Metropolis-Hastings Within Partially Collapsed Gibbs Samplers
File(s)mhwithinpcg.pdf (1.34 MB)
Accepted version
Author(s)
van Dyk, DA
Jiao, X
Type
Journal Article
Abstract
The partially collapsed Gibbs (PCG) sampler offers a new strategy for improving the convergence of a Gibbs sampler. PCG achieves faster convergence by reducing the conditioning in some of the draws of its parent Gibbs sampler. Although this can significantly improve convergence, care must be taken to ensure that the stationary distribution is preserved. The conditional distributions sampled in a PCG sampler may be incompatible and permuting their order may upset the stationary distribution of the chain. Extra care must be taken when Metropolis-Hastings (MH) updates are used in some or all of the updates. Reducing the conditioning in an MH within Gibbs sampler can change the stationary distribution, even when the PCG sampler would work perfectly if MH were not used. In fact, a number of samplers of this sort that have been advocated in the literature do not actually have the target stationary distributions. In this article, we illustrate the challenges that may arise when using MH within a PCG sampler and develop a general strategy for using such updates while maintaining the desired stationary distribution. Theoretical arguments provide guidance when choosing between different MH within PCG sampling schemes. Finally, we illustrate the MH within PCG sampler and its computational advantage using several examples from our applied work.
Date Issued
2015-06-16
Date Acceptance
2014-06-20
Citation
Journal of Computational and Graphical Statistics, 2015, 24 (2), pp.301-327
ISSN
1061-8600
Publisher
American Statistical Association
Start Page
301
End Page
327
Journal / Book Title
Journal of Computational and Graphical Statistics
Volume
24
Issue
2
Copyright Statement
This is an Accepted Manuscript of an article published by Taylor & Francis Group in Journal of Computational and Graphical Statistics on 20 June 2014, available online at: http://www.tandfonline.com/10.1080/10618600.2014.930041
Sponsor
Commission of the European Communities
The Royal Society
Science and Technology Facilities Council (STFC)
Science and Technology Facilities Council [2006-2012]
Grant Number
FP7-PEOPLE-2012-CIG-321865
WM110023
ST/K001051/1
ST/K001051/1
Subjects
Science & Technology
Physical Sciences
Statistics & Probability
Mathematics
Incompatible Gibbs sampler
Spectral analysis
Blocking
Factor analysis
Metropolis within Gibbs
Astrostatistics
MAXIMUM-LIKELIHOOD-ESTIMATION
ECME ALGORITHM
MODELS
COMPUTATION
EM
CALIBRATION
STRATEGIES
SPECTRA
Publication Status
Published
Date Publish Online
2014-06-20