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label.switching: An R Package for Dealing with the Label Switching Problem in MCMC Outputs

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  • Papastamoulis, Panagiotis

Abstract

Label switching is a well-known and fundamental problem in Bayesian estimation of mixture or hidden Markov models. In case that the prior distribution of the model parameters is the same for all states, then both the likelihood and posterior distribution are invariant to permutations of the parameters. This property makes Markov chain Monte Carlo (MCMC) samples simulated from the posterior distribution non-identifiable. In this paper, the label.switching package is introduced. It contains one probabilistic and seven deterministic relabeling algorithms in order to post-process a given MCMC sample, provided by the user. Each method returns a set of permutations that can be used to reorder the MCMC output. Then, any parametric function of interest can be inferred using the reordered MCMC sample. A set of user-defined permutations is also accepted, allowing the researcher to benchmark new relabeling methods against the available ones.

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  • Papastamoulis, Panagiotis, 2016. "label.switching: An R Package for Dealing with the Label Switching Problem in MCMC Outputs," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 69(c01).
    • Handle: RePEc:jss:jstsof:v:069:c01
    DOI: http://hdl.handle.net/10.18637/jss.v069.c01
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    1. repec:dau:papers:123456789/1906 is not listed on IDEAS
    2. Papastamoulis, Panagiotis & Iliopoulos, George, 2009. "Reversible Jump MCMC in mixtures of normal distributions with the same component means," Computational Statistics & Data Analysis, Elsevier, vol. 53(4), pages 900-911, February.
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    Cited by:

    1. Saverio Ranciati & Giuliano Galimberti & Gabriele Soffritti, 2019. "Bayesian variable selection in linear regression models with non-normal errors," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 28(2), pages 323-358, June.
    2. Kensuke Okada & Shin-ichi Mayekawa, 2018. "Post-processing of Markov chain Monte Carlo output in Bayesian latent variable models with application to multidimensional scaling," Computational Statistics, Springer, vol. 33(3), pages 1457-1473, September.
    3. Im, Yunju & Tan, Aixin, 2021. "Bayesian subgroup analysis in regression using mixture models," Computational Statistics & Data Analysis, Elsevier, vol. 162(C).
    4. Emanuele Gramuglia & Geir Storvik & Morten Stakkeland, 2021. "Clustering and automatic labelling within time series of categorical observations—with an application to marine log messages," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 70(3), pages 714-732, June.
    5. Papastamoulis, Panagiotis, 2018. "Overfitting Bayesian mixtures of factor analyzers with an unknown number of components," Computational Statistics & Data Analysis, Elsevier, vol. 124(C), pages 220-234.
    6. Carter Allen & Sara E. Benjamin‐Neelon & Brian Neelon, 2021. "A Bayesian multivariate mixture model for skewed longitudinal data with intermittent missing observations: An application to infant motor development," Biometrics, The International Biometric Society, vol. 77(2), pages 675-688, June.
    7. Cristina Mollica & Luca Tardella, 2017. "Bayesian Plackett–Luce Mixture Models for Partially Ranked Data," Psychometrika, Springer;The Psychometric Society, vol. 82(2), pages 442-458, June.
    8. Kazuhiro Yamaguchi & Jonathan Templin, 2022. "A Gibbs Sampling Algorithm with Monotonicity Constraints for Diagnostic Classification Models," Journal of Classification, Springer;The Classification Society, vol. 39(1), pages 24-54, March.
    9. Padma Sharma, 2022. "Assessing Regulatory Responses to Banking Crises," Research Working Paper RWP 22-04, Federal Reserve Bank of Kansas City.
    10. Daewon Yang & Taeryon Choi & Eric Lavigne & Yeonseung Chung, 2022. "Non‐parametric Bayesian covariate‐dependent multivariate functional clustering: An application to time‐series data for multiple air pollutants," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 71(5), pages 1521-1542, November.

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