Visual MCMC diagnostics using the bayesplot package

mcmc_parcoord

The mcmc_parcoord plot shows one line per iteration, connecting the parameter values at this iteration. This lets you see global patterns in the divergences.

This function works in general without including information about the divergences, but if the optional np argument is used to pass NUTS parameter information, then divergences will be colored in the plot (by default in red).

color_scheme_set("darkgray")
mcmc_parcoord(posterior_cp, np = np_cp)

Here, you may notice that divergences in the centered parameterization happen exclusively when tau, the hierarchical standard deviation, goes near zero and the values of the thetas are essentially fixed. This makes tau immediately suspect. See Gabry et al. (2019) for another example of the parallel coordinates plot.

mcmc_pairs

The mcmc_pairs function can also be used to look at multiple parameters at once, but unlike mcmc_parcoord (which works well even when including several dozen parameters) mcmc_pairs is more useful for up to ~8 parameters. It shows univariate histograms and bivariate scatter plots for selected parameters and is especially useful in identifying collinearity between variables (which manifests as narrow bivariate plots) as well as the presence of multiplicative non-identifiabilities (banana-like shapes).

Let’s look at how tau interacts with other variables, using only one of the thetas to keep the plot readable:

mcmc_pairs(posterior_cp, np = np_cp, pars = c("mu","tau","theta[1]"),
           off_diag_args = list(size = 0.75))

Note that each bivariate plot is present twice – by default each of those contain half of the chains, so you also get to see if the chains produced similar results (see the documentation for the condition argument for other options). Here, the interaction of tau and theta[1] seems most interesting, as it concentrates the divergences into a tight region.

Further examples of pairs plots and instructions for using the various optional arguments to mcmc_pairs are provided via help("mcmc_pairs").

mcmc_scatter

Using the mcmc_scatter function (with optional argument np) we can look at a single bivariate plot to investigate it more closely. For hierarchical models, a good place to start is to plot a “local” parameter (theta[j]) against a “global” scale parameter on which it depends (tau).

We will also use the transformations argument to look at the log of tau, as this is what Stan is doing under the hood for parameters like tau that have a lower bound of zero. That is, even though the draws for tau returned from Stan are all positive, the parameter space that the Markov chains actual explore is unconstrained. Transforming tau is not strictly necessary for the plot (often the plot is still useful without it) but plotting in the unconstrained is often even more informative.

First the plot for the centered parameterization:

# assign to an object so we can reuse later
scatter_theta_cp <- mcmc_scatter(
  posterior_cp, 
  pars = c("theta[1]", "tau"), 
  transform = list(tau = "log"), # can abbrev. 'transformations'
  np = np_cp, 
  size = 1
)
scatter_theta_cp

The shape of this bivariate distribution resembles a funnel (or tornado). This one in particular is essentially the same as an example referred to as Neal’s funnel (details in the Stan manual) and it is a clear indication that the Markov chains are struggling to explore the tip of the funnel, which is narrower than the rest of the space.

The main problem is that large steps are required to explore the less narrow regions efficiently, but those steps become too large for navigating the narrow region. The required step size is connected to the value of tau. When tau is large it allows for large variation in theta (and requires large steps) while small tau requires small steps in theta.

The non-centered parameterization avoids this by sampling the eta parameter which, unlike theta, is a priori independent of tau. Then theta is computed deterministically from the parameters eta, mu and tau afterwards. Here’s the same plot as above, but with eta[1] from non-centered parameterization instead of theta[1] from the centered parameterization:

scatter_eta_ncp <- mcmc_scatter(
  posterior_ncp, 
  pars = c("eta[1]", "tau"), 
  transform = list(tau = "log"), 
  np = np_ncp, 
  size = 1
)
scatter_eta_ncp

We can see that the funnel/tornado shape is replaced by a somewhat Gaussian blob/cloud and the divergences go away. Gabry et al. (2019) has further discussion of this example.

Ultimately we only care about eta insofar as it enables the Markov chains to better explore the posterior, so let’s directly examine how much more exploration was possible after the reparameterization. For the non-centered parameterization we can make the same scatterplot but use the values of theta[1] = mu + eta[1] * tau instead of eta[1]. Below is a side by side comparison with the scatterplot of theta[1] vs log(tau) from the centered parameterization that we made above. We will also force the plots to have the same \(y\)-axis limits, which will make the most important difference much more apparent:

# A function we'll use several times to plot comparisons of the centered 
# parameterization (cp) and the non-centered parameterization (ncp). See
# help("bayesplot_grid") for details on the bayesplot_grid function used here.
compare_cp_ncp <- function(cp_plot, ncp_plot, ncol = 2, ...) {
  bayesplot_grid(
    cp_plot, ncp_plot, 
    grid_args = list(ncol = ncol),
    subtitles = c("Centered parameterization", 
                  "Non-centered parameterization"),
    ...
  )
}


scatter_theta_ncp <- mcmc_scatter(
  posterior_ncp, 
  pars = c("theta[1]", "tau"), 
  transform = list(tau = "log"), 
  np = np_ncp, 
  size = 1
)

compare_cp_ncp(scatter_theta_cp, scatter_theta_ncp, ylim = c(-8, 4))

Once we transform the eta values into theta values we actually see an even more pronounced funnel/tornado shape than we have with the centered parameterization. But this is precisely what we want! The non-centered parameterization allowed us to obtain draws from the funnel distribution without having to directly navigate the curvature of the funnel. With the centered parameterization the chains never could make it into the neck of funnel and we see a clustering of divergences and no draws in the tail of the distribution.

mcmc_trace

Another useful diagnostic plot is the trace plot, which is a time series plot of the Markov chains. That is, a trace plot shows the evolution of parameter vector over the iterations of one or many Markov chains. The np argument to the mcmc_trace function can be used to add a rug plot of the divergences to a trace plot of parameter draws. Typically we can see that at least one of the chains is getting stuck wherever there is a cluster of many red marks.

Here is the trace plot for the tau parameter from the centered parameterization:

color_scheme_set("mix-brightblue-gray")
mcmc_trace(posterior_cp, pars = "tau", np = np_cp) + 
  xlab("Post-warmup iteration")

The first thing to note is that all chains seem to be exploring the same region of parameter values, which is a good sign. But the plot is too crowded to help us diagnose divergences. We may however zoom in to investigate, using the window argument:

mcmc_trace(posterior_cp, pars = "tau", np = np_cp, window = c(300,500)) + 
  xlab("Post-warmup iteration")