2022/05/17 by Antonio Canale, Riccardo Corradin, Bernardo Nipoti
Computer Science · Mathematics · #Bayesian Methods and Mixture Models #Statistical Methods and Bayesian Inference #Statistical Methods and Inference
paper · pdf · doi:10.1007/s11222-022-10096-0
openalex created_date 2020/01/30 · openalex publication_date 2022/05/17 · openalex updated_date 2026/07/31
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.