Related papers: Regression by clustering using Metropolis-Hastings
We introduce a new framework for efficient sampling from complex probability distributions, using a combination of optimal transport maps and the Metropolis-Hastings rule. The core idea is to use continuous transportation to transform…
Determining risk contributions of unit exposures to portfolio-wide economic capital is an important task in financial risk management. Computing risk contributions involves difficulties caused by rare-event simulations. In this study, we…
Efficient sampling of complex high-dimensional probability distributions is a central task in computational science. Machine learning methods like autoregressive neural networks, used with Markov chain Monte Carlo sampling, provide good…
A hierarchical logistic regression Bayesian model is proposed and implemented in R to model the probability of patient improvement corresponding to any given dosage of a certain drug. RStan is used to obtain samples from the posterior…
We present an adaptive method for the automatic scaling of Random-Walk Metropolis-Hastings algorithms, which quickly and robustly identifies the scaling factor that yields a specified overall sampler acceptance probability. Our method…
As it has become common to use many computer cores in routine applications, finding good ways to parallelize popular algorithms has become increasingly important. In this paper, we present a parallelization scheme for Markov chain Monte…
Metropolis-Hastings (MH) is a foundational Markov chain Monte Carlo (MCMC) algorithm. In this paper, we ask whether it is possible to formulate and analyse MH in terms of categorical probability, using a recent involutive framework for…
When drawing causal inferences about the effects of multiple treatments on clustered survival outcomes using observational data, we need to address implications of the multilevel data structure, multiple treatments, censoring and unmeasured…
Bayesian profile regression mixture models (BPRM) allow to assess a health risk in a multi-exposed population. These mixture models cluster individuals according to their exposure profile and their health risk. However, their results, based…
We consider the problem of the statistical uncertainty of the correlation matrix in the optimization of a financial portfolio. We show that the use of clustering algorithms can improve the reliability of the portfolio in terms of the ratio…
We propose a novel Metropolis-Hastings algorithm to sample uniformly from the space of correlation matrices. Existing methods in the literature are based on elaborated representations of a correlation matrix, or on complex parametrizations…
Risk adjustment in health care aims to redistribute payments to insurers based on costs. However, risk adjustment formulas are known to underestimate costs for some groups of patients. This undercompensation makes these groups unprofitable…
From basic considerations of the Lie group that preserves a target probability measure, we derive the Barker, Metropolis, and ensemble Markov chain Monte Carlo (MCMC) algorithms, as well as variants of waste-recycling Metropolis-Hastings…
The Metropolis-Hastings (MH) algorithm is one of the most widely used Markov Chain Monte Carlo schemes for generating samples from Bayesian posterior distributions. The algorithm is asymptotically exact, flexible and easy to implement.…
We propose a generic Markov Chain Monte Carlo (MCMC) algorithm to speed up computations for datasets with many observations. A key feature of our approach is the use of the highly efficient difference estimator from the survey sampling…
We compare convergence rates of Metropolis--Hastings chains to multi-modal target distributions when the proposal distributions can be of ``local'' and ``small world'' type. In particular, we show that by adding occasional long-range jumps…
We propose a novel framework of estimating systemic risk measures and risk allocations based on Markov chain Monte Carlo (MCMC) methods. We consider a class of allocations whose jth component can be written as some risk measure of the jth…
We present a sequential Monte Carlo sampler for coalescent based Bayesian hierarchical clustering. The model is appropriate for multivariate non-\iid data and our approach offers a substantial reduction in computational cost when compared…
The distribution of health care payments to insurance plans has substantial consequences for social policy. Risk adjustment formulas predict spending in health insurance markets in order to provide fair benefits and health care coverage for…
In this work, we developed an efficient approach to compute ensemble averages in systems with pairwise-additive energetic interactions between the entities. Methods involving full enumeration of the configuration space result in exponential…