25,090 research outputs found
Latent Gaussian modeling and INLA: A review with focus on space-time applications
Bayesian hierarchical models with latent Gaussian layers have proven very
flexible in capturing complex stochastic behavior and hierarchical structures
in high-dimensional spatial and spatio-temporal data. Whereas simulation-based
Bayesian inference through Markov Chain Monte Carlo may be hampered by slow
convergence and numerical instabilities, the inferential framework of
Integrated Nested Laplace Approximation (INLA) is capable to provide accurate
and relatively fast analytical approximations to posterior quantities of
interest. It heavily relies on the use of Gauss-Markov dependence structures to
avoid the numerical bottleneck of high-dimensional nonsparse matrix
computations. With a view towards space-time applications, we here review the
principal theoretical concepts, model classes and inference tools within the
INLA framework. Important elements to construct space-time models are certain
spatial Mat\'ern-like Gauss-Markov random fields, obtained as approximate
solutions to a stochastic partial differential equation. Efficient
implementation of statistical inference tools for a large variety of models is
available through the INLA package of the R software. To showcase the practical
use of R-INLA and to illustrate its principal commands and syntax, a
comprehensive simulation experiment is presented using simulated non Gaussian
space-time count data with a first-order autoregressive dependence structure in
time
Hidden Gibbs random fields model selection using Block Likelihood Information Criterion
Performing model selection between Gibbs random fields is a very challenging
task. Indeed, due to the Markovian dependence structure, the normalizing
constant of the fields cannot be computed using standard analytical or
numerical methods. Furthermore, such unobserved fields cannot be integrated out
and the likelihood evaluztion is a doubly intractable problem. This forms a
central issue to pick the model that best fits an observed data. We introduce a
new approximate version of the Bayesian Information Criterion. We partition the
lattice into continuous rectangular blocks and we approximate the probability
measure of the hidden Gibbs field by the product of some Gibbs distributions
over the blocks. On that basis, we estimate the likelihood and derive the Block
Likelihood Information Criterion (BLIC) that answers model choice questions
such as the selection of the dependency structure or the number of latent
states. We study the performances of BLIC for those questions. In addition, we
present a comparison with ABC algorithms to point out that the novel criterion
offers a better trade-off between time efficiency and reliable results
The rational SPDE approach for Gaussian random fields with general smoothness
A popular approach for modeling and inference in spatial statistics is to
represent Gaussian random fields as solutions to stochastic partial
differential equations (SPDEs) of the form , where
is Gaussian white noise, is a second-order differential
operator, and is a parameter that determines the smoothness of .
However, this approach has been limited to the case ,
which excludes several important models and makes it necessary to keep
fixed during inference.
We propose a new method, the rational SPDE approach, which in spatial
dimension is applicable for any , and thus remedies
the mentioned limitation. The presented scheme combines a finite element
discretization with a rational approximation of the function to
approximate . For the resulting approximation, an explicit rate of
convergence to in mean-square sense is derived. Furthermore, we show that
our method has the same computational benefits as in the restricted case
. Several numerical experiments and a statistical
application are used to illustrate the accuracy of the method, and to show that
it facilitates likelihood-based inference for all model parameters including
.Comment: 28 pages, 4 figure
Spatial models generated by nested stochastic partial differential equations, with an application to global ozone mapping
A new class of stochastic field models is constructed using nested stochastic
partial differential equations (SPDEs). The model class is computationally
efficient, applicable to data on general smooth manifolds, and includes both
the Gaussian Mat\'{e}rn fields and a wide family of fields with oscillating
covariance functions. Nonstationary covariance models are obtained by spatially
varying the parameters in the SPDEs, and the model parameters are estimated
using direct numerical optimization, which is more efficient than standard
Markov Chain Monte Carlo procedures. The model class is used to estimate daily
ozone maps using a large data set of spatially irregular global total column
ozone data.Comment: Published in at http://dx.doi.org/10.1214/10-AOAS383 the Annals of
Applied Statistics (http://www.imstat.org/aoas/) by the Institute of
Mathematical Statistics (http://www.imstat.org
Multilevel Markov Chain Monte Carlo Method for High-Contrast Single-Phase Flow Problems
In this paper we propose a general framework for the uncertainty
quantification of quantities of interest for high-contrast single-phase flow
problems. It is based on the generalized multiscale finite element method
(GMsFEM) and multilevel Monte Carlo (MLMC) methods. The former provides a
hierarchy of approximations of different resolution, whereas the latter gives
an efficient way to estimate quantities of interest using samples on different
levels. The number of basis functions in the online GMsFEM stage can be varied
to determine the solution resolution and the computational cost, and to
efficiently generate samples at different levels. In particular, it is cheap to
generate samples on coarse grids but with low resolution, and it is expensive
to generate samples on fine grids with high accuracy. By suitably choosing the
number of samples at different levels, one can leverage the expensive
computation in larger fine-grid spaces toward smaller coarse-grid spaces, while
retaining the accuracy of the final Monte Carlo estimate. Further, we describe
a multilevel Markov chain Monte Carlo method, which sequentially screens the
proposal with different levels of approximations and reduces the number of
evaluations required on fine grids, while combining the samples at different
levels to arrive at an accurate estimate. The framework seamlessly integrates
the multiscale features of the GMsFEM with the multilevel feature of the MLMC
methods following the work in \cite{ketelson2013}, and our numerical
experiments illustrate its efficiency and accuracy in comparison with standard
Monte Carlo estimates.Comment: 29 pages, 6 figure
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