4.5 Article

Truncated Poisson-Dirichlet approximation for Dirichlet process hierarchical models

期刊

STATISTICS AND COMPUTING
卷 33, 期 1, 页码 -

出版社

SPRINGER
DOI: 10.1007/s11222-022-10201-3

关键词

Dirichlet process; Poisson-Dirichlet process; Bayesian nonparametric hierarchical models; Normal mean mixture models; Gibbs sampling; Hamiltonian Monte Carlo

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This paper presents a new random probability measure called the truncated Poisson-Dirichlet process. It introduces a finite approximation for the distribution of the Dirichlet process by truncating the components in descending order according to their random weights. The proposed method has a lower truncation error compared to existing stick-breaking processes.
The Dirichlet process was introduced by Ferguson in 1973 to use with Bayesian nonparametric inference problems. A lot of work has been done based on the Dirichlet process, making it the most fundamental prior in Bayesian nonparametric statistics. Since the construction of Dirichlet process involves an infinite number of random variables, simulation-based methods are hard to implement, and various finite approximations for the Dirichlet process have been proposed to solve this problem. In this paper, we construct a new random probability measure called the truncated Poisson-Dirichlet process. It sorts the components of a Dirichlet process in descending order according to their random weights, then makes a truncation to obtain a finite approximation for the distribution of the Dirichlet process. Since the approximation is based on a decreasing sequence of random weights, it has a lower truncation error comparing to the existing methods using stick-breaking process. Then we develop a blocked Gibbs sampler based on Hamiltonian Monte Carlo method to explore the posterior of the truncated Poisson-Dirichlet process. This method is illustrated by the normal mean mixture model and Caron-Fox network model. Numerical implementations are provided to demonstrate the effectiveness and performance of our algorithm.

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