Bayesian inference in cumulative distribution fields

DOI10.1007/978-3-319-12454-4_7zbMATH Open1364.62068arXiv1511.02796OpenAlexW2146286937MaRDI QIDQ5266577FDOQ5266577

Authors:

Publication date: 16 June 2017

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Abstract: One approach for constructing copula functions is by multiplication. Given that products of cumulative distribution functions (CDFs) are also CDFs, an adjustment to this multiplication will result in a copula model, as discussed by Liebscher (J Mult Analysis, 2008). Parameterizing models via products of CDFs has some advantages, both from the copula perspective (e.g., it is well-defined for any dimensionality) and from general multivariate analysis (e.g., it provides models where small dimensional marginal distributions can be easily read-off from the parameters). Independently, Huang and Frey (J Mach Learn Res, 2011) showed the connection between certain sparse graphical models and products of CDFs, as well as message-passing (dynamic programming) schemes for computing the likelihood function of such models. Such schemes allows models to be estimated with likelihood-based methods. We discuss and demonstrate MCMC approaches for estimating such models in a Bayesian context, their application in copula modeling, and how message-passing can be strongly simplified. Importantly, our view of message-passing opens up possibilities to scaling up such methods, given that even dynamic programming is not a scalable solution for calculating likelihood functions in many models.

Full work available at URL: https://arxiv.org/abs/1511.02796

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zbMATH Keywords

Bayesian inferencemultivariate analysiscopula functionslikelihood function

Mathematics Subject Classification ID

Bayesian inference (62F15) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Measures of association (correlation, canonical correlation, etc.) (62H20)

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Cited In (2)

• Cumulative distribution networks and the derivative-sum-product algorithm: models and inference for cumulative distribution functions on graphs
• Bayesian inference of random fields represented with the Karhunen-Loève expansion

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