Bayesian nonparametric analysis of reversible Markov chains

DOI10.1214/13-AOS1102MaRDI QIDQ355117zbMATH OpenFDO

Authors Stefano Favaro, Sergio Bacallado, Lorenzo Trippa

Publication date 24 July 2013

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1306.1318, https://projecteuclid.org/euclid.aos/1369836963

zbMATH Keywords

Bayesian nonparametricsreversibilitymolecular dynamicsreinforced random walksmixtures of Markov chainsspecies samplingtwo-parameter Hoppe urn

Mathematics Subject Classification ID

Inference from stochastic processes (62M99) Markov processes: hypothesis testing (62M02) Bayesian problems; characterization of Bayes procedures (62C10) Sums of independent random variables; random walks (60G50)

Abstract: We introduce a three-parameter random walk with reinforcement, called the $$ scheme, which generalizes the linearly edge reinforced random walk to uncountable spaces. The parameter $$ smoothly tunes the $$ scheme between this edge reinforced random walk and the classical exchangeable two-parameter Hoppe urn scheme, while the parameters $alpha$ and $heta$ modulate how many states are typically visited. Resorting to de Finetti's theorem for Markov chains, we use the $$ scheme to define a nonparametric prior for Bayesian analysis of reversible Markov chains. The prior is applied in Bayesian nonparametric inference for species sampling problems with data generated from a reversible Markov chain with an unknown transition kernel. As a real example, we analyze data from molecular dynamics simulations of protein folding.

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Cited in

(12)

• Bayesian Inference in Hidden Markov Models Through the Reversible Jump Markov Chain Monte Carlo Method
• A note on nonparametric inference for species variety with Gibbs-type priors
• Approximating predictive probabilities of Gibbs-type priors
• Probabilistic symmetries and invariant neural networks
• Bayesian nonparametric analysis of reversible Markov chains
• Bayesian M-T clustering for reduced parameterisation of Markov chains used for nonlinear adaptive elements
• Bayesian analysis for reversible Markov chains
• Bayesian nonparametric inference for shared species richness in multiple populations
• Bayesian inversion by parallel interacting Markov chains
• Bayesian analysis of variable-order, reversible Markov chains
• Sufficientness postulates for Gibbs-type priors and hierarchical generalizations
• Forward-reverse expectation-maximization algorithm for Markov chains: convergence and numerical analysis

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