Gaussianisation for fast and accurate inference from cosmological data

We present a method to transform multivariate unimodal non-Gaussian posterior probability densities into approximately Gaussian ones via non-linear mappings, such as Box--Cox transformations and generalisations thereof. This permits an analytical reconstruction of the posterior from a point sample, like a Markov chain, and simplifies the subsequent joint analysis with other experiments. This way, a multivariate posterior density can be reported efficiently, by compressing the information contained in MCMC samples. Further, the model evidence integral (i.e. the marginal likelihood) can be computed analytically. This method is analogous to the search for normal parameters in the cosmic microwave background, but is more general. The search for the optimally Gaussianising transformation is performed computationally through a maximum-likelihood formalism; its quality can be judged by how well the credible regions of the posterior are reproduced. We demonstrate that our method outperforms kernel density estimates in this objective. Further, we select marginal posterior samples from Planck data with several distinct strongly non-Gaussian features, and verify the reproduction of the marginal contours. To demonstrate evidence computation, we Gaussianise the joint distribution of data from weak lensing and baryon acoustic oscillations (BAO), for different cosmological models, and find a preference for flat $\Lambda$CDM. Comparing to values computed with the Savage-Dickey density ratio, and Population Monte Carlo, we find good agreement of our method within the spread of the other two.Comment: 14 pages, 9 figure

The Bivariate Normal Copula

We collect well known and less known facts about the bivariate normal distribution and translate them into copula language. In addition, we prove a very general formula for the bivariate normal copula, we compute Gini's gamma, and we provide improved bounds and approximations on the diagonal.Comment: 24 page

On the estimation of normal copula discrete regression models using the continuous extension and simulated likelihood

The continuous extension of a discrete random variable is amongst the computational methods used for estimation of multivariate normal copula-based models with discrete margins. Its advantage is that the likelihood can be derived conveniently under the theory for copula models with continuous margins, but there has not been a clear analysis of the adequacy of this method. We investigate the asymptotic and small-sample efficiency of two variants of the method for estimating the multivariate normal copula with univariate binary, Poisson, and negative binomial regressions, and show that they lead to biased estimates for the latent correlations, and the univariate marginal parameters that are not regression coefficients. We implement a maximum simulated likelihood method, which is based on evaluating the multidimensional integrals of the likelihood with randomized quasi Monte Carlo methods. Asymptotic and small-sample efficiency calculations show that our method is nearly as efficient as maximum likelihood for fully specified multivariate normal copula-based models. An illustrative example is given to show the use of our simulated likelihood method

Mixed models for longitudinal left-censored repeated measures

Longitudinal studies could be complicated by left-censored repeated measures. For example, in Human Immunodeficiency Virus infection, there is a detection limit of the assay used to quantify the plasma viral load. Simple imputation of the limit of the detection or of half of this limit for left-censored measures biases estimations and their standard errors. In this paper, we review two likelihood-based methods proposed to handle left-censoring of the outcome in linear mixed model. We show how to fit these models using SAS Proc NLMIXED and we compare this tool with other programs. Indications and limitations of the programs are discussed and an example in the field of HIV infection is shown

A New Monte Carlo Based Algorithm for the Gaussian Process Classification Problem

Gaussian process is a very promising novel technology that has been applied to both the regression problem and the classification problem. While for the regression problem it yields simple exact solutions, this is not the case for the classification problem, because we encounter intractable integrals. In this paper we develop a new derivation that transforms the problem into that of evaluating the ratio of multivariate Gaussian orthant integrals. Moreover, we develop a new Monte Carlo procedure that evaluates these integrals. It is based on some aspects of bootstrap sampling and acceptancerejection. The proposed approach has beneficial properties compared to the existing Markov Chain Monte Carlo approach, such as simplicity, reliability, and speed

Optimized recentered confidence spheres for the multivariate normal mean

Casella and Hwang, 1983, JASA, introduced a broad class of recentered confidence spheres for the mean $\boldsymbol{\theta}$ of a multivariate normal distribution with covariance matrix $\sigma^2 \boldsymbol{I}$, for $\sigma^2$ known. Both the center and radius functions of these confidence spheres are flexible functions of the data. For the particular case of confidence spheres centered on the positive-part James-Stein estimator and with radius determined by empirical Bayes considerations, they show numerically that these confidence spheres have the desired minimum coverage probability $1-\alpha$ and dominate the usual confidence sphere in terms of scaled volume. We shift the focus from the scaled volume to the scaled expected volume of the recentered confidence sphere. Since both the coverage probability and the scaled expected volume are functions of the Euclidean norm of $\boldsymbol{\theta}$, it is feasible to optimize the performance of the recentered confidence sphere by numerically computing both the center and radius functions so as to optimize some clearly specified criterion. We suppose that we have uncertain prior information that $\boldsymbol{\theta}= \boldsymbol{0}$. This motivates us to determine the center and radius functions of the confidence sphere by numerical minimization of the scaled expected volume of the confidence sphere at $\boldsymbol{\theta}= \boldsymbol{0}$, subject to the constraints that (a) the coverage probability never falls below $1-\alpha$ and (b) the radius never exceeds the radius of the standard $1-\alpha$ confidence sphere. Our results show that, by focusing on this clearly specified criterion, significant gains in performance (in terms of this criterion) can be achieved. We also present analogous results for the much more difficult case that $\sigma^2$ is unknown.Comment: arXiv admin note: text overlap with arXiv:1306.241