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Structured priors for sparse probability vectors with application to model selection in Markov chains

  • Matthew HeinerEmail author
  • Athanasios Kottas
  • Stephan Munch
Article

Abstract

We develop two prior distributions for probability vectors which, in contrast to the popular Dirichlet distribution, retain sparsity properties in the presence of data. Our models are appropriate for count data with many categories, most of which are expected to have negligible probability. Both models are tractable, allowing for efficient posterior sampling and marginalization. Consequently, they can replace the Dirichlet prior in hierarchical models without sacrificing convenient Gibbs sampling schemes. We derive both models and demonstrate their properties. We then illustrate their use for model-based selection with a hierarchical model in which we infer the active lag from time-series data. Using a squared-error loss, we demonstrate the utility of the models for data simulated from a nearly deterministic dynamical system. We also apply the prior models to an ecological time series of Chinook salmon abundance, demonstrating their ability to extract insights into the lag dependence.

Keywords

Generalized Dirichlet distribution Mixture transition distribution Nonlinear dynamics Sparsity prior Stick-breaking construction 

Notes

Acknowledgements

The work of the first and the second author was supported in part by the National Science Foundation under award DMS 1310438. The authors gratefully acknowledge helpful comments from an editor and two anonymous referees.

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Copyright information

© Springer Science+Business Media, LLC, part of Springer Nature 2019

Authors and Affiliations

  1. 1.Department of StatisticsUniversity of CaliforniaSanta CruzUSA
  2. 2.Fisheries Ecology Division, Southwest Fisheries Science Center, National Marine Fisheries ServiceNOAASanta CruzUSA

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