Fast Moment Estimation for Generalized Latent Dirichlet Models

Published

Journal Article

© 2018, © 2018 American Statistical Association. We develop a generalized method of moments (GMM) approach for fast parameter estimation in a new class of Dirichlet latent variable models with mixed data types. Parameter estimation via GMM has computational and statistical advantages over alternative methods, such as expectation maximization, variational inference, and Markov chain Monte Carlo. A key computational advantage of our method, Moment Estimation for latent Dirichlet models (MELD), is that parameter estimation does not require instantiation of the latent variables. Moreover, performance is agnostic to distributional assumptions of the observations. We derive population moment conditions after marginalizing out the sample-specific Dirichlet latent variables. The moment conditions only depend on component mean parameters. We illustrate the utility of our approach on simulated data, comparing results from MELD to alternative methods, and we show the promise of our approach through the application to several datasets. Supplementary materials for this article are available online.

Full Text

Duke Authors

Cited Authors

  • Zhao, S; Engelhardt, BE; Mukherjee, S; Dunson, DB

Published Date

  • October 2, 2018

Published In

Volume / Issue

  • 113 / 524

Start / End Page

  • 1528 - 1540

Electronic International Standard Serial Number (EISSN)

  • 1537-274X

International Standard Serial Number (ISSN)

  • 0162-1459

Digital Object Identifier (DOI)

  • 10.1080/01621459.2017.1341839

Citation Source

  • Scopus