Fast Moment Estimation for Generalized Latent Dirichlet Models

Shiwen Zhao, Barbara Engelhardt Martin, Sayan Mukherjee, David B. Dunson

Research output: Contribution to journalArticle

Abstract

We develop a generalized method of moments (GMM) approach for fast parameter estimation in a new class of Dirichlet latent variable models with mixed data types. Parameter estimation via GMM has computational and statistical advantages over alternative methods, such as expectation maximization, variational inference, and Markov chain Monte Carlo. A key computational advantage of our method, Moment Estimation for latent Dirichlet models (MELD), is that parameter estimation does not require instantiation of the latent variables. Moreover, performance is agnostic to distributional assumptions of the observations. We derive population moment conditions after marginalizing out the sample-specific Dirichlet latent variables. The moment conditions only depend on component mean parameters. We illustrate the utility of our approach on simulated data, comparing results from MELD to alternative methods, and we show the promise of our approach through the application to several datasets. Supplementary materials for this article are available online.

Original languageEnglish (US)
Pages (from-to)1528-1540
Number of pages13
JournalJournal of the American Statistical Association
Volume113
Issue number524
DOIs
StatePublished - Oct 2 2018

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All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

Keywords

  • Generalized method of moments
  • Latent Dirichlet allocation
  • Latent variables
  • Mixed membership model
  • Mixed scale data
  • Tensor factorization

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