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

Full text not available from this repository.

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/subjectarea/asjc/1700/1703
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:
15 Jul 2024 11:30