On the inferential implications of decreasing weight structures in mixture models

Pierpaolo De Blasi, Asael Fabian Martínez, Ramsés H. Mena and Igor Prünster

Computational Statistics & Data Analysis, 2020, vol. 147, issue C

Abstract: Bayesian estimation of nonparametric mixture models strongly relies on available representations of discrete random probability measures. In particular, the order of the mixing weights plays an important role for the identifiability of component-specific parameters which, in turn, affects the convergence properties of posterior samplers. The geometric process mixture model provides a simple alternative to models based on the Dirichlet process that effectively addresses these issues. However, the rate of decay of the mixing weights for this model may be too fast for modeling data with a large number of components. The need for different decay rates arises. Some variants of the geometric process featuring different decay behaviors, while preserving the decreasing structure, are presented and investigated. An asymptotic characterization of the number of distinct values in a sample from the corresponding mixing measure is also given, highlighting the inferential implications of different prior specifications. The analysis is completed by a simulation study in the context of density estimation. It shows that by controlling the decaying rate, the mixture model is able to capture data with a large number of components.

Keywords: Bayesian nonparametrics; Density estimation; Geometric process; Model based clustering (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:147:y:2020:i:c:s0167947320300311

DOI: 10.1016/j.csda.2020.106940

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