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Laplace Expansions in Markov Chain Monte Carlo Algorithms

Abstract : Complex hierarchical models lead to a complicated likelihood and then, in a Bayesian analysis, to complicated posterior distributions. To obtain Bayes estimates such as the posterior mean or Bayesian confidence regions, it is therefore necessary to simulate the posterior distribution using a method such as an MCMC algorithm. These algorithms often get slower as the number of observations increases, especially when the latent variables are considered. To improve the convergence of the algorithm, we propose to decrease the number of parameters to simulate at each iteration by using a Laplace approximation on the nuisance parameters. We provide a theoretical study of the impact that such an approximation has on the target posterior distribution. We prove that the distance between the true target distribution and the approximation becomes of order O(N-a) with a (0, 1), a close to 1, as the number of observations N increases. A simulation study illustrates the theoretical results. The approximated MCMC algorithm behaves extremely well on an example which is driven by a study on HIV patients.
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Contributor : Chantal Guihenneuc-Jouyaux <>
Submitted on : Thursday, September 10, 2009 - 4:22:16 PM
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Chantal Guihenneuc-Jouyaux, Judith Rousseau. Laplace Expansions in Markov Chain Monte Carlo Algorithms. Journal of Computational and Graphical Statistics, Taylor & Francis, 2005, 14 (1), pp.75-94. ⟨10.1198/106186005X25727⟩. ⟨inserm-00174089⟩



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