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506
Markov chains for exploring posterior distributions
 Annals of Statistics
, 1994
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Cited by 1124 (6 self)
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Your use of the JSTOR archive indicates your acceptance of JSTOR's Terms and Conditions of Use, available at
Bayesian Density Estimation and Inference Using Mixtures
 Journal of the American Statistical Association
, 1994
"... We describe and illustrate Bayesian inference in models for density estimation using mixtures of Dirichlet processes. These models provide natural settings for density estimation, and are exemplified by special cases where data are modelled as a sample from mixtures of normal distributions. Efficien ..."
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Cited by 656 (18 self)
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We describe and illustrate Bayesian inference in models for density estimation using mixtures of Dirichlet processes. These models provide natural settings for density estimation, and are exemplified by special cases where data are modelled as a sample from mixtures of normal distributions. Efficient simulation methods are used to approximate various prior, posterior and predictive distributions. This allows for direct inference on a variety of practical issues, including problems of local versus global smoothing, uncertainty about density estimates, assessment of modality, and the inference on the numbers of components. Also, convergence results are established for a general class of normal mixture models. Keywords: Kernel estimation; Mixtures of Dirichlet processes; Multimodality; Normal mixtures; Posterior sampling; Smoothing parameter estimation * Michael D. Escobar is Assistant Professor, Department of Statistics and Department of Preventive Medicine and Biostatistics, University ...
Evaluating the Accuracy of SamplingBased Approaches to the Calculation of Posterior Moments
 IN BAYESIAN STATISTICS
, 1992
"... Data augmentation and Gibbs sampling are two closely related, samplingbased approaches to the calculation of posterior moments. The fact that each produces a sample whose constituents are neither independent nor identically distributed complicates the assessment of convergence and numerical accurac ..."
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Cited by 583 (14 self)
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Data augmentation and Gibbs sampling are two closely related, samplingbased approaches to the calculation of posterior moments. The fact that each produces a sample whose constituents are neither independent nor identically distributed complicates the assessment of convergence and numerical accuracy of the approximations to the expected value of functions of interest under the posterior. In this paper methods from spectral analysis are used to evaluate numerical accuracy formally and construct diagnostics for convergence. These methods are illustrated in the normal linear model with informative priors, and in the Tobitcensored regression model.
General methods for monitoring convergence of iterative simulations
 J. Comput. Graph. Statist
, 1998
"... We generalize the method proposed by Gelman and Rubin (1992a) for monitoring the convergence of iterative simulations by comparing between and within variances of multiple chains, in order to obtain a family of tests for convergence. We review methods of inference from simulations in order to develo ..."
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Cited by 532 (8 self)
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We generalize the method proposed by Gelman and Rubin (1992a) for monitoring the convergence of iterative simulations by comparing between and within variances of multiple chains, in order to obtain a family of tests for convergence. We review methods of inference from simulations in order to develop convergencemonitoring summaries that are relevant for the purposes for which the simulations are used. We recommend applying a battery of tests for mixing based on the comparison of inferences from individual sequences and from the mixture of sequences. Finally, we discuss multivariate analogues, for assessing convergence of several parameters simultaneously.
Markov chain monte carlo convergence diagnostics
 JASA
, 1996
"... A critical issue for users of Markov Chain Monte Carlo (MCMC) methods in applications is how to determine when it is safe to stop sampling and use the samples to estimate characteristics of the distribution of interest. Research into methods of computing theoretical convergence bounds holds promise ..."
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Cited by 369 (6 self)
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A critical issue for users of Markov Chain Monte Carlo (MCMC) methods in applications is how to determine when it is safe to stop sampling and use the samples to estimate characteristics of the distribution of interest. Research into methods of computing theoretical convergence bounds holds promise for the future but currently has yielded relatively little that is of practical use in applied work. Consequently, most MCMC users address the convergence problem by applying diagnostic tools to the output produced by running their samplers. After giving a brief overview of the area, we provide an expository review of thirteen convergence diagnostics, describing the theoretical basis and practical implementation of each. We then compare their performance in two simple models and conclude that all the methods can fail to detect the sorts of convergence failure they were designed to identify. We thus recommend a combination of strategies aimed at evaluating and accelerating MCMC sampler convergence, including applying diagnostic procedures to a small number of parallel chains, monitoring autocorrelations and crosscorrelations, and modifying parameterizations or sampling algorithms appropriately. We emphasize, however, that it is not possible to say with certainty that a finite sample from an MCMC algorithm is representative of an underlying stationary distribution. 1
Being Bayesian about network structure
 Machine Learning
, 2000
"... Abstract. In many multivariate domains, we are interested in analyzing the dependency structure of the underlying distribution, e.g., whether two variables are in direct interaction. We can represent dependency structures using Bayesian network models. To analyze a given data set, Bayesian model sel ..."
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Cited by 292 (4 self)
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Abstract. In many multivariate domains, we are interested in analyzing the dependency structure of the underlying distribution, e.g., whether two variables are in direct interaction. We can represent dependency structures using Bayesian network models. To analyze a given data set, Bayesian model selection attempts to find the most likely (MAP) model, and uses its structure to answer these questions. However, when the amount of available data is modest, there might be many models that have nonnegligible posterior. Thus, we want compute the Bayesian posterior of a feature, i.e., the total posterior probability of all models that contain it. In this paper, we propose a new approach for this task. We first show how to efficiently compute a sum over the exponential number of networks that are consistent with a fixed order over network variables. This allows us to compute, for a given order, both the marginal probability of the data and the posterior of a feature. We then use this result as the basis for an algorithm that approximates the Bayesian posterior of a feature. Our approach uses a Markov Chain Monte Carlo (MCMC) method, but over orders rather than over network structures. The space of orders is smaller and more regular than the space of structures, and has much a smoother posterior “landscape”. We present empirical results on synthetic and reallife datasets that compare our approach to full model averaging (when possible), to MCMC over network structures, and to a nonBayesian bootstrap approach.
Variational inference for Dirichlet process mixtures
 Bayesian Analysis
, 2005
"... Abstract. Dirichlet process (DP) mixture models are the cornerstone of nonparametric Bayesian statistics, and the development of MonteCarlo Markov chain (MCMC) sampling methods for DP mixtures has enabled the application of nonparametric Bayesian methods to a variety of practical data analysis prob ..."
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Cited by 243 (25 self)
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Abstract. Dirichlet process (DP) mixture models are the cornerstone of nonparametric Bayesian statistics, and the development of MonteCarlo Markov chain (MCMC) sampling methods for DP mixtures has enabled the application of nonparametric Bayesian methods to a variety of practical data analysis problems. However, MCMC sampling can be prohibitively slow, and it is important to explore alternatives. One class of alternatives is provided by variational methods, a class of deterministic algorithms that convert inference problems into optimization problems (Opper and Saad 2001; Wainwright and Jordan 2003). Thus far, variational methods have mainly been explored in the parametric setting, in particular within the formalism of the exponential family (Attias 2000; Ghahramani and Beal 2001; Blei et al. 2003). In this paper, we present a variational inference algorithm for DP mixtures. We present experiments that compare the algorithm to Gibbs sampling algorithms for DP mixtures of Gaussians and present an application to a largescale image analysis problem.
Efficient Simulation from the Multivariate Normal and Studentt Distributions Subject to Linear Constraints and the Evaluation of Constraint Probabilities
, 1991
"... The construction and implementation of a Gibbs sampler for efficient simulation from the truncated multivariate normal and Studentt distributions is described. It is shown how the accuracy and convergence of integrals based on the Gibbs sample may be constructed, and how an estimate of the probabil ..."
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Cited by 209 (11 self)
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The construction and implementation of a Gibbs sampler for efficient simulation from the truncated multivariate normal and Studentt distributions is described. It is shown how the accuracy and convergence of integrals based on the Gibbs sample may be constructed, and how an estimate of the probability of the constraint set under the unrestricted distribution may be produced. Keywords: Bayesian inference; Gibbs sampler; Monte Carlo; multiple integration; truncated normal This paper was prepared for a presentation at the meeting Computing Science and Statistics: the TwentyThird Symposium on the Interface, Seattle, April 2224, 1991. Research assistance from Zhenyu Wang and financial support from National Science Foundation Grant SES8908365 are gratefully acknowledged. The software for the examples may be requested by electronic mail, and will be returned by that medium. 2 1. Introduction The generation of random samples from a truncated multivariate normal distribution, that is, a ...
General state space Markov chains and MCMC algorithm
 PROBABILITY SURVEYS
, 2004
"... This paper surveys various results about Markov chains on general (noncountable) state spaces. It begins with an introduction to Markov chain Monte Carlo (MCMC) algorithms, which provide the motivation and context for the theory which follows. Then, sufficient conditions for geometric and uniform e ..."
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Cited by 190 (38 self)
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This paper surveys various results about Markov chains on general (noncountable) state spaces. It begins with an introduction to Markov chain Monte Carlo (MCMC) algorithms, which provide the motivation and context for the theory which follows. Then, sufficient conditions for geometric and uniform ergodicity are presented, along with quantitative bounds on the rate of convergence to stationarity. Many of these results are proved using direct coupling constructions based on minorisation and drift conditions. Necessary and sufficient conditions for Central Limit Theorems (CLTs) are also presented, in some cases proved via the Poisson Equation or direct regeneration constructions. Finally, optimal scaling and weak convergence results for MetropolisHastings algorithms are discussed. None of the results presented is new, though many of the proofs are. We also describe some Open Problems.