arXivDaily arXiv每日学术速递 周一至周五更新
arXiv 2007.06944stat.MEstat.COstat.ML
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多元正态概率模型的一类共轭先验

A Class of Conjugate Priors for Multinomial Probit Models which Includes the Multivariate Normal One

Augusto Fasano, Daniele Durante

摘要:

多项概率单位模型是学习分类响应数据的类概率如何随p个观察到的预测变量而变化的灵活实现的表示。虽然已经开发了几种频率论方法用于这类模型的估计、推断和分类,但贝叶斯推断仍然落后。这是由于明显缺乏一个听话的共轭先验类,这可能有助于后验推断多项式概率系数。这样的问题促使越来越多的努力发展有效的马尔可夫链蒙特卡罗方法,但国家的最先进的解决方案仍然面临严重的计算瓶颈,特别是在高维。在这篇文章中,我们证明了整个类的统一偏态(SUN)分布是共轭的几个多项式概率模型。利用这一结果和SUN属性,我们改进了后验推理和分类的最先进的解决方案,包括几个感兴趣的泛函的封闭形式结果,以及开发新的计算方法,依赖于独立和相同分布的样本从精确的后验或可扩展的和准确的变分近似的基础上块部分因式分解表示。如模拟和胃肠道病变应用中所示,在实践中,当重点放在高维研究时,相对于当前方法的改进幅度特别明显。

英文摘要:

Multinomial probit models are routinely-implemented representations for learning how the class probabilities of categorical response data change with p observed predictors. Although several frequentist methods have been developed for estimation, inference and classification within such a class of models, Bayesian inference is still lagging behind. This is due to the apparent absence of a tractable class of conjugate priors, that may facilitate posterior inference on the multinomial probit coefficients. Such an issue has motivated increasing efforts toward the development of effective Markov chain Monte Carlo methods, but state-of-the-art solutions still face severe computational bottlenecks, especially in high dimensions. In this article, we show that the entire class of unified skew-normal (SUN) distributions is conjugate to several multinomial probit models. Leveraging this result and the SUN properties, we improve upon state-of-the-art solutions for posterior inference and classification both in terms of closed-form results for several functionals of interest, and also by developing novel computational methods relying either on independent and identically distributed samples from the exact posterior or on scalable and accurate variational approximations based on blocked partially-factorized representations. As illustrated in simulations and in a gastrointestinal lesions application, the magnitude of the improvements relative to current methods is particularly evident, in practice, when the focus is on high-dimensional studies.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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