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arXiv 2103.07425stat.ME
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扩展潜高斯模型中后验分布的快速可扩展逼近

Fast, Scalable Approximations to Posterior Distributions in Extended Latent Gaussian Models

Alex Stringer, Patrick Brown, Jamie Stafford

摘要:

我们定义了一类新的加性模型,称为扩展的潜在高斯模型,允许广泛的响应分布和灵活的加性预测和平均响应之间的关系。新课程涵盖了广泛的有趣的模型,包括多分辨率空间过程,部分基于似然的生存模型,和多变量测量误差模型。由于精确的后验分布的计算是不可行的,我们开发了一个快速的,可扩展的近似贝叶斯推断方法,这一类的基础上嵌套高斯,拉普拉斯,自适应正交近似。我们证明了在标准条件下,这些近似后验的误差是op(1),并提供了数值证据表明,我们的方法比基于集成嵌套拉普拉斯近似和马尔可夫链蒙特卡罗的方法运行更快,可扩展到更大的数据集,具有可比的精度。我们应用新的方法来映射的疟疾发病率在连续空间中使用聚合数据,映射白血病生存的危险使用一个连续变化的空间过程的考克斯比例风险模型,并估计银河系的质量使用嘈杂的多变量测量的位置和速度的星团在其轨道上。

英文摘要:

We define a novel class of additive models, called Extended Latent Gaussian Models, that allow for a wide range of response distributions and flexible relationships between the additive predictor and mean response. The new class covers a broad range of interesting models including multi-resolution spatial processes, partial likelihood-based survival models, and multivariate measurement error models. Because computation of the exact posterior distribution is infeasible, we develop a fast, scalable approximate Bayesian inference methodology for this class based on nested Gaussian, Laplace, and adaptive quadrature approximations. We prove that the error in these approximate posteriors is op(1) under standard conditions, and provide numerical evidence suggesting that our method runs faster and scales to larger datasets than methods based on Integrated Nested Laplace Approximations and Markov Chain Monte Carlo, with comparable accuracy. We apply the new method to the mapping of malaria incidence rates in continuous space using aggregated data, mapping leukaemia survival hazards using a Cox Proportional-Hazards model with a continuously-varying spatial process, and estimating the mass of the Milky Way Galaxy using noisy multivariate measurements of the positions and velocities of star clusters in its orbit.

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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