高维潜变量模型的混合非调整朗文方法

IF 9.9 3区 经济学 Q1 ECONOMICS
Rubén Loaiza-Maya , Didier Nibbering, Dan Zhu
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引用次数: 0

摘要

众所周知,利用大数据对潜变量模型进行精确估计具有挑战性。潜变量必须进行数值积分,而潜变量的维度会随着样本量的增加而增加。本文基于 Langevin 扩散过程开发了一种新的近似贝叶斯方法。该方法利用费雪特征来整合出潜变量,这使得它在应用于大数据时既精确又具有计算上的可行性。与其他近似估计方法相比,它不需要为未知数选择参数分布,而参数分布往往会导致不准确。在一个有一百万个观测值的经验离散选择示例中,所提出的方法只用了精确 MCMC 计算时间的 2%,就准确估计出了后验选择概率。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Hybrid unadjusted Langevin methods for high-dimensional latent variable models

The exact estimation of latent variable models with big data is known to be challenging. The latents have to be integrated out numerically, and the dimension of the latent variables increases with the sample size. This paper develops a novel approximate Bayesian method based on the Langevin diffusion process. The method employs the Fisher identity to integrate out the latent variables, which makes it accurate and computationally feasible when applied to big data. In contrast to other approximate estimation methods, it does not require the choice of a parametric distribution for the unknowns, which often leads to inaccuracies. In an empirical discrete choice example with a million observations, the proposed method accurately estimates the posterior choice probabilities using only 2% of the computation time of exact MCMC.

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来源期刊
Journal of Econometrics
Journal of Econometrics 社会科学-数学跨学科应用
CiteScore
8.60
自引率
1.60%
发文量
220
审稿时长
3-8 weeks
期刊介绍: The Journal of Econometrics serves as an outlet for important, high quality, new research in both theoretical and applied econometrics. The scope of the Journal includes papers dealing with identification, estimation, testing, decision, and prediction issues encountered in economic research. Classical Bayesian statistics, and machine learning methods, are decidedly within the range of the Journal''s interests. The Annals of Econometrics is a supplement to the Journal of Econometrics.
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