Research output: Contribution to Journal/Magazine › Journal article › peer-review
Research output: Contribution to Journal/Magazine › Journal article › peer-review
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TY - JOUR
T1 - Direct simulation for discrete mixture distributions.
AU - Fearnhead, Paul
PY - 2005/4
Y1 - 2005/4
N2 - We demonstrate how to perform direct simulation for discrete mixture models. The approach is based on directly calculating the posterior distribution using a set of recursions which are similar to those of the Forward-Backward algorithm. Our approach is more practicable than existing perfect simulation methods for mixtures. For example, we analyse 1096 observations from a 2 component Poisson mixture, and 240 observations under a 3 component Poisson mixture (with unknown mixture proportions and Poisson means in each case). Simulating samples of 10,000 perfect realisations took about 17 minutes and an hour respectively on a 900 MHz ultraSPARC computer. Our method can also be used to perform perfect simulation from Markov-dependent mixture models. A byproduct of our approach is that the evidence of our assumed models can be calculated, which enables different models to be compared.
AB - We demonstrate how to perform direct simulation for discrete mixture models. The approach is based on directly calculating the posterior distribution using a set of recursions which are similar to those of the Forward-Backward algorithm. Our approach is more practicable than existing perfect simulation methods for mixtures. For example, we analyse 1096 observations from a 2 component Poisson mixture, and 240 observations under a 3 component Poisson mixture (with unknown mixture proportions and Poisson means in each case). Simulating samples of 10,000 perfect realisations took about 17 minutes and an hour respectively on a 900 MHz ultraSPARC computer. Our method can also be used to perform perfect simulation from Markov-dependent mixture models. A byproduct of our approach is that the evidence of our assumed models can be calculated, which enables different models to be compared.
U2 - 10.1007/s11222-005-6204-7
DO - 10.1007/s11222-005-6204-7
M3 - Journal article
VL - 15
SP - 125
EP - 133
JO - Statistics and Computing
JF - Statistics and Computing
SN - 0960-3174
IS - 2
ER -