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Perfect posterior simulation for mixture and hidden Markov models
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Berthelsen, Kasper K., Breyer, Laird A. and Roberts, Gareth O. (2010) Perfect posterior simulation for mixture and hidden Markov models. LMS Journal of Computation and Mathematics, Vol.13 . pp. 246-259. doi:10.1112/S1461157007000022 ISSN 1461-1570.
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Official URL: http://dx.doi.org/10.1112/S1461157007000022
Abstract
In this paper we present an application of the read-once coupling from the past algorithm to problems in Bayesian inference for latent statistical models. We describe a method for perfect simulation from the posterior distribution of the unknown mixture weights in a mixture model. Our method is extended to a more general mixture problem, where unknown parameters exist for the mixture components, and to a hidden Markov model.
Item Type: | Journal Article | ||||
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Subjects: | Q Science > QA Mathematics | ||||
Divisions: | Faculty of Science, Engineering and Medicine > Science > Statistics | ||||
Library of Congress Subject Headings (LCSH): | Mathematical models, Mathematical statistics, Distribution (Probability theory) | ||||
Journal or Publication Title: | LMS Journal of Computation and Mathematics | ||||
Publisher: | Cambridge University Press | ||||
ISSN: | 1461-1570 | ||||
Official Date: | 10 August 2010 | ||||
Dates: |
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Volume: | Vol.13 | ||||
Number of Pages: | 14 | ||||
Page Range: | pp. 246-259 | ||||
DOI: | 10.1112/S1461157007000022 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Restricted or Subscription Access | ||||
Date of first compliant deposit: | 1 August 2016 | ||||
Date of first compliant Open Access: | 1 August 2016 | ||||
Funder: | European Union (EU), Engineering and Physical Sciences Research Council (EPSRC), Statens naturvidenskabelige forskningsråd (Denmark) [Natural Science Research Council] | ||||
Grant number: | ERB-FMRX-CT96-0095 (EU), 272-06-0442 (DNSRC) |
Data sourced from Thomson Reuters' Web of Knowledge
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