Bayesian Gaussian Copula Factor Models for Mixed Data.
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Gaussian factor models have proven widely useful for parsimoniously characterizing dependence in multivariate data. There is a rich literature on their extension to mixed categorical and continuous variables, using latent Gaussian variables or through generalized latent trait models acommodating measurements in the exponential family. However, when generalizing to non-Gaussian measured variables the latent variables typically influence both the dependence structure and the form of the marginal distributions, complicating interpretation and introducing artifacts. To address this problem we propose a novel class of Bayesian Gaussian copula factor models which decouple the latent factors from the marginal distributions. A semiparametric specification for the marginals based on the extended rank likelihood yields straightforward implementation and substantial computational gains. We provide new theoretical and empirical justifications for using this likelihood in Bayesian inference. We propose new default priors for the factor loadings and develop efficient parameter-expanded Gibbs sampling for posterior computation. The methods are evaluated through simulations and applied to a dataset in political science. The models in this paper are implemented in the R package bfa.
SubjectExtended rank likelihood
Published Version (Please cite this version)10.1080/01621459.2012.762328
Publication InfoMurray, Jared S; Dunson, David B; Carin, Lawrence; & Lucas, Joseph E (2013). Bayesian Gaussian Copula Factor Models for Mixed Data. J Am Stat Assoc, 108(502). pp. 656-665. 10.1080/01621459.2012.762328. Retrieved from https://hdl.handle.net/10161/8942.
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Professor of Electrical and Computer Engineering
Lawrence Carin earned the BS, MS, and PhD degrees in electrical engineering at the University of Maryland, College Park, in 1985, 1986, and 1989, respectively. In 1989 he joined the Electrical Engineering Department at Polytechnic University (Brooklyn) as an Assistant Professor, and became an Associate Professor there in 1994. In September 1995 he joined the Electrical and Computer Engineering (ECE) Department at Duke University, where he is now a Professor. He was ECE Department Chair from 2011
David B. Dunson
Arts and Sciences Distinguished Professor of Statistical Science
My research focuses on developing new tools for probabilistic learning from complex data - methods development is directly motivated by challenging applications in ecology/biodiversity, neuroscience, environmental health, criminal justice/fairness, and more. We seek to develop new modeling frameworks, algorithms and corresponding code that can be used routinely by scientists and decision makers. We are also interested in new inference framework and in studying theoretical properties
Joseph E. Lucas
Associate Research Professor in the Social Science Research Institute
This author no longer has a Scholars@Duke profile, so the information shown here reflects their Duke status at the time this item was deposited.
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