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Two-Stage Metropolis-Hastings for Tall Data

Author

Listed:
  • Richard D. Payne

    (3143 Texas A&M University)

  • Bani K. Mallick

    (3143 Texas A&M University)

Abstract

This paper discusses the challenges presented by tall data problems associated with Bayesian classification (specifically binary classification) and the existing methods to handle them. Current methods include parallelizing the likelihood, subsampling, and consensus Monte Carlo. A new method based on the two-stage Metropolis-Hastings algorithm is also proposed. The purpose of this algorithm is to reduce the exact likelihood computational cost in the tall data situation. In the first stage, a new proposal is tested by the approximate likelihood based model. The full likelihood based posterior computation will be conducted only if the proposal passes the first stage screening. Furthermore, this method can be adopted into the consensus Monte Carlo framework. The two-stage method is applied to logistic regression, hierarchical logistic regression, and Bayesian multivariate adaptive regression splines.

Suggested Citation

  • Richard D. Payne & Bani K. Mallick, 2018. "Two-Stage Metropolis-Hastings for Tall Data," Journal of Classification, Springer;The Classification Society, vol. 35(1), pages 29-51, April.
    • Handle: RePEc:spr:jclass:v:35:y:2018:i:1:d:10.1007_s00357-018-9248-z
    DOI: 10.1007/s00357-018-9248-z
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    References listed on IDEAS

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    1. Shujie Ma & Jeffrey S. Racine & Lijian Yang, 2015. "Spline Regression in the Presence of Categorical Predictors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(5), pages 705-717, August.
    2. Bani K. Mallick & Debashis Ghosh & Malay Ghosh, 2005. "Bayesian classification of tumours by using gene expression data," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 67(2), pages 219-234, April.
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    Cited by:

    1. Vasiliy A. Anikin & Yulia P. Lezhnina & Svetlana V. Mareeva & Ekaterina D. Slobodenyuk & Nataliya N. Tikhonovà, 2016. "Income Stratification: Key Approaches and Their Application to Russia," HSE Working papers WP BRP 02/PSP/2016, National Research University Higher School of Economics.
    2. Douglas L. Steinley, 2018. "Editorial," Journal of Classification, Springer;The Classification Society, vol. 35(2), pages 195-197, July.

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