A General Framework for the Parametrization of Hierarchical Models
Papaspiliopoulos, Omiros ; Roberts, Gareth O. ; Sköld, Martin
Statist. Sci., Tome 22 (2007) no. 1, p. 59-73 / Harvested from Project Euclid
In this paper, we describe centering and noncentering methodology as complementary techniques for use in parametrization of broad classes of hierarchical models, with a view to the construction of effective MCMC algorithms for exploring posterior distributions from these models. We give a clear qualitative understanding as to when centering and noncentering work well, and introduce theory concerning the convergence time complexity of Gibbs samplers using centered and noncentered parametrizations. We give general recipes for the construction of noncentered parametrizations, including an auxiliary variable technique called the state-space expansion technique. We also describe partially noncentered methods, and demonstrate their use in constructing robust Gibbs sampler algorithms whose convergence properties are not overly sensitive to the data.
Publié le : 2007-02-14
Classification:  Parametrization,  hierarchical models,  latent stochastic processes,  MCMC
@article{1185975637,
     author = {Papaspiliopoulos, Omiros and Roberts, Gareth O. and Sk\"old, Martin},
     title = {A General Framework for the Parametrization of Hierarchical Models},
     journal = {Statist. Sci.},
     volume = {22},
     number = {1},
     year = {2007},
     pages = { 59-73},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1185975637}
}
Papaspiliopoulos, Omiros; Roberts, Gareth O.; Sköld, Martin. A General Framework for the Parametrization of Hierarchical Models. Statist. Sci., Tome 22 (2007) no. 1, pp.  59-73. http://gdmltest.u-ga.fr/item/1185975637/