Results 1  10
of
42
The practical implementation of Bayesian model selection
 Institute of Mathematical Statistics
, 2001
"... In principle, the Bayesian approach to model selection is straightforward. Prior probability distributions are used to describe the uncertainty surrounding all unknowns. After observing the data, the posterior distribution provides a coherent post data summary of the remaining uncertainty which is r ..."
Abstract

Cited by 85 (3 self)
 Add to MetaCart
In principle, the Bayesian approach to model selection is straightforward. Prior probability distributions are used to describe the uncertainty surrounding all unknowns. After observing the data, the posterior distribution provides a coherent post data summary of the remaining uncertainty which is relevant for model selection. However, the practical implementation of this approach often requires carefully tailored priors and novel posterior calculation methods. In this article, we illustrate some of the fundamental practical issues that arise for two different model selection problems: the variable selection problem for the linear model and the CART model selection problem.
Bayesian Model Assessment In Factor Analysis
, 2004
"... Factor analysis has been one of the most powerful and flexible tools for assessment of multivariate dependence and codependence. Loosely speaking, it could be argued that the origin of its success rests in its very exploratory nature, where various kinds of datarelationships amongst the variable ..."
Abstract

Cited by 58 (8 self)
 Add to MetaCart
Factor analysis has been one of the most powerful and flexible tools for assessment of multivariate dependence and codependence. Loosely speaking, it could be argued that the origin of its success rests in its very exploratory nature, where various kinds of datarelationships amongst the variables at study can be iteratively verified and/or refuted. Bayesian inference in factor analytic models has received renewed attention in recent years, partly due to computational advances but also partly to applied focuses generating factor structures as exemplified by recent work in financial time series modeling. The focus of our current work is on exploring questions of uncertainty about the number of latent factors in a multivariate factor model, combined with methodological and computational issues of model specification and model fitting. We explore reversible jump MCMC methods that build on sets of parallel Gibbs samplingbased analyses to generate suitable empirical proposal distributions and that address the challenging problem of finding e#cient proposals in highdimensional models. Alternative MCMC methods based on bridge sampling are discussed, and these fully Bayesian MCMC approaches are compared with a collection of popular model selection methods in empirical studies.
Transdimensional Markov chain Monte Carlo
 in Highly Structured Stochastic Systems
, 2003
"... In the context of samplebased computation of Bayesian posterior distributions in complex stochastic systems, this chapter discusses some of the uses for a Markov chain with a prescribed invariant distribution whose support is a union of euclidean spaces of differing dimensions. This leads into a re ..."
Abstract

Cited by 56 (0 self)
 Add to MetaCart
In the context of samplebased computation of Bayesian posterior distributions in complex stochastic systems, this chapter discusses some of the uses for a Markov chain with a prescribed invariant distribution whose support is a union of euclidean spaces of differing dimensions. This leads into a reformulation of the reversible jump MCMC framework for constructing such ‘transdimensional ’ Markov chains. This framework is compared to alternative approaches for the same task, including methods that involve separate sampling within different fixeddimension models. We consider some of the difficulties researchers have encountered with obtaining adequate performance with some of these methods, attributing some of these to misunderstandings, and offer tentative recommendations about algorithm choice for various classes of problem. The chapter concludes with a look towards desirable future developments.
On the Relationship Between Markov Chain Monte Carlo Methods for Model Uncertainty
 JOURNAL OF COMPUTATIONAL AND GRAPHICAL STATISTICS
, 2001
"... This article considers Markov chain computational methods for incorporating uncertainty about the dimension of a parameter when performing inference within a Bayesian setting. A general class of methods is proposed for performing such computations, based upon a product space representation of the ..."
Abstract

Cited by 31 (3 self)
 Add to MetaCart
This article considers Markov chain computational methods for incorporating uncertainty about the dimension of a parameter when performing inference within a Bayesian setting. A general class of methods is proposed for performing such computations, based upon a product space representation of the problem which is similar to that of Carlin and Chib. It is shown that all of the existing algorithms for incorporation of model uncertainty into Markov chain Monte Carlo (MCMC) can be derived as special cases of this general class of methods. In particular, we show that the popular reversible jump method is obtained when a special form of MetropolisHastings (MH) algorithm is applied to the product space. Furthermore, the Gibbs sampling method and the variable selection method are shown to derive straightforwardly from the general framework. We believe that these new relationships between methods, which were until now seen as diverse procedures, are an important aid to the understanding of MCMC model selection procedures and may assist in the future development of improved procedures. Our discussion also sheds some light upon the important issues of "pseudoprior" selection in the case of the Carlin and Chib sampler and choice of proposal distribution in the case of reversible jump. Finally, we propose efficient reversible jump proposal schemes that take advantage of any analytic structure that may be present in the model. These proposal schemes are compared with a standard reversible jump scheme for the problem of model order uncertainty in autoregressive time series, demonstrating the improvements which can be achieved through careful choice of proposals
MCMC Methods for Computing Bayes Factors: A Comparative Review
 Journal of the American Statistical Association
, 2000
"... this paper we review several of these methods, and subsequently compare them in the context of two examples, the first a simple regression example, and the second a much more challenging hierarchical longitudinal model of the kind often encountered in biostatistical practice. We find that the joint ..."
Abstract

Cited by 31 (1 self)
 Add to MetaCart
this paper we review several of these methods, and subsequently compare them in the context of two examples, the first a simple regression example, and the second a much more challenging hierarchical longitudinal model of the kind often encountered in biostatistical practice. We find that the joint modelparameter space search methods perform adequately but can be difficult to program and tune, while the marginal likelihood methods are often less troublesome and require less in the way of additional coding. Our results suggest that the latter methods may be most appropriate for practitioners working in many standard model choice settings, while the former remain important for comparing large numbers of models, or models whose parameters cannot be easily updated in relatively few blocks. We caution however that all of the methods we compare require significant human and computer effort, suggesting that less formal Bayesian model choice methods may offer a more realistic alternative in many cases.
Model Selection by MCMC Computation
 Signal Processing
, 2001
"... MCMC sampling is a methodology that is becoming increasingly important in statistical signal processing. It has been of particular importance to the Bayesianbased approaches to signal processing since it extends significantly the range of problems that they can address. MCMC techniques generate sam ..."
Abstract

Cited by 20 (5 self)
 Add to MetaCart
MCMC sampling is a methodology that is becoming increasingly important in statistical signal processing. It has been of particular importance to the Bayesianbased approaches to signal processing since it extends significantly the range of problems that they can address. MCMC techniques generate samples from desired distributions by embedding them as limiting distributions of Markov chains. There are many ways of categorizing MCMC methods, but the simplest one is to classify them in one of two groups: the first is used in estimation problems where the unknowns are typically parameters of a model, which is assumed to have generated the observed data; the second is employed in more general scenarios where the unknowns are not only model parameters, but models as well. In this paper, we address the MCMC methods from the second group, which allow for generation of samples from probability distributions de"ned on unions of disjoint spaces of di!erent dimensions. More speci"cally, we show why ...
Transdimensional Markov Chains: A Decade of Progress and Future Perspectives
 Journal of the American Statistical Association
, 2005
"... The last ten years have witnessed the development of sampling frameworks that permit the construction of Markov chains which simultaneously traverse both parameter and model space. In this time substantial methodological progress has been made. In this article we present a survey of the current stat ..."
Abstract

Cited by 18 (2 self)
 Add to MetaCart
The last ten years have witnessed the development of sampling frameworks that permit the construction of Markov chains which simultaneously traverse both parameter and model space. In this time substantial methodological progress has been made. In this article we present a survey of the current state of the art and evaluate some of the most recent advances in this field. We also discuss future research perspectives in the context of the drive to develop sampling mechanisms with high degrees of both efficiency and automation. 1
Robust InflationForecastBased Rules to Shield Against Indeterminacy.” Journal of Economic Dynamics and Control, forthcoming
 IMF Discussion Paper, forthcoming, presented at the 10th International Conference on Computing in Economics and Finance
, 2006
"... We estimate several variants of a linearized form of a New Keynesian model using quarterly US data. Using these rival models and the estimated posterior probabilities we then design rules that are robust in two senses: ‘weakly robust ’ rules are guaranteed to be stable and determinate in all the pos ..."
Abstract

Cited by 12 (8 self)
 Add to MetaCart
We estimate several variants of a linearized form of a New Keynesian model using quarterly US data. Using these rival models and the estimated posterior probabilities we then design rules that are robust in two senses: ‘weakly robust ’ rules are guaranteed to be stable and determinate in all the possible variants of the model, whereas ‘strongly robust ’ rules, in addition, use the probabilities to minimize an expected loss function of the central bank subject to this model uncertainty. We find three main results. First, in our two model variants with the highest posterior model probabilities there are substantial stabilization gains from commitment. Second, an optimized inflation targeting rule feeding back on current inflation will result in a unique stable equilibrium and realize at least threequarters of these potential gains, even if it is used in a variant of the model that is not the one for which it was designed. Third, the performance of optimimized inflation targeting rules perform increasing less well as the forward horizon increases from j = 0 to j = 1,2 quarters. For j=2, only a rule designed for our most indeterminacyprone model is weakly robust and yields determinacy across all models. A strongly robust rule can be designed that sacrifices performance in the least probable models for better performance in the most probable models. JEL Classification: E52, E37, E58
Bayesian Variable Selection Using the Gibbs Sampler
, 2000
"... Specification of the linear predictor for a generalised linear model requires determining which variables to include. We consider Bayesian strategies for performing this variable selection. In particular we focus on approaches based on the Gibbs sampler. Such approaches may be implemented using the ..."
Abstract

Cited by 11 (2 self)
 Add to MetaCart
Specification of the linear predictor for a generalised linear model requires determining which variables to include. We consider Bayesian strategies for performing this variable selection. In particular we focus on approaches based on the Gibbs sampler. Such approaches may be implemented using the publically available software BUGS. We illustrate the methods using a simple example. BUGS code is provided in an appendix. 1 Introduction In a Bayesian analysis of a generalised linear model, model uncertainty may be incorporated coherently by specifying prior probabilities for plausible models and calculating posterior probabilities using f(mjy) = f(m)f(yjm) P m2M f(m)f(y jm) ; m 2 M (1.1) where m denotes the model, M is the set of all models under consideration, f (m) is the prior probability of model m and f (yjm; fi m ) the likelihood of the data y under model m. The observed data y contribute to the posterior model probabilities through f(yjm), the marginal likelihood calculated...