The Analysis of interval censoring and double censoring via Markov chain Monte Carlo methods

L'Anàlisi de la supervivència s'utilitza en diferents camps per analitzar el temps transcorregut entre dos esdeveniments. El que distingeix l'anàlisi de la supervivència d'altres àrees de l'estadística és que les dades normalment estan censurades. La censura en un interval apareix quan l'esdeveniment final d'interès no és directament observable i només se sap que el temps de fallada està en un interval concret. Un esquema de censura més complex encara apareix quan tant el temps inicial com el temps final estan censurats en un interval. Aquesta situació s'anomena doble censura. En aquest article donem una descripció formal d'un mètode bayesà paramètric per a l'anàlisi de dades censurades en un interval i dades doblement censurades així com unes indicacions clares de la seva utilització o pràctica. La metodologia proposada s'ilustra amb dades d'una cohort de pacients hemofílics que es varen infectar amb el virus VIH a principis dels anys 1980's.

A comparison of variational and Markov chain Monte Carlo methods for inference in partially observed stochastic dynamic systems

In recent work we have developed a novel variational inference method for partially observed systems governed by stochastic differential equations. In this paper we provide a comparison of the Variational Gaussian Process Smoother with an exact solution computed using a Hybrid Monte Carlo approach to path sampling, applied to a stochastic double well potential model. It is demonstrated that the variational smoother provides us a very accurate estimate of mean path while conditional variance is slightly underestimated. We conclude with some remarks as to the advantages and disadvantages of the variational smoother. © 2008 Springer Science + Business Media LLC.

Adaptive Markov chain Monte Carlo and Bayesian filtering for state space models

This thesis is concerned with the state and parameter estimation in state space models. The estimation of states and parameters is an important task when mathematical modeling is applied to many different application areas such as the global positioning systems, target tracking, navigation, brain imaging, spread of infectious diseases, biological processes, telecommunications, audio signal processing, stochastic optimal control, machine learning, and physical systems. In Bayesian settings, the estimation of states or parameters amounts to computation of the posterior probability density function. Except for a very restricted number of models, it is impossible to compute this density function in a closed form. Hence, we need approximation methods. A state estimation problem involves estimating the states (latent variables) that are not directly observed in the output of the system. In this thesis, we use the Kalman filter, extended Kalman filter, Gauss–Hermite filters, and particle filters to estimate the states based on available measurements. Among these filters, particle filters are numerical methods for approximating the filtering distributions of non-linear non-Gaussian state space models via Monte Carlo. The performance of a particle filter heavily depends on the chosen importance distribution. For instance, inappropriate choice of the importance distribution can lead to the failure of convergence of the particle filter algorithm. In this thesis, we analyze the theoretical Lᵖ particle filter convergence with general importance distributions, where p ≥2 is an integer. A parameter estimation problem is considered with inferring the model parameters from measurements. For high-dimensional complex models, estimation of parameters can be done by Markov chain Monte Carlo (MCMC) methods. In its operation, the MCMC method requires the unnormalized posterior distribution of the parameters and a proposal distribution. In this thesis, we show how the posterior density function of the parameters of a state space model can be computed by filtering based methods, where the states are integrated out. This type of computation is then applied to estimate parameters of stochastic differential equations. Furthermore, we compute the partial derivatives of the log-posterior density function and use the hybrid Monte Carlo and scaled conjugate gradient methods to infer the parameters of stochastic differential equations. The computational efficiency of MCMC methods is highly depend on the chosen proposal distribution. A commonly used proposal distribution is Gaussian. In this kind of proposal, the covariance matrix must be well tuned. To tune it, adaptive MCMC methods can be used. In this thesis, we propose a new way of updating the covariance matrix using the variational Bayesian adaptive Kalman filter algorithm.

Detecting recombination in 4-taxa DNA sequence alignments with Bayesian hidden Markov models and Markov chain Monte Carlo

This article presents a statistical method for detecting recombination in DNA sequence alignments, which is based on combining two probabilistic graphical models: (1) a taxon graph (phylogenetic tree) representing the relationship between the taxa, and (2) a site graph (hidden Markov model) representing interactions between different sites in the DNA sequence alignments. We adopt a Bayesian approach and sample the parameters of the model from the posterior distribution with Markov chain Monte Carlo, using a Metropolis-Hastings and Gibbs-within-Gibbs scheme. The proposed method is tested on various synthetic and real-world DNA sequence alignments, and we compare its performance with the established detection methods RECPARS, PLATO, and TOPAL, as well as with two alternative parameter estimation schemes.

Measuring departures from Hardy-Weinberg: a Markov chain Monte Carlo method for estimating the inbreeding coefficient

Many well-established statistical methods in genetics were developed in a climate of severe constraints on computational power. Recent advances in simulation methodology now bring modern, flexible statistical methods within the reach of scientists having access to a desktop workstation. We illustrate the potential advantages now available by considering the problem of assessing departures from Hardy-Weinberg (HW) equilibrium. Several hypothesis tests of HW have been established, as well as a variety of point estimation methods for the parameter which measures departures from HW under the inbreeding model. We propose a computational, Bayesian method for assessing departures from HW, which has a number of important advantages over existing approaches. The method incorporates the effects-of uncertainty about the nuisance parameters--the allele frequencies--as well as the boundary constraints on f (which are functions of the nuisance parameters). Results are naturally presented visually, exploiting the graphics capabilities of modern computer environments to allow straightforward interpretation. Perhaps most importantly, the method is founded on a flexible, likelihood-based modelling framework, which can incorporate the inbreeding model if appropriate, but also allows the assumptions of the model to he investigated and, if necessary, relaxed. Under appropriate conditions, information can be shared across loci and, possibly, across populations, leading to more precise estimation. The advantages of the method are illustrated by application both to simulated data and to data analysed by alternative methods in the recent literature.

Checking Assumptions in Latent Class Regression Models via a Markov Chain Monte Carlo Estimation Approach: An Application to Depression and Socio-Economic Status

Latent class regression models are useful tools for assessing associations between covariates and latent variables. However, evaluation of key model assumptions cannot be performed using methods from standard regression models due to the unobserved nature of latent outcome variables. This paper presents graphical diagnostic tools to evaluate whether or not latent class regression models adhere to standard assumptions of the model: conditional independence and non-differential measurement. An integral part of these methods is the use of a Markov Chain Monte Carlo estimation procedure. Unlike standard maximum likelihood implementations for latent class regression model estimation, the MCMC approach allows us to calculate posterior distributions and point estimates of any functions of parameters. It is this convenience that allows us to provide the diagnostic methods that we introduce. As a motivating example we present an analysis focusing on the association between depression and socioeconomic status, using data from the Epidemiologic Catchment Area study. We consider a latent class regression analysis investigating the association between depression and socioeconomic status measures, where the latent variable depression is regressed on education and income indicators, in addition to age, gender, and marital status variables. While the fitted latent class regression model yields interesting results, the model parameters are found to be invalid due to the violation of model assumptions. The violation of these assumptions is clearly identified by the presented diagnostic plots. These methods can be applied to standard latent class and latent class regression models, and the general principle can be extended to evaluate model assumptions in other types of models.

Fixed-Width Output Analysis for Markov Chain Monte Carlo

Markov chain Monte Carlo is a method of producing a correlated sample in order to estimate features of a complicated target distribution via simple ergodic averages. A fundamental question in MCMC applications is when should the sampling stop? That is, when are the ergodic averages good estimates of the desired quantities? We consider a method that stops the MCMC sampling the first time the width of a confidence interval based on the ergodic averages is less than a user-specified value. Hence calculating Monte Carlo standard errors is a critical step in assessing the output of the simulation. In particular, we consider the regenerative simulation and batch means methods of estimating the variance of the asymptotic normal distribution. We describe sufficient conditions for the strong consistency and asymptotic normality of both methods and investigate their finite sample properties in a variety of examples.

On-road visual vehicle tracking using Markov chain Monte Carlo with metropolis sampling

In this study, a method for vehicle tracking through video analysis based on Markov chain Monte Carlo (MCMC) particle filtering with metropolis sampling is proposed. The method handles multiple targets with low computational requirements and is, therefore, ideally suited for advanced-driver assistance systems that involve real-time operation. The method exploits the removed perspective domain given by inverse perspective mapping (IPM) to define a fast and efficient likelihood model. Additionally, the method encompasses an interaction model using Markov Random Fields (MRF) that allows treatment of dependencies between the motions of targets. The proposed method is tested in highway sequences and compared to state-of-the-art methods for vehicle tracking, i.e., independent target tracking with Kalman filtering (KF) and joint tracking with particle filtering. The results showed fewer tracking failures using the proposed method.

Searching for convergence in phylogenetic Markov chain Monte Carlo

Markov chain Monte Carlo (MCMC) is a methodology that is gaining widespread use in the phylogenetics community and is central to phylogenetic software packages such as MrBayes. An important issue for users of MCMC methods is how to select appropriate values for adjustable parameters such as the length of the Markov chain or chains, the sampling density, the proposal mechanism, and, if Metropolis-coupled MCMC is being used, the number of heated chains and their temperatures. Although some parameter settings have been examined in detail in the literature, others are frequently chosen with more regard to computational time or personal experience with other data sets. Such choices may lead to inadequate sampling of tree space or an inefficient use of computational resources. We performed a detailed study of convergence and mixing for 70 randomly selected, putatively orthologous protein sets with different sizes and taxonomic compositions. Replicated runs from multiple random starting points permit a more rigorous assessment of convergence, and we developed two novel statistics, delta and epsilon, for this purpose. Although likelihood values invariably stabilized quickly, adequate sampling of the posterior distribution of tree topologies took considerably longer. Our results suggest that multimodality is common for data sets with 30 or more taxa and that this results in slow convergence and mixing. However, we also found that the pragmatic approach of combining data from several short, replicated runs into a metachain to estimate bipartition posterior probabilities provided good approximations, and that such estimates were no worse in approximating a reference posterior distribution than those obtained using a single long run of the same length as the metachain. Precision appears to be best when heated Markov chains have low temperatures, whereas chains with high temperatures appear to sample trees with high posterior probabilities only rarely. [Bayesian phylogenetic inference; heating parameter; Markov chain Monte Carlo; replicated chains.]

Anisotropic seismic tomography with the reversible jump Markov chain Monte Carlo

The established isotropic tomographic models show the features of subduction zones in terms of seismic velocity anomalies, but they are generally subjected to the generation of artifacts due to the lack of anisotropy in forward modelling. There is evidence for the significant influence of seismic anisotropy in the mid-upper mantle, especially for boundary layers like subducting slabs. As consequence, in isotropic models artifacts may be misinterpreted as compositional or thermal heterogeneities. In this thesis project the application of a trans-dimensional Metropolis-Hastings method is investigated in the context of anisotropic seismic tomography. This choice arises as a response to the important limitations introduced by traditional inversion methods which use iterative procedures of optimization of a function object of the inversion. On the basis of a first implementation of the Bayesian sampling algorithm, the code is tested with some cartesian two-dimensional models, and then extended to polar coordinates and dimensions typical of subduction zones, the main focus proposed for this method. Synthetic experiments with increasing complexity are realized to test the performance of the method and the precautions for multiple contexts, taking into account also the possibility to apply seismic ray-tracing iteratively. The code developed is tested mainly for 2D inversions, future extensions will allow the anisotropic inversion of seismological data to provide more realistic imaging of real subduction zones, less subjected to generation of artifacts.

Bayesian Markov chain Monte Carlo inversion of geophysical data for the purpose of estimating the hydraulic properties of the unsaturated zone

Ground-penetrating radar (GPR) has the potential to provide valuable information on hydrological properties of the vadose zone because of their strong sensitivity to soil water content. In particular, recent evidence has suggested that the stochastic inversion of crosshole GPR data within a coupled geophysical-hydrological framework may allow for effective estimation of subsurface van-Genuchten-Mualem (VGM) parameters and their corresponding uncertainties. An important and still unresolved issue, however, is how to best integrate GPR data into a stochastic inversion in order to estimate the VGM parameters and their uncertainties, thus improving hydrological predictions. Recognizing the importance of this issue, the aim of the research presented in this thesis was to first introduce a fully Bayesian inversion called Markov-chain-Monte-carlo (MCMC) strategy to perform the stochastic inversion of steady-state GPR data to estimate the VGM parameters and their uncertainties. Within this study, the choice of the prior parameter probability distributions from which potential model configurations are drawn and tested against observed data was also investigated. Analysis of both synthetic and field data collected at the Eggborough (UK) site indicates that the geophysical data alone contain valuable information regarding the VGM parameters. However, significantly better results are obtained when these data are combined with a realistic, informative prior. A subsequent study explore in detail the dynamic infiltration case, specifically to what extent time-lapse ZOP GPR data, collected during a forced infiltration experiment at the Arrenaes field site (Denmark), can help to quantify VGM parameters and their uncertainties using the MCMC inversion strategy. The findings indicate that the stochastic inversion of time-lapse GPR data does indeed allow for a substantial refinement in the inferred posterior VGM parameter distributions. In turn, this significantly improves knowledge of the hydraulic properties, which are required to predict hydraulic behaviour. Finally, another aspect that needed to be addressed involved the comparison of time-lapse GPR data collected under different infiltration conditions (i.e., natural loading and forced infiltration conditions) to estimate the VGM parameters using the MCMC inversion strategy. The results show that for the synthetic example, considering data collected during a forced infiltration test helps to better refine soil hydraulic properties compared to data collected under natural infiltration conditions. When investigating data collected at the Arrenaes field site, further complications arised due to model error and showed the importance of also including a rigorous analysis of the propagation of model error with time and depth when considering time-lapse data. Although the efforts in this thesis were focused on GPR data, the corresponding findings are likely to have general applicability to other types of geophysical data and field environments. Moreover, the obtained results allow to have confidence for future developments in integration of geophysical data with stochastic inversions to improve the characterization of the unsaturated zone but also reveal important issues linked with stochastic inversions, namely model errors, that should definitely be addressed in future research.

Mass conservative three-dimensional water tracer distribution from Markov chain Monte Carlo inversion of time-lapse ground-penetrating radar data

Time-lapse geophysical measurements are widely used to monitor the movement of water and solutes through the subsurface. Yet commonly used deterministic least squares inversions typically suffer from relatively poor mass recovery, spread overestimation, and limited ability to appropriately estimate nonlinear model uncertainty. We describe herein a novel inversion methodology designed to reconstruct the three-dimensional distribution of a tracer anomaly from geophysical data and provide consistent uncertainty estimates using Markov chain Monte Carlo simulation. Posterior sampling is made tractable by using a lower-dimensional model space related both to the Legendre moments of the plume and to predefined morphological constraints. Benchmark results using cross-hole ground-penetrating radar travel times measurements during two synthetic water tracer application experiments involving increasingly complex plume geometries show that the proposed method not only conserves mass but also provides better estimates of plume morphology and posterior model uncertainty than deterministic inversion results.

Bayesian Markov-chain-Monte-Carlo inversion of time-lapse cross hole ground-penetrating radar data to characterize the vadose zone at the Arrenaes field site, Denmark

The ground-penetrating radar (GPR) geophysical method has the potential to provide valuable information on the hydraulic properties of the vadose zone because of its strong sensitivity to soil water content. In particular, recent evidence has suggested that the stochastic inversion of crosshole GPR traveltime data can allow for a significant reduction in uncertainty regarding subsurface van Genuchten-Mualem (VGM) parameters. Much of the previous work on the stochastic estimation of VGM parameters from crosshole GPR data has considered the case of steady-state infiltration conditions, which represent only a small fraction of practically relevant scenarios. We explored in detail the dynamic infiltration case, specifically examining to what extent time-lapse crosshole GPR traveltimes, measured during a forced infiltration experiment at the Arreneas field site in Denmark, could help to quantify VGM parameters and their uncertainties in a layered medium, as well as the corresponding soil hydraulic properties. We used a Bayesian Markov-chain-Monte-Carlo inversion approach. We first explored the advantages and limitations of this approach with regard to a realistic synthetic example before applying it to field measurements. In our analysis, we also considered different degrees of prior information. Our findings indicate that the stochastic inversion of the time-lapse GPR data does indeed allow for a substantial refinement in the inferred posterior VGM parameter distributions compared with the corresponding priors, which in turn significantly improves knowledge of soil hydraulic properties. Overall, the results obtained clearly demonstrate the value of the information contained in time-lapse GPR data for characterizing vadose zone dynamics.

Modelling heterotachy in phylogenetic inference by reversible-jump Markov chain Monte Carlo

The rate at which a given site in a gene sequence alignment evolves over time may vary. This phenomenon-known as heterotachy-can bias or distort phylogenetic trees inferred from models of sequence evolution that assume rates of evolution are constant. Here, we describe a phylogenetic mixture model designed to accommodate heterotachy. The method sums the likelihood of the data at each site over more than one set of branch lengths on the same tree topology. A branch-length set that is best for one site may differ from the branch-length set that is best for some other site, thereby allowing different sites to have different rates of change throughout the tree. Because rate variation may not be present in all branches, we use a reversible-jump Markov chain Monte Carlo algorithm to identify those branches in which reliable amounts of heterotachy occur. We implement the method in combination with our 'pattern-heterogeneity' mixture model, applying it to simulated data and five published datasets. We find that complex evolutionary signals of heterotachy are routinely present over and above variation in the rate or pattern of evolution across sites, that the reversible-jump method requires far fewer parameters than conventional mixture models to describe it, and serves to identify the regions of the tree in which heterotachy is most pronounced. The reversible-jump procedure also removes the need for a posteriori tests of 'significance' such as the Akaike or Bayesian information criterion tests, or Bayes factors. Heterotachy has important consequences for the correct reconstruction of phylogenies as well as for tests of hypotheses that rely on accurate branch-length information. These include molecular clocks, analyses of tempo and mode of evolution, comparative studies and ancestral state reconstruction. The model is available from the authors' website, and can be used for the analysis of both nucleotide and morphological data.