Dataset Information

Stochastic Generalized Method of Moments.

ABSTRACT: The generalized method of moments (GMM) is a very popular estimation and inference procedure based on moment conditions. When likelihood-based methods are difficult to implement, one can often derive various moment conditions and construct the GMM objective function. However, minimization of the objective function in the GMM may be challenging, especially over a large parameter space. Due to the special structure of the GMM, we propose a new sampling-based algorithm, the stochastic GMM sampler, which replaces the multivariate minimization problem by a series of conditional sampling procedures. We develop the theoretical properties of the proposed iterative Monte Carlo method, and demonstrate its superior performance over other GMM estimation procedures in simulation studies. As an illustration, we apply the stochastic GMM sampler to a Medfly life longevity study. Supplemental materials for the article are available online.

SUBMITTER: Yin G

PROVIDER: S-EPMC3286612 | biostudies-literature | 2011 Sep

REPOSITORIES: biostudies-literature

ACCESS DATA

Publications

Stochastic Generalized Method of Moments.

Yin Guosheng G Ma Yanyuan Y Liang Faming F Yuan Ying Y

Journal of computational and graphical statistics : a joint publication of American Statistical Association, Institute of Mathematical Statistics, Interface Foundation of North America 20110901 3

The generalized method of moments (GMM) is a very popular estimation and inference procedure based on moment conditions. When likelihood-based methods are difficult to implement, one can often derive various moment conditions and construct the GMM objective function. However, minimization of the objective function in the GMM may be challenging, especially over a large parameter space. Due to the special structure of the GMM, we propose a new sampling-based algorithm, the stochastic GMM sampler, ...[more]

PMID: 22375093

Similar Datasets

Project description:An algorithm to perform stochastic generalized active space calculations, Stochastic-GAS, is presented, that uses the Slater determinant based FCIQMC algorithm as configuration interaction eigensolver. Stochastic-GAS allows the construction and stochastic optimization of preselected truncated configuration interaction wave functions, either to reduce the computational costs of large active space wave function optimizations, or to probe the role of specific electron correlation pathways. As for the conventional GAS procedure, the preselection of the truncated wave function is based on the selection of multiple active subspaces while imposing restrictions on the interspace excitations. Both local and cumulative minimum and maximum occupation number constraints are supported by Stochastic-GAS. The occupation number constraints are efficiently encoded in precomputed probability distributions, using the precomputed heat bath algorithm, which removes nearly all runtime overhead of GAS. This strategy effectively allows the FCIQMC dynamics to a priori exclude electronic configurations that are not allowed by GAS restrictions. Stochastic-GAS reduced density matrices are stochastically sampled, allowing orbital relaxations via Stochastic-GASSCF, and direct evaluation of properties that can be extracted from density matrices, such as the spin expectation value. Three test case applications have been chosen to demonstrate the flexibility of Stochastic-GAS: (a) the Stochastic-GASSCF [5·(6, 6)] optimization of a stack of five benzene molecules, that shows the applicability of Stochastic-GAS toward fragment-based chemical systems; (b) an uncontracted stochastic MRCISD calculation that correlates 96 electrons and 159 molecular orbitals, and uses a large (32, 34) active space reference wave function for an Fe(II)-porphyrin model system, showing how GAS can be applied to systematically recover dynamic electron correlation, and how in the specific case of the Fe(II)-porphyrin dynamic correlation further differentially stabilizes the 3Eg over the 5A1g spin state; (c) the study of an Fe4S4 cluster's spin-ladder energetics via highly truncated stochastic-GAS [4·(5, 5)] wave functions, where we show how GAS can be applied to understand the competing spin-exchange and charge-transfer correlating mechanisms in stabilizing different spin-states.

Dataset Information

Stochastic Generalized Method of Moments.

Publications

Stochastic Generalized Method of Moments.

Similar Datasets

OmicsDI is part of the ELIXIR infrastructure

Tweets