Bayesian inference for logistic models using pólya-gamma latent variables

• Autores: Nicholas G. Polsona, James G. Scottb, Jesse Windlec
• Localización: Journal of the American Statistical Association, ISSN 0162-1459, Vol. 108, Nº 504, 2013, págs. 1339-1349
• Idioma: inglés
• DOI: 10.1080/01621459.2013.829001
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• Resumen

  • We propose a new data-augmentation strategy for fully Bayesian inference in models with binomial likelihoods. The approach appeals to a new class of Pólya�Gamma distributions, which are constructed in detail. A variety of examples are presented to show the versatility of the method, including logistic regression, negative binomial regression, nonlinear mixed-effect models, and spatial models for count data. In each case, our data-augmentation strategy leads to simple, effective methods for posterior inference that (1) circumvent the need for analytic approximations, numerical integration, or Metropolis�Hastings; and (2) outperform other known data-augmentation strategies, both in ease of use and in computational efficiency. All methods, including an efficient sampler for the Pólya�Gamma distribution, are implemented in the R package BayesLogit. Supplementary materials for this article are available online.