Exact sampling with coupled Markov chains and applications to statistical mechanics
Proceedings of the seventh international conference on Random structures and algorithms
On perfect simulation for some mixtures of distributions
Statistics and Computing
Discretisation for inference on normal mixture models
Statistics and Computing
Exact and efficient Bayesian inference for multiple changepoint problems
Statistics and Computing
Expert Systems with Applications: An International Journal
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We demonstrate how to perform direct simulation for discrete mixture models. The approach is based on directly calculating the posterior distribution using a set of recursions which are similar to those of the Forward-Backward algorithm. Our approach is more practicable than existing perfect simulation methods for mixtures. For example, we analyse 1096 observations from a 2 component Poisson mixture, and 240 observations under a 3 component Poisson mixture (with unknown mixture proportions and Poisson means in each case). Simulating samples of 10,000 perfect realisations took about 17 minutes and an hour respectively on a 900 MHz ultraSPARC computer. Our method can also be used to perform perfect simulation from Markov-dependent mixture models. A byproduct of our approach is that the evidence of our assumed models can be calculated, which enables different models to be compared.