
*

*
*

*
*

0.0

Survival rate
S

1960

1965
Year

1970