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Subsampling MCMC - an Introduction for the Survey Statistician
Univ New South Wales, Australia.
Linköping University, Department of Computer and Information Science, The Division of Statistics and Machine Learning. Linköping University, Faculty of Arts and Sciences. Stockholm Univ, Sweden.
Univ New South Wales, Australia.
Univ Sydney, Australia.
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2018 (English)In: SANKHYA-SERIES A-MATHEMATICAL STATISTICS AND PROBABILITY, ISSN 0976-836X, Vol. 80, p. 33-69Article in journal, Editorial material (Other academic) Published
Abstract [en]

The rapid development of computing power and efficient Markov Chain Monte Carlo (MCMC) simulation algorithms have revolutionized Bayesian statistics, making it a highly practical inference method in applied work. However, MCMC algorithms tend to be computationally demanding, and are particularly slow for large datasets. Data subsampling has recently been suggested as a way to make MCMC methods scalable on massively large data, utilizing efficient sampling schemes and estimators from the survey sampling literature. These developments tend to be unknown by many survey statisticians who traditionally work with non-Bayesian methods, and rarely use MCMC. Our article explains the idea of data subsampling in MCMC by reviewing one strand of work, Subsampling MCMC, a so called Pseudo-Marginal MCMC approach to speeding up MCMC through data subsampling. The review is written for a survey statistician without previous knowledge of MCMC methods since our aim is to motivate survey sampling experts to contribute to the growing Subsampling MCMC literature.

Place, publisher, year, edition, pages
SPRINGER , 2018. Vol. 80, p. 33-69
Keywords [en]
Pseudo-Marginal MCMC; Difference estimator; Hamiltonian Monte Carlo (HMC)
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:liu:diva-159023DOI: 10.1007/s13171-018-0153-7ISI: 000473089800003OAI: oai:DiVA.org:liu-159023DiVA, id: diva2:1338065
Note

Funding Agencies|Australian Research Council Center of Excellence [CE140100049]

Available from: 2019-07-19 Created: 2019-07-19 Last updated: 2019-08-05

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CiteExportLink to record
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Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • oxford
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
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