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

DOI10.1080/00949655.2022.2119972arXiv2107.07313MaRDI QIDQ6074155FDOQ6074155

Authors: Matthew T. Pratola, Radu Herbei 

Publication date: 19 September 2023

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

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.

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

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zbMATH Keywords

Markov chain Monte Carlocount datadata augmentationdiscrete state spacesregression trees

Mathematics Subject Classification ID

Statistics (62-XX)

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