|Gschlößl, Susanne; Czado, Claudia (2005): Does a Gibbs sampler approach to spatial Poisson regression models outperform a single site MH sampler? Collaborative Research Center 386, Discussion Paper 460|
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In this paper we present and evaluate a Gibbs sampler for a Poisson regression model including spatial e ects. 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 di erent 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 e ects are obtained in this case. For the regression e ects 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 e ort, it outperforms the Gibbs samplers which would have to be run considerably longer in order to obtain the same precision of the parameters.
|Item Type:||Paper (Research Paper)|
|Keywords:||block updates, collapsing, data augmentation, Gibbs sampler, model parameterisation, spatial Poisson count data|
|Faculties:||Mathematics, Computer Science and Statistics > Statistics > Collaborative Research Center 386|
Special Research Fields > Special Research Field 386
|Subjects:||500 Science > 510 Mathematics|
|Deposited On:||11. Apr 2007|
|Last Modified:||29. Apr 2016 08:50|
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