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hal.structure.identifierCEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
dc.contributor.authorHairault, Adrien
hal.structure.identifierCEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
dc.contributor.authorRobert, Christian
HAL ID: 6272
hal.structure.identifierCEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
dc.contributor.authorRousseau, Judith
dc.date.accessioned2023-02-14T12:39:18Z
dc.date.available2023-02-14T12:39:18Z
dc.date.issued2022
dc.identifier.urihttps://basepub.dauphine.psl.eu/handle/123456789/24076
dc.language.isoenen
dc.subject.ddc519en
dc.titleEvidence estimation in finite and infinite mixture models and applicationsen
dc.typeDocument de travail / Working paper
dc.description.abstractenEstimating the model evidence - or marginal likelihood of the data - is a notoriously difficult task for finite and infinite mixture models and we reexamine here different Monte Carlo techniques advocated in the recent literature, as well as novel approaches based on Geyer (1994) reverse logistic regression technique, Chib (1995) algorithm, and Sequential Monte Carlo (SMC). Applications are numerous. In particular, testing for the number of components in a finite mixture model or against the fit of a finite mixture model for a given dataset has long been and still is an issue of much interest, albeit yet missing a fully satisfactory resolution. Using a Bayes factor to find the right number of components K in a finite mixture model is known to provide a consistent procedure. We furthermore establish the consistence of the Bayes factor when comparing a parametric family of finite mixtures against the nonparametric 'strongly identifiable' Dirichlet Process Mixture (DPM) model.en
dc.publisher.cityParisen
dc.identifier.citationpages43en
dc.relation.ispartofseriestitleCahier de recherche CEREMADE, Université Paris Dauphine-PSLen
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.identifier.citationdate2022
dc.description.ssrncandidatenon
dc.description.halcandidatenonen
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.date.updated2023-02-14T12:29:33Z
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