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

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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
Subjects:	Q Science > QA Mathematics
Divisions:	Faculty of 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:	Date Event 10 August 2010 Published
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
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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