陈梦瑶, 戴微, 金百锁. 贝叶斯空间同质回归模型[J]. 应用概率统计, 2023, 39(4): 491-505. DOI: 10.3969/j.issn.1001-4268.2023.04.002
引用本文: 陈梦瑶, 戴微, 金百锁. 贝叶斯空间同质回归模型[J]. 应用概率统计, 2023, 39(4): 491-505. DOI: 10.3969/j.issn.1001-4268.2023.04.002
CHEN Mengyao, DAI Wei, JIN Baisuo. Bayesian Spatial Homogeneous Regression[J]. Chinese Journal of Applied Probability and Statistics, 2023, 39(4): 491-505. DOI: 10.3969/j.issn.1001-4268.2023.04.002
Citation: CHEN Mengyao, DAI Wei, JIN Baisuo. Bayesian Spatial Homogeneous Regression[J]. Chinese Journal of Applied Probability and Statistics, 2023, 39(4): 491-505. DOI: 10.3969/j.issn.1001-4268.2023.04.002

贝叶斯空间同质回归模型

Bayesian Spatial Homogeneous Regression

  • 摘要: 对于高维空间回归问题,本文提出了一种有效的稀疏贝叶斯模型. 通过引入分层高斯马尔可夫随机场先验,模型可以获取稀疏的空间变化参数, 同时对于相邻的空间区域也可以获取同质的参数.相较于传统的采样方法, 本文采用一种快速收敛的变分EM算法进行后验推断.对于M步, 最优化问题可以通过简单的变形转化为经典的自适应lasso问题进行快速求解. 通过数值模拟可以发现模型在参数估计和变量选择问题上取得较好的效果.最后模型用来分析欧洲社会人口学因素对各国新冠死亡率的影响.

     

    Abstract: For high-dimension spatial regression problems, we propose a effective sparse Bayesian model. By introducing a hierarchical Gaussian Markov random field prior, the model can obtain sparse spatial varying parameters, and meanwhile, it can obtain homogeneous parameters estimation for adjacent spatial regions. We use a fast-converging variational EM algorithm for posterior inference, rather than the traditional sampling-based methods. In the M-step of the algorithm, the optimization can be transformed into a classic adaptive lasso problem by simple deformation. The simulation result demonstrate the better performance of our model both in parameters estimation and variable selection. Finally, the proposed model is used to analyze the impact of the socio-demographic factors on the death rate of the COVID-19 in countries of Europe.

     

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