Generalized mixtures of finite mixtures and telescoping sampling

2020/05/20 by Sylvia Frühwirth‐Schnatter, Frühwirth-Schnatter, Sylvia, Gertraud Malsiner‐Walli +3 · 6 citations
Computer Science · Mathematics · #Bayesian Methods and Mixture Models #Census and Population Estimation #FOS: Computer and information sciences #Methodology (stat.ME) #Statistical Methods and Bayesian Inference

paper · doi:10.48550/arxiv.2005.09918

openalex publication_date 2020/05/20 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

Within a Bayesian framework, a comprehensive investigation of mixtures of finite mixtures (MFMs), i.e., finite mixtures with a prior on the number of components, is performed. This model class has applications in model-based clustering as well as for semi-parametric density estimation and requires suitable prior specifications and inference methods to exploit its full potential. We contribute by considering a generalized class of MFMs where the hyperparameter γ_K of a symmetric Dirichlet prior on the weight distribution depends on the number of components. We show that this model class may be regarded as a Bayesian non-parametric mixture outside the class of Gibbs-type priors. We emphasize the distinction between the number of components K of a mixture and the number of clusters K₊, i.e., the number of filled components given the data. In the MFM model, K₊ is a random variable and its prior depends on the prior on K and on the hyperparameter γ_K. We employ a flexible prior distribution for the number of components K and derive the corresponding prior on the number of clusters K₊ for generalized MFMs. For posterior inference, we propose the novel telescoping sampler which allows Bayesian inference for mixtures with arbitrary component distributions without resorting to reversible jump Markov chain Monte Carlo (MCMC) methods. The telescoping sampler explicitly samples the number of components, but otherwise requires only the usual MCMC steps of a finite mixture model. The ease of its application using different component distributions is demonstrated on several data sets.

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