Markov Chain Monte Carlo Methods and the Label Switching Problem in Bayesian Mixture Modelling
نویسندگان
چکیده
In the past ten years there has been a dramatic increase of interest in the Bayesian analysis of finite mixture models. This is primarily because of the emergence of Markov chain Monte Carlo (MCMC) methods. Whilst MCMC provides a convenient way to draw inference from complicated statistical models, there are many, perhaps under appreciated, problems associated with the MCMC analysis of mixtures. The problems are mainly caused by the nonidentifiability of the components under symmetric priors, which leads to so called label switching in the MCMC output. This will mean that ergodic averages of component specific quantities will be identical and thus useless for inference. We review the solutions to the label switching problem, such as artificial identifiability constraints (e.g. Diebolt & Robert (1994)), relabelling algorithms (Stephens 1997a) and label invariant loss functions (Celeux, Hurn & Robert 2000). We also review various MCMC sampling schemes that have been suggested for mixture models and discuss posterior sensitivity to prior specification.
منابع مشابه
Bayesian Mixture Labelling by Highest Posterior Density
A fundamental problem for Bayesian mixture model analysis is label switching, which occurs due to the non-identifiability of the mixture components under symmetric priors. We propose two labelling methods to solve this problem. The first method, denoted by PM(ALG), is based on the posterior modes and an ascending algorithm generically denoted ALG. We use each Markov chain Monte Carlo (MCMC) sam...
متن کاملMarkov Chain Monte Carlo Methods and the Label Switching Problem in Bayesian Mixture Modeling
In the past ten years there has been a dramatic increase of interest in the Bayesian analysis of finite mixture models. This is primarily because of the emergence of Markov chain Monte Carlo (MCMC) methods. While MCMC provides a convenient way to draw inference from complicated statistical models, there are many, perhaps underappreciated, problems associated with the MCMC analysis of mixtures. ...
متن کاملFree energy biased sampling and mixture modelling
It is a pleasure to present this discussion of Chopin and Jacob (2010), which has been influenced by reading in parallel the recent paper by Chopin, Lelièvre and Stoltz (2010). This gives more detail on free-energy biasing, and applies it in the context of Markov chain Monte Carlo, and is also illustrated by applications to mixture modelling. My discussion focuses on the general ideas of free e...
متن کاملA Simple Solution to Bayesian Mixture Labeling
The label switching problem is one of the fundamental problems in Bayesian mixture analysis. Using all the Markov chain Monte Carlo samples as the initials for the EM algorithm, we propose to label the samples based on the modes they converge to. Our method is based on the assumption that the samples converged to the same mode have the same labels. If a relative noninformative prior is used or ...
متن کاملBayesian Time Series Analysis
This article describes the use of Bayesian methods in the statistical analysis of time series. The use of Markov chain Monte Carlo methods has made even the more complex time series models amenable to Bayesian analysis. Models discussed in some detail are ARIMA models and their fractionally integrated counterparts, state-space models, Markov switching and mixture models, and models allowing for...
متن کامل