Practical Bayesian density estimation using mixtures of normals

• 成果类型: Article
• 署名作者: Roeder, K; Wasserman, L
• 刊物名称: JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
• ISSN/ISSBN: 0162-1459
• DOI: 10.2307/2965553
• 发表日期: 1997
• 页码: 894-902
• 关键词: model; distributions

摘要

Mixtures of normals provide a flexible model for estimating densities in a Bayesian framework. There are some difficulties with this model, however. First, standard reference priors yield improper posteriors. Second, the posterior for the number of components in the mixture is not well defined (if the reference prior is used). Third, posterior simulation does not provide a direct estimate of the posterior for the number of components. We present some practical methods for coping with these problems. Finally, we give some results on the consistency of the method when the maximum number of components is allowed to grow with the sample size.