Sampling schemes for generalized linear Dirichlet process random effects models

Minjung Kyung, Jeff Gill, George Casella
2011 Statistical Methods & Applications  
We evaluate MCMC sampling schemes for a variety of link functions in generalized linear models with Dirichlet process random effects. First, we find that there is a large amount of variability in the performance of MCMC algorithms, with the slice sampler typically being less desirable than either a Kolmogorov-Smirnov mixture representation or a Metropolis-Hastings algorithm. Second, in fitting the Dirichlet process, dealing with the precision parameter has troubled model specifications in the
more » ... st. Here we find that incorporating this parameter into the MCMC sampling scheme is not only computationally feasible, but also results in a more robust set of estimates, in that they are marginalized-over rather than conditioned-upon. Applications are provided with social science problems in areas where the data can be difficult to model, and we find that the nonparametric nature of the Dirichlet process priors for the random effects lead to improved analyses with more reasonable inferences.
doi:10.1007/s10260-011-0168-x fatcat:3pqxclu7zrgvpbnt6lvoxgzmqy