Saddlepoint approximation for mixture models

A. C. Davison and D. Mastropietro

Biometrika, 2009, vol. 96, issue 2, 479-486

Abstract: Two-component mixture distributions with one component a point mass and the other a continuous density may be used as priors for Bayesian inference when sparse representation of an underlying signal is required. We show how saddlepoint approximation in such models can yield highly accurate quantiles for posterior distributions, and illustrate this numerically, using wavelet regression with point mass-Laplace and point mass/normal prior distributions. Copyright 2009, Oxford University Press.

Date: 2009
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