Data augmentation and Gibbs sampling are two closely related, sampling-based approaches to the calculation of posterior moments. The fact that each produces a sample whose constituents are neither independent nor identically distributed complicates the assessment of convergence and numerical accuracy of the approximations to the expected value of functions of interest under the posterior. In this paper methods from spectral analysis are used to evaluate numerical accuracy formally and construct diagnostics for convergence. These methods are illustrated in the normal linear model with informative priors, and in the Tobit-censored regression model.

This paper surveys the fundamental principles of subjective Bayesian inference in econometrics and the implementation of those principles using posterior simulation methods. The emphasis is on the combination of models and the development of predictive distributions. Moving beyond conditioning on a fixed number of completely specified models, the paper introduces subjective Bayesian tools for formal comparison of these models with as yet incompletely specified models. The paper then shows how posterior simulators can facilitate communication between investigators (for example, econometricians) on the one hand and remote clients (for example, decision makers) on the other, enabling clients to vary the prior distributions and functions of interest employed by investigators. A theme of the paper is the practicality of subjective Bayesian methods. To this end, the paper describes publicly available software for Bayesian inference, model development, and communication and provides illustrations using two simple econometric models. *This paper was originally prepared for the Australasian meetings of the Econometric Society in Melbourne, Australia,

We describe and apply choice models, including generalizations of logit called "mixed logits," that do not exhibit the restrictive "independence from irrelevant alternatives" property and can approximate any substitution pattern. The models are estimated on data from a stated-preference survey that elicited customers' preferences among gas, electric, methanol, and CNG vehicles with various attributes.

We present several Markov chain Monte Carlo simulation methods that have been widely used in recent years in econometrics and statistics. Among these is the Gibbs sampler, which has been of particular interest to econometricians. Although the paper summarizes some of the relevant theoretical literature, its emphasis is on the presentation and explanation of applications to important models that are studied in econometrics. We include a discussion of some implementation issues, the use of the methods in connection with the EM algorithm, and how the methods can be helpful in model specification questions. Many of the applications of these methods are of particular interest to Bayesians, but we also point out ways in which frequentist statisticians may find the techniques useful.

We develop new methods for conducting a finite sample, likelihood-based analysis of the multinomial probit model. Using a variant of the Gibbs sampler, an algorithm is developed to draw from the exact posterior of the multinomial probit model with correlated errors. This approach avoids direct evaluation of the likelihood and, thus, avoids the problems associated with calculating choice probabilities which affect both the standard likelihood and method of simulated moments approaches. Both simulated and actual consumer panel data are used to fit six-dimensional choice models. We also develop methods for analyzing random coefficient and multiperiod probit models.

This paper provides a practical simulation-based Bayesian and non-Bayesian analysis of correlated binary data using the multivariate probit model. The posterior distribution is simulated by Markov chain Monte Carlo methods and maximum likelihood estimates are obtained by a Monte Carlo version of the EM algorithm. A practical approach for the computation of Bayes factors from the simulation output is also developed. The methods are applied to a dataset with a bivariate binary response, to a four-year longitudinal dataset from the Six Cities study of the health effects of air pollution and to a sevenvariate binary response dataset on the labour supply of married women from the Panel Survey of Income Dynamics.

This paper is concerned with the Bayesian estimation and comparison of flexible, high dimensional multivariate time series models with time varying correlations. The model proposed and considered here combines features of the classical factor model with that of the heavy tailed univariate stochastic volatility model. A unified analysis of the model, and its special cases, is developed that encompasses estimation, filtering and model choice. The centerpieces of the estimation algorithm (which relies on MCMC methods) are (1) a reduced blocking scheme for sampling the free elements of the loading matrix and the factors and (2) a special method for sampling the parameters of the univariate SV process. The resulting algorithm is scalable in terms of series and factors and simulation-efficient. Methods for estimating the log-likelihood function and the filtered values of the time-varying volatilities and correlations are also provided. The performance and effectiveness of the inferential methods are extensively tested using simulated data where models up to 50 dimensions and 688 parameters are fitted and studied. The performance of our model, in relation to multivariate GARCH models, is also evaluated using a real data set of weekly returns on a set of 10 international stock indices. We consider the performance along two dimensions: the ability to correctly estimate the conditional covariance matrix of future returns and the unconditional and conditional coverage of the 5 % and 1% Value-at-Risk (VaR) measures of four pre-defined portfolios.

P-splines are an attractive approach for modelling nonlinear smooth effects of covariates within the generalized additive and varying coefficient models framework. In this paper we propose a Bayesian version for P-splines and generalize the approach for one dimensional curves to two dimensional surface fitting for modelling interactions between metrical covariates. A Bayesian approach to P-splines has the advantage of allowing for simultaneous estimation of smooth functions and smoothing parameters. Moreover, it can easily be extended to more complex formulations, for example to mixed models with random effects for serially or spatially correlated response. Additionally, the assumption of constant smoothing parameters can be replaced by allowing the smoothing parameters to be locally adaptive. This is particularly useful in situations with changing curvature of the underlying smooth function or where the function is highly oscillating. Inference is fully Bayesian and uses recent MCMC techniques for drawing random samples from the posterior. In a couple of simulation studies the performance of Bayesian P-splines is studied and compared to other approaches in the literature. We illustrate the approach by a complex application on rents for flats in Munich.

Uncertainty pervades many domains in our lives. Current real-life applications, e.g., location tracking using GPS devices or cell phones, multimedia feature extraction, and sensor data management, deal with different kinds of uncertainty. Finding the nearest neighbor objects to a given query point is an important query type in these applications. In this paper, we study the problem of finding objects with the highest marginal probability of being the nearest neighbors to a query object. We adopt a general uncertainty model allowing for data and query uncertainty. Under this model, we define new query semantics, and provide several efficient evaluation algorithms. We analyze the cost factors involved in query evaluation, and present novel techniques to address the trade-offs among these factors. We give multiple extensions to our techniques including handling dependencies among data objects, and answering threshold queries. We conduct an extensive experimental study to evaluate our techniques on both real and synthetic data. 1.

Data association (obtaining correspondences) is a ubiquitous problem in computer vision. It appears when matching image features across multiple images, matching image features to object recognition models and matching image features to semantic concepts. In this paper, we show how a wide class of data association tasks arising in computer vision can be interpreted as a constrained semi-supervised learning problem. This interpretation opens up room for the development of new, more efficient data association methods. In particular, it leads to the formulation of a new principled probabilistic model for constrained semi-supervised learning that accounts for uncertainty in the parameters and missing data. By adopting an ingenious data augmentation strategy, it becomes possible to develop an efficient MCMC algorithm where the high-dimensional variables in the model can be sampled efficiently and directly from their posterior distributions. We demonstrate the new model and algorithm on synthetic data and the complex problem of matching image features to words in the image captions.