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Search Results: 1 - 10 of 6519 matches for " Alex Lenkoski "
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A Direct Sampler for G-Wishart Variates
Alex Lenkoski
Statistics , 2013,
Abstract: The G-Wishart distribution is the conjugate prior for precision matrices that encode the conditional independencies of a Gaussian graphical model. While the distribution has received considerable attention, posterior inference has proven computationally challenging, in part due to the lack of a direct sampler. In this note, we rectify this situation. The existence of a direct sampler offers a host of new possibilities for the use of G-Wishart variates. We discuss one such development by outlining a new transdimensional model search algorithm--which we term double reversible jump--that leverages this sampler to avoid normalizing constant calculation when comparing graphical models. We conclude with two short studies meant to investigate our algorithm's validity.
Tobit Bayesian Model Averaging and the Determinants of Foreign Direct Investment
Alexander Jordan,Alex Lenkoski
Quantitative Finance , 2012,
Abstract: We develop a fully Bayesian, computationally efficient framework for incorporating model uncertainty into Type II Tobit models and apply this to the investigation of the determinants of Foreign Direct Investment (FDI). While direct evaluation of modelprobabilities is intractable in this setting, we show that by using conditional Bayes Factors, which nest model moves inside a Gibbs sampler, we are able to incorporate model uncertainty in a straight-forward fashion. We conclude with a study of global FDI flows between 1988-2000.
A Multivariate Graphical Stochastic Volatility Model
Yuan Cheng,Alex Lenkoski
Statistics , 2012,
Abstract: The Gaussian Graphical Model (GGM) is a popular tool for incorporating sparsity into joint multivariate distributions. The G-Wishart distribution, a conjugate prior for precision matrices satisfying general GGM constraints, has now been in existence for over a decade. However, due to the lack of a direct sampler, its use has been limited in hierarchical Bayesian contexts, relegating mixing over the class of GGMs mostly to situations involving standard Gaussian likelihoods. Recent work, however, has developed methods that couple model and parameter moves, first through reversible jump methods and later by direct evaluation of conditional Bayes factors and subsequent resampling. Further, methods for avoiding prior normalizing constant calculations--a serious bottleneck and source of numerical instability--have been proposed. We review and clarify these developments and then propose a new methodology for GGM comparison that blends many recent themes. Theoretical developments and computational timing experiments reveal an algorithm that has limited computational demands and dramatically improves on computing times of existing methods. We conclude by developing a parsimonious multivariate stochastic volatility model that embeds GGM uncertainty in a larger hierarchical framework. The method is shown to be capable of adapting to the extreme swings in market volatility experienced in 2008 after the collapse of Lehman Brothers, offering considerable improvement in posterior predictive distribution calibration.
Copula Gaussian graphical models and their application to modeling functional disability data
Adrian Dobra,Alex Lenkoski
Statistics , 2011, DOI: 10.1214/10-AOAS397
Abstract: We propose a comprehensive Bayesian approach for graphical model determination in observational studies that can accommodate binary, ordinal or continuous variables simultaneously. Our new models are called copula Gaussian graphical models (CGGMs) and embed graphical model selection inside a semiparametric Gaussian copula. The domain of applicability of our methods is very broad and encompasses many studies from social science and economics. We illustrate the use of the copula Gaussian graphical models in the analysis of a 16-dimensional functional disability contingency table.
Instrumental Variable Bayesian Model Averaging via Conditional Bayes Factors
Anna Karl,Alex Lenkoski
Statistics , 2012,
Abstract: We develop a method to perform model averaging in two-stage linear regression systems subject to endogeneity. Our method extends an existing Gibbs sampler for instrumental variables to incorporate a component of model uncertainty. Direct evaluation of model probabilities is intractable in this setting. We show that by nesting model moves inside the Gibbs sampler, model comparison can be performed via conditional Bayes factors, leading to straightforward calculations. This new Gibbs sampler is only slightly more involved than the original algorithm and exhibits no evidence of mixing difficulties. We conclude with a study of two different modeling challenges: incorporating uncertainty into the determinants of macroeconomic growth, and estimating a demand function by instrumenting wholesale on retail prices.
Sparse covariance estimation in heterogeneous samples
Abel Rodriguez,Alex Lenkoski,Adrian Dobra
Statistics , 2010,
Abstract: Standard Gaussian graphical models (GGMs) implicitly assume that the conditional independence among variables is common to all observations in the sample. However, in practice, observations are usually collected form heterogeneous populations where such assumption is not satisfied, leading in turn to nonlinear relationships among variables. To tackle these problems we explore mixtures of GGMs; in particular, we consider both infinite mixture models of GGMs and infinite hidden Markov models with GGM emission distributions. Such models allow us to divide a heterogeneous population into homogenous groups, with each cluster having its own conditional independence structure. The main advantage of considering infinite mixtures is that they allow us easily to estimate the number of number of subpopulations in the sample. As an illustration, we study the trends in exchange rate fluctuations in the pre-Euro era. This example demonstrates that the models are very flexible while providing extremely interesting interesting insights into real-life applications.
Bayesian inference for general Gaussian graphical models with application to multivariate lattice data
Adrian Dobra,Alex Lenkoski,Abel Rodriguez
Statistics , 2010,
Abstract: We introduce efficient Markov chain Monte Carlo methods for inference and model determination in multivariate and matrix-variate Gaussian graphical models. Our framework is based on the G-Wishart prior for the precision matrix associated with graphs that can be decomposable or non-decomposable. We extend our sampling algorithms to a novel class of conditionally autoregressive models for sparse estimation in multivariate lattice data, with a special emphasis on the analysis of spatial data. These models embed a great deal of flexibility in estimating both the correlation structure across outcomes and the spatial correlation structure, thereby allowing for adaptive smoothing and spatial autocorrelation parameters. Our methods are illustrated using simulated and real-world examples, including an application to cancer mortality surveillance.
Exact formulas for the normalizing constants of Wishart distributions for graphical models
Caroline Uhler,Alex Lenkoski,Donald Richards
Statistics , 2014,
Abstract: Gaussian graphical models have received considerable attention during the past four decades from the statistical and machine learning communities. In Bayesian treatments of this model, the G-Wishart distribution serves as the conjugate prior for inverse covariance matrices satisfying graphical constraints. While it is straightforward to posit the unnormalized densities, the normalizing constants of these distributions have been known only for graphs that are chordal, or decomposable. Up until now, it was unknown whether the normalizing constant for a general graph could be represented explicitly, and a considerable body of computational literature emerged that attempted to avoid this apparent intractability. We close this question by providing an explicit representation of the G-Wishart normalizing constant for general graphs.
Efficient sampling of Gaussian graphical models using conditional Bayes factors
Max Hinne,Alex Lenkoski,Tom Heskes,Marcel van Gerven
Quantitative Biology , 2014,
Abstract: Bayesian estimation of Gaussian graphical models has proven to be challenging because the conjugate prior distribution on the Gaussian precision matrix, the G-Wishart distribution, has a doubly intractable partition function. Recent developments provide a direct way to sample from the G-Wishart distribution, which allows for more efficient algorithms for model selection than previously possible. Still, estimating Gaussian graphical models with more than a handful of variables remains a nearly infeasible task. Here, we propose two novel algorithms that use the direct sampler to more efficiently approximate the posterior distribution of the Gaussian graphical model. The first algorithm uses conditional Bayes factors to compare models in a Metropolis-Hastings framework. The second algorithm is based on a continuous time Markov process. We show that both algorithms are substantially faster than state-of-the-art alternatives. Finally, we show how the algorithms may be used to simultaneously estimate both structural and functional connectivity between subcortical brain regions using resting-state fMRI.
Bayesian hierarchical modeling of extreme hourly precipitation in Norway
Anita V. Dyrrdal,Alex Lenkoski,Thordis L. Thorarinsdottir,Frode Stordal
Statistics , 2013,
Abstract: Spatial maps of extreme precipitation are a critical component of flood estimation in hydrological modeling, as well as in the planning and design of important infrastructure. This is particularly relevant in countries such as Norway that have a high density of hydrological power generating facilities and are exposed to significant risk of infrastructure damage due to flooding. In this work, we estimate a spatially coherent map of the distribution of extreme hourly precipitation in Norway, in terms of return levels, by linking generalized extreme value (GEV) distributions with latent Gaussian fields in a Bayesian hierarchical model. Generalized linear models on the parameters of the GEV distribution are able to incorporate location-specific geographic and meteorological information and thereby accommodate these effects on extreme precipitation. A Gaussian field on the GEV parameters captures additional unexplained spatial heterogeneity and overcomes the sparse grid on which observations are collected. We conduct an extensive analysis of the factors that affect the GEV parameters and show that our combination is able to appropriately characterize both the spatial variability of the distribution of extreme hourly precipitation in Norway, and the associated uncertainty in these estimates.
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