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Posterior sampling from $$\epsilon$$-approximation of normalized completely random measure mixtures. (English) Zbl 1358.62034
Summary: This paper adopts a Bayesian nonparametric mixture model where the mixing distribution belongs to the wide class of normalized homogeneous completely random measures. We propose a truncation method for the mixing distribution by discarding the weights of the unnormalized measure smaller than a threshold. We prove convergence in law of our approximation, provide some theoretical properties, and characterize its posterior distribution so that a blocked Gibbs sampler is devised. The versatility of the approximation is illustrated by two different applications. In the first the normalized Bessel random measure, encompassing the Dirichlet process, is introduced; goodness of fit indexes show its good performances as mixing measure for density estimation. The second describes how to incorporate covariates in the support of the normalized measure, leading to a linear dependent model for regression and clustering.

##### MSC:
 62G05 Nonparametric estimation 62F15 Bayesian inference 60G57 Random measures 62H30 Classification and discrimination; cluster analysis (statistical aspects)
DPpackage; R
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