# Graphical posterior predictive checks using the bayesplot package

#### 2016-12-19

This vignette focuses on graphical posterior predictive checks (PPC). Plots of parameter estimates from MCMC draws are covered in the separate vignette Plotting MCMC draws using the bayesplot package, and MCMC diagnostics are covered in Visual MCMC diagnostics using the bayesplot package.

## Overview

The bayesplot package provides various plotting functions for graphical posterior predictive checking, that is, creating graphical displays comparing observed data to simulated data from the posterior predictive distribution.

The idea behind posterior predictive checking is simple: if a model is a good fit then we should be able to use it to generate data that looks a lot like the data we observed.

#### Posterior predictive distribution

To generate the data used for posterior predictive checks (PPCs) we simulate from the posterior predictive distribution The posterior predictive distribution is the distribution of the outcome variable implied by a model after using the observed data $$y$$ (a vector of $$N$$ outcome values) to update our beliefs about unknown model parameters $$\theta$$. The posterior predictive distribution for observation $$\tilde{y}$$ can be written as $p(\tilde{y} \,|\, y) = \int p(\tilde{y} \,|\, \theta) \, p(\theta \,|\, y) \, d\theta.$ Typically we will also condition on $$X$$ (a matrix of predictor variables).

For each draw (simulation) $$s = 1, \ldots, S$$ of the parameters from the posterior distribution, $$\theta^{(s)} \sim p(\theta \,|\, y)$$, we draw an entire vector of $$N$$ outcomes $$\tilde{y}^{(s)}$$ from the posterior predictive distribution by simulating from the data model conditional on parameters $$\theta^{(s)}$$. The result is an $$S \times N$$ matrix of draws $$\tilde{y}$$.

When simulating from the posterior predictive distribution we can use either the same values of the predictors $$X$$ that we used when fitting the model or new observations of those predictors. When we use the same values of $$X$$ we denote the resulting simulations by $$y^{rep}$$, as they can be thought of as replications of the outcome $$y$$ rather than predictions for future observations ($$\tilde{y}$$ using predictors $$\tilde{X}$$). This corresponds to the notation from Gelman et. al. (2013) and is the notation used throughout the package documentation.

## Graphical posterior predictive checks

Using the replicated datasets drawn from the posterior predictive distribution, the functions in the bayesplot package create various graphical displays comparing the observed data $$y$$ to the replications. The names of the bayesplot plotting functions for posterior predictive checking all have the prefix ppc_.

To demonstrate some of the various PPCs that can be created with the bayesplot package we’ll use an example of comparing Poisson and Negative binomial regression models from the rstanarm package vignette stan_glm: GLMs for Count Data (Gabry and Goodrich, 2016).

We want to make inferences about the efficacy of a certain pest management system at reducing the number of roaches in urban apartments. […] The regression predictors for the model are the pre-treatment number of roaches roach1, the treatment indicator treatment, and a variable senior indicating whether the apartment is in a building restricted to elderly residents. Because the number of days for which the roach traps were used is not the same for all apartments in the sample, we include it as an exposure […].

First we fit a Poisson regression model with outcome variable y representing the roach count in each apartment at the end of the experiment.

library("rstanarm")

roaches$roach1 <- roaches$roach1 / 100 # pre-treatment number of roaches (in 100s)
fit_poisson <- stan_glm(
y ~ roach1 + treatment + senior,
data = roaches,
offset = log(exposure2),
prior = normal(0, 2.5),
prior_intercept = normal(0, 5),
chains = 4,
iter = 2000,
seed = 1111
)
print(fit_poisson)
stan_glm(formula = y ~ roach1 + treatment + senior, family = poisson(link = "log"),
data = roaches, offset = log(exposure2), chains = 4, iter = 2000,
seed = 1111, prior = normal(0, 2.5), prior_intercept = normal(0,
5))

Estimates:
(Intercept)  3.1    0.0
roach1       0.7    0.0
treatment   -0.5    0.0
senior      -0.4    0.0

Sample avg. posterior predictive
distribution of y (X = xbar):
mean_PPD 25.7    0.4

Observations: 262  Number of unconstrained parameters: 4 

We’ll also fit the negative binomial model that we’ll compare to the poisson:

fit_nb <- update(fit_poisson, family = "neg_binomial_2")
print(fit_nb)
stan_glm(formula = y ~ roach1 + treatment + senior, family = "neg_binomial_2",
data = roaches, offset = log(exposure2), chains = 4, iter = 2000,
seed = 1111, prior = normal(0, 2.5), prior_intercept = normal(0,
5))

Estimates:
(Intercept)     2.8    0.2
roach1          1.3    0.2
treatment      -0.8    0.2
senior         -0.3    0.3
overdispersion  0.3    0.0

Sample avg. posterior predictive
distribution of y (X = xbar):
mean_PPD 47.9   27.7

Observations: 262  Number of unconstrained parameters: 5 

In order to use the PPC functions from the bayesplot package we need a matrix of draws from the posterior predictive distribution. Since we fit the models using rstanarm we can use its posterior_predict function:

yrep_poisson <- posterior_predict(fit_poisson, draws = 500)
yrep_nb <- posterior_predict(fit_nb, draws = 500)
dim(yrep_poisson)
[1] 500 262
dim(yrep_nb)
[1] 500 262

For each of the yrep matrices, every row is a draw from the posterior predictive distribution, i.e. a vector with 262 elements, one for each of the data points in y.

### Histograms and density estimates

The first PPC we’ll look at is a comparison of the distribution of y and the distributions of some of the simulated datasets (rows) in the yrep matrix.

library("ggplot2")
library("bayesplot")

color_scheme_set("brightblue") # see help("bayesplot-colors")

y <- roaches$y ppc_dens_overlay(y, yrep_poisson[1:50, ]) In the plot above, the dark line is the distribution of the observed outcomes y and each of the 50 lighter lines is the kernel density estimate of one of the replications of y from the posterior predictive distribution (i.e., one of the rows in yrep). This plot makes it easy to see that this model fails to account for large proportion of zeros in y. That is, the model predicts fewer zeros than were actually observed. We could see the same thing by looking at separate histograms of y and some of the yrep datasets using the ppc_hist function: ppc_hist(y, yrep_poisson[1:5, ]) The same plot for the negative binomial model looks much different: ppc_hist(y, yrep_nb[1:5, ]) The negative binomial model does better handling the number of zeros in the data, but it occasionally predicts values that are way too large, which is why the x-axes extend to such high values in the plot and make it difficult to read. To see the predictions for the smaller values more clearly we can zoom in: ppc_hist(y, yrep_nb[1:5, ], binwidth = 20) + coord_cartesian(xlim = c(-1, 500)) ### Distributions of test statistics Another way to see that the Poisson model predicts too few zeros is to use the ppc_stat function to look at the distribution of the proportion of zeros over the replicated datasets from the posterior predictive distribution in yrep and compare to the proportion of observed zeros in y. First we define a function that takes a vector as input and returns the proportion of zeros: prop_zero <- function(x) mean(x == 0) prop_zero(y) # check proportion of zeros in y [1] 0.3587786 Then we can use this function as the stat argument to ppc_stat: ppc_stat(y, yrep_poisson, stat = "prop_zero") In the plot the dark line is at the value $$T(y)$$, i.e. the value of the test statistic computed from the observed $$y$$, in this case prop_zero(y) ( roughly 0.36). It’s hard to see because almost all the datasets in yrep have no zeros, but the lighter bar is actually a histogram of the the proportion of zeros in each of the replicated datasets. Here’s the same plot for the negative binomial model: ppc_stat(y, yrep_nb, stat = "prop_zero") Again we see that the negative binomial model does a much better job predicting the proportion of observed zeros than the Poisson. However, if we look instead at the distribution of the maximum value in the replications then we can see that the Poisson model makes more realistic predictions than the negative binomial: ppc_stat(y, yrep_poisson, stat = "max") ppc_stat(y, yrep_nb, stat = "max") ppc_stat(y, yrep_nb, stat = "max", binwidth = 100) + coord_cartesian(xlim = c(-1, 5000)) ### Other PPCs and PPCs by group There are many additional PPCs available, including plots of predictive intervals, distributions of predictive errors, and more. For links to the documentation for all of the various PPC plots see help("PPC-overview"). The available_ppc function can also be used to list the names of all PPC plotting functions: available_ppc() bayesplot PPC module: ppc_boxplot ppc_dens ppc_dens_overlay ppc_ecdf_overlay ppc_error_binned ppc_error_hist ppc_error_hist_grouped ppc_error_scatter ppc_error_scatter_avg ppc_error_scatter_avg_vs_x ppc_freqpoly ppc_freqpoly_grouped ppc_hist ppc_intervals ppc_intervals_grouped ppc_ribbon ppc_ribbon_grouped ppc_scatter ppc_scatter_avg ppc_scatter_avg_grouped ppc_stat ppc_stat_2d ppc_stat_freqpoly_grouped ppc_stat_grouped ppc_violin_grouped Many of the available PPCs can also be carried out within levels of a grouping variable. Any function for PPCs by group will have a name ending in _grouped and will accept an additional argument group. For example, ppc_stat_grouped is the same as ppc_stat except that the test statistics are computed within levels of the grouping variable and a separate plot is made for each level: ppc_stat_grouped(y, yrep_nb, group = roaches$treatment, stat = "prop_zero")

The full list of currently available _grouped functions is:

available_ppc(pattern = "_grouped")
bayesplot PPC module:
(matching pattern '_grouped')
ppc_error_hist_grouped
ppc_freqpoly_grouped
ppc_intervals_grouped
ppc_ribbon_grouped
ppc_scatter_avg_grouped
ppc_stat_freqpoly_grouped
ppc_stat_grouped
ppc_violin_grouped

## Providing an interface to bayesplot PPCs from another package

The bayesplot package provides the S3 generic function pp_check. Authors of R packages for Bayesian inference are encouraged to define methods for the fitted model objects created by their packages. This will hopefully be convenient for both users and developers and contribute to the use of the same naming conventions across many of the R packages for Bayesian data analysis.

To provide an interface to bayesplot from your package, you can very easily define a pp_check method (or multiple pp_check methods) for the fitted model objects created by your package. All a pp_check method needs to do is provide the y vector and yrep matrix arguments to the various plotting functions included in bayesplot.

### Defining a pp_check method

Here is an example for how to define a simple pp_check method in a package that creates fitted model objects of class "foo". We will define a method pp_check.foo that extracts the data y and the draws from the posterior predictive distribution yrep from an object of class "foo" and then calls one of the plotting functions from bayesplot.

Suppose that objects of class "foo" are lists with named components, two of which are y and yrep. Here’s a simple method pp_check.foo that offers the user the option of two different plots:

pp_check.foo <- function(object, ..., type = c("multiple", "overlaid")) {
y <- object[["y"]]
yrep <- object[["yrep"]]
switch(
match.arg(type),
multiple = ppc_hist(y, yrep[1:min(8, nrow(yrep)),, drop = FALSE]),
overlaid = ppc_dens_overlay(y, yrep)
)
}

To try out pp_check.foo we can just make a list with y and yrep components and give it class foo:

x <- list(y = rnorm(50), yrep = matrix(rnorm(5000), nrow = 100, ncol = 50))
class(x) <- "foo"
pp_check(x)

pp_check(x, type = "overlaid")

### Examples of pp_check methods in other packages

Several packages currently (or will soon) use this approach to provide an interface to bayesplot’s graphical posterior predictive checks. See, for example, the pp_check methods in the rstanarm and brms packages.

## References

Buerkner, P. (2016). brms: Bayesian Regression Models using Stan. R package version 0.10.0. https://CRAN.R-project.org/package=brms

Gabry, J., and Goodrich, B. (2016). rstanarm: Bayesian Applied Regression Modeling via Stan. R package version 2.11.1. http://mc-stan.org/interfaces/rstanarm.html

Gelman, A., Carlin, J. B., Stern, H. S., Dunson, D. B., Vehtari, A., and Rubin, D. B. (2013). Bayesian Data Analysis. Chapman & Hall/CRC Press, London, third edition.

Stan Development Team. (2016). Stan Modeling Language Users Guide and Reference Manual. http://mc-stan.org/documentation/