TY - GEN
T1 - Slice sampling covariance hyperparameters of latent Gaussian models
AU - Murray, Iain
AU - Adams, Ryan Prescott
PY - 2010
Y1 - 2010
N2 - The Gaussian process (GP) is a popular way to specify dependencies between random variables in a probabilistic model. In the Bayesian framework the covariance structure can be specified using unknown hyperparameters. Integrating over these hyperparameters considers different possible explanations for the data when making predictions. This integration is often performed using Markov chain Monte Carlo (MCMC) sampling. However, with non-Gaussian observations standard hyperparameter sampling approaches require careful tuning and may converge slowly. In this paper we present a slice sampling approach that requires little tuning while mixing well in both strong- and weak-data regimes.
AB - The Gaussian process (GP) is a popular way to specify dependencies between random variables in a probabilistic model. In the Bayesian framework the covariance structure can be specified using unknown hyperparameters. Integrating over these hyperparameters considers different possible explanations for the data when making predictions. This integration is often performed using Markov chain Monte Carlo (MCMC) sampling. However, with non-Gaussian observations standard hyperparameter sampling approaches require careful tuning and may converge slowly. In this paper we present a slice sampling approach that requires little tuning while mixing well in both strong- and weak-data regimes.
UR - http://www.scopus.com/inward/record.url?scp=85162070336&partnerID=8YFLogxK
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M3 - Conference contribution
AN - SCOPUS:85162070336
SN - 9781617823800
T3 - Advances in Neural Information Processing Systems 23: 24th Annual Conference on Neural Information Processing Systems 2010, NIPS 2010
BT - Advances in Neural Information Processing Systems 23
PB - Neural Information Processing Systems
T2 - 24th Annual Conference on Neural Information Processing Systems 2010, NIPS 2010
Y2 - 6 December 2010 through 9 December 2010
ER -