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46
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 114 (27 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.
Honest Exploration of Intractable Probability Distributions Via Markov Chain Monte Carlo
 STATISTICAL SCIENCE
, 2001
"... Two important questions that must be answered whenever a Markov chain Monte Carlo (MCMC) algorithm is used are (Q1) What is an appropriate burnin? and (Q2) How long should the sampling continue after burnin? Developing rigorous answers to these questions presently requires a detailed study of the ..."
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Cited by 74 (19 self)
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Two important questions that must be answered whenever a Markov chain Monte Carlo (MCMC) algorithm is used are (Q1) What is an appropriate burnin? and (Q2) How long should the sampling continue after burnin? Developing rigorous answers to these questions presently requires a detailed study of the convergence properties of the underlying Markov chain. Consequently, in most practical applications of MCMC, exact answers to (Q1) and (Q2) are not sought. The goal of this paper is to demystify the analysis that leads to honest answers to (Q1) and (Q2). The authors hope that this article will serve as a bridge between those developing Markov chain theory and practitioners using MCMC to solve practical problems. The ability to formally address (Q1) and (Q2) comes from establishing a drift condition and an associated minorization condition, which together imply that the underlying Markov chain is geometrically ergodic. In this paper, we explain exactly what drift and minorization are as well as how and why these conditions can be used to form rigorous answers to (Q1) and (Q2). The basic ideas are as follows. The results of Rosenthal (1995) and Roberts and Tweedie (1999) allow one to use drift and minorization conditions to construct a formula giving an analytic upper bound on the distance to stationarity. A rigorous answer to (Q1) can be calculated using this formula. The desired characteristics of the target distribution are typically estimated using ergodic averages. Geometric ergodicity of the underlying Markov chain implies that there are central limit theorems available for ergodic averages (Chan and Geyer 1994). The regenerative simulation technique (Mykland, Tierney and Yu 1995, Robert 1995) can be used to get a consistent estimate of the variance of the asymptotic nor...
Finding Authorities and Hubs From Link Structures on the World Wide Web
 In Proceedings of the 10th International World Wide Web Conference, Hong Kong
, 2001
"... Recently, there have been a number of algorithms proposed for analyzing hypertext link structure so as to determine the best "authorities" for a given topic or query. While such analysis is usually combined with content analysis, there is a sense in which some algorithms are deemed to be "more balan ..."
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Cited by 71 (9 self)
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Recently, there have been a number of algorithms proposed for analyzing hypertext link structure so as to determine the best "authorities" for a given topic or query. While such analysis is usually combined with content analysis, there is a sense in which some algorithms are deemed to be "more balanced" and others "more focused". We undertake a comparative study of hypertext link analysis algorithms. Guided by some experimental queries, we propose some formal criteria for evaluating and comparing link analysis algorithms. Keywords: link analysis, web searching, hubs, authorities, SALSA, Kleinberg's algorithm, threshold, Bayesian. 1
Monte Carlo Methods for Tempo Tracking and Rhythm Quantization
 JOURNAL OF ARTIFICIAL INTELLIGENCE RESEARCH
, 2003
"... We present a probabilistic generarive model for timing deviations in expressive music performance. The structure of the proposed model is equivalent to a switching state space model. The switch variables correspond to discrete note locations as in a musical score. The continuous hidden variables ..."
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Cited by 54 (9 self)
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We present a probabilistic generarive model for timing deviations in expressive music performance. The structure of the proposed model is equivalent to a switching state space model. The switch variables correspond to discrete note locations as in a musical score. The continuous hidden variables denote the tempo. We formulate two well known music recognition problems, namely tempo tracking and automatic transcription (rhythm quantization) as filtering and maximum a posteriori (MAP) state estimation tasks. Ex act computation of posterior features such as the MAP state is intractable in this model class, so we introduce Monte Carlo methods for integration and optimization. We compare Markov Chain Monte Carlo (MCMC) methods (such as Gibbs sampling, simulated annealing and iterative improvement) and sequential Monte Carlo methods (particle filters). Our simulation results suggest better results with sequential methods. The methods can be applied in both online and batch scenarios such as tempo tracking and transcription and are thus potentially useful in a number of music applications such as adaptive automatic accompaniment, score typesetting and music information retrieval.
Fixedwidth output analysis for Markov chain Monte Carlo
 JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
, 2006
"... Markov chain Monte Carlo is a method of producing a correlated sample in order to estimate features of a target distribution via ergodic averages. A fundamental question is when should sampling stop? That is, when are the ergodic averages good estimates of the desired quantities? We consider a metho ..."
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Cited by 48 (17 self)
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Markov chain Monte Carlo is a method of producing a correlated sample in order to estimate features of a target distribution via ergodic averages. A fundamental question is when should sampling stop? That is, when are the ergodic averages good estimates of the desired quantities? We consider a method that stops the simulation when the width of a confidence interval based on an ergodic average is less than a userspecified value. Hence calculating a Monte Carlo standard error is a critical step in assessing the simulation output. We consider the regenerative simulation and batch means methods of estimating the variance of the asymptotic normal distribution. We give sufficient conditions for the strong consistency of both methods and investigate their finite sample properties in a variety of examples.
Link analysis ranking: algorithms, theory, and experiments
 ACM Transactions on Internet Technology
, 2005
"... The explosive growth and the widespread accessibility of the Web has led to a surge of research activity in the area of information retrieval on the World Wide Web. The seminal papers of Kleinberg [1998, 1999] and Brin and Page [1998] introduced Link Analysis Ranking, where hyperlink structures are ..."
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Cited by 37 (0 self)
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The explosive growth and the widespread accessibility of the Web has led to a surge of research activity in the area of information retrieval on the World Wide Web. The seminal papers of Kleinberg [1998, 1999] and Brin and Page [1998] introduced Link Analysis Ranking, where hyperlink structures are used to determine the relative authority of a Web page and produce improved algorithms for the ranking of Web search results. In this article we work within the hubs and authorities framework defined by Kleinberg and we propose new families of algorithms. Two of the algorithms we propose use a Bayesian approach, as opposed to the usual algebraic and graph theoretic approaches. We also introduce a theoretical framework for the study of Link Analysis Ranking algorithms. The framework allows for the definition of specific properties of Link Analysis Ranking algorithms, as well as for comparing different algorithms. We study the properties of the algorithms that we define, and we provide an axiomatic characterization of the INDEGREE heuristic which ranks each node according to the number of incoming links. We conclude the article with an extensive experimental evaluation. We study the quality of the algorithms, and we examine how different structures in the graphs affect their performance.
On the Applicability of Regenerative Simulation in Markov Chain Monte Carlo
, 2001
"... We consider the central limit theorem and the calculation of asymptotic standard errors for the ergodic averages constructed in Markov chain Monte Carlo. Chan & Geyer (1994) established a central limit theorem for ergodic averages by assuming that the underlying Markov chain is geometrically ergo ..."
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Cited by 35 (24 self)
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We consider the central limit theorem and the calculation of asymptotic standard errors for the ergodic averages constructed in Markov chain Monte Carlo. Chan & Geyer (1994) established a central limit theorem for ergodic averages by assuming that the underlying Markov chain is geometrically ergodic and that a simple moment condition is satisfied. While it is relatively straightforward to check Chan and Geyer's conditions, their theorem does not lead to a consistent and easily computed estimate of the variance of the asymptotic normal distribution. Conversely, Mykland, Tierney & Yu (1995) discuss the use of regeneration to establish an alternative central limit theorem with the advantage that a simple, consistent estimate of the asymptotic variance is readily available. However, their result assumes a pair of unwieldy moment conditions whose verification is difficult in practice. In this paper, we show that the conditions of Chan and Geyer's theorem are sucient to establish Mykland, Tierney, and Yu's central limit theorem. This result, in conjunction with other recent developments, should pave the way for more widespread use of the regenerative method in Markov chain Monte Carlo. Our results are applied to the slice sampler for illustration.
Geometric Ergodicity of Gibbs and Block Gibbs Samplers for a Hierarchical Random Effects Model
, 1998
"... We consider fixed scan Gibbs and block Gibbs samplers for a Bayesian hierarchical random effects model with proper conjugate priors. A drift condition given in Meyn and Tweedie (1993, Chapter 15) is used to show that these Markov chains are geometrically ergodic. Showing that a Gibbs sampler is geom ..."
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Cited by 33 (8 self)
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We consider fixed scan Gibbs and block Gibbs samplers for a Bayesian hierarchical random effects model with proper conjugate priors. A drift condition given in Meyn and Tweedie (1993, Chapter 15) is used to show that these Markov chains are geometrically ergodic. Showing that a Gibbs sampler is geometrically ergodic is the first step towards establishing central limit theorems, which can be used to approximate the error associated with Monte Carlo estimates of posterior quantities of interest. Thus, our results will be of practical interest to researchers using these Gibbs samplers for Bayesian data analysis. Key words and phrases: Bayesian model, Central limit theorem, Drift condition, Markov chain, Monte Carlo, Rate of convergence, Variance Components AMS 1991 subject classifications: Primary 60J27, secondary 62F15 1 Introduction Gelfand and Smith (1990, Section 3.4) introduced the Gibbs sampler for the hierarchical oneway random effects model with proper conjugate priors. Rosen...
MCMC methods for continuoustime financial econometrics

, 2003
"... This chapter develops Markov Chain Monte Carlo (MCMC) methods for Bayesian inference in continuoustime asset pricing models. The Bayesian solution to the inference problem is the distribution of parameters and latent variables conditional on observed data, and MCMC methods provide a tool for explor ..."
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Cited by 24 (1 self)
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This chapter develops Markov Chain Monte Carlo (MCMC) methods for Bayesian inference in continuoustime asset pricing models. The Bayesian solution to the inference problem is the distribution of parameters and latent variables conditional on observed data, and MCMC methods provide a tool for exploring these highdimensional, complex distributions. We first provide a description of the foundations and mechanics of MCMC algorithms. This includes a discussion of the CliffordHammersley theorem, the Gibbs sampler, the MetropolisHastings algorithm, and theoretical convergence properties of MCMC algorithms. We next provide a tutorial on building MCMC algorithms for a range of continuoustime asset pricing models. We include detailed examples for equity price models, option pricing models, term structure models, and regimeswitching models. Finally, we discuss the issue of sequential Bayesian inference, both for parameters and state variables.
MCMC Methods for Financial Econometrics
 Handbook of Financial Econometrics
, 2002
"... This chapter discusses Markov Chain Monte Carlo (MCMC) based methods for es timating continuoustime asset pricing models. We describe the Bayesian approach to empirical asset pricing, the mechanics of MCMC algorithms and the strong theoretical underpinnings of MCMC algorithms. We provide a tuto ..."
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Cited by 22 (4 self)
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This chapter discusses Markov Chain Monte Carlo (MCMC) based methods for es timating continuoustime asset pricing models. We describe the Bayesian approach to empirical asset pricing, the mechanics of MCMC algorithms and the strong theoretical underpinnings of MCMC algorithms. We provide a tutorial on building MCMC algo rithms and show how to estimate equity price models with factors such as stochastic expected returns, stochastic volatility and jumps, multifactor term structure models with stochastic volatility, timevarying central tenclancy or jumps and regime switching models.