Omiros Papaspiliopoulos and Gareth Roberts.
Stability of the Gibbs sampler for Bayesian hierarchical models.
Ann. Statist., 36(1):95-117, 2008.
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We characterize the convergence of the Gibbs sampler which samples from the joint posterior distribution of parameters and missing data in hierarchical linear models with arbitrary symmetric error distributions. We show that the convergence can be uniform, geometric or subgeometric depending on the relative tail behavior of the error distributions, and on the parametrization chosen. Our theory is applied to characterize the convergence of the Gibbs sampler on latent Gaussian process models. We indicate how the theoretical framework we introduce will be useful in analyzing more complex models.
Keywords: Geometric ergodicity; capacitance; collapsed Gibbs sampler; state-space models; parametrization; Bayesian robustness
Omiros Papaspiliopoulos and Matteo Ruggiero.
Optimal filtering and the dual process.
Bernoulli, to appear, 2013.
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We link optimal filtering for hidden Markov models to the notion of duality for Markov processes. We show that when the signal is dual to a Êprocess that has two components, one deterministic and one a pure death process, and with respect to functions that define changes of measure conjugate to the emission density, the filtering distributions evolve in the family of finite mixtures of such measures and the filter can be computed at a cost that is polynomial in the number of observations. Hence, for models in this framework, optimal filtering reduces to a version of the Baum-Welch filter. Special cases of our framework are the Kalman filter, but also models where the signal is the Cox-Ingersoll-Ross process and the one-dimensional Wright-Fisher process, which have been investigated before in the literature. The duals of these two processes that Êwe identify in this paper appear to be new in the literature. We also discuss the extensions of these results to an infinite-dimensional signal modelled as a Fleming-Viot process, and the connection of the duality framework we develop here and Kingman's coalescent.
Keywords: Auxiliary variables;Bayesian conjugacy;Dirichlet process;Finite mixture models;Cox-Ingersoll-Ross process;Hidden Markov model;Kalman filters
Sergios Agapiou, Johnathan Bardsley, Omiros Papaspiliopoulos, and Andrew M.
Analysis of the Gibbs sampler for hierarchical inverse problems.
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Many inverse problems arising in applications come from continuum models where the unknown parameter is a field. In practice the unknown field is discretized resulting in a problem in N, with an understanding that refining the discretization, that is increasing N, will often be desirable. In the context of Bayesian inversion this situation suggests the importance of two issues: (i) defining hyper-parameters in such a way that they are interpretable in the continuum limit N ->; (ii) understanding the efficiency of algorithms for probing the posterior distribution, as a function of large N. Here we address these two issues in the context of linear inverse problems subject to additive Gaussian noise within a hierarchical modelling framework based on a Gaussian prior for the unknown field and inverse-gamma priors for two hyper-parameters, the amplitude of the prior variance and of the observational noise variance. The structure of the model is such that the Gibbs sampler can be easily implemented for probing the posterior distribution. We show that as the dimension N grows, the behaviour of the algorithm has two scales: an increasingly fast for the amplitude of the noise variance and an increasingly slow for the amplitude of the prior variance. In other words, as N grows the Gibbs sampler convergence properties improve for sampling the amplitude of the noise variance and deteriorate for sampling the amplitude of the prior variance. We discuss a reparametrization of the prior variance that is robust with respect to the increase in dimension, preventing the slowing down.
Keywords: Gaussian process priors, Markov chain Monte Carlo, inverse covariance operators, hierarchical models, diffusion limit
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