40 lines
1.1 KiB
Text
40 lines
1.1 KiB
Text
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// Multivariate Regression Example
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// Taken from stan-reference-2.8.0.pdf p.66
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data {
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int<lower=0> N; // num individuals
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int<lower=1> K; // num ind predictors
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int<lower=1> J; // num groups
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int<lower=1> L; // num group predictors
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int<lower=1,upper=J> jj[N]; // group for individual
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matrix[N,K] x; // individual predictors
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row_vector[L] u[J]; // group predictors
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vector[N] y; // outcomes
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}
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parameters {
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corr_matrix[K] Omega; // prior correlation
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vector<lower=0>[K] tau; // prior scale
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matrix[L,K] gamma; // group coeffs
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vector[K] beta[J]; // indiv coeffs by group
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real<lower=0> sigma; // prediction error scale
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}
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model {
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tau ~ cauchy(0,2.5);
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Omega ~ lkj_corr(2);
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to_vector(gamma) ~ normal(0, 5);
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{
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row_vector[K] u_gamma[J];
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for (j in 1:J)
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u_gamma[j] <- u[j] * gamma;
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beta ~ multi_normal(u_gamma, quad_form_diag(Omega, tau));
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}
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{
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vector[N] x_beta_jj;
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for (n in 1:N)
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x_beta_jj[n] <- x[n] * beta[jj[n]];
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y ~ normal(x_beta_jj, sigma);
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}
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}
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# Note: Octothorpes indicate comments, too!
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