This is the program for the 2010 Joint Statistical Meetings in Vancouver, British Columbia.
Abstract Details
Activity Number:
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303
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Type:
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Contributed
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Date/Time:
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Tuesday, August 3, 2010 : 8:30 AM to 10:20 AM
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Sponsor:
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Section on Bayesian Statistical Science
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Abstract - #308363 |
Title:
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The Polya Tree Sampler: Towards Efficient and Automatic Independent Metropolis Proposals
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Author(s):
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Alejandro Jara*+ and Timothy Edward Hanson and Joao Monteiro
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Companies:
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Pontificia Universidad Católica de Chile and University of Minnesota and University of Minnesota
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Address:
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Casilla 306, Correo 22 Santiago, CHILE, Santiago, International, , Chile
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Keywords:
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Adaptive MCMC ;
Metropolis-Hastings ;
Density Approximation ;
Polya trees
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Abstract:
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We present a simple, efficient, and computationally cheap sampling method for exploring an unnormalized multivariate density, such as a posterior density, called the Polya tree sampler. The algorithm constructs an independent proposal based on an approximation of the target density which is built from a set of (initial) support points and the predictive density of a finite multivariate Polya tree. In an initial warming-up phase, the support points are iteratively relocated to regions of higher support under the target distribution to minimize the distance between the target distribution and the Polya tree predictive distribution. In the sampling phase, samples from the final approximating mixture of finite Polya trees are used as candidates which are accepted with a standard Metropolis-Hastings acceptance probability. ** A. Jara's research is supported by Fondecyt grant 3095003
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The address information is for the authors that have a + after their name.
Authors who are presenting talks have a * after their name.
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