| 基于DRJMCMC方法处理多元正态混合模型 |
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| 引用本文： | 魏东伟,金百锁,缪柏其,叶五一.基于DRJMCMC方法处理多元正态混合模型[J].中国科学技术大学学报,2011,41(9). |
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| 作者姓名： | 魏东伟 金百锁 缪柏其 叶五一 |
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| 作者单位： | 中国科学技术大学统计与金融系,安徽合肥,230026 |
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| 基金项目： | 国家自然科学基金(71001095); 高等学校博士学科点专项科研基金(20103402120010); 安徽省自然科学基金(090416245)资助 |
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| 摘 要： | 运用带延迟拒绝的可逆跳马尔科夫链蒙特卡洛方法(DRJMCMC)来研究多元混合模型的参数估计和模型选择问题.在混合元的分裂和合并过程中,依然遵照转移前后模型的一阶和二阶矩不变的原则,同时引进随机产生的正交阵解决协方差矩阵不同的问题.还给出DRJMCMC算法在多元正态混合模型中的接受概率的具体表达式.最后给出了一些模拟数据的结果来验证这个算法的可行性及优良性.
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| 关 键 词： | 多元混合模型 模型选择 带延迟拒绝的RJMCMC算法 分裂和合并过程 |
Analysis of multivariate Gaussian mixture model based on DRJMCMC method |
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| WEI Dongwei,JIN Baisuo,MIAO Baiqi,YE Wuyi.Analysis of multivariate Gaussian mixture model based on DRJMCMC method[J].Journal of University of Science and Technology of China,2011,41(9). |
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| Authors: | WEI Dongwei JIN Baisuo MIAO Baiqi YE Wuyi |
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| Institution: | WEI Dongwei,JIN Baisuo,MIAO Baiqi,YE Wuyi(Department of Statistics and Finance,University of Science and Technology of China,Hefei 230026,China) |
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| Abstract: | The Bayesian analysis of the multivariate Gaussian mixture model using the delaying rejection reversible jump MCMC algorithm was presented,which could deal with parameter estimation and model selection jointly in a signal sweep.Adhering to the principle of preserving the first two moments before and after the split and combination,special orthogonal matrix was generated to solve the problem of constructing the covariance matrix.The acceptance probability of the DRJMCMC algorithm was given.Experimental resul... |
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| Keywords: | Gaussian mixture model model selection delaying rejection reversible jump MCMC algorithm split and combination |
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