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March 4, 2014 19:41
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### Libraries | |
library(pscl) | |
library(rjags) | |
data(AustralianElectionPolling,package="pscl") | |
dat <- AustralianElectionPolling | |
dat$startDate <- as.Date(dat$startDate) | |
dat$endDate <- as.Date(dat$endDate) | |
### Start at 2004 elex. | |
orig.date <- as.Date("2004-10-09") | |
### End at 2007 elex. | |
end.date <- as.Date("2007-11-24") | |
dat$startDate.num <- julian(dat$startDate,origin=orig.date) | |
dat$endDate.num <- julian(dat$endDate,origin=orig.date) | |
dat$fieldDate.num <- floor((dat$startDate.num + dat$endDate.num) / 2) | |
dat$y <- dat$ALP / 100 | |
## Jags will use precision | |
### Stan will use variance | |
dat$var <- dat$y*(1-dat$y)/dat$sampleSize | |
dat$prec <- 1 / dat$var | |
forJags <- list(y = dat$y, | |
date = dat$fieldDate.num, | |
nPolls = nrow(dat), | |
kappa = 0.01, | |
myvar = dat$var, | |
prec = dat$prec, | |
xi = c(0.376,rep(NA,end.date - orig.date - 2),0.434), | |
nPeriods = as.numeric(end.date - orig.date)) | |
jags_code <- ' | |
model { | |
for (i in 1:nPolls) { | |
mu[i] <- xi[date[i]] | |
y[i] ~ dnorm(mu[i],prec[i]) | |
} | |
for (t in 2:(nPeriods-1)) { | |
xi[t] ~ dnorm(xi[t-1],tau) | |
} | |
omega ~ dunif(0,kappa) | |
tau <- 1/pow(omega,2) | |
} | |
' | |
writeLines(jags_code,con="kalman.bug") | |
system.time(jags.mod <- jags.model("kalman.bug", | |
data = forJags)) | |
update(jags.mod,n.iter = 10000) | |
system.time(out <- coda.samples(jags.mod,variable.names = c("xi"), | |
n.iter = 10000, | |
n.thin = 10)) | |
holder <- summary(out) | |
plot(1:forJags$nPeriods,holder$statistics[,1], | |
xlab = "Day", | |
ylab = "ALP vote intention",type="l") | |
stan_code <- ' | |
data { | |
int<lower=0> nPolls; | |
int<lower=0> nPeriods; // | |
int<lower=0> date[nPolls]; | |
real y[nPolls]; | |
real kappa; | |
real myvar[nPolls]; | |
} | |
parameters { | |
real<lower=0,upper=1> xi0[nPeriods]; | |
real omega; | |
} | |
transformed parameters { | |
real xi[nPeriods]; | |
real tau; | |
tau <- pow(omega, 2); | |
xi[1] <- 0.376; | |
xi[nPeriods] <- 0.434; | |
for (i in 2:(nPeriods-1)) { | |
xi[i] <- xi0[i]; | |
} | |
} | |
model { | |
// observation model | |
for (i in 1:nPolls) { | |
y[i] ~ normal(xi[date[i]],myvar[i]); | |
} | |
// transition model | |
// First two periods: take from known value | |
xi0[1] ~ normal(xi[1],tau); | |
xi0[2] ~ normal(xi[1],tau); | |
for (t in 3:(nPeriods-1)) { | |
xi0[t] ~ normal(xi0[t-1],tau); | |
} | |
xi0[nPeriods] ~ normal(xi[nPeriods],.000001); | |
omega ~ uniform(0,kappa); | |
} | |
' | |
## Stan will complain if we leave partial data in | |
forJags$xi <- NULL | |
## Init func with dramatic step change in latent support | |
my.initfunc <- function() { | |
xi0 <- c(rep(0.376,floor(forJags$nPeriods/2)), | |
rep(0.434,ceiling(forJags$nPeriods/2))) | |
omega <- runif(1,0,.01) | |
list(xi0 = xi0,omega=omega) | |
} | |
system.time(fit <- stan(model_code = stan_code, | |
data = forJags, | |
chains = 1, | |
init = my.initfunc, | |
iter = 20000, | |
thin = 10)) | |
samples <- extract(fit, c("xi")) | |
plot(1:forJags$nPeriods,colMeans(samples$xi), | |
xlab = "Day", | |
ylab = "ALP vote intention",type="l") |
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