Mixture reduction via predictive scores

  • Authors:
  • Robert G. Cowell

  • Affiliations:
  • The School of Mathematics, Actuarial Science and Statistics, City University, Northampton Square, London EC1E 0HT, UK

  • Venue:
  • Statistics and Computing
  • Year:
  • 1998

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Abstract

This paper explores the problem of reducing a mixture of conjugate priors to a smaller mixture, from the perspective of the application of a distance measure between priors. The analysis focuses on mixtures of Dirichlet priors, but it has wider applicability. In respect to the proposed scheme, it emerges that for mixtures of β-distributions a simple moment-matching reduction procedure is optimal and very good for the more general case of Dirichlet mixtures.