RMCMC: a system for updating Bayesian models

DOI10.1016/J.CSDA.2014.06.010MaRDI QIDQ1623699zbMATH OpenOpenAlexDBLPWikidataFDO

Authors F. Din-Houn Lau, Axel Gandy

Publication date 23 November 2018

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/1307.0742

zbMATH Keywords

importance samplingMarkov chain Monte Carlo methodsstreaming dataMonte Carlo techniquessports modelling

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Applications of statistics (62P99)

Abstract: A system to update estimates from a sequence of probability distributions is presented. The aim of the system is to quickly produce estimates with a user-specified bound on the Monte Carlo error. The estimates are based upon weighted samples stored in a database. The stored samples are maintained such that the accuracy of the estimates and quality of the samples is satisfactory. This maintenance involves varying the number of samples in the database and updating their weights. New samples are generated, when required, by a Markov chain Monte Carlo algorithm. The system is demonstrated using a football league model that is used to predict the end of season table. Correctness of the estimates and their accuracy is shown in a simulation using a linear Gaussian model.

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