We derive explicit asymptotic confidence intervals for any Markov chain Monte Carlo (MCMC) algorithm with finite asymptotic variance, started at any initial state, without requiring a Central Limit Theorem nor reversibility nor geometric ergodicity nor any bias bound. We also derive explicit non-asymptotic confidence intervals assuming bounds on the bias or first moment, or alternatively that the chain starts in stationarity. We relate those non-asymptotic bounds to properties of MCMC bias, and show that polynomially ergodicity implies certain bias bounds. We also apply our results to several numerical examples. It is our hope that these results will provide simple and useful tools for estimating errors of MCMC algorithms when CLTs are not available.
Morphological models are commonly used to describe microstructures observed in heterogeneous materials. Usually, these models depend upon a set of parameters that must be chosen carefully to match experimental observations conducted on the microstructure. A common approach to perform the parameters determination is to try to minimize an objective function, usually taken to be the discrepancy between measurements computed on the simulations and on the experimental observations, respectively. In this article, we present a Bayesian approach for determining the parameters of morphological models, based upon the definition of a posterior distribution for the parameters. A Monte Carlo Markov Chains (MCMC) algorithm is then used to generate samples from the posterior distribution and to identify a set of optimal parameters. We show on several examples that the Bayesian approach allows us to properly identify the optimal parameters of distinct morphological models and to identify potential correlations between the parameters of the models.
The application of the Bootstrap-Metropolis-Hastings algorithm is limited to fixed dimension models. In various fields, data often has a variable dimension model. The Laplacian autoregressive (AR) model includes a variable dimension model so that the Bootstrap-Metropolis-Hasting algorithm cannot be applied. This article aims to develop a Bootstrap reversible jump Markov Chain Monte Carlo (MCMC) algorithm to estimate the Laplacian AR model. The parameters of the Laplacian AR model were estimated using a Bayesian approach. The posterior distribution has a complex structure so that the Bayesian estimator cannot be calculated analytically. The Bootstrap-reversible jump MCMC algorithm was applied to calculate the Bayes estimator. This study provides a procedure for estimating the parameters of the Laplacian AR model. Algorithm performance was tested using simulation studies. Furthermore, the algorithm is applied to the finance sector to predict stock price on the stock market. In general, this study can be useful for decision makers in predicting future events. The novelty of this study is the triangulation between the bootstrap algorithm and the reversible jump MCMC algorithm. The Bootstrap-reversible jump MCMC algorithm is useful especially when the data is large and the data has a variable dimension model. The study can be extended to the Laplacian Autoregressive Moving Average (ARMA) model.
AbstractA common task in experimental sciences is to fit mathematical models to real-world measurements to improve understanding of natural phenomenon (reverse-engineering or inverse modelling). When complex dynamical systems are considered, such as partial differential equations, this task may become challenging or ill-posed. In this work, a linear parabolic equation is considered as a model for protein transcription from MRNA. The objective is to estimate jointly the differential operator coefficients, namely the rates of diffusion and self-regulation, as well as a functional source. The recent Bayesian methodology for infinite dimensional inverse problems is applied, providing a unique posterior distribution on the parameter space continuous in the data. This posterior is then summarized using a Maximum a Posteriori estimator. Finally, the theoretical solution is illustrated using a state-of-the-art MCMC algorithm adapted to this non-Gaussian setting.
We generalize the Gaussian Mixture Autoregressive (GMAR) model to the Fisher’s z Mixture Autoregressive (ZMAR) model for modeling nonlinear time series. The model consists of a mixture of K-component Fisher’s z autoregressive models with the mixing proportions changing over time. This model can capture time series with both heteroskedasticity and multimodal conditional distribution, using Fisher’s z distribution as an innovation in the MAR model. The ZMAR model is classified as nonlinearity in the level (or mode) model because the mode of the Fisher’s z distribution is stable in its location parameter, whether symmetric or asymmetric. Using the Markov Chain Monte Carlo (MCMC) algorithm, e.g., the No-U-Turn Sampler (NUTS), we conducted a simulation study to investigate the model performance compared to the GMAR model and Student t Mixture Autoregressive (TMAR) model. The models are applied to the daily IBM stock prices and the monthly Brent crude oil prices. The results show that the proposed model outperforms the existing ones, as indicated by the Pareto-Smoothed Important Sampling Leave-One-Out cross-validation (PSIS-LOO) minimum criterion.
A mixture cognitive diagnosis model (CDM), which is called mixture multiple strategy-Deterministic, Inputs, Noisy “and” Gate (MMS-DINA) model, is proposed to investigate individual differences in the selection of response categories in multiple-strategy items. The MMS-DINA model system is an effective psychometric and statistical approach consisting of multiple strategies for practical skills diagnostic testing, which not only allows for multiple strategies of problem solving, but also allows for different strategies to be associated with different levels of difficulty. A Markov chain Monte Carlo (MCMC) algorithm for parameter estimation is given to estimate model, and four simulation studies are presented to evaluate the performance of the MCMC algorithm. Based on the available MCMC outputs, two Bayesian model selection criteria are computed for guiding the choice of the single strategy DINA model and multiple strategy DINA models. An analysis of fraction subtraction data is provided as an illustration example.
We use a historical data about breathlessness in British coal miners to compare two methods centered around a differential equation for deriving the age-specific incidence from aggregated current status data with age information, i.e. age-specific prevalence data. Special focus is put on estimating confidence bounds. For this, we derive a maximum likelihood (ML) estimator for estimating the age-specific incidence from the prevalence data and confidence bounds are calculated based on classical ML theory. Second, we construct a Markov-Chain-Monte-Carlo (MCMC) algorithm to estimate confidence bounds, which implements a weighted version of the differential equation into the prior of the MCMC algorithm. The confidence bounds for both methods are compared and it turns out that the MCMC estimates approach the ML estimates if the prior gives strong weight to the differential equation.
Markov Chain Confidence Intervals and Biases