A conditional density estimation partition model using logistic Gaussian processes

DOI10.1093/BIOMET/ASZ064MaRDI QIDQ5222227zbMATHOpenAlexWikidataFDO

Authors Richard D. Payne, Nilabja Guha, Yu Ding, Bani Mallick

Publication date 1 April 2020

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1703.06978

zbMATH Keywords

Laplace approximationreversible jump Markov chain Monte CarloBayesian conditional density estimationpartition modellogistic Gaussian process

Mathematics Subject Classification ID

Density estimation (62G07) Applications of statistics in engineering and industry; control charts (62P30) Gaussian processes (60G15) Generalized linear models (logistic models) (62J12)

Abstract: Conditional density estimation (density regression) estimates the distribution of a response variable y conditional on covariates x. Utilizing a partition model framework, a conditional density estimation method is proposed using logistic Gaussian processes. The partition is created using a Voronoi tessellation and is learned from the data using a reversible jump Markov chain Monte Carlo algorithm. The Markov chain Monte Carlo algorithm is made possible through a Laplace approximation on the latent variables of the logistic Gaussian process model. This approximation marginalizes the parameters in each partition element, allowing an efficient search of the posterior distribution of the tessellation. The method has desirable consistency properties. In simulation and applications, the model successfully estimates the partition structure and conditional distribution of y.

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