[Forum SIS] Bocconi DEC Seminar - November 26th at 4:30pm

[Marco Bonetti]

DEC Seminar
Università Bocconi,
Room 11
Via Sarfatti 25 - 1st floor
Time: 4:30pm

The DEC seminar schedule is available at http://www.unibocconi.eu/statseminar

Thursday, November 26th

Hedibert Lopes
(University of Chicago)

"Particle Methods for General Mixtures"

Abstract:

This paper develops efficient sequential learning methods for the  
estimation of general mixture models.
The approach is distinguished from alternative particle filtering  
methods in two major ways.  First, each
iteration begins by resampling particles according to posterior  
predictive probability, leading to a more
efficient set for propagation.  Second, each particle tracks only the  
state of sufficient information for latent
mixture components, thus leading to reduced dimensional inference.  In  
addition, we describe  how the
approach will apply to more general mixture models  of current  
interest in the literature;  it is hoped that
this will inspire a greater number of researchers to adopt sequential  
Monte Carlo methods for fitting their
sophisticated mixture based models. Finally, we show that this  
particle learning approach leads to straightforward
tools for marginal likelihood calculation and
posterior cluster allocation.

Specific versions of the algorithm are derived for standard density  
estimation applications based on both finite
mixture models and Dirichlet process mixture models, as well as for  
the less common settings of latent feature
selection through an Indian Buffet process and dependent distribution  
tracking through a probit stick-breaking model.
Three simulation examples are presented: density estimation and model  
selection for a finite mixture model;
a simulation study for Dirichlet process density estimation with as  
many as 12500 observations of 25 dimensional
data, and an example of nonparametric mixture regression that requires  
learning truncated approximations to the infinite
random mixing distribution (This is joint work with Carlos Carvalho,  
Nicholas Polson and Matt Taddy).


---
Marco Bonetti
Department of Decision Sciences
Bocconi University
Via Guglielmo Roentgen 1
20136 Milan, Italy
Tel +39 02 58365670
Fax +39 02 58365634

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