Quotation Frühwirth-Schnatter, Sylvia, Tüchler, Regina. 2003. Recent direction toward improving statistical estimation using MCMC. DSC 2003, Meeting on the Future of Statistical Computing, Wien, Österreich, 20.03.-22.03.


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Abstract

Statistical estimation using MCMC methods is known to be sometimes extremely slow. In this talk some of the reasons for this behavior will be analyzed. It is a common strategy in statistical modeling to start with a rather general model structure and to let the data tell us which special structure to choose. I will demonstrate in this talk that a mayor cause for poor convergence of MCMC methods stems from the attempt to estimate nearly unidentified models, whereas MCMC convergence is fine, whenever the data are informative about all unknown parameters in the model. This indicates two potential directions toward improving MCMC methods: 1. Re-parameterizing the model: this is a standard technique for improving MCMC, which is well-known for random-effects models. It will be shown that this strategy could be extended to much more general model structures. 2. Combining MCMC estimation with simultaneous model selection: a second strategy which is currently under investigation is to find a parsimonious model structure simultaneously with MCMC estimation.

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Paper presented at an academic conference or symposium
Language English
Title Recent direction toward improving statistical estimation using MCMC
Event DSC 2003, Meeting on the Future of Statistical Computing
Year 2003
Date 20.03.-22.03
Country Austria
Location Wien

Associations

People
Frühwirth-Schnatter, Sylvia (Details)
Tüchler, Regina (Former researcher)
Organization
Institute for Statistics and Mathematics IN (Details)
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