The taxicab sampler: MCMC for discrete spaces with application to tree models

DOI10.1080/00949655.2022.2119972MaRDI QIDQ6074155zbMATH OpenFDO

Authors Matthew T. Pratola, Radu Herbei

Publication date 19 September 2023

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2107.07313

zbMATH Keywords

Markov chain Monte Carlocount datadata augmentationdiscrete state spacesregression trees

Mathematics Subject Classification ID

Statistics (62-XX)

Abstract: Motivated by the problem of exploring discrete but very complex state spaces in Bayesian models, we propose a novel Markov Chain Monte Carlo search algorithm: the taxicab sampler. We describe the construction of this sampler and discuss how its interpretation and usage differs from that of standard Metropolis-Hastings as well as the related Hamming ball sampler. The proposed sampling algorithm is then shown to demonstrate substantial improvement in computation time without any loss of efficiency relative to a na"ive Metropolis-Hastings search in a motivating Bayesian regression tree count model, in which we leverage the discrete state space assumption to construct a novel likelihood function that allows for flexibly describing different mean-variance relationships while preserving parameter interpretability compared to existing likelihood functions for count data.

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