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...
| Hauptverfasser: | , , |
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| Format: | Journal article |
| Sprache: | English |
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2007
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| _version_ | 1826260151200382976 |
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| author | Caron, F Davy, M Doucet, A |
| author_facet | Caron, F Davy, M Doucet, A |
| author_sort | Caron, F |
| collection | OXFORD |
| description | 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. |
| first_indexed | 2024-03-06T19:01:05Z |
| format | Journal article |
| id | oxford-uuid:138c0f40-e203-4b7c-a6bd-8a6310d7a23f |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-06T19:01:05Z |
| publishDate | 2007 |
| record_format | dspace |
| spelling | oxford-uuid:138c0f40-e203-4b7c-a6bd-8a6310d7a23f2022-03-26T10:14:30ZGeneralized polya urn for time-varying dirichlet process mixturesJournal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:138c0f40-e203-4b7c-a6bd-8a6310d7a23fEnglishSymplectic Elements at Oxford2007Caron, FDavy, MDoucet, ADirichlet 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. |
| spellingShingle | Caron, F Davy, M Doucet, A Generalized polya urn for time-varying dirichlet process mixtures |
| title | Generalized polya urn for time-varying dirichlet process mixtures |
| title_full | Generalized polya urn for time-varying dirichlet process mixtures |
| title_fullStr | Generalized polya urn for time-varying dirichlet process mixtures |
| title_full_unstemmed | Generalized polya urn for time-varying dirichlet process mixtures |
| title_short | Generalized polya urn for time-varying dirichlet process mixtures |
| title_sort | generalized polya urn for time varying dirichlet process mixtures |
| work_keys_str_mv | AT caronf generalizedpolyaurnfortimevaryingdirichletprocessmixtures AT davym generalizedpolyaurnfortimevaryingdirichletprocessmixtures AT douceta generalizedpolyaurnfortimevaryingdirichletprocessmixtures |