Hybrid unadjusted Langevin methods for high-dimensional latent variable models

被引:0
|
作者
Loaiza-Maya, Ruben [1 ]
Nibbering, Didier [1 ]
Zhu, Dan [1 ]
机构
[1] Monash Univ, Dept Econometr & Business Stat, Clayton, Vic 3800, Australia
基金
澳大利亚研究理事会;
关键词
Unadjusted Langevin algorithm; Latent variable models; Markov chain Monte Carlo; VARIATIONAL INFERENCE;
D O I
10.1016/j.jeconom.2024.105741
中图分类号
F [经济];
学科分类号
02 ;
摘要
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.
引用
收藏
页数:18
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