اشترك بالحزمة الذهبية واحصل على وصول غير محدود شمرا أكاديميا
تسجيل مستخدم جديدSelection of proposal distributions for generalized importance sampling estimators
58
0
0.0
(
0
)
اسأل ChatGPT حول البحث
ﻻ يوجد ملخص باللغة العربية
The standard importance sampling (IS) estimator, generally does not work well in examples involving simultaneous inference on several targets as the importance weights can take arbitrarily large values making the estimator highly unstable. In such situations, alternative generalized IS estimators involving samples from multiple proposal distributions are preferred. Just like the standard IS, the success of these multiple IS estimators crucially depends on the choice of the proposal distributions. The selection of these proposal distributions is the focus of this article. We propose three methods based on (i) a geometric space filling coverage criterion, (ii) a minimax variance approach, and (iii) a maximum entropy approach. The first two methods are applicable to any multi-proposal IS estimator, whereas the third approach is described in the context of Dosss (2010) two-stage IS estimator. For the first method we propose a suitable measure of coverage based on the symmetric Kullback-Leibler divergence, while the second and third approaches use estimates of asymptotic variances of Dosss (2010) IS estimator and Geyers (1994) reverse logistic estimator, respectively. Thus, we provide consistent spectral variance estimators for these asymptotic variances. The proposed methods for selecting proposal densities are illustrated using various detailed examples.
قيم البحث
اقرأ أيضاً
The naive importance sampling estimator, based on samples from a single importance density, can be numerically unstable. Instead, we consider generalized importance sampling estimators where samples from more than one probability distribution are com
bined. We study this problem in the Markov chain Monte Carlo context, where independent samples are replaced with Markov chain samples. If the chains converge to their respective target distributions at a polynomial rate, then under two finite moment conditions, we show a central limit theorem holds for the generalized estimators. Further, we develop an easy to implement method to calculate valid asymptotic standard errors based on batch means. We also provide a batch means estimator for calculating asymptotically valid standard errors of Geyer(1994) reverse logistic estimator. We illustrate the method using a Bayesian variable selection procedure in linear regression. In particular, the generalized importance sampling estimator is used to perform empirical Bayes variable selection and the batch means estimator is used to obtain standard errors in a high-dimensional setting where current methods are not applicable.
This paper introduces new efficient algorithms for two problems: sampling conditional on vertex degrees in unweighted graphs, and sampling conditional on vertex strengths in weighted graphs. The algorithms can sample conditional on the presence or ab
sence of an arbitrary number of edges. The resulting conditional distributions provide the basis for exact tests. Existing samplers based on MCMC or sequential importance sampling are generally not scalable; their efficiency degrades in sparse graphs. MCMC methods usually require explicit computation of a Markov basis to navigate the complex state space; this is computationally intensive even for small graphs. We use state-dependent kernel selection to develop new MCMC samplers. These do not require a Markov basis, and are efficient both in sparse and dense graphs. The key idea is to intelligently select a Markov kernel on the basis of the current state of the chain. We apply our methods to testing hypotheses on a real network and contingency table. The algorithms appear orders of magnitude more efficient than existing methods in the test cases considered.
In prediction problems, it is common to model the data-generating process and then use a model-based procedure, such as a Bayesian predictive distribution, to quantify uncertainty about the next observation. However, if the posited model is misspecif
ied, then its predictions may not be calibrated -- that is, the predictive distributions quantiles may not be nominal frequentist prediction upper limits, even asymptotically. Rather than abandoning the comfort of a model-based formulation for a more complicated non-model-based approach, here we propose a strategy in which the data itself helps determine if the assumed model-based solution should be adjusted to account for model misspecification. This is achieved through a generalized Bayes formulation where a learning rate parameter is tuned, via the proposed generalized predictive calibration (GPrC) algorithm, to make the predictive distribution calibrated, even under model misspecification. Extensive numerical experiments are presented, under a variety of settings, demonstrating the proposed GPrC algorithms validity, efficiency, and robustness.
Two algorithms proposed by Leo Breiman : CART trees (Classification And Regression Trees for) introduced in the first half of the 80s and random forests emerged, meanwhile, in the early 2000s, are the subject of this article. The goal is to provide e
ach of the topics, a presentation, a theoretical guarantee, an example and some variants and extensions. After a preamble, introduction recalls objectives of classification and regression problems before retracing some predecessors of the Random Forests. Then, a section is devoted to CART trees then random forests are presented. Then, a variable selection procedure based on permutation variable importance is proposed. Finally the adaptation of random forests to the Big Data context is sketched.
Under measurement constraints, responses are expensive to measure and initially unavailable on most of records in the dataset, but the covariates are available for the entire dataset. Our goal is to sample a relatively small portion of the dataset wh
ere the expensive responses will be measured and the resultant sampling estimator is statistically efficient. Measurement constraints require the sampling probabilities can only depend on a very small set of the responses. A sampling procedure that uses responses at most only on a small pilot sample will be called response-free. We propose a response-free sampling procedure mbox{(OSUMC)} for generalized linear models (GLMs). Using the A-optimality criterion, i.e., the trace of the asymptotic variance, the resultant estimator is statistically efficient within a class of sampling estimators. We establish the unconditional asymptotic distribution of a general class of response-free sampling estimators. This result is novel compared with the existing conditional results obtained by conditioning on both covariates and responses. Under our unconditional framework, the subsamples are no longer independent and new martingale techniques are developed for our asymptotic theory. We further derive the A-optimal response-free sampling distribution. Since this distribution depends on population level quantities, we propose the Optimal Sampling Under Measurement Constraints (OSUMC) algorithm to approximate the theoretical optimal sampling. Finally, we conduct an intensive empirical study to demonstrate the advantages of OSUMC algorithm over existing methods in both statistical and computational perspectives.
سجل دخول لتتمكن من نشر تعليقات
التعليقات
جاري جلب التعليقات
سجل دخول لتتمكن من متابعة معايير البحث التي قمت باختيارها
