bmixt {bmixture} | R Documentation |

This function consists of several sampling algorithms for Bayesian estimation for finite mixture of t-distributions.

bmixt( data, k = "unknown", iter = 1000, burnin = iter / 2, lambda = 1, df = 1, k.start = NULL, mu.start = NULL, sig.start = NULL, pi.start = NULL, k.max = 30, trace = TRUE )

`data ` |
vector of data with size |

`k ` |
number of components of mixture distribution. Defult is |

`iter ` |
number of iteration for the sampling algorithm. |

`burnin ` |
number of burn-in iteration for the sampling algorithm. |

`lambda ` |
For the case |

`df ` |
Degrees of freedom (> 0, maybe non-integer). df = Inf is allowed. |

`k.start ` |
For the case |

`mu.start ` |
Initial value for parameter of mixture distribution. |

`sig.start` |
Initial value for parameter of mixture distribution. |

`pi.start ` |
Initial value for parameter of mixture distribution. |

`k.max ` |
For the case |

`trace ` |
Logical: if TRUE (default), tracing information is printed. |

Sampling from finite mixture of t-distribution, with density:

*Pr(x|k, \underline{π}, \underline{μ}, \underline{σ}) = ∑_{i=1}^{k} π_{i} t_p(x|μ_{i}, σ^2_{i}),*

where `k`

is the number of components of mixture distribution (as a defult we assume is `unknown`

).
The prior distributions are defined as below

* P(K=k) \propto \frac{λ^k}{k!}, \ \ \ k=1,...,k_{max},*

* π_{i} | k \sim Dirichlet( 1,..., 1 ), *

* μ_{i} | k \sim N( ε, κ ), *

* σ_i | k \sim IG( g, h ), *

where `IG`

denotes an inverted gamma distribution. For more details see Stephens, M. (2000), doi: 10.1214/aos/1016120364.

An object with `S3`

class `"bmixt"`

is returned:

`all_k ` |
a vector which includes the waiting times for all iterations. It is needed for monitoring the convergence of the BD-MCMC algorithm. |

`all_weights` |
a vector which includes the waiting times for all iterations. It is needed for monitoring the convergence of the BD-MCMC algorithm. |

`pi_sample ` |
a vector which includes the MCMC samples after burn-in from parameter |

`mu_sample ` |
a vector which includes the MCMC samples after burn-in from parameter |

`sig_sample ` |
a vector which includes the MCMC samples after burn-in from parameter |

`data ` |
original data. |

Reza Mohammadi a.mohammadi@uva.nl

Stephens, M. (2000) Bayesian analysis of mixture models with an unknown number of components-an alternative to reversible jump methods. *Annals of statistics*, 28(1):40-74, doi: 10.1214/aos/1016120364

Richardson, S. and Green, P. J. (1997) On Bayesian analysis of mixtures with an unknown number of components. *Journal of the Royal Statistical Society: series B*, 59(4):731-792, doi: 10.1111/1467-9868.00095

Green, P. J. (1995) Reversible jump Markov chain Monte Carlo computation and Bayesian model determination. *Biometrika*, 82(4):711-732, doi: 10.1093/biomet/82.4.711

Cappe, O., Christian P. R., and Tobias, R. (2003) Reversible jump, birth and death and more general continuous time Markov chain Monte Carlo samplers. *Journal of the Royal Statistical Society: Series B*, 65(3):679-700

Mohammadi, A., Salehi-Rad, M. R., and Wit, E. C. (2013) Using mixture of Gamma distributions for Bayesian analysis in an M/G/1 queue with optional second service. *Computational Statistics*, 28(2):683-700, doi: 10.1007/s00180-012-0323-3

Mohammadi, A., and Salehi-Rad, M. R. (2012) Bayesian inference and prediction in an M/G/1 with optional second service. *Communications in Statistics-Simulation and Computation*, 41(3):419-435, doi: 10.1080/03610918.2011.588358

Wade, S. and Ghahramani, Z. (2018) Bayesian Cluster Analysis: Point Estimation and Credible Balls (with Discussion). *Bayesian Analysis*, 13(2):559-626, doi: 10.1214/17-BA1073

## Not run: set.seed( 20 ) # simulating data from mixture of Normal with 3 components n = 2000 weight = c( 0.3, 0.5, 0.2 ) mean = c( 0 , 10 , 3 ) sd = c( 1 , 1 , 1 ) data = rmixnorm( n = n, weight = weight, mean = mean, sd = sd ) # plot for simulation data hist( data, prob = TRUE, nclass = 30, col = "gray" ) x = seq( -20, 20, 0.05 ) densmixnorm = dmixnorm( x, weight, mean, sd ) lines( x, densmixnorm, lwd = 2 ) # Runing bdmcmc algorithm for the above simulation data set bmixt.obj = bmixt( data, k = 3, iter = 5000 ) summary( bmixt.obj ) ## End(Not run)

[Package *bmixture* version 1.7 Index]