Nonparametric mixture models based on the Pitman-Yor process represent a flexible tool for density estimation and clustering. Natural generalization of the popular class of Dirichlet process mixture models, they allow for more robust inference on the number of components characterizing the distribution of the data. We propose a new sampling strategy for such models, named importance conditional sampling (ICS), which combines appealing properties of existing methods, including easy interpretability and a within-iteration parallelizable structure. An extensive simulation study highlights the efficiency of the proposed method which, unlike other conditional samplers, shows stable performances for different specifications of the parameters characterizing the Pitman-Yor process. We further show that the ICS approach can be naturally extended to other classes of computationally demanding models, such as nonparametric mixture models for partially exchangeable data.

Canale, A., Corradin, R., Nipoti, B. (2022). Importance conditional sampling for Pitman–Yor mixtures. STATISTICS AND COMPUTING, 32(3) [10.1007/s11222-022-10096-0].

Importance conditional sampling for Pitman–Yor mixtures

Corradin R.;Nipoti B.
2022

Abstract

Nonparametric mixture models based on the Pitman-Yor process represent a flexible tool for density estimation and clustering. Natural generalization of the popular class of Dirichlet process mixture models, they allow for more robust inference on the number of components characterizing the distribution of the data. We propose a new sampling strategy for such models, named importance conditional sampling (ICS), which combines appealing properties of existing methods, including easy interpretability and a within-iteration parallelizable structure. An extensive simulation study highlights the efficiency of the proposed method which, unlike other conditional samplers, shows stable performances for different specifications of the parameters characterizing the Pitman-Yor process. We further show that the ICS approach can be naturally extended to other classes of computationally demanding models, such as nonparametric mixture models for partially exchangeable data.
Articolo in rivista - Articolo scientifico
Bayesian nonparametrics; Dependent Dirichlet process; Importance conditional sampling; Nonparametric mixtures; Pitman-Yor process; Sampling-importance resampling;
English
17-mag-2022
2022
32
3
40
open
Canale, A., Corradin, R., Nipoti, B. (2022). Importance conditional sampling for Pitman–Yor mixtures. STATISTICS AND COMPUTING, 32(3) [10.1007/s11222-022-10096-0].
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10281/396630
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