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The Gibbs sampler is a simple form of Markov Chain Monte Carlo simulation, widely used in Bayesian statistics, based on sampling from full conditional distributions for each variable or group of variables. The name comes from the method being first used on Gibbs random fields modeling of images by ...

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Collapsed Gibbs Sampler on Gaussian Mixture Model: testing on held-out data

I'm a newbie to stackexchange so please let me know how to improve the question. I want to compare performance of 2 inference algorithms for GMM: variational inference and collapsed Gibbs sampler. ...
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HDP: Gibbs sampler implementation

I am trying to recreate the model proposed by Gao et al. (2011), based on the Hierarchical Dirichlet Process proposed by Teh and al. (2005). To estimate the model (let's call it iHDP) I need to ...
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Can Bayesian Optimization solve this problem?

Suppose ${\bf{x}} = (x_1,\ldots,x_n)$ and $f({\bf{x}})\propto 1_A({\bf{x}}) \prod_{i=1}^n {x_i}^{\alpha_i-1} e^{-\beta_i x_i}$ , i.e. $f$ is proportional to the product of independent gamma ...
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Find joint maximum of a sampled density

I used a sampling method to fit a model with three parameters to data, by supplying the likelihood function and priors. (I'm using JAGS but I think this applies to any method). I obtain triplets of ...
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54 views

What is the difference between monte carlo integration and gibbs sampling?

I am aware that both are methods of sampling from the posterior. MC integration replaces the integral by a sample MC sample. Is this sample independent? Gibbs sampling is a class of MCMC ...
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24 views

Slice Sampling asks to draw from $f^{-1}]y,+\infty[$

Slice Sampling asks to draw uniformly from $f^{-1}]y,+\infty[$. Wikipedia page However, how can we be sure that a uniform defined over the set $f^{-1}]y,+\infty[$ is in fact proper? If I had to ...
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115 views

Importance weight of conditioned particle in conditional SMC

In a generic particle filter, I understand the importance weights for each particle are calculated as $w_t^s \propto w_{t-1}^s \frac{p(y_t \mid z_t^s) p(z_t^s \mid z_{t-1}^s)}{q(z_t^s \mid z_{t-1}^s, ...
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21 views

Markov Chain Monte Carlo [duplicate]

what are the differences between M-H algorithm and M-H-within-Gibbs algorithm. If possible, upload for me the two algorithms please.
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612 views

Stan $\hat{R}$ versus Gelman-Rubin $\hat{R}$ definition

I was going through the Stan documentation which can be downloaded from here. I was particularly interested in their implementation of the Gelman-Rubin diagnostic. The original paper Gelman & ...
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35 views

Sampling posterior of empty cluster in GMM and Gibbs

Consider performing inference via a standard Gibbs sampler for a standard Gaussian Mixture Model (GMM) with $k$ components that are Gaussians $$\mathcal{N}(\mu_{k}, \sigma^{2}_{k})$$ where we assume ...
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23 views

Distribution sampling when no analytic expression

The goal of gibbs sampling is to sample the joint distribution when this latter has not an analytic expression, by deriving the conditional distribution of each variable. So it is supposed that the ...
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144 views

Posterior computation for Laplace distribution

I am dealing with being Bayesian and looking for a closed form for a posterior for the scale parameter $\tau$ of a Laplace distribution, such that I can derive a full conditional in my Gibbs sampler. ...
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60 views

Generating samples from Gibbs method

I have a following homework in a subject called "Monte-Carlo Methods". I would be very thankful, if you could help me with this one, because I'm a bit stuck with this one .. The task is as follows:...
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41 views

Gibbs Sampling vs. Using Raw Probability in Contrastive Divergence

In Hinton's Practical Guide to Training Restricted Boltzmann Machines, Section 3, he discusses different situations in which one should take a sample from the Gibbs sampling process, and other ...
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42 views

Bayesian prior and posterior computation for a truncated normal

I have to deal with data in a Bayesian framework, ultimately devising a Gibbs sampler for inferring all my distributions parameters. Specifically, suppose I observe some univariate data distributed ...
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23 views

Non-Identifiable Multivariate Normal Posterior

So I have a theoretical question about what looks like, in my opinion, a multivariate normal distribution. The issue comes with the fact that the data is distributed with likelihood: Y |θ1, θ2 ∼ N(θ1 ...
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106 views

Why can Gibbs sampling outputs be used in Rao-Blackwellization?

I'm currently learning Chib (1995)'s method to calculate the marginal likelihood of a Bayesian model using Gibbs sampling outputs. I'm stuck in the Rao-Blackwellization step. Suppose $\mu$ and $\phi$...
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24 views

A conditioning simplification in a graphical clustering model

The graphical model associated with this problem is (reproduction from Murphy's Machine Learning a Probabilistic Perspective) and the author argues on page 843 of MLAPP, Intuitively, it is right. ...
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Is burn-in necessary for MCMC/Gibbs sampling if I have samples from the true distribution already?

Say I have some samples from a distribution $p$, and I want to get more samples using MCMC/Gibbs sampling. Since the existing samples are known from the equilibrium distribution $p$, if I use them as ...
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1answer
60 views

Why does $P(\theta_1\mid D, \theta_2) \propto P(D \mid \theta_1, \theta_2)P(\theta_1)$ hold?

Suppose that in a Bayesian framework we have observed data $D$, using independent prior distributions on the parameters of the model, denoted by $\theta_1, \theta_2$. Then, the joint posterior ...
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44 views

prior for initial values of Kalman Filter

I'm studying Carter and Kohn's (1994) implementation of the Gibbs sampler for Bayesian analysis of state space models. In their paper, they assume the starting value, call it $\beta_0$, of the state ...
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55 views

How to use Gibbs sampling when target function is known only up to normalising constant?

Assume we want to use Gibbs sampling to get an estimate of the parameter , and that we have the following expression for the conditional posterior of : If I am not mistaken, this means that the ...
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help interpreting plot of MCMC sample

I am estimating a model using MCMC (Gibbs Sampling). Because of the complexity of the model, I have been running two chains with many iterations. A plot of the draws for each parameter reveals a ...
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What is the meaning of the clique-function when factorising undirected graphs?

I am currently reading Graphical Models and Message-Passing Algorithms: Some Introductory Lectures and am quite at the beginning. I understand the factorization for directed graphical methods, which ...
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134 views

Gibbs sampling and Bayesian inference

I wanted to get a more in-depth understanding of sampling algorithms, and so I thought I could start with the very simple example of a binomial or bernoulli likelihood with a beta prior (since it is ...
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Burning and Sampling in Gibbs sampler [closed]

I am confused about the concept of sampling in the Gibbs sampler after the burn-in loops. This is the basic problem, I have a picture composed of 1's and 0's. This is a noisy version and I am trying ...
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128 views

When can the collapsed Gibbs sampler be implemented?

I understand Gibbs sampling is a means of statistics inference, and it seems that sometimes certain variables can be integrated out in the sampling process, known as collapsed Gibbs sampling. I really ...
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How to know whether a Gibbs sampler is irreducible? [duplicate]

How to know whether a Gibbs sampler is irreducible? I know that the Gibbs sampler in e.g. two variable case constructs a sequence of r.v.s $(X_1^{(i)}, X_2^{(i)})$ by sampling from the related ...
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How is the accuracy of the results of Gibbs sampler measured?

How is the accuracy of the results of Gibbs sampler measured? Most resources merely say to iterate it $k$ times. But how does one infer the accuracy of the result?
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530 views

Metropolis-Within-Gibbs sampling with only marginal distribution known for a subset of variables

Typically in Gibbs sampling we want to sample from a joint distribution $p(X_1, X_2, ..., X_N)$, but because the joint is hard to sample from directly, we instead achieve this by iteratively sampling ...
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70 views

Missing data in Gibbs sampling for dynamic linear models

Suppose I have the following DLM: $x_t = \Phi x_{t-1} + w_t$ $y_t = A x_t + v_t$ $x_0 \sim N(\mu_0,\Sigma_0)$ $w_t \sim N(0,Q)$ $v_t \sim N(0,R)$ Let $\Theta = \{\mu_0,\Sigma_0,\Phi,Q,A,R\}$. I ...
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Gibbs sampling - Distribution of population mean and precision

I have a question when trying to implementing a simple Gibbs sampling. Given that $Y=(y_1, y_2,..., y_n)$ $Y \sim \text{N}(\text{mean} = \mu, \text{Var} = \frac{1}{\tau})$ $\mu \sim N(a,b)$ $\tau ...
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415 views

Explanation regarding Gibbs Sampling

I am new to MCMC and reading a intro paper regarding Gibbs sampling. However, there are two parts in the paper I cannot understand and get stuck. The first part is equation 2.3 in page 168. It says ...
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Averaging Across Gibbs Sampling Runs with Reduced Dimensions

I need help thinking through my approach to Gibbs Sampling of many parameters and I'd like to know if there is literature on this topic: I have a dataset with 3 dimensions: ...
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240 views

Why does detailed balance not provide a stopping criterion in MCMC?

Like I undestand MCMC sampling, the fulfillment of the detailed balance equation guarantees that our MC has reached its stationary distribution (given we ensure ergodicity). Detailed Balance is: $\...
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261 views

deriving posterior conditionals for gibbs sampling

I'm new to Bayesian inference and Gibbs sampling in general, and I'm struggling trying to derive the conditional posteriors for a particular data generating process I'm trying to model. The model I ...
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177 views

Convergence of approximate Gibbs sampling

We have a bivariate random variable $(X,Y)$ for which sampling is challenging. If we were to know how to sample from the conditionals $(X|Y)$ and $(Y|X)$, we could get samples from the joint using ...
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61 views

Generating samples for $p(\theta_{i}|\pmb{x})$ if samples from $p(\phi|\pmb{x})$ are known

Suppose $X_{i}|\theta_{i} \sim D_{1}(\theta_{i})$ and $\theta_{i}|\phi \sim D_{2}(\phi)$. Moreover $\phi \sim D_{3}(c)$ where c is known. How would I generate samples for $p(\theta_{i}|\pmb{x})$ if I ...
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107 views

Gibbs sampler transition kernel proof [duplicate]

I'm trying to understand how the Gibbs sampling algorithm works. I've simplified it into a bivariate case to help my understanding but I'm unsure how to go from conditioning on $X^{t-1},Y^{t-1},X^t$ ...
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91 views

Sampling from conditional posterior - continuous and discrete terms

I'm working through Hierarchically Supervised LDA by Perotte et all (2011). The conditional posterior I'm supposed to sample values $z_i$ from, however, is zero almost everywhere. To see why, lets ...
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Inability to Replicate Posterior for σ² of Normal Regression Model by Gibbs Sampling

For large sample sizes (N) The Gibbs Sampler (GS) does not seem to replicate the true posterior for σ² when the number of regressors (k) is greater than 2. We are trying to test Gibbs Sampling in a ...
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114 views

Sampling from a posterior with Gibbs sampling

In an image processing class, I dont really get behind the idea how to 'sample from a posterior' with Gibbs sampling. We have a posterior distribution: $f(z_1, .. ,z_n \mid x_1,.. ,x_n) := f(z \mid x)...
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179 views

Gibbs sampling for parameter estimation

I am reading the paper by Willemsen et al (2015), "A multivariate Bayesian model for embryonic growth", Statistics in Medicine, 34:8, 1351–1365 where they define the posterior distribution as, \begin{...
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1answer
367 views

Gibbs sampling an Ising model with 0s and 1s

One of my problems in one of my courses ask to sample a 20 dimensional vector of 0s and 1s, $\{0,1\}^{20},$ when they are distributed as $$ \pi(x) = \exp\left\{-\beta \sum_{i=1}^{19} |x_{i+1}-x_i| \...
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Gibbs sampling with expectations instead of sampling

I see there is something called Iterated Conditional Models (ICM), which is a sort of Gibbs sampling where, instead of sampling, we use the value that maximizes the conditional. That is: ...
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40 views

Priors on Taylor Expansion series

I'm wondering what priors can i choose for a Taylor series as follows: $\theta_{1}+\theta_{2} (y-\alpha) + \theta_{3} (y-\alpha)^2$ What priors should I use for updating these parameters ($\theta_{1},...
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188 views

Collapsed Gibbs sampler on Hierarchical Dirichlet Process Mixture Model

I am trying to design a collapsed Gibbs sampler on a mixture model based on Hierarchical Dirichlet Process ($g\sim DP(\gamma, b)$, $\pi\sim DP(\alpha, g)$ ). Should I resample from the posterior of ...
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77 views

Rewrite conditional formula with three variables using Bayes formula

In equation (5) on page 3 on this paper a conditional probability is rewritten using Bayes' formula. I started using this answer Can I rewrite conditional probability of three variables like this? ...
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469 views

Beta distribution parameter estimation: method of moments

In a paper: Topics over time, method of moments was applied to estimate $\alpha$ and $\beta$ for a Beta distribution. My question is that how $\alpha$ or $\beta$ should be calculated if there are no ...
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49 views

Sampling from multivariate normal conditional on a negative minimum

Let $X\sim \mathcal{N}(\mu,\Sigma)$, where $\mu\in\mathbb{R}^n$ and $\Sigma\in\mathbb{R}^{n\times n}$. How can I efficiently sample from $X | {\min{X}\le 0}$? (I.e. from the distribution of $X$ ...