Embarrassingly parallel sequential Markov-chain Monte Carlo for large sets of time series

DOI10.4310/SII.2016.V9.N4.A9MaRDI QIDQ1747610zbMATH OpenFDO

Authors Roberto Casarin, Radu V. Craiu, Fabrizio Leisen

Publication date 8 May 2018

Published in Statistics and Its Interface (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1512.01496

zbMATH Keywords

big datapanel of time seriesparallel Monte Carlosequential Markov-chain Monte Carlo

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Abstract: Bayesian computation crucially relies on Markov chain Monte Carlo (MCMC) algorithms. In the case of massive data sets, running the Metropolis-Hastings sampler to draw from the posterior distribution becomes prohibitive due to the large number of likelihood terms that need to be calculated at each iteration. In order to perform Bayesian inference for a large set of time series, we consider an algorithm that combines 'divide and conquer" ideas previously used to design MCMC algorithms for big data with a sequential MCMC strategy. The performance of the method is illustrated using a large set of financial data.

Recommendations

• Parallel Markov chain Monte Carlo for Bayesian hierarchical models with big data, in two stages
• Double-parallel Monte Carlo for Bayesian analysis of big data
• Parallel algorithms for Bayesian inference in spatial Gaussian models
• In search of lost mixing time: adaptive Markov chain Monte Carlo schemes for Bayesian variable selection with very large p
• Adaptive sequential posterior simulators for massively parallel computing environments

Cited in

(10)

• Comparing consensus Monte Carlo strategies for distributed Bayesian computation
• Shaken dynamics: an easy way to parallel Markov chain Monte Carlo
• Double-parallel Monte Carlo for Bayesian analysis of big data
• Likelihood inflating sampling algorithm
• Parallel Markov chain Monte Carlo for Bayesian hierarchical models with big data, in two stages
• Method G: Uncertainty Quantification for Distributed Data Problems Using Generalized Fiducial Inference
• Adaptive sequential posterior simulators for massively parallel computing environments
• Reuse, recycle, reweigh: combating influenza through efficient sequential Bayesian computation for massive data
• A one-pass sequential Monte Carlo method for Bayesian analysis of massive datasets
• High-performance statistical computing (HPSC): challenges, opportunities, and future directions

This page was built for publication: Embarrassingly parallel sequential Markov-chain Monte Carlo for large sets of time series

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1747610)