A comparison of centring parameterisations of Gaussian process-based models for Bayesian computation using MCMC

A comparison of centring parameterisations of Gaussian process-based models for Bayesian... Markov chain Monte Carlo (MCMC) algorithms for Bayesian computation for Gaussian process-based models under default parameterisations are slow to converge due to the presence of spatial- and other-induced dependence structures. The main focus of this paper is to study the effect of the assumed spatial correlation structure on the convergence properties of the Gibbs sampler under the default non-centred parameterisation and a rival centred parameterisation (CP), for the mean structure of a general multi-process Gaussian spatial model. Our investigation finds answers to many pertinent, but as yet unanswered, questions on the choice between the two. Assuming the covariance parameters to be known, we compare the exact rates of convergence of the two by varying the strength of the spatial correlation, the level of covariance tapering, the scale of the spatially varying covariates, the number of data points, the number and the structure of block updating of the spatial effects and the amount of smoothness assumed in a Matérn covariance function. We also study the effects of introducing differing levels of geometric anisotropy in the spatial model. The case of unknown variance parameters is investigated using well-known MCMC convergence diagnostics. A simulation study and a real-data example on modelling air pollution levels in London are used for illustrations. A generic pattern emerges that the CP is preferable in the presence of more spatial correlation or more information obtained through, for example, additional data points or by increased covariate variability. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Statistics and Computing Springer Journals

A comparison of centring parameterisations of Gaussian process-based models for Bayesian computation using MCMC

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Springer US
Copyright © 2016 by The Author(s)
Statistics; Statistics and Computing/Statistics Programs; Artificial Intelligence (incl. Robotics); Statistical Theory and Methods; Probability and Statistics in Computer Science
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