Adaptive Markov chain Monte Carlo and Copula Dependence Models

自适应马尔可夫链蒙特卡罗和 Copula 依赖模型

• 批准号: 249547-2012
• 负责人: Craiu, VirgilRadu
• 金额: $ 1.53万
• 依托单位: University of Toronto
• 依托单位国家: 加拿大
• 项目类别: Discovery Grants Program - Individual
• 财政年份: 2017
• 资助国家: 加拿大
• 起止时间: 2017-01-01 至 2018-12-31
• 项目状态: 已结题
• 来源: https://www.nserc-crsng.gc.ca/ase-oro/Details-Detailles_eng.asp?id=635978
• 关键词: Adaptive; Markov; chain; Monte; Carlo

The proposal has two main themes.Markov chain Monte Carlo (MCMC) techniques have become an important tool in the statistician's arsenal for solving complex analyses in a wide range of scientific areas, e.g. health studies, genetics, social studies and engineering. A successful implementation of some of the most widely used MCMC algorithms involves tuning the transition kernel parameters, a process that is often tedious, frustrating and, in the case of distributions with support in high dimensions, too difficult to complete. Adaptive MCMC is a recent and promising development that automatizes the tuning of the algorithm. This work will tackle theoretical and methodological challenges encountered when applying Adaptive MCMC to complex targets such as multimodal distributions with high dimensional support. The algorithms developed will have immediate impact in a number of areas in statistics where computation plays a central role, including nonlinear regression models or clustering algorithms and their applications in genetics and health studies.Central to modern statistical analysis are the modeling and understanding of the dependence between random variables. Copulas provide a flexible alternative that allows separate specifications of the models for the marginal distributions and the joint dependence structure. The modern development of conditional copulas allows us to adjust the dependence structure for covariates and leads to a much wider range of possible applications, including linear and nonlinear regression models. I propose to study and further develop Bayesian methods for conditional copula models. The advantages of the proposed methods include a realistic assessment of the error inherited from the marginal estimation, flexible copula selection methodology and the ability to implement model averaging ideas which have not been explored in this setting.

该提案有两个主题：马尔可夫链蒙特卡罗技术已成为统计学家解决各种科学领域复杂分析问题的重要工具，例如健康研究、遗传学、社会研究和工程学。一些最广泛使用的MCMC算法的成功实现涉及调整过渡内核参数，这是一个通常繁琐、令人沮丧的过程，并且在高维支持分布的情况下，太难完成。自适应MCMC是一个最近的和有前途的发展，自动调整的算法。这项工作将解决将自适应MCMC应用于复杂目标（如具有高维支持的多峰分布）时遇到的理论和方法挑战。这些算法的开发将直接影响到统计学中的一些领域，其中计算起着核心作用，包括非线性回归模型或聚类算法及其在遗传学和健康研究中的应用。现代统计分析的核心是建模和理解随机变量之间的依赖关系。Copula提供了一种灵活的替代方案，允许对边际分布和联合依赖结构的模型进行单独的规范。条件Copula的现代发展允许我们调整协变量的依赖结构，并导致更广泛的可能应用，包括线性和非线性回归模型。我建议研究和进一步发展条件Copula模型的贝叶斯方法。所提出的方法的优点包括一个现实的评估继承的误差从边际估计，灵活的copula选择方法和实现模型的平均思想的能力，在这种情况下还没有探索。