Importance conditional sampling for Pitman-Yor mixtures

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.

Automated summary

Nonparametric mixture models based on the Pitman-Yor process are flexible tools for density estimation and clustering. We propose a new sampling strategy, called importance conditional sampling (ICS), which combines attractive properties of existing methods. Simulation study shows the efficiency and stability of the proposed method for different parameter specifications. The ICS approach can be naturally extended to other computationally demanding models.