Bayesian Missing Data Problems: EM, Data Augmentation and Noniterative Computation (Chapman & Hall/CRC Biostatistics Series)

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Bayesian Missing Data Problems: EM, Data Augmentation and Noniterative Computation presents solutions to missing data problems through explicit or noniterative sampling calculation of Bayesian posteriors. The methods are based on the inverse Bayes formulae discovered by one of the author in 1995. Applying the Bayesian approach to important real-world problems, the authors focus on exact numerical solutions, a conditional sampling approach via data augmentation, and a noniterative sampling approach via EM-type algorithms.

After introducing the missing data problems, Bayesian approach, and posterior computation, the book succinctly describes EM-type algorithms, Monte Carlo simulation, numerical techniques, and optimization methods. It then gives exact posterior solutions for problems, such as nonresponses in surveys and cross-over trials with missing values. It also provides noniterative posterior sampling solutions for problems, such as contingency tables with supplemental margins, aggregated responses in surveys, zero-inflated Poisson, capture-recapture models, mixed effects models, right-censored regression model, and constrained parameter models. The text concludes with a discussion on compatibility, a fundamental issue in Bayesian inference.

This book offers a unified treatment of an array of statistical problems that involve missing data and constrained parameters. It shows how Bayesian procedures can be useful in solving these problems.

Author(s): Ming T. Tan, Guo-Liang Tian, Kai Wang Ng
Series: Chapman & Hall/CRC Biostatistics Series
Publisher: Chapman and Hall/CRC
Year: 2009

Language: English
Pages: 331
Tags: Математика;Теория вероятностей и математическая статистика;Математическая статистика;Прикладная математическая статистика;

Cover Page
......Page 1
Bayesian Missing Data Problems: EM, Data Augmentation and Noniterative Computation......Page 5
Contents......Page 8
Preface......Page 13
1.1 Background......Page 17
1.2 Scope, Aim and Outline......Page 22
1.3 Inverse Bayes Formulae......Page 25
1.3.1 The point-wise, function-wise & sampling IBF......Page 26
(a) Harmonic mean formula......Page 28
(b) Weighted point-wise IBF......Page 29
1.3.3 Generalization to the case of three vectors......Page 30
1.4 The Bayesian Methodology......Page 31
1.4.1 The posterior distribution......Page 32
1.4.2 Nuisance parameters......Page 33
1.4.3 Posterior predictive distribution......Page 34
1.4.4 Bayes factor......Page 36
1.4.5 Marginal likelihood......Page 37
1.5 The Missing Data Problems......Page 38
1.5.2 Data augmentation......Page 39
(b) Suffcient conditions for convergence......Page 40
(c) The original DA algorithm......Page 41
1.5.4 Connection with the Gibbs sampler......Page 42
1.5.5 Connection with the IBF......Page 44
(a) Discrete distribution......Page 45
1.6.2 Kullback-Leibler divergence......Page 46
Problems......Page 47
CHAPTER 2: Optimization, Monte Carlo Simulation and Numerical Integration......Page 51
(a) The formulation of the NR algorithm......Page 52
(c) Application to logistic regression......Page 53
2.1.2 The EM algorithm......Page 56
(a) The formulation of the EM algorithm......Page 57
(b) The ascent property of the EM algorithm......Page 59
(c) Missing information principle and standard errors......Page 60
2.1.3 The ECM algorithm......Page 63
(b) The MM idea......Page 65
(c) The quadratic lower-bound (QLB) algorithm......Page 66
(d) The De Pierro’s algorithm......Page 69
2.2.1 The inversion method......Page 72
2.2.2 The rejection method......Page 74
(a) Theoretical justification......Page 75
(b) The effciency of the rejection method......Page 76
(c) Log-concave densities......Page 77
2.2.3 The sampling/importance resampling method......Page 78
(a) The SIR without replacement......Page 79
(b) Theoretical justification......Page 80
(c) Determination of and for the SIR with replacement......Page 81
(b) One-to-many SR for uni-variate......Page 82
(c) Many-to-one SR for uni-variate......Page 83
(d) SR for multivariate......Page 84
(e) Mixture representation......Page 85
2.2.5 The conditional sampling method......Page 86
2.2.6 The vertical density representation method......Page 88
2.3.1 Laplace approximations......Page 91
(a) Classical Monte Carlo integration......Page 93
(b) Motivation for Riemannian simulation......Page 94
(c) Variance of the Riemannian sum estimator......Page 95
2.3.3 The importance sampling method......Page 96
(a) The formulation of the importance sampling method......Page 97
(b) The weighted estimator......Page 99
(a) Effciency of classical Monte Carlo estimator......Page 100
(b) Basic idea of the CE algorithm for rare-event simulation......Page 101
(c) The CE algorithm......Page 102
Problems......Page 105
3.1 Sample Surveys with Non-response......Page 109
3.2 Misclassified Multinomial Model......Page 111
3.3 Genetic Linkage Model......Page 113
3.4 Weibull Process with Missing Data......Page 115
3.5 Prediction Problem with Missing Data......Page 117
3.6 Binormal Model with Missing Data......Page 119
3.7 The 2 × 2 Crossover Trial with Missing Data......Page 121
3.8 Hierarchical Models......Page 124
3.9 Non-product Measurable Space......Page 125
Problems......Page 128
CHAPTER 4: Discrete Missing Data Problems......Page 132
4.1 The Exact IBF Sampling......Page 133
4.2 Genetic Linkage Model......Page 134
4.3 Contingency Tables with One Supplemental Margin......Page 136
4.4.2 MLEs via the EM algorithm......Page 138
4.4.3 Generation of i.i.d. posterior samples......Page 140
4.5.1 Randomized response models......Page 141
4.5.2 Non-randomized response models......Page 142
(a) Survey design for two sensitive questions......Page 143
(b) Posterior moments in closed-form......Page 144
(c) The posterior mode via the EM algorithm......Page 145
(d) Generation of i.i.d. posterior samples......Page 146
4.6 Zero-Inflated Poisson Model......Page 147
4.7 Changepoint Problems......Page 148
(a) The single-changepoint problem......Page 149
(d) Exact calculation of marginal likelihood......Page 150
4.7.2 Binomial changepoint models......Page 152
(b) The multiple-changepoint model......Page 154
(c) Determining the number of changepoints via Bayes factor......Page 155
4.8 Capture-Recapture Model......Page 160
Problems......Page 163
CHAPTER 5: Computing Posteriors in the EM-Type Structures......Page 170
5.1.1 The IBF sampling in the EM structure......Page 171
(a) Formulation of the IBF sampler......Page 172
(b) Theoretical justi.cation for choosing…......Page 173
(c) IBF sampling: An alternative......Page 176
5.1.2 The IBF sampling in the ECM structure......Page 178
5.1.3 The IBF sampling in the MCEM structure......Page 179
5.2 Incomplete Pre-Post Test Problems......Page 180
5.2.1 Motivating example: Sickle cell disease study......Page 181
5.2.2 Binormal model with missing data and known variance......Page 182
5.2.3 Binormal model with missing data and unknown mean and variance......Page 183
(b) An alternative strategy without using posterior mode......Page 184
(c) Bayesian inference via importance sampling......Page 187
5.3 Right Censored Regression Model......Page 188
5.4 Linear Mixed Models for Longitudinal Data......Page 191
5.5 Probit Regression Models for Independent Binary Data......Page 196
5.6 A Probit-Normal GLMM for Repeated Binary Data......Page 200
5.6.1 Model formulation......Page 201
(b) The derivation of E-step......Page 202
(c) The use of importance sampling at each E-step......Page 203
(e) The calculation of standard errors......Page 205
5.7 Hierarchical Models for Correlated Binary Data......Page 210
5.8 Hybrid Algorithms: Combining the IBF Sampler with the Gibbs Sampler......Page 212
5.8.1 Nonlinear regression models......Page 213
(a) Model formulation......Page 214
(b) Full conditional distributions......Page 215
5.9 Assessing Convergence of MCMC Methods......Page 216
5.9.1 Gelman and Rubin’s PSR statistic......Page 217
5.9.2 The difference and ratio criteria......Page 218
5.10 Remarks......Page 219
Problems......Page 221
6.1.1 Motivating examples......Page 225
6.1.2 Linear transformation......Page 226
(a) Data augmentation......Page 228
( b) MLE via the EM algorithm......Page 230
(c) Bayesian estimation via the IBF sampler......Page 232
(a) MLE via the EM-type algorithm......Page 233
(b) Bayesian estimation via the IBF sampling......Page 234
6.2.3 Two examples......Page 236
6.2.4 Discussion......Page 241
6.3.2 Data augmentation......Page 242
6.3.3 MLE via the EM algorithm......Page 243
6.3.4 Bayes estimation via the DA algorithm......Page 244
6.3.5 Life insurance data analysis......Page 245
6.4.1 Statistical model......Page 247
(a) MLEs based on complete observations......Page 248
(b) Consistency of the statistical model and the physical model......Page 249
6.4.3 MLE via the EM algorithm......Page 250
(a) Two useful theorems......Page 251
(c) The E-step and M-step......Page 252
6.4.4 Bayes estimation via the DA algorithm......Page 253
Problems......Page 254
7.1 Introduction......Page 255
7.2.1 Several basic notions......Page 257
7.2.2 A review on existing methods......Page 258
7.2.3 Two examples......Page 260
7.3 Finite Discrete Conditionals: PMS......Page 261
7.3.2 The connection with quadratic optimization under box constraints......Page 262
7.3.3 Numerical examples......Page 264
7.3.4 Extension to more than two dimensions......Page 267
7.3.5 The compatibility of regression function and conditional distribution......Page 269
7.3.7 Discussion......Page 272
7.4 Two Conditional Distributions: NPMS......Page 273
7.5.1 A sufficient condition for uniqueness......Page 276
7.5.2 The continuous case......Page 279
7.5.3 The finite discrete case......Page 280
7.5.4 The connection with quadratic optimization under box constraints......Page 283
Problems......Page 285
A.1.2 Hypergeometric......Page 287
A.1.4 Binomial......Page 288
A.2.1 Uniform......Page 289
A.2.3 Dirichlet......Page 290
A.2.4 Logistic......Page 291
A.2.7 Gamma......Page 292
A.2.11 Inverse chi-square......Page 293
A.2.13 Inverse Gaussian (or Wald)......Page 294
A.2.16 Wishart......Page 295
A.2.17 Inverse Wishart......Page 296
A.3.3 Beta Binomial......Page 297
A.3.5 t or (Student’s t)......Page 298
A.4.1 Homogeneous Poisson......Page 299
A.4.2 Nonhomogeneous Poisson......Page 300
List of Figures......Page 301
List of Tables......Page 304
Mathematics and Statistics......Page 306
Medicine......Page 307
Mathematics......Page 308
Probability......Page 309
Statistics......Page 310
References......Page 312