Generalised linear mixed model analysis via sequential Monte Carlo sampling

Details Generalised linear mixed model analysis via sequential Monte Carlo sampling Generalised linear mixed model analysis via sequential Monte Carlo sampling

2008-10-07

arxiv.org/abs/0810.1163v1

Electronic Journal of Statistics 2008, Vol. 2, 916-938

Statistics

Computation

Published in at http://dx.doi.org/10.1214/07-EJS158 the Electronic Journal of Statistics (http://www.i-journals.org/ejs/) by t

Scientific paper

10.1214/07-EJS158

We present a sequential Monte Carlo sampler algorithm for the Bayesian analysis of generalised linear mixed models (GLMMs). These models support a variety of interesting regression-type analyses, but performing inference is often extremely difficult, even when using the Bayesian approach combined with Markov chain Monte Carlo (MCMC). The Sequential Monte Carlo sampler (SMC) is a new and general method for producing samples from posterior distributions. In this article we demonstrate use of the SMC method for performing inference for GLMMs. We demonstrate the effectiveness of the method on both simulated and real data, and find that sequential Monte Carlo is a competitive alternative to the available MCMC techniques.

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