Saturday, March 31, 2012

Negative Binomial for Count Data

I have noticed that when estimating the parameters of a negative binomial distribution for describing count data, the MCMC chain can become extremely autocorrelated because the parameters are highly correlated. Question: There must be some standard re-parameterization, or other approach, to reducing this autocorrelation. Can someone point me to it?

[Update: See this follow-up post.]

Here is an example of what I mean. First, a histogram of the data, consisting of a 50 individual counts. (E.g., for each of 50 subjects, the number times they checked their e-mail in the last hour.) The histogram of data has posterior-credible negative binomial distributions superimposed.

Here is the JAGS model statement:
model {
    # Likelihood:
    for( i in 1 : N ) {
        y[i] ~ dnegbin( p , r )
    }
    m <- r*(1-p)/p
    # Prior:
    r ~ dgamma(gSh,gRa)
    p ~ dbeta(1.001,1.001)
}

Although the MCMC chain comes up with reasonable estimates in the long run, there is a lot of autocorrelation along the way:

It is clear that the reason for the autocorrelation is the strong correlation of the parameters:

As I said above, there must be some well-known way to address this issue. Can someone point me to it? Thanks.

2 comments:

  1. I don't know a transformation that will allow you to use a Gibbs sampler. But this looks to me like a good case for a random-walk Metropolis sampler. Your scatter plots show that m and p are pretty much uncorrelated, so use them. First form the posterior kernel in terms of r and p, next substitute r -> m*(1-p)/p, then multiply the result by (1-p)/p to account for the Jacobian of the transformation, and finally make joint draws of m and p. (I think that's right.) Now you can compute anything you want with those draws.

    ReplyDelete
  2. Thanks very much for your suggestion, Mark. Alternatively, a simple reparameterization in JAGS also does the trick. See the follow-up post now linked at the top of this post. Thanks again.

    ReplyDelete