Generalized mixtures of finite mixtures and telescoping sampling

DOI10.48550/ARXIV.2005.09918MaRDI QIDQ130362zbMATH OpenOpenAlexFDO

Authors Sylvia Frühwirth-Schnatter, Gertraud Malsiner-Walli, Bettina Grün, Sylvia Frühwirth-Schnatter, Gertraud Malsiner-Walli, Bettina Grün

Publication date 20 May 2020

Published in Bayesian Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2005.09918, https://projecteuclid.org/journals/bayesian-analysis/volume-16/issue-4/Generalized-Mixtures-of-Finite-Mixtures-and-Telescoping-Sampling/10.1214/21-BA1294.full

zbMATH Keywords

Bayesian mixturesDirichlet process mixturesGibbs-type priorsPitman-Yor process mixturesreversible jump MCMCsparse Finite mixtures

Mathematics Subject Classification ID

Statistics (62-XX) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Numerical analysis or methods applied to Markov chains (65C40)

Abstract: Within a Bayesian framework, a comprehensive investigation of mixtures of finite mixtures (MFMs), i.e., finite mixtures with a prior on the number of components, is performed. This model class has applications in model-based clustering as well as for semi-parametric density estimation and requires suitable prior specifications and inference methods to exploit its full potential. We contribute by considering a generalized class of MFMs where the hyperparameter $gamm{a}_K$ of a symmetric Dirichlet prior on the weight distribution depends on the number of components. We show that this model class may be regarded as a Bayesian non-parametric mixture outside the class of Gibbs-type priors. We emphasize the distinction between the number of components $K$ of a mixture and the number of clusters $K_{+}$, i.e., the number of filled components given the data. In the MFM model, $K_{+}$ is a random variable and its prior depends on the prior on $K$ and on the hyperparameter $gamm{a}_K$. We employ a flexible prior distribution for the number of components $K$ and derive the corresponding prior on the number of clusters $K_{+}$ for generalized MFMs. For posterior inference, we propose the novel telescoping sampler which allows Bayesian inference for mixtures with arbitrary component distributions without resorting to reversible jump Markov chain Monte Carlo (MCMC) methods. The telescoping sampler explicitly samples the number of components, but otherwise requires only the usual MCMC steps of a finite mixture model. The ease of its application using different component distributions is demonstrated on several data sets.

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Cited in

(5)

• Is infinity that far? A Bayesian nonparametric perspective of finite mixture models
• Finite-dimensional Discrete Random Structures and Bayesian Clustering
• Assessing aquatic toxicity assessment via a clustered variance model
• fipp
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