Bayesian nonparametric analysis of reversible Markov chains

DOI10.1214/13-AOS1102zbMATH Open1360.62481arXiv1306.1318MaRDI QIDQ355117FDOQ355117

Authors: Stefano Favaro, Sergio Bacallado, Lorenzo Trippa 

Publication date: 24 July 2013

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

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.

Full work available at URL: https://arxiv.org/abs/1306.1318

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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)

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Cited In (12)

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

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