Created
November 14, 2014 10:28
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coding a multilevel logit in Stan, two categorical predictors, fast & efficient inference, proper (but vague) priors
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data { | |
int N; | |
int a_N; // number of categories in a | |
int b_N; // number of categories in b | |
int c_N; // number of c coefficients (continuous) | |
int<lower=1, upper=a_N> a[N]; | |
int<lower=1, upper=b_N> b[N]; | |
matrix[N, c_N] c; | |
int<lower=0, upper=1> y[N]; | |
} | |
parameters { | |
real intercept; | |
vector[a_N] a_coeff; | |
vector[b_N] b_coeff; | |
vector[c_N] c_coeff; | |
real<lower=0> sigma_a; | |
real<lower=0> sigma_b; | |
real<lower=0> sigma_c; | |
} | |
transformed parameters { | |
vector[a_N] normalized_a_coeff; | |
vector[b_N] normalized_b_coeff; | |
normalized_a_coeff <- a_coeff - a_coeff[1]; | |
normalized_b_coeff <- b_coeff - b_coeff[1]; | |
} | |
model { | |
vector[N] p; // probabilities | |
// priors | |
intercept ~ normal(0, 100); | |
sigma_a ~ cauchy(0, 5); | |
sigma_b ~ cauchy(0, 5); | |
sigma_c ~ cauchy(0, 5); | |
// level 1 | |
a_coeff ~ normal(0, sigma_a); | |
b_coeff ~ normal(0, sigma_b); | |
c_coeff ~ normal(0, sigma_c); | |
// level 2 | |
for (i in 1:N) { | |
p[i] <- a_coeff[a[i]] + b_coeff[b[i]]; | |
} | |
y ~ bernoulli_logit(intercept + p + c * c_coeff); | |
} |
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