Logo image
Back
Divide-and-Conquer Bayesian Inference in Hidden Markov Models
Preprint   Open access

Divide-and-Conquer Bayesian Inference in Hidden Markov Models

Chunlei Wang and Sanvesh Srivastava
ArXiv.org
Cornell University
05/29/2021
DOI: 10.48550/arXiv.2105.14395
url
https://doi.org/10.48550/arXiv.2105.14395View
Preprint (Author's original)This preprint has not been evaluated by subject experts through peer review. Preprints may undergo extensive changes and/or become peer-reviewed journal articles. Open Access

Abstract

Divide-and-conquer Bayesian methods consist of three steps: dividing the data into smaller computationally manageable subsets, running a sampling algorithm in parallel on all the subsets, and combining parameter draws from all the subsets. The combined parameter draws are used for efficient posterior inference in massive data settings. A major restriction of existing divide-and-conquer methods is that their first two steps assume that the observations are independent. We address this problem by developing a divide-and-conquer method for Bayesian inference in parametric hidden Markov models, where the state space is known and finite. Our main contributions are two-fold. First, after partitioning the data into smaller blocks of consecutive observations, we modify the likelihood for performing posterior computations on the subsets such that the posterior variances of the subset and true posterior distributions have the same asymptotic order. Second, if the number of subsets is chosen appropriately depending on the mixing properties of the hidden Markov chain, then we show that the subset posterior distributions defined using the modified likelihood are asymptotically normal as the subset sample size tends to infinity. The latter result also implies that we can use any existing combination algorithm in the third step. We show that the combined posterior distribution obtained using one such algorithm is close to the true posterior distribution in 1-Wasserstein distance under widely used regularity assumptions. Our numerical results show that the proposed method provides an accurate approximation of the true posterior distribution than its competitors in diverse simulation studies and a real data analysis.

Details

Metrics

62 Record Views
Logo image