Slice Sampling Covariance Hyperparameters in Latent Gaussian Models

Murray, I., & Adams, R. P. (2010). Slice Sampling Covariance Hyperparameters in Latent Gaussian Models. Advances in Neural Information Processing Systems (NIPS) 23.

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.

  @conference{murray2010hyper,
  year = {2010},
  author = {Murray, Iain and Adams, Ryan P.},
  title = {Slice Sampling Covariance Hyperparameters in Latent {G}aussian Models},
  booktitle = {Advances in Neural Information Processing Systems (NIPS) 23},
  note = {arXiv:1006.0868 [stat.CO]},
  keywords = {Gaussian processes, Markov chain Monte Carlo, Bayesian methods, NIPS}
}