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arXiv · 1402.6035

Annealed Important Sampling for Models with Latent Variables

M. -N. Tran·C. Strickland·M. K. Pitt·R. Kohn
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Abstract

This paper is concerned with Bayesian inference when the likelihood is analytically intractable but can be unbiasedly estimated. We propose an annealed importance sampling procedure for estimating expectations with respect to the posterior. The proposed algorithm is useful in cases where finding a good proposal density is challenging, and when estimates of the marginal likelihood are required. The effect of likelihood estimation is investigated, and the results provide guidelines on how to set up the precision of the likelihood estimation in order to optimally implement the procedure. The methodological results are empirically demonstrated in several simulated and real data examples.

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M. -N. Tran, C. Strickland, M. K. Pitt, R. Kohn. 2014-02-25. Annealed Important Sampling for Models with Latent Variables. https://arxiv.org/abs/1402.6035

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