On Russian roulette estimates for Bayesian inference with doubly-intractable likelihoods

DOI10.1214/15-STS523zbMath1426.62092arXiv1306.4032OpenAlexW1188302780MaRDI QIDQ1790298

Yanyan Li

Publication date: 2 October 2018

Published in: Statistical Science (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1306.4032

zbMATH Keywords

Monte Carlo methodsintractable likelihoodpseudo-marginal MCMCRussian roulette sampling

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Random fields; image analysis (62M40) Bayesian inference (62F15) Interacting random processes; statistical mechanics type models; percolation theory (60K35)

Related Items (42)

Bayesian indirect inference for models with intractable normalizing functions ⋮ Prior specification of neighbourhood and interaction structure in binary Markov random fields ⋮ Approximate computations for binary Markov random fields and their use in Bayesian models ⋮ A numerically stable algorithm for integrating Bayesian models using Markov melding ⋮ Piecewise deterministic Markov processes for continuous-time Monte Carlo ⋮ Modelling and computation using NCoRM mixtures for density regression ⋮ Exact Bayesian inference for the Bingham distribution ⋮ The Block-Poisson Estimator for Optimally Tuned Exact Subsampling MCMC ⋮ Unnamed Item ⋮ Bayesian Variational Inference for Exponential Random Graph Models ⋮ Stochastic modelling of urban structure ⋮ Stability of noisy Metropolis-Hastings ⋮ Bayesian Inference in the Presence of Intractable Normalizing Functions ⋮ Bayesian Shrinkage for Functional Network Models, With Applications to Longitudinal Item Response Data ⋮ MCMC Computations for Bayesian Mixture Models Using Repulsive Point Processes ⋮ Optimal unbiased estimation for expected cumulative discounted cost ⋮ Generalized Bayes approach to inverse problems with model misspecification ⋮ Pseudo-Marginal Inference for CTMCs on Infinite Spaces via Monotonic Likelihood Approximations ⋮ Distributed computation for marginal likelihood based model choice ⋮ A randomized multi-index sequential Monte Carlo method ⋮ Bayesian inference, model selection and likelihood estimation using fast rejection sampling: the Conway-Maxwell-Poisson distribution ⋮ Unbiased Bayesian inference for population Markov jump processes via random truncations ⋮ Efficient Bayesian inference for COM-Poisson regression models ⋮ Exponential-family models of random graphs: inference in finite, super and infinite population scenarios ⋮ Bayesian model selection for high-dimensional Ising models, with applications to educational data ⋮ Unnamed Item ⋮ Bayesian model comparison with un-normalised likelihoods ⋮ How principled and practical are penalised complexity priors? ⋮ The Poisson transform for unnormalised statistical models ⋮ Bayesian computation: a summary of the current state, and samples backwards and forwards ⋮ Model comparison for Gibbs random fields using noisy reversible jump Markov chain Monte Carlo ⋮ Scalable Bayesian inference for the inverse temperature of a hidden Potts model ⋮ Unbiased Estimators and Multilevel Monte Carlo ⋮ Accelerating inference for diffusions observed with measurement error and large sample sizes using approximate Bayesian computation ⋮ Speeding up MCMC by Delayed Acceptance and Data Subsampling ⋮ A Novel Approach for Markov Random Field With Intractable Normalizing Constant on Large Lattices ⋮ Noisy Hamiltonian Monte Carlo for Doubly Intractable Distributions ⋮ A Function Emulation Approach for Doubly Intractable Distributions ⋮ Speeding Up MCMC by Efficient Data Subsampling ⋮ Subsampling MCMC -- an introduction for the survey statistician ⋮ Multifidelity Approximate Bayesian Computation with Sequential Monte Carlo Parameter Sampling ⋮ Tightening bounds for variational inference by revisiting perturbation theory

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• An Explicit Link between Gaussian Fields and Gaussian Markov Random Fields: The Stochastic Partial Differential Equation Approach
• The pseudo-marginal approach for efficient Monte Carlo computations
• Bayesian computation for statistical models with intractable normalizing constants
• Spatial models generated by nested stochastic partial differential equations, with an application to global ozone mapping
• Approximate Bayesian computational methods
• Parameter estimation in high dimensional Gaussian distributions
• Nonstationary covariance models for global data
• ABC methods for model choice in Gibbs random fields
• Use of SAMC for Bayesian analysis of statistical models with intractable normalizing constants
• On the efficiency of pseudo-marginal random walk Metropolis algorithms
• A vanilla Rao-Blackwellization of Metropolis-Hastings algorithms
• A Bayesian analysis of the Bingham distribution
• Markovian stochastic approximation with expanding projections
• A primer on disease mapping and ecological regression using \({\mathtt{INLA}}\)
• Some large-scale matrix computation problems
• Noisy Monte Carlo: convergence of Markov chains with approximate transition kernels
• Maximum Likelihood Estimation for Spatial Models by Markov Chain Monte Carlo Stochastic Approximation
• Approximate Bayesian Inference for Latent Gaussian models by using Integrated Nested Laplace Approximations
• A double Metropolis–Hastings sampler for spatial models with intractable normalizing constants
• Posterior Sampling When the Normalizing Constant is Unknown
• Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)
• Sequential Monte Carlo Samplers
• Fixed Rank Kriging for Very Large Spatial Data Sets
• Particle Filters for Partially Observed Diffusions
• On the estimation and testing of spatial interaction in Gaussian lattice processes
• Hidden Markov Models and Disease Mapping
• Gaussian Markov Random Fields
• Fully Bayesian Approach to Image Restoration with an Application in Biogeography
• Exact sampling with coupled Markov chains and applications to statistical mechanics
• Beitrag zur Theorie des Ferromagnetismus
• INLA or MCMC? A tutorial and comparative evaluation for spatial prediction in log-Gaussian Cox processes
• Exact estimation for Markov chain equilibrium expectations
• Efficient implementation of Markov chain Monte Carlo when using an unbiased likelihood estimator
• Stochastic Approximation in Monte Carlo Computation
• A general method for debiasing a Monte Carlo estimator
• An efficient Markov chain Monte Carlo method for distributions with intractable normalising constants
• Introducing Monte Carlo Methods with R
• Simulating normalizing constants: From importance sampling to bridge sampling to path sampling
• Monte Carlo strategies in scientific computing
• Pre-processing for approximate Bayesian computation in image analysis

This page was built for publication: On Russian roulette estimates for Bayesian inference with doubly-intractable likelihoods