Slice Sampling Mixture Models

Kalli, M. and Griffin, J.E. and Walker, S.G. (2011) Slice Sampling Mixture Models. Statistics and Computing, 21 (1). pp. 93-105. ISSN 0960-3174. (The full text of this publication is not available from this repository)

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Official URL
http://dx.doi.org/10.1007/s11222-009-9150-y

Abstract

We propose a more efficient version of the slice sampler for Dirichlet process mixture models described by Walker (Commun. Stat., Simul. Comput. 36:45–54, 2007). This new sampler allows for the fitting of infinite mixture models with a wide-range of prior specifications. To illustrate this flexibility we consider priors defined through infinite sequences of independent positive random variables. Two applications are considered: density estimation using mixture models and hazard function estimation. In each case we show how the slice efficient sampler can be applied to make inference in the models. In the mixture case, two submodels are studied in detail. The first one assumes that the positive random variables are Gamma distributed and the second assumes that they are inverse-Gaussian distributed. Both priors have two hyperparameters and we consider their effect on the prior distribution of the number of occupied clusters in a sample. Extensive computational comparisons with alternative “conditional” simulation techniques for mixture models using the standard Dirichlet process prior and our new priors are made. The properties of the new priors are illustrated on a density estimation problem.

Item Type: Article
Uncontrolled keywords: Dirichlet process · Markov chain Monte Carlo · Mixture model · Normalized weights · Slice sampler · Hazard function
Subjects: Q Science > QA Mathematics (inc Computing science) > QA276 Mathematical statistics
Divisions: Faculties > Science Technology and Medical Studies > School of Mathematics Statistics and Actuarial Science > Statistics
Depositing User: Jim Griffin
Date Deposited: 22 Dec 2009 19:49
Last Modified: 25 Jan 2013 14:06
Resource URI: http://kar.kent.ac.uk/id/eprint/23488 (The current URI for this page, for reference purposes)
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