Sampling hyperparameters in hierarchical models: Improving on Gibbs for high-dimensional latent fields and large datasets

DOI10.1080/03610918.2017.1353618OpenAlexW2539517031MaRDI QIDQ5085048

J. Andres Christen, Richard A. Norton, Colin D. Fox

Publication date: 29 June 2022

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1610.06632

zbMATH Keywords

samplingGibbs samplinghierarchical modelshyperparametersmarginal algorithmmarginal then conditional sampling

Mathematics Subject Classification ID

Numerical computation of eigenvalues and eigenvectors of matrices (65F15) Complexity and performance of numerical algorithms (65Y20)

Related Items (2)

Randomized reduced forward models for efficient Metropolis-Hastings MCMC, with application to subsurface fluid flow and capacitance tomography ⋮ Approximation and sampling of multivariate probability distributions in the tensor train decomposition

Uses Software

• GMRFLib
• BUGS
• WWGbook
• t-walk
• Rtwalk

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The pseudo-marginal approach for efficient Monte Carlo computations
• Adaptive proposal distribution for random walk Metropolis algorithm
• A general framework for the parametrization of hierarchical models
• Monte Carlo errors with less errors
• Optimal scaling for various Metropolis-Hastings algorithms.
• Adaptive Gibbs samplers and related MCMC methods
• Accelerated Gibbs sampling of normal distributions using matrix splittings and polynomials
• A general purpose sampling algorithm for continuous distributions (the t-walk)
• Partially Collapsed Gibbs Sampling for Linear Mixed-effects Models
• MCMC-Based Image Reconstruction with Uncertainty Quantification
• Fast Sampling in a Linear-Gaussian Inverse Problem
• Sampling-Based Approaches to Calculating Marginal Densities
• Partially Collapsed Gibbs Samplers
• Robust Empirical Bayes Analyses of Event Rates
• Slow convergence of the Gibbs sampler
• Covariance structure of the Gibbs sampler with applications to the comparisons of estimators and augmentation schemes
• The Effect of Improper Priors on Gibbs Sampling in Hierarchical Linear Mixed Models
• Spatiotemporal Hierarchical Bayesian Modeling Tropical Ocean Surface Winds
• Efficient Gaussian Sampling for Solving Large-Scale Inverse Problems Using MCMC
• Independent Doubly Adaptive Rejection Metropolis Sampling Within Gibbs Sampling
• Gaussian Markov Random Fields
• Monte Carlo strategies in scientific computing

This page was built for publication: Sampling hyperparameters in hierarchical models: Improving on Gibbs for high-dimensional latent fields and large datasets