Generalized polya urn for time-varying dirichlet process mixtures

Generalized polya urn for time-varying dirichlet process mixtures

Dirichlet Process Mixtures (DPMs) are a popular class of statistical models to perform density estimation and clustering. However, when the data available have a distribution evolving over time, such models are inadequate. We introduce here a class of time-varying DPMs which ensures that at each tim...

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Bibliographische Detailangaben
Hauptverfasser: Caron, F, Davy, M, Doucet, A
Format: Journal article
Sprache:English
Veröffentlicht: 2007
Beschreibung
Zusammenfassung:Dirichlet Process Mixtures (DPMs) are a popular class of statistical models to perform density estimation and clustering. However, when the data available have a distribution evolving over time, such models are inadequate. We introduce here a class of time-varying DPMs which ensures that at each time step the random distribution follows a DPM model. Our model relies on an intuitive and simple generalized Polya urn scheme. Inference is performed using Markov chain Monte Carlo and Sequential Monte Carlo. We demonstrate our model on various applications.

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