Explaining the behavior of joint and marginal Monte Carlo estimators in latent variable models with independence assumptions

DOI10.1007/S11222-014-9495-8zbMATH Open1342.62128arXiv1311.0656OpenAlexW2014473431MaRDI QIDQ2631369FDOQ2631369

Authors: I. Ntzoufras, Irini Moustaki, Vasiliki Silia Vitoratou 

Publication date: 29 July 2016

Published in: Statistics and Computing (Search for Journal in Brave)

Abstract: In latent variable models the parameter estimation can be implemented by using the joint or the marginal likelihood, based on independence or conditional independence assumptions. The same dilemma occurs within the Bayesian framework with respect to the estimation of the Bayesian marginal (or integrated) likelihood, which is the main tool for model comparison and averaging. In most cases, the Bayesian marginal likelihood is a high dimensional integral that cannot be computed analytically and a plethora of methods based on Monte Carlo integration (MCI) are used for its estimation. In this work, it is shown that the joint MCI approach makes subtle use of the properties of the adopted model, leading to increased error and bias in finite settings. The sources and the components of the error associated with estimators under the two approaches are identified here and provided in exact forms. Additionally, the effect of the sample covariation on the Monte Carlo estimators is examined. In particular, even under independence assumptions the sample covariance will be close to (but not exactly) zero which surprisingly has a severe effect on the estimated values and their variability. To address this problem, an index of the sample's divergence from independence is introduced as a multivariate extension of covariance. The implications addressed here are important in the majority of practical problems appearing in Bayesian inference of multi-parameter models with analogous structures.

Full work available at URL: https://arxiv.org/abs/1311.0656

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zbMATH Keywords

Bayes factormarginal likelihoodMonte Carlo integration

Mathematics Subject Classification ID

Bayesian inference (62F15) Generalized linear models (logistic models) (62J12)

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Cited In (1)

• On the use of marginal posteriors in marginal likelihood estimation via importance sampling

Uses Software

• tsbridge

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