bayestestR (version 0.2.0)

p_direction: Probability of Direction (pd)

Description

Compute the Probability of Direction (pd, also known as the Maximum Probability of Effect - MPE). It varies between 50% and 100% and can be interpreted as the probability (expressed in percentage) that a parameter (described by its posterior distribution) is strictly positive or negative (whichever is the most probable). It is mathematically defined as the proportion of the posterior distribution that is of the median's sign. Altough differently expressed, this index is fairly similar (i.e., is strongly correlated) to the frequentist p-value.

Usage

p_direction(x, ...)
pd(x, ...)
# S3 method for numeric
p_direction(x, method = "direct", ...)
# S3 method for data.frame
p_direction(x, method = "direct", ...)
# S3 method for stanreg
p_direction(x, effects = c("fixed", "random", "all"),
  parameters = NULL, method = "direct", ...)
# S3 method for brmsfit
p_direction(x, effects = c("fixed", "random", "all"),
  component = c("conditional", "zi", "zero_inflated", "all"),
  parameters = NULL, method = "direct", ...)
# S3 method for BFBayesFactor
p_direction(x, method = "direct", ...)

Arguments

x

Vector representing a posterior distribution. Can also be a stanreg or brmsfit model.

...

Currently not used.

method

Can be "direct" or one of methods of density estimation, such as "kernel", "logspline" or "KernSmooth". If "direct" (default), the computation is based on the raw ratio of samples superior and inferior to 0. Else, the result is based on the Area under the Curve (AUC) of the estimated density function.

effects

Should results for fixed effects, random effects or both be returned? Only applies to mixed models. May be abbreviated.

parameters

Regular expression pattern that describes the parameters that should be returned. Meta-parameters (like lp__ or prior_) are filtered by default, so only parameters that typically appear in the summary() are returned. Use parameters to select specific parameters for the output.

component

Should results for all parameters, parameters for the conditional model or the zero-inflated part of the model be returned? May be abbreviated. Only applies to brms-models.

Details

What is the pd?

The Probability of Direction (pd) is an index of effect existence, ranging from 50% to 100%, representing the certainty with which an effect goes in a particular direction (i.e., is positive or negative). Beyond its simplicity of interpretation, understanding and computation, this index also presents other interesting properties:

• It is independent from the model: It is solely based on the posterior distributions and does not require any additional information from the data or the model.

• It is robust to the scale of both the response variable and the predictors.

• It is strongly correlated with the frequentist p-value, and can thus be used to draw parallels and give some reference to readers non-familiar with Bayesian statistics.

Relationship with the p-value

In most cases, it seems that the pd chas a direct correspondance with the frequentist one-sided p-value through the formula and to the two-sided p-value (the most commonly reported one) through the formula . Thus, a two-sided p-value of respectively .1, .05, .01 and .001 would correspond approximately to a pd of 95%, 97.5%, 99.5% and 99.95%.

Methods of computation

The most simple and direct way to compute the pd is to 1) look at the median's sign, 2) select the portion of the posterior of the same sign and 3) compute the percentage that this portion represents. This "simple" method is the most straigtfoward, but its precision is directly tied to the number of posterior draws. The second approach relies on density estimation. It starts by estimating the density function (for which many methods are available), and then computing the area under the curve (AUC) of the density curve on the other side of 0.

Examples

# NOT RUN {
library(bayestestR)

# Simulate a posterior distribution of mean 1 and SD 1
# ----------------------------------------------------
posterior <- rnorm(1000, mean = 1, sd = 1)
p_direction(posterior)
p_direction(posterior, method = "kernel")

# Simulate a dataframe of posterior distributions
# -----------------------------------------------
df <- data.frame(replicate(4, rnorm(100)))
p_direction(df)
p_direction(df, method = "kernel")
# }
# NOT RUN {
# rstanarm models
# -----------------------------------------------
library(rstanarm)
model <- rstanarm::stan_glm(mpg ~ wt + cyl, data = mtcars)
p_direction(model)
p_direction(model, method = "kernel")

# brms models
# -----------------------------------------------
library(brms)
model <- brms::brm(mpg ~ wt + cyl, data = mtcars)
p_direction(model)
p_direction(model, method = "kernel")

# BayesFactor objects
# -----------------------------------------------
library(BayesFactor)
bf <- ttestBF(x = rnorm(100, 1, 1))
p_direction(bf)
p_direction(bf, method = "kernel")
# }
# NOT RUN {
# }