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September 12, 2016 04:38
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Piecewise regression w/ unknown breakpoint in Stan
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data { | |
int<lower=1> n; | |
vector[n] x; | |
vector[n] y; | |
} | |
parameters { | |
real alpha; | |
vector[2] beta; | |
real<lower=0> sigma; | |
real cutpoint; | |
} | |
transformed parameters{ | |
vector[n] x2; // indicator variable for whether x_i > cutpoint | |
for (i in 1:n) { | |
if (x[i] < cutpoint) { | |
x2[i] = 0; | |
} else { | |
x2[i] = 1; | |
} | |
} | |
} | |
model { | |
vector[n] mu; | |
alpha ~ normal(0, 1); | |
beta ~ normal(0, 1); | |
sigma ~ normal(0, 2); | |
cutpoint ~ normal(0, 1); | |
for(i in 1:n){ | |
mu[i] = alpha + beta[1] * x[i] + beta[2] * (x[i] - cutpoint) * x2[i]; | |
} | |
y ~ normal(mu, sigma); | |
} |
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library(rstan) | |
library(scales) | |
d <- read.csv('regression.db.csv') | |
stan_d <- list(y = d$direction, | |
x = c(scale(d$date)), | |
n = nrow(d)) | |
minit <- stan("lm_segs.stan", | |
data = stan_d, | |
chains = 1, | |
iter = 2) | |
mfit <- stan(fit = minit , | |
iter = 1000, | |
data = stan_d, | |
chains = 3, | |
cores = 3) | |
mfit | |
post <- rstan::extract(mfit) | |
plot(stan_d$x, stan_d$y, | |
xlab = 'Time', ylab = 'Stuff') | |
for (i in seq_along(post$lp__)) { | |
segments(x0 = min(stan_d$x), x1 = post$cutpoint[i], | |
y0 = post$alpha[i] + post$beta[i, 1] * min(stan_d$x), | |
y1 = post$alpha[i] + post$beta[i, 1] * post$cutpoint[i], | |
col = alpha(3, .1)) | |
segments(x1 = max(stan_d$x), x0 = post$cutpoint[i], | |
y1 = post$alpha[i] + | |
post$beta[i, 2] * (max(stan_d$x) - post$cutpoint[i]) + | |
post$beta[i, 1] * max(stan_d$x), | |
y0 = post$alpha[i] + post$beta[i, 1] * post$cutpoint[i], | |
col = alpha(2, .1)) | |
} | |
points(stan_d$x, stan_d$y, pch = 19) | |
rug(post$cutpoint) |
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