Subsampling MCMC - an Introduction for the Survey Statistician

Matias Quiroz (), Mattias Villani, Robert Kohn (), Minh-Ngoc Tran and Khue-Dung Dang
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Matias Quiroz: University of New South Wales
Minh-Ngoc Tran: University of Sydney
Khue-Dung Dang: University of New South Wales

Sankhya A: The Indian Journal of Statistics, 2018, vol. 80, issue 1, No 3, 33-69

Abstract: Abstract The rapid development of computing power and efficient Markov Chain Monte Carlo (MCMC) simulation algorithms have revolutionized Bayesian statistics, making it a highly practical inference method in applied work. However, MCMC algorithms tend to be computationally demanding, and are particularly slow for large datasets. Data subsampling has recently been suggested as a way to make MCMC methods scalable on massively large data, utilizing efficient sampling schemes and estimators from the survey sampling literature. These developments tend to be unknown by many survey statisticians who traditionally work with non-Bayesian methods, and rarely use MCMC. Our article explains the idea of data subsampling in MCMC by reviewing one strand of work, Subsampling MCMC, a so called Pseudo-Marginal MCMC approach to speeding up MCMC through data subsampling. The review is written for a survey statistician without previous knowledge of MCMC methods since our aim is to motivate survey sampling experts to contribute to the growing Subsampling MCMC literature.

Keywords: Pseudo-Marginal MCMC; Difference estimator; Hamiltonian Monte Carlo (HMC).; Primary 62-02; Secondary 62D05 (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s13171-018-0153-7

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