Hi,
I am fairly new to Bayesian estimation and am looking to use ADVI to estimate my model in hopes of better performance.
This is my model
data {
int<lower=0> N;//Number of observations
int<lower=1> J;//Number of predictors with random slope
int<lower=1> K;//Number of predictors with non-random slope
int<lower=1> L;//Number of customers/groups
int<lower=0,upper=1> y[N];//Binary response variable
int<lower=1,upper=L> ll[N];//Number of observations in groups
matrix[N,K] x1;
matrix[N,J] x2;
}
parameters {
vector[J] rbeta_mu; //mean of distribution of beta parameters
vector<lower=0>[J] rbeta_sigma; //variance of distribution of beta parameters
vector[J] beta_raw[L]; //group-specific parameters beta
vector[K] beta;
}
transformed parameters {
vector[J] rbeta[L];
for (l in 1:L)
rbeta[l] = rbeta_mu + rbeta_sigma .* beta_raw[l]; // coefficients on x
}
model {
rbeta_mu ~ normal(0,5);
rbeta_sigma ~ gamma(1,1);
beta~normal(0,5);
for (l in 1:L)
beta_raw[l] ~ std_normal();
for(n in 1:N)
y[n]~bernoulli_logit(x1[n] * beta + x2[n] * rbeta[ll[n]]);
}
I am unfamiliar on how the interface works from R for advi. Any suggestions or resources are appreciated.
Also if the model code needs to be modified please tell me how…
Thank you.