Multivariate Conway-Maxwell-Poisson Distribution: Sarmanov Method and Doubly Intractable Bayesian Inference

DOI10.1080/10618600.2022.2116443arXiv2107.07561OpenAlexW3185801694MaRDI QIDQ6094076FDOQ6094076

Authors: Luiza Sette C. Piancastelli, Nial Friel, Wagner Barreto-Souza, Hernando C. Ombao 

Publication date: 9 October 2023

Published in: Journal of Computational and Graphical Statistics (Search for Journal in Brave)

Abstract: In this paper, a multivariate count distribution with Conway-Maxwell (COM)-Poisson marginals is proposed. To do this, we develop a modification of the Sarmanov method for constructing multivariate distributions. Our multivariate COM-Poisson (MultCOMP) model has desirable features such as (i) it admits a flexible covariance matrix allowing for both negative and positive non-diagonal entries; (ii) it overcomes the limitation of the existing bivariate COM-Poisson distributions in the literature that do not have COM-Poisson marginals; (iii) it allows for the analysis of multivariate counts and is not just limited to bivariate counts. Inferential challenges are presented by the likelihood specification as it depends on a number of intractable normalizing constants involving the model parameters. These obstacles motivate us to propose a Bayesian inferential approach where the resulting doubly-intractable posterior is dealt with via the exchange algorithm and the Grouped Independence Metropolis-Hastings algorithm. Numerical experiments based on simulations are presented to illustrate the proposed Bayesian approach. We analyze the potential of the MultCOMP model through a real data application on the numbers of goals scored by the home and away teams in the Premier League from 2018 to 2021. Here, our interest is to assess the effect of a lack of crowds during the COVID-19 pandemic on the well-known home team advantage. A MultCOMP model fit shows that there is evidence of a decreased number of goals scored by the home team, not accompanied by a reduced score from the opponent. Hence, our analysis suggests a smaller home team advantage in the absence of crowds, which agrees with the opinion of several football experts.

Full work available at URL: https://arxiv.org/abs/2107.07561

Recommendations

• Bivariate Conway-Maxwell-Poisson distribution: formulation, properties, and inference
• Bivariate Conway-Maxwell Poisson distributions with given marginals and correlation
• Bayesian analysis of the multivariate poisson distribution
• The Conway-Maxwell-Poisson distribution: distributional theory and approximation
• Poisson approximation of multivariate Poisson mixtures
• scientific article; zbMATH DE number 44778
• Bayesian Conway–Maxwell–Poisson regression models for overdispersed and underdispersed counts

zbMATH Keywords

Bayesian inferenceConway-Maxwell-Poisson distributionexchange algorithmthermodynamic integrationpseudo-marginal Monte Carlomultivariate count data

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Practical Bayesian model evaluation using leave-one-out cross-validation and WAIC
• A flexible regression model for count data
• Title not available (Why is that?)
• The multivariate Poisson-log normal distribution
• A Useful Distribution for Fitting Discrete Data: Revival of the Conway–Maxwell–Poisson Distribution
• The pseudo-marginal approach for efficient Monte Carlo computations
• Monte Carlo methods in Bayesian computation
• Properties and applications of the sarmanov family of bivariate distributions
• Title not available (Why is that?)
• Efficient implementation of Markov chain Monte Carlo when using an unbiased likelihood estimator
• Title not available (Why is that?)
• Simulating normalizing constants: From importance sampling to bridge sampling to path sampling
• Marginal Likelihood Estimation via Power Posteriors
• Title not available (Why is that?)
• Improving power posterior estimation of statistical evidence
• Conjugate analysis of the Conway-Maxwell-Poisson distribution
• Useful moment and CDF formulations for the COM-Poisson distribution
• Noisy Monte Carlo: convergence of Markov chains with approximate transition kernels
• Bayesian inference in the presence of intractable normalizing functions
• On a class of bivariate mixed Sarmanov distributions
• Title not available (Why is that?)
• Bivariate generalized Poisson distribution with some applications
• Bivariate Conway-Maxwell-Poisson distribution: formulation, properties, and inference
• The Conway-Maxwell-Poisson distribution: distributional theory and approximation
• Accelerating pseudo-marginal MCMC using Gaussian processes
• An asymptotic expansion for the normalizing constant of the Conway-Maxwell-Poisson distribution
• Multivariate count data generalized linear models: three approaches based on the Sarmanov distribution
• Multivariate discrete distributions via sums and shares
• A flexible univariate autoregressive time-series model for dispersed count data
• Bivariate Conway-Maxwell Poisson distributions with given marginals and correlation
• A Tree-Based Semi-Varying Coefficient Model for the COM-Poisson Distribution
• Bayesian inference, model selection and likelihood estimation using fast rejection sampling: the Conway-Maxwell-Poisson distribution

Cited In (3)

• Bivariate Conway-Maxwell Poisson distributions with given marginals and correlation
• Finite mixtures of mean-parameterized Conway-Maxwell-Poisson models
• Characterizing Existence and Location of the ML Estimate in the Conway–Maxwell–Poisson Model

This page was built for publication: Multivariate Conway-Maxwell-Poisson Distribution: Sarmanov Method and Doubly Intractable Bayesian Inference

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6094076)