A class of nonparametric hierarchical mixtures is considered for Bayesian density estimation. This class, namely mixtures of parametric densities on the positive reals with normalized generalized gamma process as mixing measure, is very flexible in the detection of clusters in the data. With an almost sure approximation of the posterior trajectories the mixing process a Markov chain Monte Carlo algorithm is run to estimate linear and nonlinear functionals of the predictive distributions. The best-fitting mixing measure found by minimizing a Bayes factor for parametric against nonparametric alternatives. Simulated and historical data illustrate the method, finding a trade-off between the best-fitting model and the correct identification of the number of components in the mixture.

(2010). Bayesian density estimation and model selection using nonparametric hierarchical mixtures [journal article - articolo]. In COMPUTATIONAL STATISTICS & DATA ANALYSIS. Retrieved from http://hdl.handle.net/10446/193982

Bayesian density estimation and model selection using nonparametric hierarchical mixtures

Argiento, Raffaele;
2010-01-01

Abstract

A class of nonparametric hierarchical mixtures is considered for Bayesian density estimation. This class, namely mixtures of parametric densities on the positive reals with normalized generalized gamma process as mixing measure, is very flexible in the detection of clusters in the data. With an almost sure approximation of the posterior trajectories the mixing process a Markov chain Monte Carlo algorithm is run to estimate linear and nonlinear functionals of the predictive distributions. The best-fitting mixing measure found by minimizing a Bayes factor for parametric against nonparametric alternatives. Simulated and historical data illustrate the method, finding a trade-off between the best-fitting model and the correct identification of the number of components in the mixture.
articolo
2010
Argiento, Raffaele; Guglielmi, Alessandra; Pievatolo, Antonio
(2010). Bayesian density estimation and model selection using nonparametric hierarchical mixtures [journal article - articolo]. In COMPUTATIONAL STATISTICS & DATA ANALYSIS. Retrieved from http://hdl.handle.net/10446/193982
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10446/193982
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