資源描述：
《using tpa for bayesian inference》由會(huì)員上傳分享，免費(fèi)在線閱讀，更多相關(guān)內(nèi)容在工程資料-天天文庫。
1、UsingTPAforBayesianInference*UniversityPressScholarshipOnlineOxfordScholarshipOnlineBayesianStatistics9JoséM.Bernardo,M.J.Bayarri,JamesO.Berger,A.P.Dawid,DavidHeckerman,AdrianF.M.Smith,andMikeWestPrintpublicationdate:2011PrintISBN-13:9780199694587PublishedtoOxfordScholarshipOnline:January2012DOI
2、:10.1093/acprof:oso/9780199694587.001.0001UsingTPAforBayesianInference*MarkHuberSarahSchottDOI:10.1093/acprof:oso/9780199694587.003.0009AbstractandKeywordsFindingtheintegratedlikelihoodofamodelgiventhedatarequirestheintegrationofanonnegativefunctionovertheparameterspace.ClassicalMonteCarlomethod
3、sfornumericalintegrationrequireaboundorestimateofthevarianceinordertodeterminethequalityoftheoutput.Themethodcalledtheproductestimatordoesnotrequireknowledgeofthevarianceinordertoproducearesultofguaranteedquality,butrequiresacoolingschedulethatmusthavecertainstrictproperties.Findingacoolingsched
4、ulecanbedifficult,andfindinganoptimalcoolingscheduleisusuallycomputationallyoutofreach.TPAisamethodthatsolvesthisdifficulty,creatinganoptimalcoolingscheduleautomaticallyasitisrun.Thismethodhasitsownsetofrequirements;hereitisshownhowtomeettheserequirementsforproblemsarisinginBayesianinference.Thi
5、sgivesguaranteedaccuracyforintegratedlikelihoodsandPage1of31UsingTPAforBayesianInference*posteriormeansofnonnegativeparameters.Keywords:AdaptiveMonteCarlo,VarianceFreeApproximationSummaryFindingtheintegratedlikelihoodofamodelgiventhedatarequirestheintegrationofanonnegativefunctionovertheparamete
6、rspace.ClassicalMonteCarlomethodsfornumericalintegrationrequireaboundorestimateofthevarianceinordertodeterminethequalityoftheoutput.Themethodcalledtheproductestimatordoesnotrequireknowledgeofthevarianceinordertoproducearesultofguaranteedquality,butrequiresacoolingschedulethatmusthavecertainstric
7、tproperties.Findingacoolingschedulecanbedifficult,andfindinganoptimalcoolingscheduleisusuallycomputationallyoutofreach.TPAisamethodthatsolvesthisdifficulty,creatinganoptimalcoolingscheduleautomaticallyasitisrun.Thismethodhas
