Computational Bayesian Methods Applied to Complex Problems in Bio and Astro Statistics

In this dissertation we apply computational Bayesian methods to three distinct problems. In the first chapter, we address the issue of unrealistic covariance matrices used to estimate collision probabilities. We model covariance matrices with a Bayesian Normal-Inverse-Wishart model, which we fit with Gibbs sampling. In the second chapter, we are interested in determining the sample sizes necessary to achieve a particular interval width and establish non-inferiority in the analysis of prevalences using two fallible tests. To this end, we use a third order asymptotic approximation. In the third chapter, we wish to synthesize evidence across multiple domains in measurements taken longitudinally across time, featuring a substantial amount of structurally missing data, and fit the model with Hamiltonian Monte Carlo in a simulation to analyze how estimates of a parameter of interest change across sample sizes

Scalable Rejection Sampling for Bayesian Hierarchical Models

Bayesian hierarchical modeling is a popular approach to capturing unobserved heterogeneity across individual units. However, standard estimation methods such as Markov chain Monte Carlo (MCMC) can be impracticable for modeling outcomes from a large number of units. We develop a new method to sample from posterior distributions of Bayesian models, without using MCMC. Samples are independent, so they can be collected in parallel, and we do not need to be concerned with issues like chain convergence and autocorrelation. The algorithm is scalable under the weak assumption that individual units are conditionally independent, making it applicable for large datasets. It can also be used to compute marginal likelihoods

Bayesian emulation for optimization in multi-step portfolio decisions

We discuss the Bayesian emulation approach to computational solution of multi-step portfolio studies in financial time series. "Bayesian emulation for decisions" involves mapping the technical structure of a decision analysis problem to that of Bayesian inference in a purely synthetic "emulating" statistical model. This provides access to standard posterior analytic, simulation and optimization methods that yield indirect solutions of the decision problem. We develop this in time series portfolio analysis using classes of economically and psychologically relevant multi-step ahead portfolio utility functions. Studies with multivariate currency, commodity and stock index time series illustrate the approach and show some of the practical utility and benefits of the Bayesian emulation methodology.Comment: 24 pages, 7 figures, 2 table

Estimating the effect of joint interventions from observational data in sparse high-dimensional settings

We consider the estimation of joint causal effects from observational data. In particular, we propose new methods to estimate the effect of multiple simultaneous interventions (e.g., multiple gene knockouts), under the assumption that the observational data come from an unknown linear structural equation model with independent errors. We derive asymptotic variances of our estimators when the underlying causal structure is partly known, as well as high-dimensional consistency when the causal structure is fully unknown and the joint distribution is multivariate Gaussian. We also propose a generalization of our methodology to the class of nonparanormal distributions. We evaluate the estimators in simulation studies and also illustrate them on data from the DREAM4 challenge.Comment: 30 pages, 3 figures, 45 pages supplemen

A Generative Model of Natural Texture Surrogates

Natural images can be viewed as patchworks of different textures, where the local image statistics is roughly stationary within a small neighborhood but otherwise varies from region to region. In order to model this variability, we first applied the parametric texture algorithm of Portilla and Simoncelli to image patches of 64X64 pixels in a large database of natural images such that each image patch is then described by 655 texture parameters which specify certain statistics, such as variances and covariances of wavelet coefficients or coefficient magnitudes within that patch. To model the statistics of these texture parameters, we then developed suitable nonlinear transformations of the parameters that allowed us to fit their joint statistics with a multivariate Gaussian distribution. We find that the first 200 principal components contain more than 99% of the variance and are sufficient to generate textures that are perceptually extremely close to those generated with all 655 components. We demonstrate the usefulness of the model in several ways: (1) We sample ensembles of texture patches that can be directly compared to samples of patches from the natural image database and can to a high degree reproduce their perceptual appearance. (2) We further developed an image compression algorithm which generates surprisingly accurate images at bit rates as low as 0.14 bits/pixel. Finally, (3) We demonstrate how our approach can be used for an efficient and objective evaluation of samples generated with probabilistic models of natural images.Comment: 34 pages, 9 figure