arXiv subjects

Wojciech Niemiro

Publications and source records attributed to Wojciech Niemiro.

12 recordsLinked to original sources

arXiv2023

Network Model with Application to Allergy Diseases

We propose a new graphical model to describe the comorbidity of allergic diseases. We present our model in two versions. First, we introduce a generative model that correctly reflects the variables' causal relationship. Then we propose an approximation of the generative model by another misspecified model that is computationally more efficient and easily interpretable. We will focus on the misspecified version, which we consider more practical. We include in the model two directed graphs, one graph of known dependency between the main binary variables (diseases), and a second graph of the dependence between the occurrence of the diseases and their symptoms. In the model, we also consider additional auxiliary variables. The proposed model is evaluated on a cross-sectional multicentre study in Poland on the ECAP database (www.ecap.pl). An assessment of the stability of the proposed model was obtained using bootstrap and jackknife techniques.

stat.AP↗

arXiv2019

Particle MCMC with Poisson Resampling: Parallelization and Continuous Time Models

We introduce a new version of particle filter in which the number of "children" of a particle at a given time has a Poisson distribution. As a result, the number of particles is random and varies with time. An advantage of this scheme is that descendants of different particles can evolve independently. It makes easy to parallelize computations. Moreover, particle filter with Poisson resampling is readily adapted to the case when a hidden process is a continuous time, piecewise deterministic semi-Markov process. We show that the basic techniques of particle MCMC, namely particle independent Metropolis-Hastings, particle Gibbs Sampler and its version with ancestor sampling, work under our Poisson resampling scheme. Our version of particle Gibbs Sampler is uniformly ergodic under the same assumptions as its standard counterpart. We present simulation results which indicate that our algorithms can compete with the existing methods.

stat.CO↗

arXiv2018

Asymptotics of maximum likelihood estimators based on Markov chain Monte Carlo methods

In many complex statistical models maximum likelihood estimators cannot be calculated. In the paper we solve this problem using Markov chain Monte Carlo approximation of the true likelihood. In the main result we prove asymptotic normality of the estimator, when both sample sizes (the initial and Monte Carlo one) tend to infinity. Our result can be applied to models with intractable norming constants and missing data models.

math.ST↗

arXiv2015

Geometric ergodicity of Rao and Teh's algorithm for Markov jump processes

Rao and Teh (2013) introduced an efficient MCMC algorithm for sampling from the posterior distribution of a hidden Markov jump process. The algorithm is based on the idea of sampling virtual jumps. In the present paper we show that the Markov chain generated by Rao and Teh's algorithm is geometrically ergodic. To this end we establish a geometric drift condition towards a small set.

stat.ME↗

arXiv2015

Particle Gibbs algorithms for Markov jump processes

In the present paper we propose a new MCMC algorithm for sampling from the posterior distribution of hidden trajectory of a Markov jump process. Our algorithm is based on the idea of exploiting virtual jumps, introduced by Rao and Teh (2013). The main novelty is that our algorithm uses particle Gibbs with ancestor sampling to update the skeleton, while Rao and Teh use forward filtering backward sampling (FFBS). In contrast to previous methods our algorithm can be implemented even if the state space is infinite. In addition, the cost of a single step of the proposed algorithm does not depend on the size of the state space. The computational cost of our methood is of order $\mathcal{O}(N\mathbb{E}(n))$, where $N$ is the number of particles used in the PGAS algorithm and $\mathbb{E}(n)$ is the expected number of jumps (together with virtual ones). The cost of the algorithm of Rao and Teh is of order $\mathcal{O}(|\mathcal{X}|^2\mathbb{E}(n))$, where $|\mathcal{X}|$ is the size of the state space. Simulation results show that our algorithm with PGAS converges slightly slower than the algorithm with FFBS, if the size of the state space is not big. However, if the size of the state space increases, the proposed method outperforms existing ones. We give special attention to a hierarchical version of our algorithm which can be applied to continuous time Bayesian networks (CTBNs).

stat.CO↗

arXiv2014

Asymptotics of Monte Carlo maximum likelihood estimators

We describe Monte Carlo approximation to the maximum likelihood estimator in models with intractable norming constants and explanatory variables. We consider both sources of randomness (due to the initial sample and to Monte Carlo simulations) and prove asymptotical normality of the estimator.

stat.ME↗

arXiv2014

Adaptive Monte Carlo Maximum Likelihood

We consider Monte Carlo approximations to the maximum likelihood estimator in models with intractable norming constants. This paper deals with adaptive Monte Carlo algorithms, which adjust control parameters in the course of simulation. We examine asymptotics of adaptive importance sampling and a new algorithm, which uses resampling and MCMC. This algorithm is designed to reduce problems with degeneracy of importance weights. Our analysis is based on martingale limit theorems. We also describe how adaptive maximization algorithms of Newton-Raphson type can be combined with the resampling techniques. The paper includes results of a small scale simulation study in which we compare the performance of adaptive and non-adaptive Monte Carlo maximum likelihood algorithms.

stat.ME↗

arXiv2014

Metropolis-type algorithms for Continuous Time Bayesian Networks

We present a Metropolis-Hastings Markov chain Monte Carlo (MCMC) algorithm for detecting hidden variables in a continuous time Bayesian network (CTBN), which uses reversible jumps in the sense defined by (Green 1995). In common with several Monte Carlo algorithms, one of the most recent and important by (Rao and Teh 2013), our algorithm exploits uniformization techniques under which a continuous time Markov process can be represented as a marked Poisson process. We exploit this in a novel way. We show that our MCMC algorithm can be more efficient than those of likelihood weighting type, as in (Nodelman et al. 2003) and (Fan et al. 2010) and that our algorithm broadens the class of important examples that can be treated effectively.

stat.ME↗

arXiv2013

Nonasymptotic bounds on the estimation error of MCMC algorithms

We address the problem of upper bounding the mean square error of MCMC estimators. Our analysis is nonasymptotic. We first establish a general result valid for essentially all ergodic Markov chains encountered in Bayesian computation and a possibly unbounded target function $f$. The bound is sharp in the sense that the leading term is exactly $σ_{\mathrm {as}}^2(P,f)/n$, where $σ_{\mathrm{as}}^2(P,f)$ is the CLT asymptotic variance. Next, we proceed to specific additional assumptions and give explicit computable bounds for geometrically and polynomially ergodic Markov chains under quantitative drift conditions. As a corollary, we provide results on confidence estimation.

stat.ME↗

arXiv2011

Nonasymptotic bounds on the mean square error for MCMC estimates via renewal techniques

The Nummellin's split chain construction allows to decompose a Markov chain Monte Carlo (MCMC) trajectory into i.i.d. "excursions". RegenerativeMCMC algorithms based on this technique use a random number of samples. They have been proposed as a promising alternative to usual fixed length simulation [25, 33, 14]. In this note we derive nonasymptotic bounds on the mean square error (MSE) of regenerative MCMC estimates via techniques of renewal theory and sequential statistics. These results are applied to costruct confidence intervals. We then focus on two cases of particular interest: chains satisfying the Doeblin condition and a geometric drift condition. Available explicit nonasymptotic results are compared for different schemes of MCMC simulation.

stat.CO↗

arXiv2009

Rigorous confidence bounds for MCMC under a geometric drift condition

We assume a drift condition towards a small set and bound the mean square error of estimators obtained by taking averages along a single trajectory of a Markov chain Monte Carlo algorithm. We use these bounds to construct fixed-width nonasymptotic confidence intervals. For a possibly unbounded function $f:\stany \to R,$ let $I=\int_{\stany} f(x) π(x) dx$ be the value of interest and $\hat{I}_{t,n}=(1/n)\sum_{i=t}^{t+n-1}f(X_i)$ its MCMC estimate. Precisely, we derive lower bounds for the length of the trajectory $n$ and burn-in time $t$ which ensure that $$P(|\hat{I}_{t,n}-I|\leq \varepsilon)\geq 1-α.$$ The bounds depend only and explicitly on drift parameters, on the $V-$norm of $f,$ where $V$ is the drift function and on precision and confidence parameters $\varepsilon, α.$ Next we analyse an MCMC estimator based on the median of multiple shorter runs that allows for sharper bounds for the required total simulation cost. In particular the methodology can be applied for computing Bayesian estimators in practically relevant models. We illustrate our bounds numerically in a simple example.

stat.ME↗

arXiv2009

Nonasymptotic bounds on the estimation error for regenerative MCMC algorithms

MCMC methods are used in Bayesian statistics not only to sample from posterior distributions but also to estimate expectations. Underlying functions are most often defined on a continuous state space and can be unbounded. We consider a regenerative setting and Monte Carlo estimators based on i.i.d. blocks of a Markov chain trajectory. The main result is an inequality for the mean square error. We also consider confidence bounds. We first derive the results in terms of the asymptotic variance and then bound the asymptotic variance for both uniformly ergodic and geometrically ergodic Markov chains.

stat.ME↗