Bayesian analysis of generalized linear mixed models with JAGS

Play Bayesian analysis of generalized linear mixed models with JAGS
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Description

BUGS is a language for describing hierarchical Bayesian models which syntactically resembles R. BUGS allows large complex models to be built from smaller components. JAGS is a BUGS interpreter written in C++ which enables Bayesian inference using Markov Chain Monte Carlo (MCMC). Several R packages provide interfaces to JAGS (e.g. jags, runjags, R2jags, bayesmix, iBUGS, jagsUI, HydeNet). The efficiency of MCMC depends heavily on the sampling methods used. Therefore a key function of the JAGS interpreter is to identify design motifs in a large complex Bayesian model that have well-characterized MCMC solutions and apply the appropriate sampling methods. Generalized linear models (GLMs) form a recurring design motif in many hierarchical Bayesian models. Several data augmentation schemes have been proposed that reduce a GLM to a linear model and allow efficient sampling of the coefficients. These schemes are implemented in the glm module of JAGS. The glm module also includes an interface to the sparse matrix algebra library CHOLMOD, allowing the analysis of GLMs with sparse design matrices. The use of sparse matrices in a Bayesian GLM renders the distinction between ``fixed'' and ``random'' effects irrelevant and allows all coefficients of a generalized linear mixed model to be sampled in the same comprehensive framework.

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