Research output: Contribution to Journal/Magazine › Journal article › peer-review
Generalised linear mixed model analysis via sequential Monte Carlo sampling. / Fan, Y.; Leslie, David S.; Wand, M. P.
In: Electronic Journal of Statistics, Vol. 2, 01.01.2008, p. 916-938.Research output: Contribution to Journal/Magazine › Journal article › peer-review
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TY - JOUR
T1 - Generalised linear mixed model analysis via sequential Monte Carlo sampling
AU - Fan, Y.
AU - Leslie, David S.
AU - Wand, M. P.
PY - 2008/1/1
Y1 - 2008/1/1
N2 - We present a sequential Monte Carlo sampler algorithm forthe Bayesian analysis of generalised linear mixed models (GLMMs). Thesemodels support a variety of interesting regression-type analyses, but per-forming inference is often extremely difficult, even when using the Bayesianapproach combined with Markov chainMonte Carlo (MCMC). The Sequen-tialMonte Carlo sampler (SMC) is a new and generalmethod for producingsamples from posterior distributions. In this article we demonstrate use ofthe SMC method for performing inference for GLMMs. We demonstratethe effectiveness of the method on both simulated and real data, and findthat sequential Monte Carlo is a competitive alternative to the availableMCMC techniques.
AB - We present a sequential Monte Carlo sampler algorithm forthe Bayesian analysis of generalised linear mixed models (GLMMs). Thesemodels support a variety of interesting regression-type analyses, but per-forming inference is often extremely difficult, even when using the Bayesianapproach combined with Markov chainMonte Carlo (MCMC). The Sequen-tialMonte Carlo sampler (SMC) is a new and generalmethod for producingsamples from posterior distributions. In this article we demonstrate use ofthe SMC method for performing inference for GLMMs. We demonstratethe effectiveness of the method on both simulated and real data, and findthat sequential Monte Carlo is a competitive alternative to the availableMCMC techniques.
KW - generalised additive models
KW - longitudinal data analysis
KW - nonparametric regression
KW - Sequential Monte Carlo
U2 - 10.1214/07-EJS158
DO - 10.1214/07-EJS158
M3 - Journal article
VL - 2
SP - 916
EP - 938
JO - Electronic Journal of Statistics
JF - Electronic Journal of Statistics
SN - 1935-7524
ER -