Bayesian inference in cumulative distribution fields

DOI10.1007/978-3-319-12454-4_7MaRDI QIDQ5266577zbMATH OpenOpenAlexFDO

Authors

Publication date 16 June 2017

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

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

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)

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.

Recommendations

• scientific article; zbMATH DE number 5951011
• Bayesian nonparametric inference for a multivariate copula function
• Approximate Bayesian inference in semiparametric copula models
• Bayesian nonparametric estimation of a copula
• Copulas in machine learning

Cites work

• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
• Ancestral graph Markov models.
• Binary Models for Marginal Independence
• Construction of asymmetric multivariate copulas
• Copulas in machine learning
• Cumulative distribution networks and the derivative-sum-product algorithm: models and inference for cumulative distribution functions on graphs
• Factor graphs and the sum-product algorithm
• Families of Multivariate Distributions
• Posterior sampling when the normalizing constant is unknown
• Probabilistic Networks and Expert Systems
• Sampling Archimedean copulas
• Slice sampling. (With discussions and rejoinder)
• The hidden life of latent variables: Bayesian learning with mixed graph models
• The pseudo-marginal approach for efficient Monte Carlo computations
• Vines -- a new graphical model for dependent random variables.

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

This page was built for publication: Bayesian inference in cumulative distribution fields

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5266577)