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 Journal of Econometrics Pub Date : 2024-04-01 DOI:10.1016/j.jeconom.2024.105741
Rubén Loaiza-Maya , Didier Nibbering, Dan Zhu
{"title":"高维潜变量模型的混合非调整朗文方法","authors":"Rubén Loaiza-Maya ,&nbsp;Didier Nibbering,&nbsp;Dan Zhu","doi":"10.1016/j.jeconom.2024.105741","DOIUrl":null,"url":null,"abstract":"<div><p>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.</p></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"241 2","pages":"Article 105741"},"PeriodicalIF":9.9000,"publicationDate":"2024-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0304407624000873/pdfft?md5=78cc421f60b71fa5dbdcb5f522bde6c7&pid=1-s2.0-S0304407624000873-main.pdf","citationCount":"0","resultStr":"{\"title\":\"Hybrid unadjusted Langevin methods for high-dimensional latent variable models\",\"authors\":\"Rubén Loaiza-Maya ,&nbsp;Didier Nibbering,&nbsp;Dan Zhu\",\"doi\":\"10.1016/j.jeconom.2024.105741\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>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.</p></div>\",\"PeriodicalId\":15629,\"journal\":{\"name\":\"Journal of Econometrics\",\"volume\":\"241 2\",\"pages\":\"Article 105741\"},\"PeriodicalIF\":9.9000,\"publicationDate\":\"2024-04-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"https://www.sciencedirect.com/science/article/pii/S0304407624000873/pdfft?md5=78cc421f60b71fa5dbdcb5f522bde6c7&pid=1-s2.0-S0304407624000873-main.pdf\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Econometrics\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S0304407624000873\",\"RegionNum\":3,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"ECONOMICS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Econometrics","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0304407624000873","RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"ECONOMICS","Score":null,"Total":0}
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。
查看原文
分享 分享
微信好友 朋友圈 QQ好友 复制链接
本刊更多论文
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.

求助全文
通过发布文献求助,成功后即可免费获取论文全文。 去求助
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.
期刊最新文献
GLS under monotone heteroskedasticity Multivariate spatiotemporal models with low rank coefficient matrix Inference in cluster randomized trials with matched pairs Why are replication rates so low? On the spectral density of fractional Ornstein–Uhlenbeck processes
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
0
微信
客服QQ
Book学术公众号 扫码关注我们
反馈
×
意见反馈
请填写您的意见或建议
请填写您的手机或邮箱
已复制链接
已复制链接
快去分享给好友吧!
我知道了
×
扫码分享
扫码分享
Book学术官方微信
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术
文献互助 智能选刊 最新文献 互助须知 联系我们:info@booksci.cn
Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。
Copyright © 2023 Book学术 All rights reserved.
ghs 京公网安备 11010802042870号 京ICP备2023020795号-1