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JAGS Version 3.4.0 user manual

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JAGS Version 3.4.0 user manual
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  JAGS Version 3.4.0 user manual Martyn Plummer30 August 2013  Contents 1 Introduction 32 Running a model in  JAGS  4 2.1 Definition . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42.1.1 Model definition . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42.1.2 Data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 52.1.3 Node Array dimensions . . . . . . . . . . . . . . . . . . . . . . . . . . 62.2 Compilation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 72.3 Initialization . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 82.3.1 Parameter values . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 82.3.2 RNGs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 92.3.3 Samplers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 92.4 Adaptation and burn-in . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 102.5 Monitoring . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10 3 Running  JAGS  12 3.1 Scripting commands . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 123.1.1 MODEL IN . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 133.1.2 DATA IN . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 133.1.3 COMPILE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 133.1.4 PARAMETERS IN . . . . . . . . . . . . . . . . . . . . . . . . . . . . 133.1.5 INITIALIZE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 133.1.6 UPDATE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 143.1.7 ADAPT . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 143.1.8 MONITOR . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 143.1.9 CODA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 153.1.10 EXIT . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 153.1.11 DATA TO . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 153.1.12 PARAMETERS TO . . . . . . . . . . . . . . . . . . . . . . . . . . . . 153.1.13 SAMPLERS TO . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 153.1.14 LOAD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 163.1.15 UNLOAD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 163.1.16 LIST MODULES . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 163.1.17 LIST FACTORIES . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 163.1.18 SET FACTORY . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 163.1.19 MODEL CLEAR . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 161  3.1.20 Print Working Directory (PWD) . . . . . . . . . . . . . . . . . . . . . 163.1.21 Change Directory (CD) . . . . . . . . . . . . . . . . . . . . . . . . . . 163.1.22 Directory list (DIR) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 173.1.23 RUN . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 173.2 Errors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17 4 Modules 18 4.1 The base module . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 184.1.1 Base Samplers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 184.1.2 Base RNGs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 194.1.3 Base Monitors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 194.2 The bugs module . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 194.3 The mix module . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 194.4 The dic module . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 204.4.1 The deviance monitor . . . . . . . . . . . . . . . . . . . . . . . . . . . 204.4.2 The  pD  monitor . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 204.4.3 The  popt  monitor . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 204.5 The msm module . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 214.6 The glm module . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21 5 Functions 22 5.1 Base functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 225.2 Functions in the bugs module . . . . . . . . . . . . . . . . . . . . . . . . . . . 235.2.1 Scalar functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 235.2.2 Scalar-valued functions with vector arguments . . . . . . . . . . . . . 245.2.3 Vector- and array-valued functions . . . . . . . . . . . . . . . . . . . . 245.3 Function aliases . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24 6 Distributions 28 6.1 Distribution aliases . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28 7 Differences between  JAGS  and  OpenBUGS  31 7.0.1 Data format . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 317.0.2 Distributions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 317.0.3 Observable Functions . . . . . . . . . . . . . . . . . . . . . . . . . . . 327.0.4 Data transformations . . . . . . . . . . . . . . . . . . . . . . . . . . . 337.0.5 Directed cycles . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 347.0.6 Censoring, truncation and prior ordering . . . . . . . . . . . . . . . . . 35 8 Feedback 379 Acknowledgments 38 2  Chapter 1 Introduction JAGS is Just Another Gibbs Sampler. It is a program for the analysis of Bayesian modelsusing Markov Chain Monte Carlo (MCMC) which is not wholly unlike  OpenBUGS  ( http://www.openbugs.info ).  JAGS  was written with three aims in mind: to have an engine forthe  BUGS  language that runs on Unix; to be extensible, allowing users to write their ownfunctions, distributions, and samplers; and to be a platform for experimentation with ideasin Bayesian modelling. JAGS  is designed to work closely with the  R  language and environment for statisticalcomputation and graphics ( http://www.r-project.org ). You will find it useful to installthe  coda  package for  R  to analyze the output. You can also use the  rjags  package to workdirectly with  JAGS  from within R (but note that the  rjags  package is not described in thismanual). JAGS  is licensed under the GNU General Public License version 2. You may freely modifyand redistribute it under certain conditions (see the file  COPYING  for details).3  Chapter 2 Running a model in  JAGS JAGS  is designed for inference on Bayesian models using Markov Chain Monte Carlo (MCMC)simulation. Running a model refers to generating samples from the posterior distribution of the model parameters. This takes place in five steps:1. Definition of the model2. Compilation3. Initialization4. Adaptation and burn-in5. MonitoringThe next stages of analysis are done outside of   JAGS : convergence diagnostics, model criticism,and summarizing the samples must be done using other packages more suited to this task.There are several  R  packages designed for analyzing MCMC output, and  JAGS  can be usedfrom within  R  using the  rjags  package. 2.1 Definition There are two parts to the definition of a model in  JAGS : a description of the model and thedefinition of the data. 2.1.1 Model definition The model is defined in a text file using a dialect of the  BUGS  language. The model definitionconsists of a series of relations inside a block delimited by curly brackets  {  and  }  and precededby the keyword  model . Here is the standard linear regression example:  model {for (i in 1:N) {Y[i] ~ dnorm(mu[i], tau) mu[i] <- alpha + beta * (x[i] - x.bar)}x.bar <- mean(x) 4
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