[R-sig-ME] A mixed effect regression tool based on bayesian priors like bayesglm

[Angelo D'Ambrosio]

Thanks Philip,

I actually did that after suggestion by Gelman itself!

Sorry I didn't upgrade the thread...

Regards
Angelo

2017-08-09 17:41 GMT+02:00 Phillip Alday <phillip.alday at mpi.nl>:

> Sidestepping your question a bit, you might want to consider the
> rstanarm package instead of blme because it is more directly in the
> Gelman/arm tradition/school of thought. You can move your arm::bayesglm
> models to rstanarm::stan_glm and then use rstanarm:stan_glmer for the
> mixed model. But only *you* can know / justify which priors you should
> use -- default priors are just that, default and they may not always be
> sensible for every case.
>
> Phillip
>
> On 05/17/2017 10:46 AM, Angelo D'Ambrosio wrote:
> > I use extensively Gelman's bayesglm for the every day use due to the
> great
> > stability of the estimates especially in the case of separation.
> >
> > I needed an equivalent of empirical bayesian regularization for glm mixed
> > effect models. These models are strongly influenced by extreme conditions
> > (like conditional probabilities of zero and separation) and like usual
> > logistic regression model they fail in these cases.
> >
> > I found the blme package that does exactly what I need, solving the
> > separation problem. Now the problem is to set it up in order to be work
> > exactly as bayesglm, in order to achieve consistency in my analysis.
> > Reading Gelman paper on bayesglm() I understood I should use a t
> > distribution with 1 df (eg. Cauchy) and 2.5 scale, rescaling inputs:
> >
> >     bglmer(Out ~ arm::rescale(Pred) + (1 | PatientID), family = binomial,
> > Data.events, fixef.prior = t(df = 1, scale = 2.5))
> >
> > Is it correct? My doubt is what to do with the cov.prior parameter;
> should
> > I leave it as default (wishart) or should I put it to NULL? Also in
> > Gelman's paper it is said that the intercept should have the same prior
> > distribution but with scale 10, and I don't know how to specify a
> different
> > prior for it.
> >
> > Also, I'm starting to think that bayesglm doesn't rescale the inputs
> > directly but scales the prior distribution according to the inputs. Am I
> > right?
> >
> > Can you help me with this?
> >
> > Thanks
> >
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> >
> > _______________________________________________
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> > https://stat.ethz.ch/mailman/listinfo/r-sig-mixed-models
> >
>

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