Zhang, Junyi 
ORCID: 0000-0001-8986-6588 and Dassios, Angelos ORCID: 0000-0002-3968-2366
(2024)
Posterior sampling from truncated Ferguson-Klass representation of normalised completely random measure mixtures.
Bayesian Analysis.
ISSN 1936-0975
(In Press)
Abstract
In this paper, we study the finite approximation of the completely random measure (CRM) by truncating its Ferguson-Klass representation. The approximation is obtained by keeping the N largest atom weights of the CRM unchanged and combining the smaller atom weights into a single term.We develop the simulation algorithms for the approximation and characterise its posterior distribution, for which a blocked Gibbs sampler is devised.We demonstrate the usage of the approximation in two models. The first assumes such an approximation as the mixing distribution of a Bayesian nonparametric mixture model and leads to a finite approximation to the model posterior. The second concerns the finite approximation to the Caron-Fox model. Examples and numerical implementations are given based on the gamma, stable and generalised gamma processes.
| Item Type: | Article |
|---|---|
| Additional Information: | © 2024 International Society for Bayesian Analysis |
| Divisions: | Statistics |
| Subjects: | H Social Sciences > HA Statistics |
| Date Deposited: | 06 Mar 2024 17:06 |
| Last Modified: | 07 Apr 2024 00:06 |
| URI: | http://eprints.lse.ac.uk/id/eprint/122228 |
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