On the use of Markov chain Monte Carlo methods for the sampling of mixture models: a statistical perspective

DOI10.1007/S11222-014-9526-5zbMATH Open1331.62072arXiv1404.0880OpenAlexW1967558294MaRDI QIDQ5963549FDOQ5963549

Florian Maire, Jimmy Olsson, Randal Douc

Publication date: 22 February 2016

Published in: Statistics and Computing (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1404.0880

zbMATH Keywords

mixture modelsasymptotic varianceinhomogeneous Markov chainsPeskun orderingCarlin \& Chib's pseudo-prior methodmetropolisation

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) 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) Sampling theory, sample surveys (62D05) Estimation in multivariate analysis (62H12)

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Cited In (4)

• A comparative study of nonlinear Markov chain models for conditional simulation of multinomial classes from regular samples
• 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

Uses Software

• MNIST

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