On the posterior distribution of the number of components in a finite mixture

Details On the posterior distribution of the number of components in a finite mixture On the posterior distribution of the number of components in a finite mixture

2005-03-29

arxiv.org/abs/math/0503673v1

Annals of Statistics 2004, Vol. 32, No. 5, 2044-2073

Mathematics

Statistics Theory

Published at http://dx.doi.org/10.1214/009053604000000788 in the Annals of Statistics (http://www.imstat.org/aos/) by the Inst

Scientific paper

10.1214/009053604000000788

The posterior distribution of the number of components k in a finite mixture satisfies a set of inequality constraints. The result holds irrespective of the parametric form of the mixture components and under assumptions on the prior distribution weaker than those routinely made in the literature on Bayesian analysis of finite mixtures. The inequality constraints can be used to perform an ``internal'' consistency check of MCMC estimates of the posterior distribution of k and to provide improved estimates which are required to satisfy the constraints. Bounds on the posterior probability of k components are derived using the constraints. Implications on prior distribution specification and on the adequacy of the posterior distribution of k as a tool for selecting an adequate number of components in the mixture are also explored.

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