Direct simulation for discrete mixture distributions.

Fearnhead, Paul (2005) Direct simulation for discrete mixture distributions. Statistics and Computing, 15 (2). pp. 125-133. ISSN 0960-3174

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Abstract

We demonstrate how to perform direct simulation for discrete mixture models. The approach is based on directly calculating the posterior distribution using a set of recursions which are similar to those of the Forward-Backward algorithm. Our approach is more practicable than existing perfect simulation methods for mixtures. For example, we analyse 1096 observations from a 2 component Poisson mixture, and 240 observations under a 3 component Poisson mixture (with unknown mixture proportions and Poisson means in each case). Simulating samples of 10,000 perfect realisations took about 17 minutes and an hour respectively on a 900 MHz ultraSPARC computer. Our method can also be used to perform perfect simulation from Markov-dependent mixture models. A byproduct of our approach is that the evidence of our assumed models can be calculated, which enables different models to be compared.

Item Type:
Journal Article
Journal or Publication Title:
Statistics and Computing
Uncontrolled Keywords:
/dk/atira/pure/researchoutput/libraryofcongress/qa
Subjects:
?? COMPUTATIONAL THEORY AND MATHEMATICSTHEORETICAL COMPUTER SCIENCESTATISTICS AND PROBABILITYSTATISTICS, PROBABILITY AND UNCERTAINTYQA MATHEMATICS ??
ID Code:
8196
Deposited By:
Deposited On:
15 Apr 2008 09:26
Refereed?:
Yes
Published?:
Published
Last Modified:
20 Sep 2023 00:10