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Barker's algorithm for Bayesian inference with intractable likelihoods
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Goncalves, Flavio B., Latuszynski, Krzysztof and Roberts, Gareth O. (2017) Barker's algorithm for Bayesian inference with intractable likelihoods. Brazilian Journal of Probability and Statistics, 31 (4). pp. 732-745. doi:10.1214/17-BJPS374
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WRAP-Barker’s-algorithm-Bayesian-inference-intractable-likelihoods-Latuszynski-2017.pdf - Accepted Version Embargoed item. Restricted access to Repository staff only - Requires a PDF viewer. Download (960Kb) |
Official URL: https://doi.org/10.1214/17-BJPS374
Abstract
In this expository paper we abstract and describe a simple MCMC scheme for sampling from intractable target densities. The approach has been introduced in Goncalves et al. (2017a) in the specific context of jump diffusions, and is based on the Barker’s algorithm paired with a simple Bernoulli factory type scheme, the so called 2-coin algorithm. In many settings it is an alternative to standard Metropolis-Hastings pseudo-marginal method for simulating from intractable target densities. Although Barker’s is well-known to be slightly less efficient than Metropolis-Hastings, the key advantage of our approach is that it allows to implement the “marginal Barker’s” instead of the extended state space pseudo-marginal Metropolis-Hastings, owing to the special form of the accept/reject probability. We shall illustrate our methodology in the context of Bayesian inference for discretely observed Wright-Fisher family of diffusions.
| Item Type: | Journal Article | ||||||
|---|---|---|---|---|---|---|---|
| Divisions: | Faculty of Science > Statistics | ||||||
| Journal or Publication Title: | Brazilian Journal of Probability and Statistics | ||||||
| Publisher: | Duke University Press | ||||||
| ISSN: | 0103-0752 | ||||||
| Official Date: | 15 December 2017 | ||||||
| Dates: |
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| Volume: | 31 | ||||||
| Number: | 4 | ||||||
| Page Range: | pp. 732-745 | ||||||
| DOI: | 10.1214/17-BJPS374 | ||||||
| Status: | Peer Reviewed | ||||||
| Publication Status: | Published | ||||||
| Access rights to Published version: | Restricted or Subscription Access | ||||||
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