Monte Carlo statistical methods
Monte Carlo statistical methods, particularly those based on Markov chains, have now matured to be part of the standard set of techniques used by statisticians. This book is intended to bring these techniques into the classrooms, being a self-contained logical development of the subject with all concepts being explained in detail, and all theorems etc. having detailed proofs. There is also an abundance of examples and problems, relating the concepts with statistical practice and enhancing primarily the applications of simulation techniques to statistical problems of various difficulties. As a textbook it is intended for graduate courses. Chapters 1-3 are introductory. Chapter~1 is a review of various statistical methodologies and of corresponding computational problems. Chapters~2 and~3 contain the basics of random variable generation and Monte Carlo integration. Chapter 4, which is certainly the most theoretical in this book, is an introduction to Markov chains, covering enough theory to allow the reader to understand the working and to evaluate the performance of Markov chain Monte Carlo (MCMC) methods. Section 4.1 is provided for the reader who is already familiar with Markov chains, but needs a refresher, especially in the application of Markov chain theory to Monte Carlo calculations. Chapter 5 covers optimization and provides the first application of Markov chains to simulation methods. Chapters~6 and~7 cover the heart of MCMC methodology, the Metropolis-Hastings algorithm and the Gibbs sampler. Finally, Chapter 8 presents the state-of-art methods for monitoring convergence of the MCMC methods and Chapter 9 shows how these methods apply to some statistical settings which cannot be processed otherwise, namely the missing data models. Each chapter concludes with a section of notes that serve to enhance the discussion in the chapters, describe alternate or more advanced methods and point the reader to further work that has been done, as well as to current research trends in the area. The level and rigor of the notes are variable, with some of the material being advanced. The book can be used at several levels and can be presented in several ways. For example, Chapters 1-3 and most of the Chapter~5 cover standard simulation theory, and hence serve as a basic introduction to this topic. Chapters 6-9 are totally concerned with the MCMC methodology. Thus, one can easily imagine both one- and two-semester courses based on this book. Contents: List of tables; List of figures 1. Introduction; 2. Random variable generation; 3. Monte Carlo integration; 4. Markov chains; 5. Monte Carlo integration; 6. The Metropolis-Hastings algorithm; 7. The Gibbs sampler; 8. Diagnosing convergence; 9. Implementation in missing data models. A. Probability distributions; B. Notation; C. References; Subject index; Author index.
- Learning the structure of dynamic Bayesian networks from time series and steady state measurements
- Bayesian learning of graphical vector autoregressions with unequal lag-lengths
- MCMC methods to approximate conditional predictive distributions
- Bayesian inference for \(\alpha \)-stable distributions: a random walk MCMC approach
- Joint segmentation of wind speed and direction using a hierarchical model
- Mean-field variational approximate Bayesian inference for latent variable models
- A Bayesian propensity score adjustment for latent variable modeling and MCMC algorithm
- A Bayesian approach to estimate the marginal loss distributions in operational risk management
- Marginal likelihoods for non-Gaussian models using auxiliary mixture sampling
- A blocking Markov chain Monte Carlo method for inverse stochastic hydrogeological modeling
- Conditions for rapid mixing of parallel and simulated tempering on multimodal distributions
- Simultaneous credible intervals for small area estimation problems
- Equilibrium dynamics of ice streams: a Bayesian statistical analysis
- Robust adaptive Metropolis algorithm with coerced acceptance rate
- State-dependent swap strategies and automatic reduction of number of temperatures in adaptive parallel tempering algorithm
- Statistical inference and Monte Carlo algorithms. (With discussion)
- An MCMC approach to classical estimation.
- A general Bayes exponential inference model for accelerated life testing
- Exact statistical solutions using the inverse Bayes formulae.
- Global convergence for evolution strategies in spherical problems: Some simple proofs and difficulties.
- Simultaneous maximum likelihood estimation of linkage and linkage phases in outcrossing species.
- Honest exploration of intractable probability distributions via Markov chain Monte Carlo.
- An analysis of the influence of some prior specifications in the identification of change points via product partition model.
- Unequal sampling for Monte Carlo EM algorithms.
- Empirical microeconomics action functionals
- Network-based feature screening with applications to genome data
- Merging MCMC subposteriors through Gaussian-process approximations
- Change of spatiotemporal scale in dynamic models
- Objective Bayesian model selection approach to the two way analysis of variance
- Particle Markov chain Monte Carlo techniques of unobserved component time series models using Ox
- The stochastic quasi-chemical model for bacterial growth: variational Bayesian parameter update
- Using perturbed underdamped Langevin dynamics to efficiently sample from probability distributions
- Variance reduction in Monte Carlo estimators via empirical variance minimization
- Inverse modeling of tracer flow via a mass conservative generalized multiscale finite volume/element method and stochastic collocation
- Uncertainty through the lenses of a mixed-frequency Bayesian panel Markov-switching model
- The interplay of Bayesian and frequentist analysis
- Computational advances for and from Bayesian analysis
- Detecting stagewise outliers in hierarchical Bayesian linear models of repeated measures data
- Modelling airway smooth muscle passive length adaptation via thick filament length distributions
- Adaptive racing ranking-based immune optimization approach solving multi-objective expected value programming
- Bayesian inference for some Lanchester combat laws.
- Portable random number generators.
- Variable selection in qualitative models via an entropic explanatory power
- Sampling design and sample selection through distribution theory
- The deductive phase of statistical analysis via predictive simulations: Test, validation and control of a linear model with autocorrelated errors representing a food process
- Bayesian inference and state number determination for hidden Markov models: an application to the information content of the yield curve about inflation
- Markov chains for exploring posterior distributions. (With discussion)
- Long memory and nonlinearities in realized volatility: a Markov switching approach
- Finding a consensus on credible features among several paleoclimate reconstructions
- Exact sampling for intractable probability distributions via a Bernoulli factory
- Applying hierarchical Bayesian neural network in failure time prediction
- Bayesian separation of spectral sources under non-negativity and full additivity constraints
- Monte Carlo methods in Bayesian computation
- A systematic approach for examining the impact of calibration uncertainty in disease modeling
- Screening wells by multi-scale grids for multi-stage Markov chain Monte Carlo simulation
- Multivariate initial sequence estimators in Markov chain Monte Carlo
- Near-optimal solutions of convex semi-infinite programs via targeted sampling
- Empirical variance minimization with applications in variance reduction and optimal control
- Robust parameter estimation techniques for stochastic within-host macroparasite models
- Bayesian inversion for electrical-impedance tomography in medical imaging using the nonlinear Poisson-Boltzmann equation
- Variance reduction for Markov chains with application to MCMC
- McMC estimation of multiscale stochastic volatility models with applications
- Linking physics and spatial statistics: a new family of Boltzmann-Gibbs random fields
- Hypocoercivity of piecewise deterministic Markov process-Monte Carlo
- Monte Carlo maximum likelihood circle fitting using circular density functions
- Infinite Dirichlet mixture models learning via expectation propagation
- Spatial stochastic volatility for lattice data
- Incorporating variance uncertainty into a power analysis of monitoring designs
- Bayesian estimation of cluster-level test accuracy based on different sampling schemes
- A hierarchical model for the analysis of spatial rainfall extremes
- Bayesian modeling of measurement error in predictor variables using item response theory
- A renewal approach to Markovian \(U\)-statistics
- Joint time-frequency synchronization and channel estimation in two-way relay networks
- Influence diagnostics in mixed effects logistic regression models
- Approximate inference for constructing astronomical catalogs from images
- Orbit-based conditional tests. A link between permutations and Markov bases
- A multiple-try Metropolis-Hastings algorithm with tailored proposals
- Statistical inference for non-linear models involving ordinary differential equations
- Probabilistic integration: a role in statistical computation?
- Keeping the balance -- bridge sampling for marginal likelihood estimation in finite mixture, mixture of experts and Markov mixture models
- Subjective Bayesian testing using calibrated prior probabilities
- Recursive Monte Carlo filters: algorithms and theoretical analysis
- An exploration of aspects of Bayesian multiple testing
- Sampling the posterior: an approach to non-Gaussian data assimilation
- On the Markov chain Monte Carlo (MCMC) method
- Batch means and spectral variance estimators in Markov chain Monte Carlo
- Interacting and annealing particle filters: mathematics and a recipe for applications
- Central limit theorem for sequential Monte Carlo methods and its application to Bayesian inference
- Posterior propriety and admissibiity of hyperpriors in normal hierarchical models
- On the computational complexity of MCMC-based estimators in large samples
- Goodness of fit for log-linear network models: dynamic Markov bases using hypergraphs
- Collaborative topic regression for online recommender systems: an online and Bayesian approach
- Random partition models and exchangeability for Bayesian identification of population struc\-ture
- A spatial structural equation model for health outcomes
- An approximation to cluster size distribution of two Gaussian random fields conjunction with application to fMRI data
- High-dimensional Bayesian parameter estimation: case study for a model of JAK2/STAT5 signaling
- The effect of schooling and ability on achievement test scores
- Calibrated imputation of numerical data under linear edit restrictions
- Grapham: graphical models with adaptive random walk Metropolis algorithms
- Accurate and efficient evaluation of failure probability for partial different equations with random input data
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