Does a Gibbs sampler approach to spatial Poisson regression models outperform a single site MH sampler?

Arbeitspapier

In this paper we present and evaluate a Gibbs sampler for a Poisson regression model including spatial effects. The approach is based on Frühwirth-Schnatter and Wagner (2004b) who show that by data augmentation using the introduction of two sequences of latent variables a Poisson regression model can be transformed into an approximate normal linear model. We show how this methodology can be extended to spatial Poisson regression models and give details of the resulting Gibbs sampler. In particular, the influence of model parameterisation and different update strategies on the mixing of the MCMC chains is discussed. The developed Gibbs samplers are analysed in two simulation studies and applied to model the expected number of claims for policyholders of a German car insurance company. The mixing of the Gibbs samplers depends crucially on the model parameterisation and the update schemes. The best mixing is achieved when collapsed algorithms are used, reasonable low autocorrelations for the spatial effects are obtained in this case. For the regression effects however, autocorrelations are rather high, especially for data with very low heterogeneity. For comparison a single component Metropolis Hastings algorithms is applied which displays very good mixing for all components. Although the Metropolis Hastings sampler requires a higher computational effort, it outperforms the Gibbs samplers which would have to be run considerably longer in order to obtain the same precision of the parameters.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Discussion Paper ; No. 460

Classification and Topics

• Subject: block updates ; collapsing ; data augmentation ; Gibbs sampler ; model parameterisation ; spatial Poisson count data

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Gschlößl, Susanne ; Czado, Claudia
• Event: Veröffentlichung
• (who): Ludwig-Maximilians-Universität München, Sonderforschungsbereich 386 - Statistische Analyse diskreter Strukturen
• (where): München
• (when): 2005

Further information

• DOI: doi:10.5282/ubm/epub.1803
• Handle: http://hdl.handle.net/10419/31094
• URN: urn:nbn:de:bvb:19-epub-1803-5
• Last update: 10.03.2025, 11:43 AM CET