Appendix G — Introduction to Bayesian inference

Published

Last modified: 2026-01-09: 2:28:13 (AM)

Configuring R

Functions from these packages will be used throughout this document:

Show R code
library(conflicted) # check for conflicting function definitions
# library(printr) # inserts help-file output into markdown output
library(rmarkdown) # Convert R Markdown documents into a variety of formats.
library(pander) # format tables for markdown
library(ggplot2) # graphics
library(ggfortify) # help with graphics
library(dplyr) # manipulate data
library(tibble) # `tibble`s extend `data.frame`s
library(magrittr) # `%>%` and other additional piping tools
library(haven) # import Stata files
library(knitr) # format R output for markdown
library(tidyr) # Tools to help to create tidy data
library(plotly) # interactive graphics
library(dobson) # datasets from Dobson and Barnett 2018
library(parameters) # format model output tables for markdown
library(haven) # import Stata files
library(latex2exp) # use LaTeX in R code (for figures and tables)
library(fs) # filesystem path manipulations
library(survival) # survival analysis
library(survminer) # survival analysis graphics
library(KMsurv) # datasets from Klein and Moeschberger
library(parameters) # format model output tables for
library(webshot2) # convert interactive content to static for pdf
library(forcats) # functions for categorical variables ("factors")
library(stringr) # functions for dealing with strings
library(lubridate) # functions for dealing with dates and times

Here are some R settings I use in this document:

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rm(list = ls()) # delete any data that's already loaded into R

conflicts_prefer(dplyr::filter)
ggplot2::theme_set(
  ggplot2::theme_bw() + 
        # ggplot2::labs(col = "") +
    ggplot2::theme(
      legend.position = "bottom",
      text = ggplot2::element_text(size = 12, family = "serif")))

knitr::opts_chunk$set(message = FALSE)
options('digits' = 6)

panderOptions("big.mark", ",")
pander::panderOptions("table.emphasize.rownames", FALSE)
pander::panderOptions("table.split.table", Inf)
conflicts_prefer(dplyr::filter) # use the `filter()` function from dplyr() by default
legend_text_size = 9
run_graphs = TRUE

Suppose \(X_1,...,X_n \ \sim_{\text{iid}}\ N(M,1)\)

Suppose \(M \sim N(0, 1)\).

Then: \[ \begin{aligned} p(M=\mu|X=x) &\propto p(M=\mu, X=x)\\ &= p(X=x|M=\mu) p(M=\mu)\\ &\propto \text{exp}{\left\{-\frac{1}{2}n\mu^2 - 2\mu n\bar{x}\right\}} \text{exp}{\left\{-\frac{1}{2} \mu^2\right\}}\\ &= \text{exp}{\left\{-\frac{1}{2}(n+1)\mu^2 - 2\mu n\bar{x}\right\}}\\ &\propto \text{exp}{\left\{-\frac{1}{2}(n+1)(\mu - \frac{n}{n+1}\bar{x})^2\right\}} \end{aligned} \] So: \[p(M=\mu|X=x) \sim N(\frac{n}{n+1}\bar{x}, (n+1)^{-1})\]

Let’s put this in perspective.

Here’s a frequentist CI:

Show R code
set.seed(1)
mu <- 2
sigma <- 1
n <- 20
x <- rnorm(n = n, mean = mu, sd = sigma)
xbar <- mean(x)
se <- sigma / sqrt(n)
CI_freq <- xbar + se * qnorm(c(.025, .975))
print(CI_freq)
#> [1] 1.75226 2.62879
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lik0 <- function(mu) dnorm(x = x, mean = mu, sd = 1) |> prod()
lik <- function(mu) {
  (2 * pi * sigma^2)^(-n / 2) *
    exp(
      -1 / (2 * sigma^2) *
        (sum(x^2) - 2 * mu * sum(x) + n * (mu^2))
    )
}
library(ggplot2)
ngraph <- 1001
plot1 <- ggplot() +
  geom_function(fun = lik, aes(col = "likelihood"), n = ngraph) +
  xlim(c(-5, 10)) +
  theme_bw() +
  labs(col = "") +
  theme(legend.position = "bottom")
print(plot1)

Here’s a Bayesian CI:

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mu_prior_mean <- 0
mu_prior_sd <- 1
mu_post_mean <- n / (n + 1) * xbar
mu_post_var <- 1 / (n + 1)
mu_post_sd <- sqrt(mu_post_var)
CI_bayes <- qnorm(
  p = c(.025, .975),
  mean = mu_post_mean,
  sd = mu_post_sd
)
print(CI_bayes)
#> [1] 1.65851 2.51391
prior <- function(mu) dnorm(mu, mean = mu_prior_mean, sd = mu_prior_sd)
posterior <- function(mu) dnorm(mu, mean = mu_post_mean, sd = mu_post_sd)
plot2 <- plot1 +
  geom_function(fun = prior, aes(col = "prior"), n = ngraph) +
  geom_function(fun = posterior, aes(col = "posterior"), n = ngraph)
print(plot2 + scale_y_log10())

Here’s \(p(M \in (l(x),r(x))|X=x)\):

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pr_in_CI <- pnorm(
  CI_freq,
  mean = mu_post_mean,
  sd = mu_post_sd
) |> diff()
print(pr_in_CI)
#> [1] 0.930583

G.1 Example with JAGS

This example demonstrates Bayesian inference using JAGS (Just Another Gibbs Sampler) for a simple Bernoulli model from Dobson’s text.

G.1.1 Load Required Packages

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library(rjags)
library(runjags)
runjags::findJAGS()
#> [1] "/usr/bin/jags"

G.1.2 Run the JAGS Model

We’ll use a simple Bernoulli model to estimate a probability parameter using Bayesian inference.

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# JAGS chain initialization function
initsfunction <- function(chain) {
  stopifnot(chain %in% (1:4)) # max 4 chains allowed
  rng_seed <- (1:4)[chain]
  rng_name <- c(
    "base::Wichmann-Hill", "base::Marsaglia-Multicarry",
    "base::Super-Duper", "base::Mersenne-Twister"
  )[chain]
  return(list(".RNG.seed" = rng_seed, ".RNG.name" = rng_name))
}

# Generate sample data
set.seed(1)
data1 <- rbinom(n = 91, size = 1, prob = .6)

# Run JAGS model
jags_post0 <- run.jags(
  n.chains = 2,
  inits = initsfunction,
  model = system.file("extdata/model.dobson.jags", package = "rme"),
  data = list(r = data1, N = length(data1)),
  monitor = "p"
)
#> Compiling rjags model...
#> Calling the simulation using the rjags method...
#> Note: the model did not require adaptation
#> Burning in the model for 4000 iterations...
#> Running the model for 10000 iterations...
#> Simulation complete
#> Calculating summary statistics...
#> Calculating the Gelman-Rubin statistic for 1 variables....
#> Finished running the simulation

G.1.3 Examine Results

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jags_post0$mcmc |> as.array() |> head()
#>       chain
#> iter       [,1]     [,2]
#>   5001 0.584687 0.550332
#>   5002 0.576621 0.562455
#>   5003 0.651983 0.628144
#>   5004 0.598258 0.604274
#>   5005 0.611863 0.583400
#>   5006 0.565635 0.606325

G.2 Other resources

UC Davis courses

  • STA 015C: “Introduction to Statistical Data Science III”
  • STA 035C: “Statistical Data Science III”
  • STA 145: “Bayesian Statistical Inference”
  • ECL 234: “Bayesian Models - A Statistical Primer”
  • PLS 207: “Applied Statistical Modeling for the Environmental Sciences”
  • PSC 205H: “Applied Bayesian Statistics for Social Scientists”
  • POL 280: “Bayesian Methods: for Social & Behavioral Sciences”
  • BAX 442: “Advanced Statistics”

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