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arXiv 2406.03336stat.ME
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贝叶斯P样条的吉布斯抽样

Gibbs sampling for Bayesian P-splines

Oswaldo Gressani, Paul H. C. Eilers

摘要:

P-样条提供了一个灵活的设置建模非线性模型组件的基础上,一个相对简单的计算骨干离散化的惩罚结构。在基于马尔可夫链蒙特卡罗的贝叶斯推理框架下,P样条模型中模型系数的估计通常采用Metropolis型算法.这些算法依赖于必须仔细选择的建议分布,以生成有效地探索参数空间的马尔可夫链。为了避免这样一个敏感的调整选择,我们扩展吉布斯采样贝叶斯P-样条模型。在这类模型中,模型系数的条件后验分布具有吸引人的数学性质。利用这些属性,我们建议交替的自适应拒绝采样器的目标是对数凹和网格吉布斯采样器的目标时,其特征在于由更复杂的形状之间的条件后验。所提出的吉布斯采样贝叶斯P样条(GSBPS)算法被证明是一个有趣的调谐免费工具的贝叶斯P样条模型的推断。此外,GSBPS算法可以转换成一个紧凑和用户友好的例程。在描述了理论结果之后,我们说明了我们的方法在密度估计、二项回归和平滑流行曲线方面的潜力。

英文摘要:

P-splines provide a flexible setting for modeling nonlinear model components based on a discretized penalty structure with a relatively simple computational backbone. Under a Bayesian inferential framework based on Markov chain Monte Carlo, estimates of model coefficients in P-splines models are typically obtained by means of Metropolis-type algorithms. These algorithms rely on a proposal distribution that has to be carefully chosen to generate Markov chains that efficiently explore the parameter space. To avoid such a sensitive tuning choice, we extend the Gibbs sampler to Bayesian P-splines models. In this model class, conditional posterior distributions of model coefficients are shown to have attractive mathematical properties. Taking advantage of these properties, we propose to sample the conditional posteriors by alternating between the adaptive rejection sampler when targets are log-concave and the Griddy-Gibbs sampler when targets are characterized by more complex shapes. The proposed Gibbs sampler for Bayesian P-splines (GSBPS) algorithm is shown to be an interesting tuning-free tool for inference in Bayesian P-splines models. Moreover, the GSBPS algorithm can be translated in a compact and user-friendly routine. After describing theoretical results, we illustrate the potential of our methodology in density estimation, Binomial regression, and smoothing of epidemic curves.

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