167 research outputs found

    Metropolis-Hastings within Partially Collapsed Gibbs Samplers

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    The Partially Collapsed Gibbs (PCG) sampler offers a new strategy for improving the convergence of a Gibbs sampler. PCG achieves faster convergence by reducing the conditioning in some of the draws of its parent Gibbs sampler. Although this can significantly improve convergence, care must be taken to ensure that the stationary distribution is preserved. The conditional distributions sampled in a PCG sampler may be incompatible and permuting their order may upset the stationary distribution of the chain. Extra care must be taken when Metropolis-Hastings (MH) updates are used in some or all of the updates. Reducing the conditioning in an MH within Gibbs sampler can change the stationary distribution, even when the PCG sampler would work perfectly if MH were not used. In fact, a number of samplers of this sort that have been advocated in the literature do not actually have the target stationary distributions. In this article, we illustrate the challenges that may arise when using MH within a PCG sampler and develop a general strategy for using such updates while maintaining the desired stationary distribution. Theoretical arguments provide guidance when choosing between different MH within PCG sampling schemes. Finally we illustrate the MH within PCG sampler and its computational advantage using several examples from our applied work

    MNP: R Package for Fitting the Multinomial Probit Model

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    MNP is a publicly available R package that fits the Bayesian multinomial probit model via Markov chain Monte Carlo. The multinomial probit model is often used to analyze the discrete choices made by individuals recorded in survey data. Examples where the multinomial probit model may be useful include the analysis of product choice by consumers in market research and the analysis of candidate or party choice by voters in electoral studies. The MNP software can also fit the model with different choice sets for each individual, and complete or partial individual choice orderings of the available alternatives from the choice set. The estimation is based on the efficient marginal data augmentation algorithm that is developed by Imai and van Dyk (2005).

    A Repelling-Attracting Metropolis Algorithm for Multimodality

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    Although the Metropolis algorithm is simple to implement, it often has difficulties exploring multimodal distributions. We propose the repelling-attracting Metropolis (RAM) algorithm that maintains the simple-to-implement nature of the Metropolis algorithm, but is more likely to jump between modes. The RAM algorithm is a Metropolis-Hastings algorithm with a proposal that consists of a downhill move in density that aims to make local modes repelling, followed by an uphill move in density that aims to make local modes attracting. The downhill move is achieved via a reciprocal Metropolis ratio so that the algorithm prefers downward movement. The uphill move does the opposite using the standard Metropolis ratio which prefers upward movement. This down-up movement in density increases the probability of a proposed move to a different mode. Because the acceptance probability of the proposal involves a ratio of intractable integrals, we introduce an auxiliary variable which creates a term in the acceptance probability that cancels with the intractable ratio. Using several examples, we demonstrate the potential for the RAM algorithm to explore a multimodal distribution more efficiently than a Metropolis algorithm and with less tuning than is commonly required by tempering-based methods

    Preprocessing Solar Images while Preserving their Latent Structure

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    Telescopes such as the Atmospheric Imaging Assembly aboard the Solar Dynamics Observatory, a NASA satellite, collect massive streams of high resolution images of the Sun through multiple wavelength filters. Reconstructing pixel-by-pixel thermal properties based on these images can be framed as an ill-posed inverse problem with Poisson noise, but this reconstruction is computationally expensive and there is disagreement among researchers about what regularization or prior assumptions are most appropriate. This article presents an image segmentation framework for preprocessing such images in order to reduce the data volume while preserving as much thermal information as possible for later downstream analyses. The resulting segmented images reflect thermal properties but do not depend on solving the ill-posed inverse problem. This allows users to avoid the Poisson inverse problem altogether or to tackle it on each of \sim10 segments rather than on each of \sim107^7 pixels, reducing computing time by a factor of \sim106^6. We employ a parametric class of dissimilarities that can be expressed as cosine dissimilarity functions or Hellinger distances between nonlinearly transformed vectors of multi-passband observations in each pixel. We develop a decision theoretic framework for choosing the dissimilarity that minimizes the expected loss that arises when estimating identifiable thermal properties based on segmented images rather than on a pixel-by-pixel basis. We also examine the efficacy of different dissimilarities for recovering clusters in the underlying thermal properties. The expected losses are computed under scientifically motivated prior distributions. Two simulation studies guide our choices of dissimilarity function. We illustrate our method by segmenting images of a coronal hole observed on 26 February 2015

    On methods for correcting for the look-elsewhere effect in searches for new physics

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    The search for new significant peaks over a energy spectrum often involves a statistical multiple hypothesis testing problem. Separate tests of hypothesis are conducted at different locations producing an ensemble of local p-values, the smallest of which is reported as evidence for the new resonance. Unfortunately, controlling the false detection rate (type I error rate) of such procedures may lead to excessively stringent acceptance criteria. In the recent physics literature, two promising statistical tools have been proposed to overcome these limitations. In 2005, a method to "find needles in haystacks" was introduced by Pilla et al. [1], and a second method was later proposed by Gross and Vitells [2] in the context of the "look elsewhere effect" and trial factors. We show that, for relatively small sample sizes, the former leads to an artificial inflation of statistical power that stems from an increase in the false detection rate, whereas the two methods exhibit similar performance for large sample sizes. We apply the methods to realistic simulations of the Fermi Large Area Telescope data, in particular the search for dark matter annihilation lines. Further, we discuss the counter-intutive scenario where the look-elsewhere corrections are more conservative than much more computationally efficient corrections for multiple hypothesis testing. Finally, we provide general guidelines for navigating the tradeoffs between statistical and computational efficiency when selecting a statistical procedure for signal detection

    MNP: R Package for Fitting the Multinomial Probit Model

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    MNP is a publicly available R package that fits the Bayesian multinomial probit model via Markov chain Monte Carlo. The multinomial probit model is often used to analyze the discrete choices made by individuals recorded in survey data. Examples where the multinomial probit model may be useful include the analysis of product choice by consumers in market research and the analysis of candidate or party choice by voters in electoral studies. The MNP software can also fit the model with different choice sets for each individual, and complete or partial individual choice orderings of the available alternatives from the choice set. The estimation is based on the efficient marginal data augmentation algorithm that is developed by Imai and van Dyk (2005)
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