scholarly journals Simple, scalable and accurate posterior interval estimation

Biometrika ◽  
2017 ◽  
Vol 104 (3) ◽  
pp. 665-680 ◽  
Author(s):  
Cheng Li ◽  
Sanvesh Srivastava ◽  
David B. Dunson
Keyword(s):  
Monte Carlo ◽  
Markov Chain ◽  
Markov Chain Monte Carlo ◽  
Interval Estimation ◽  
Real Data ◽  
Estimation Algorithm ◽  
Massive Datasets ◽  
Posterior Sampling ◽  
Credible Intervals ◽  
Sampling Algorithms

Summary Standard posterior sampling algorithms, such as Markov chain Monte Carlo procedures, face major challenges in scaling up to massive datasets. We propose a simple and general posterior interval estimation algorithm to rapidly and accurately estimate quantiles of the posterior distributions for one-dimensional functionals. Our algorithm runs Markov chain Monte Carlo in parallel for subsets of the data, and then averages quantiles estimated from each subset. We provide strong theoretical guarantees and show that the credible intervals from our algorithm asymptotically approximate those from the full posterior in the leading parametric order. Our algorithm has a better balance of accuracy and efficiency than its competitors across a variety of simulations and a real-data example.

Experiences With Markov Chain Monte Carlo Convergence Assessment in Two Psychometric Examples

2004 ◽  
Vol 29 (4) ◽  
pp. 461-488 ◽  
Author(s):  
Sandip Sinharay
Keyword(s):  
Monte Carlo ◽  
Markov Chain ◽  
Markov Chain Monte Carlo ◽  
Diagnostic Tool ◽  
Statistical Models ◽  
Real Data ◽  
Mcmc Algorithm ◽  
Mcmc Algorithms ◽  
Convergence Diagnostics ◽  
Number Of Iterations

There is an increasing use of Markov chain Monte Carlo (MCMC) algorithms for fitting statistical models in psychometrics, especially in situations where the traditional estimation techniques are very difficult to apply. One of the disadvantages of using an MCMC algorithm is that it is not straightforward to determine the convergence of the algorithm. Using the output of an MCMC algorithm that has not converged may lead to incorrect inferences on the problem at hand. The convergence is not one to a point, but that of the distribution of a sequence of generated values to another distribution, and hence is not easy to assess; there is no guaranteed diagnostic tool to determine convergence of an MCMC algorithm in general. This article examines the convergence of MCMC algorithms using a number of convergence diagnostics for two real data examples from psychometrics. Findings from this research have the potential to be useful to researchers using the algorithms. For both the examples, the number of iterations required (suggested by the diagnostics) to be reasonably confident that the MCMC algorithm has converged may be larger than what many practitioners consider to be safe.

scholarly journals A Study of Perks-II Distribution via Bayesian Paradigm

Pravaha ◽  
2018 ◽  
Vol 24 (1) ◽  
pp. 1-17
Author(s):  
A. K. Chaudhary
Keyword(s):  
Monte Carlo ◽  
Markov Chain ◽  
Markov Chain Monte Carlo ◽  
Bayesian Analysis ◽  
Real Data ◽  
Simulation Method ◽  
Mcmc Methods ◽  
Data Set ◽  
Bayesian Paradigm ◽  
Mcmc Simulation

In this paper, the Markov chain Monte Carlo (MCMC) method is used to estimate the parameters of Perks-II distribution based on a complete sample. The procedures are developed to perform full Bayesian analysis of the Perks-II distributions using Markov Chain Monte Carlo (MCMC) simulation method in OpenBUGS, established software for Bayesian analysis using Markov Chain Monte Carlo (MCMC) methods. We have obtained the Bayes estimates of the parameters, hazard and reliability functions, and their probability intervals are also presented. We have also discussed the issue of model compatibility for the given data set. A real data set is considered for illustration under gamma sets of priors.PravahaVol. 24, No. 1, 2018,page: 1-17 

scholarly journals A comparison of approximate versus exact techniques for Bayesian parameter inference in nonlinear ordinary differential equation models

2020 ◽  
Vol 7 (3) ◽  
pp. 191315
Author(s):  
Amani A. Alahmadi ◽  
Jennifer A. Flegg ◽  
Davis G. Cochrane ◽  
Christopher C. Drovandi ◽  
Jonathan M. Keith
Keyword(s):  
Monte Carlo ◽  
Markov Chain ◽  
Markov Chain Monte Carlo ◽  
Bayesian Inference ◽  
Sequential Monte Carlo ◽  
Simulated Data ◽  
Real Data ◽  
Nonlinear Ordinary Differential Equation ◽  
Unknown Parameters ◽  
Acceptance Probability

The behaviour of many processes in science and engineering can be accurately described by dynamical system models consisting of a set of ordinary differential equations (ODEs). Often these models have several unknown parameters that are difficult to estimate from experimental data, in which case Bayesian inference can be a useful tool. In principle, exact Bayesian inference using Markov chain Monte Carlo (MCMC) techniques is possible; however, in practice, such methods may suffer from slow convergence and poor mixing. To address this problem, several approaches based on approximate Bayesian computation (ABC) have been introduced, including Markov chain Monte Carlo ABC (MCMC ABC) and sequential Monte Carlo ABC (SMC ABC). While the system of ODEs describes the underlying process that generates the data, the observed measurements invariably include errors. In this paper, we argue that several popular ABC approaches fail to adequately model these errors because the acceptance probability depends on the choice of the discrepancy function and the tolerance without any consideration of the error term. We observe that the so-called posterior distributions derived from such methods do not accurately reflect the epistemic uncertainties in parameter values. Moreover, we demonstrate that these methods provide minimal computational advantages over exact Bayesian methods when applied to two ODE epidemiological models with simulated data and one with real data concerning malaria transmission in Afghanistan.

scholarly journals A Bayesian Analysis of Perks Distribution via Markov Chain Monte Carlo Simulation

2013 ◽  
Vol 14 (1) ◽  
pp. 153-166 ◽  
Author(s):  
Arun Kumar Chaudhary ◽  
Vijay Kumar
Keyword(s):  
Monte Carlo ◽  
Markov Chain ◽  
Markov Chain Monte Carlo ◽  
Bayesian Analysis ◽  
Real Data ◽  
Simulation Method ◽  
Complete Sample ◽  
Data Set ◽  
Mcmc Simulation ◽  
The Given

In this paper the Markov chain Monte Carlo (MCMC) method is used to estimate the parameters of Perks distribution based on a complete sample. The procedures are developed to perform full Bayesian analysis of the Perks distributions using MCMC simulation method in OpenBUGS. We obtained the Bayes estimates of the parameters, hazard and reliability functions, and their probability intervals are also presented. We also discussed the issue of model compatibility for the given data set. A real data set is considered for illustration under gamma sets of priors. Nepal Journal of Science and Technology Vol. 14, No. 1 (2013) 153-166 DOI: http://dx.doi.org/10.3126/njst.v14i1.8936

scholarly journals A Bayesian machine scientist to aid in the solution of challenging scientific problems

2020 ◽  
Vol 6 (5) ◽  
pp. eaav6971 ◽  
Author(s):  
Roger Guimerà ◽  
Ignasi Reichardt ◽  
Antoni Aguilar-Mogas ◽  
Francesco A. Massucci ◽  
Manuel Miranda ◽  
...  
Keyword(s):  
Social Sciences ◽  
Monte Carlo ◽  
Markov Chain ◽  
Markov Chain Monte Carlo ◽  
Mathematical Models ◽  
Real Data ◽  
Mathematical Expressions ◽  
The Social ◽  
The World ◽  
Out Of Sample

Closed-form, interpretable mathematical models have been instrumental for advancing our understanding of the world; with the data revolution, we may now be in a position to uncover new such models for many systems from physics to the social sciences. However, to deal with increasing amounts of data, we need “machine scientists” that are able to extract these models automatically from data. Here, we introduce a Bayesian machine scientist, which establishes the plausibility of models using explicit approximations to the exact marginal posterior over models and establishes its prior expectations about models by learning from a large empirical corpus of mathematical expressions. It explores the space of models using Markov chain Monte Carlo. We show that this approach uncovers accurate models for synthetic and real data and provides out-of-sample predictions that are more accurate than those of existing approaches and of other nonparametric methods.

scholarly journals Markov chain Monte Carlo for active module identification problem

2020 ◽  
Vol 21 (S6) ◽  
Author(s):  
Nikita Alexeev ◽  
Javlon Isomurodov ◽  
Vladimir Sukhov ◽  
Gennady Korotkevich ◽  
Alexey Sergushichev
Keyword(s):  
Monte Carlo ◽  
Markov Chain ◽  
Markov Chain Monte Carlo ◽  
Interaction Network ◽  
Real Data ◽  
Identification Problem ◽  
Classification Problem ◽  
Biological Data ◽  
Connected Subgraph ◽  
Computational Performance

Abstract Background Integrative network methods are commonly used for interpretation of high-throughput experimental biological data: transcriptomics, proteomics, metabolomics and others. One of the common approaches is finding a connected subnetwork of a global interaction network that best encompasses significant individual changes in the data and represents a so-called active module. Usually methods implementing this approach find a single subnetwork and thus solve a hard classification problem for vertices. This subnetwork inherently contains erroneous vertices, while no instrument is provided to estimate the confidence level of any particular vertex inclusion. To address this issue, in the current study we consider the active module problem as a soft classification problem. Results We propose a method to estimate probabilities of each vertex to belong to the active module based on Markov chain Monte Carlo (MCMC) subnetwork sampling. As an example of the performance of our method on real data, we run it on two gene expression datasets. For the first many-replicate expression dataset we show that the proposed approach is consistent with an existing resampling-based method. On the second dataset the jackknife resampling method is inapplicable due to the small number of biological replicates, but the MCMC method can be run and shows high classification performance. Conclusions The proposed method allows to estimate the probability that an individual vertex belongs to the active module as well as the false discovery rate (FDR) for a given set of vertices. Given the estimated probabilities, it becomes possible to provide a connected subgraph in a consistent manner for any given FDR level: no vertex can disappear when the FDR level is relaxed. We show, on both simulated and real datasets, that the proposed method has good computational performance and high classification accuracy.

Exact Markov Chain Monte Carlo Algorithms and Their Applications in Probabilistic Data Analysis and Inference

2009 ◽  
pp. 161-183
Author(s):  
Dominic Savio Lee
Keyword(s):  
Monte Carlo ◽  
Markov Chain ◽  
Data Analysis ◽  
Markov Chain Monte Carlo ◽  
Markov Chains ◽  
Stationary Distribution ◽  
Probabilistic Data ◽  
Perfect Sampling ◽  
Monte Carlo Algorithms ◽  
Sampling Algorithms

This chapter describes algorithms that use Markov chains for generating exact sample values from complex distributions, and discusses their use in probabilistic data analysis and inference. Its purpose is to disseminate these ideas more widely so that their use will become more widespread, thereby improving Monte Carlo simulation results and stimulating greater research interest in the algorithms themselves. The chapter begins by introducing Markov chain Monte Carlo (MCMC), which stems from the idea that sample values from a desired distribution f can be obtained from the stationary states of an ergodic Markov chain whose stationary distribution is f. To get sample values that have distribution f exactly, it is necessary to detect when the Markov chain has reached its stationary distribution. Under certain conditions, this can be achieved by means of coupled Markov chains—these conditions and the resulting exact MCMC or perfect sampling algorithms and their applications are described.

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