Bayesian analysis for reversible Markov chains

DOI10.1214/009053606000000290zbMATH Open1118.62085arXivmath/0605582OpenAlexW2121529996MaRDI QIDQ2500453FDOQ2500453

Authors: Persi Diaconis, Silke W. W. Rolles 

Publication date: 24 August 2006

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

Abstract: We introduce a natural conjugate prior for the transition matrix of a reversible Markov chain. This allows estimation and testing. The prior arises from random walk with reinforcement in the same way the Dirichlet prior arises from P'{o}lya's urn. We give closed form normalizing constants, a simple method of simulation from the posterior and a characterization along the lines of W. E. Johnson's characterization of the Dirichlet prior.

Full work available at URL: https://arxiv.org/abs/math/0605582

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zbMATH Keywords

hypothesis testingconjugate priorsreversible Markov chains

Mathematics Subject Classification ID

Bayesian inference (62F15) Applications of graph theory (05C90) Markov processes: hypothesis testing (62M02) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Bayesian problems; characterization of Bayes procedures (62C10)

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Cited In (36)

• Bayesian nonparametric estimation for reinforced Markov renewal processes
• Information geometry of reversible Markov chains
• Another conversation with Persi Diaconis
• Bayesian analysis of variable-order, reversible Markov chains
• Limit theorems for reinforced random walks on certain trees
• Bayesian inversion by parallel interacting Markov chains
• On a class of random walks with reinforced memory
• Bayesian analysis of elapsed times in continuous‐time Markov chains
• An asymptotic result for Brownian polymers
• Estimation in reversible Markov chains
• Markov jump random c.d.f.'s and their posterior distributions
• The Dirichlet Markov ensemble
• Fitting a reversible Markov chain by maximum likelihood: converting an awkwardly constrained optimization problem to an unconstrained one
• Predictive construction of priors in Bayesian nonparametrics
• Maximum entropy estimation of transition probabilities of reversible Markov chains
• Fine mesh limit of the VRJP in dimension one and Bass-Burdzy flow
• A note on recurrence of the vertex reinforced jump process and fractional moments localization
• Random walks in random Dirichlet environment are transient in dimension \(d \geq 3\)
• TESTING FOR REVERSIBILITY IN MARKOV CHAIN DATA
• The algebra of reversible Markov chains
• Edge-reinforced random walk, vertex-reinforced jump process and the supersymmetric hyperbolic sigma model
• Spin systems with hyperbolic symmetry: a survey
• Asymptotic behavior of edge-reinforced random walks
• Conditional exact tests for Markovianity and reversibility in multiple categorical sequences
• Admissible estimation, Dirichlet principles and recurrence of birth-death chains on \({\mathbb{Z}}^ p_+\)
• Bayesian Inference in Hidden Markov Models Through the Reversible Jump Markov Chain Monte Carlo Method
• Bayesian nonparametric analysis of reversible Markov chains
• Hierarchical reinforced urn processes
• Scaling limit of linearly edge-reinforced random walks on critical Galton-Watson trees
• Exact goodness-of-fit tests for Markov chains
• A class of models for multiple binary sequences under the hypothesis of Markov exchangeability
• On the transience of processes defined on Galton-Watson trees
• Forward-reverse expectation-maximization algorithm for Markov chains: convergence and numerical analysis
• Invariance principles for random walks in random environment on trees
• A Bayesian model for binary Markov chains
• Edge-reinforced random walk on a ladder

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