Czasopismo
Tytuł artykułu
Autorzy
Warianty tytułu
Bayesian Estimation of Mixtures with Unknown Number of Components
Języki publikacji
Abstrakty
W artykule opisana zostanie metoda estymacji parametrów mieszanki jednowymiarowych rozkładów normalnych z założeniem nieznajomości liczby jej składników. (fragment tekstu)
The paper describes in detail the Reversible Jump Markov Chain Monte Carlo algorithm which is used in the Bayesian model choice. One of the frequently met model choice problems involves finding the number of components in a mixture of distributions. The paper describes the case in which the mixture component is univariate normal distribution. The algorithm is illustrated with some simulation and real-life examples. The real-life examples use the data on air pollution in the Lower Silesia region of Poland. (original abstract)
Słowa kluczowe
Rocznik
Strony
9--26
Opis fizyczny
Twórcy
autor
- Akademia Ekonomiczna we Wrocławiu
Bibliografia
- Brooks S.P., Giudici P., Roberts G.O., Efficient Construction of Reversible Jump Markov Chain Monte Carlo Proposal Distributions, "Journal of the Royal Statistical Society: Series В (Statistical Methodology)" 2003, vol. 65, issue 1.
- Green P., Reversible Jump Markov Chain Monte Carlo Computation and Bayesian Model Determination, "Biometrika" 1995, 82, 711-732.
- Highly Structured Stochastic Systems, red. P.J. Green, N. Hjort, S. Richardson, University Press, Oxford 2003.
- Han C., Carlin B.P., MCMC Methods for Computing Bayes Factors: a Comparative Review, "J. Amer. Statist. Assoc.", 96, 1122-1132, 2001.
- Richardson S., Green P.J., On Bayesian Analysis of Mixtures with an Unknown Number of Components, J.R. Statist. Soc. В (1997) 59, nr 4, s. 731-792.
- Stephens M., Bayesian Analysis of Mixtures with an Unknown Number of Components - an Alternative to Reversible Jump Methods, "Annals of Statistics" 2000 nr 28.
- Viallefont V., Richardson S., Green P.J., Bayesian Analysis of Poisson Mixtures, "Journal of Non- parametric Statistics" 2002, vol. 14, Issue 1-2, s. 181-202.
- Zhang Z., Chan K.L., Wu Y., Chen Ch., Learning a Multivariate Gaussian Mixture with the Reversible Jump MCMC Algorithm, to appear in Statistics and Computing, 2004.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171533595