5,756 research outputs found
Bayesian Nonparametric Hidden Semi-Markov Models
There is much interest in the Hierarchical Dirichlet Process Hidden Markov
Model (HDP-HMM) as a natural Bayesian nonparametric extension of the ubiquitous
Hidden Markov Model for learning from sequential and time-series data. However,
in many settings the HDP-HMM's strict Markovian constraints are undesirable,
particularly if we wish to learn or encode non-geometric state durations. We
can extend the HDP-HMM to capture such structure by drawing upon
explicit-duration semi-Markovianity, which has been developed mainly in the
parametric frequentist setting, to allow construction of highly interpretable
models that admit natural prior information on state durations.
In this paper we introduce the explicit-duration Hierarchical Dirichlet
Process Hidden semi-Markov Model (HDP-HSMM) and develop sampling algorithms for
efficient posterior inference. The methods we introduce also provide new
methods for sampling inference in the finite Bayesian HSMM. Our modular Gibbs
sampling methods can be embedded in samplers for larger hierarchical Bayesian
models, adding semi-Markov chain modeling as another tool in the Bayesian
inference toolbox. We demonstrate the utility of the HDP-HSMM and our inference
methods on both synthetic and real experiments
Equi-energy sampler with applications in statistical inference and statistical mechanics
We introduce a new sampling algorithm, the equi-energy sampler, for efficient
statistical sampling and estimation. Complementary to the widely used
temperature-domain methods, the equi-energy sampler, utilizing the
temperature--energy duality, targets the energy directly. The focus on the
energy function not only facilitates efficient sampling, but also provides a
powerful means for statistical estimation, for example, the calculation of the
density of states and microcanonical averages in statistical mechanics. The
equi-energy sampler is applied to a variety of problems, including exponential
regression in statistics, motif sampling in computational biology and protein
folding in biophysics.Comment: This paper discussed in: [math.ST/0611217], [math.ST/0611219],
[math.ST/0611221], [math.ST/0611222]. Rejoinder in [math.ST/0611224].
Published at http://dx.doi.org/10.1214/009053606000000515 in the Annals of
Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical
Statistics (http://www.imstat.org
Markov Chain Monte Carlo: Can We Trust the Third Significant Figure?
Current reporting of results based on Markov chain Monte Carlo computations
could be improved. In particular, a measure of the accuracy of the resulting
estimates is rarely reported. Thus we have little ability to objectively assess
the quality of the reported estimates. We address this issue in that we discuss
why Monte Carlo standard errors are important, how they can be easily
calculated in Markov chain Monte Carlo and how they can be used to decide when
to stop the simulation. We compare their use to a popular alternative in the
context of two examples.Comment: Published in at http://dx.doi.org/10.1214/08-STS257 the Statistical
Science (http://www.imstat.org/sts/) by the Institute of Mathematical
Statistics (http://www.imstat.org
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