Statistical Science

A General Framework for the Parametrization of Hierarchical Models

Omiros Papaspiliopoulos, Gareth O. Roberts, and Martin Sköld

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In this paper, we describe centering and noncentering methodology as complementary techniques for use in parametrization of broad classes of hierarchical models, with a view to the construction of effective MCMC algorithms for exploring posterior distributions from these models. We give a clear qualitative understanding as to when centering and noncentering work well, and introduce theory concerning the convergence time complexity of Gibbs samplers using centered and noncentered parametrizations. We give general recipes for the construction of noncentered parametrizations, including an auxiliary variable technique called the state-space expansion technique. We also describe partially noncentered methods, and demonstrate their use in constructing robust Gibbs sampler algorithms whose convergence properties are not overly sensitive to the data.

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Statist. Sci., Volume 22, Number 1 (2007), 59-73.

First available in Project Euclid: 1 August 2007

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Parametrization hierarchical models latent stochastic processes MCMC


Papaspiliopoulos, Omiros; Roberts, Gareth O.; Sköld, Martin. A General Framework for the Parametrization of Hierarchical Models. Statist. Sci. 22 (2007), no. 1, 59--73. doi:10.1214/088342307000000014.

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