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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Detalhes bibliográficos
Principais autores: Caron, F, Davy, M, Doucet, A
Formato: Journal article
Idioma:English
Publicado em: 2007
Descrição
Resumo: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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