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Current Trends in Bayesian Methodology with Applications
book

Current Trends in Bayesian Methodology with Applications

by Satyanshu K. Upadhyay, Umesh Singh, Dipak K. Dey, Appaia Loganathan
May 2015
Intermediate to advanced content levelIntermediate to advanced
680 pages
22h 33m
English
Chapman and Hall/CRC
Content preview from Current Trends in Bayesian Methodology with Applications
Hamiltonian Monte Carlo for Hierarchical Models 89
0
0.2
0.4
0.6
0.8
1
0.1 0.2 0.3 0.4 0.5
Average Acceptance Probability
Step Size
(a)
1
1.01
1.02
1.03
1.04
1.05
0.1 0.2 0.3 0.4 0.5
R
^
v
Step Size
(b)
0
0.1
0.2
0.3
0.4
0.5
0.6
0.1 0.2 0.3 0.4 0.5
Percent Divergence
Step Size
(c)
FIGURE 4.5
Careful consideration of any adaptation procedure is crucial for valid inference
in hierarchical models. As the step size of the numerical integrator is decreased
(a) the averag e acceptance probability increases from the canonically optimal
value of 0.651 but (b) the sampler output conver ges to a consistent distribu-
tion. Indeed, (c) at the canonically optimal ...
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Publisher Resources

ISBN: 9781482235128