Sampling Importance Resampling

Description

The SIR function performs Sampling Importance Resampling, also called Sequential Importance Resampling, and uses a multivariate normal proposal density.

Usage

1
SIR(Model, Data, mu, Sigma, n=1000, CPUs=1, Type="PSOCK")

Arguments

Model

This is a model specification function. For more information, see LaplaceApproximation.

Data

This is a list of data. For more information, see LaplaceApproximation.

mu

This is a mean vector, mu, for a multivariate normal distribution, and is usually the posterior means from an object of class iterquad (from IterativeQuadrature) or class vb (from VariationalBayes), or the posterior modes from an object of class laplace (from LaplaceApproximation).

Sigma

This is a covariance matrix, Sigma, for a multivariate normal distribution, and is usually the Covar component of an object of class iterquad, laplace, or vb.

n

This is the number of samples to be drawn from the posterior distribution.

CPUs

This argument accepts an integer that specifies the number of central processing units (CPUs) of the multicore computer or computer cluster. This argument defaults to CPUs=1, in which parallel processing does not occur.

Type

This argument specifies the type of parallel processing to perform, accepting either Type="PSOCK" or Type="MPI".

Details

Sampling Importance Resampling (SIR) was introduced in Gordon, et al. (1993), and is the original particle filtering algorithm (and this family of algorithms is also known as Sequential Monte Carlo). A distribution is approximated with importance weights, which are approximations to the relative posterior densities of the particles, and the sum of the weights is one. In this terminology, each sample in the distribution is a “particle”. SIR is a sequential or recursive form of importance sampling. As in importance sampling, the expectation of a function can be approximated as a weighted average. The optimal proposal distribution is the target distribution.

In the LaplacesDemon package, the main use of the SIR function is to produce posterior samples for iterative quadrature, Laplace Approximation, or Variational Bayes, and SIR is called behind-the-scenes by the IterativeQuadrature, LaplaceApproximation, or VariationalBayes function.

Iterative quadrature estimates the posterior mean and the associated covariance matrix. Assuming normality, this output characterizes the marginal posterior distributions. However, it is often useful to have posterior samples, in which case the SIR function is used to draw samples. The number of samples, n, should increase with the number and intercorrelations of the parameters. Otherwise, multimodal posterior distributions may occur.

Laplace Approximation estimates the posterior mode and the associated covariance matrix. Assuming normality, this output characterizes the marginal posterior distributions. However, it is often useful to have posterior samples, in which case the SIR function is used to draw samples. The number of samples, n, should increase with the number and intercorrelations of the parameters. Otherwise, multimodal posterior distributions may occur.

Variational Bayes estimates both the posterior mean and variance. Assuming normality, this output characterizes the marginal posterior distributions. However, it is often useful to have posterior samples, in which case the SIR function is used to draw samples. The number of samples, n, should increase with the number of intercorrelations of the parameters. Otherwise, multimodal posterior distributions may occur.

SIR is also commonly used when considering a mild change in a prior distribution. For example, suppose a model was updated in LaplacesDemon, and it had a least-informative prior distribution, but the statistician would like to estimate the impact of changing to a weakly-informative prior distribution. The change is made in the model specification function, and the posterior means and covariance are supplied to the SIR function. The returned samples are estimates of the posterior, given the different prior distribution. This is akin to sensitivity analysis (see the SensitivityAnalysis function).

In other contexts (for which this function is not designed), SIR is used with dynamic linear models (DLMs) and state-space models (SSMs) for state filtering.

Parallel processing may be performed when the user specifies CPUs to be greater than one, implying that the specified number of CPUs exists and is available. Parallelization may be performed on a multicore computer or a computer cluster. Either a Simple Network of Workstations (SNOW) or Message Passing Interface (MPI) is used. With small data sets and few samples, parallel processing may be slower, due to computer network communication. With larger data sets and more samples, the user should experience a faster run-time.

This function was adapted from the sir function in the LearnBayes package.

Value

The SIR function returns a matrix of samples drawn from the posterior distribution.

Author(s)

Statisticat, LLC. software@bayesian-inference.com

References

Gordon, N.J., Salmond, D.J., and Smith, A.F.M. (1993). "Novel Approach to Nonlinear/Non-Gaussian Bayesian State Estimation". IEEE Proceedings F on Radar and Signal Processing, 140(2), p. 107–113.

See Also

dmvn, IterativeQuadrature, LaplaceApproximation, LaplacesDemon, SensitivityAnalysis, and VariationalBayes.

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