Markov Chain Sampling Methods for Dirichlet Process Mixture Models

@article{Neal2000MarkovCS,
  title={Markov Chain Sampling Methods for Dirichlet Process Mixture Models},
  author={Radford M. Neal},
  journal={Journal of Computational and Graphical Statistics},
  year={2000},
  volume={9},
  pages={249 - 265}
}
  • Radford M. Neal
  • Published 1 June 2000
  • Mathematics
  • Journal of Computational and Graphical Statistics
Abstract This article reviews Markov chain methods for sampling from the posterior distribution of a Dirichlet process mixture model and presents two new classes of methods. One new approach is to make Metropolis—Hastings updates of the indicators specifying which mixture component is associated with each observation, perhaps supplemented with a partial form of Gibbs sampling. The other new approach extends Gibbs sampling for these indicators by using a set of auxiliary parameters. These… 
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