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

## 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: | Article |
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Journal or Publication Title: | Statistics and Computing |

Subjects: | Q Science > QA Mathematics |

Departments: | Faculty of Science and Technology > Mathematics and Statistics |

ID Code: | 8196 |

Deposited By: | Prof Paul Fearnhead |

Deposited On: | 15 Apr 2008 10:26 |

Refereed?: | Yes |

Published?: | Published |

Last Modified: | 09 Oct 2013 15:42 |

Identification Number: | |

URI: | http://eprints.lancs.ac.uk/id/eprint/8196 |

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