On the use of Markov chain Monte Carlo methods for the sampling of mixture models: a statistical perspective
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asymptotic varianceCarlin \& Chib's pseudo-prior methodinhomogeneous Markov chainsmetropolisationmixture modelsPeskun ordering
Sampling theory, sample surveys (62D05) Multivariate distribution of statistics (62H10) Estimation in multivariate analysis (62H12) Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical analysis or methods applied to Markov chains (65C40)
Abstract: In this paper we study asymptotic properties of different data-augmentation-type Markov chain Monte Carlo algorithms sampling from mixture models comprising discrete as well as continuous random variables. Of particular interest to us is the situation where sampling from the conditional distribution of the continuous component given the discrete component is infeasible. In this context, we cast Carlin & Chib's pseudo-prior method into the framework of mixture models and discuss and compare different variants of this scheme. We propose a novel algorithm, the FCC sampler, which is less computationally demanding than any Metropolised Carlin & Chib-type algorithm. The significant gain of computational efficiency is however obtained at the cost of some asymptotic variance. The performance of the algorithm vis-`a-vis alternative schemes is investigated theoretically, using some recent results obtained in [3] for inhomogeneous Markov chains evolving alternatingly according to two different reversible Markov transition kernels, as well as numerically.
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Cited in
(5)- The method of solving structural reliability with multiparameter correlation problem
- Multicanonical MCMC for sampling rare events: an illustrative review
- Markov chain Monte Carlo Estimation of Classical and Dynamic Switching and Mixture Models
- Efficient MCMC sampling in dynamic mixture models
- A comparative study of nonlinear Markov chain models for conditional simulation of multinomial classes from regular samples
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