- Author
- Biskup Dariusz (Akademia Ekonomiczna we Wrocławiu)
- Title
- Bayesowska estymacja parametrów mieszanek rozkładów o nieznanej liczbie składników
Bayesian Estimation of Mixtures with Unknown Number of Components - Source
- Prace Naukowe Akademii Ekonomicznej we Wrocławiu, 2006, nr 1105, s. 9-26, rys., tab., bibliogr. 8 poz.
- Issue title
- Zastosowanie statystyki w ekonomii
- Keyword
- Estymacja bayesowska, Algorytmy
Bayesian estimation, Algorithms - Note
- summ.
- Abstract
- W artykule opisana zostanie metoda estymacji parametrów mieszanki jednowymiarowych rozkładów normalnych z założeniem nieznajomości liczby jej składników. (fragment tekstu)
The paper describes in detail the Reversible Jump Markov Chain Monte Carlo algorithm which is used in the Bayesian model choice. One of the frequently met model choice problems involves finding the number of components in a mixture of distributions. The paper describes the case in which the mixture component is univariate normal distribution. The algorithm is illustrated with some simulation and real-life examples. The real-life examples use the data on air pollution in the Lower Silesia region of Poland. (original abstract) - Accessibility
- The Main Library of the Cracow University of Economics
The Library of Warsaw School of Economics
The Main Library of Poznań University of Economics and Business - Full text
- Show
- Bibliography
-
- Brooks S.P., Giudici P., Roberts G.O., Efficient Construction of Reversible Jump Markov Chain Monte Carlo Proposal Distributions, "Journal of the Royal Statistical Society: Series В (Statistical Methodology)" 2003, vol. 65, issue 1.
- Green P., Reversible Jump Markov Chain Monte Carlo Computation and Bayesian Model Determination, "Biometrika" 1995, 82, 711-732.
- Highly Structured Stochastic Systems, red. P.J. Green, N. Hjort, S. Richardson, University Press, Oxford 2003.
- Han C., Carlin B.P., MCMC Methods for Computing Bayes Factors: a Comparative Review, "J. Amer. Statist. Assoc.", 96, 1122-1132, 2001.
- Richardson S., Green P.J., On Bayesian Analysis of Mixtures with an Unknown Number of Components, J.R. Statist. Soc. В (1997) 59, nr 4, s. 731-792.
- Stephens M., Bayesian Analysis of Mixtures with an Unknown Number of Components - an Alternative to Reversible Jump Methods, "Annals of Statistics" 2000 nr 28.
- Viallefont V., Richardson S., Green P.J., Bayesian Analysis of Poisson Mixtures, "Journal of Non- parametric Statistics" 2002, vol. 14, Issue 1-2, s. 181-202.
- Zhang Z., Chan K.L., Wu Y., Chen Ch., Learning a Multivariate Gaussian Mixture with the Reversible Jump MCMC Algorithm, to appear in Statistics and Computing, 2004.
- Cited by
- ISSN
- 0324-8445
- Language
- pol
