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Two noniterative algorithms for computing posteriors
Authors:Jun Yang  Guohua Zou  Yu Zhao
Affiliation:(1) Department of System Engineering of Engineering Technology, Beijing University of Aeronautics and Astronautics, Beijing, 100083, China;(2) Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing, 100080, China
Abstract:In this paper, we first propose a noniterative sampling method to obtain an i.i.d. sample approximately from posteriors by combining the inverse Bayes formula, sampling/importance resampling and posterior mode estimates. We then propose a new exact algorithm to compute posteriors by improving the PMDA-Exact using the sampling-wise IBF. If the posterior mode is available from the EM algorithm, then these two algorithms compute posteriors well and eliminate the convergence problem of Markov Chain Monte Carlo methods. We show good performances of our methods by some examples.
Keywords:Bayesian computation  Data augmentation  EM algorithm  Inverse Bayes formula  Sampling/importance resampling  PMDA-Exact
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