Multiscale stick-breaking mixture models
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We introduce a family of multiscale stick-breaking mixture models for Bayesian nonparametric density estimation. The Bayesian nonparametric literature is dominated by single scale methods, exception made for Pòlya trees and allied approaches. Our proposal is based on a mixture specification exploiting an infinitely-deep binary tree of random weights that grows according to a multiscale generalization of a large class of stick-breaking processes; this multiscale stick-breaking is paired with specific stochastic processes generating sequences of parameters that induce stochastically ordered kernel functions. Properties of this family of multiscale stick-breaking mixtures are described. Focusing on a Gaussian specification, a Markov Chain Montecarlo algorithm for posterior computation is introduced. The performance of the method is illustrated analyzing both synthetic and real data sets. The method is well-suited for data living in R and is able to detect densities with varying degree of smoothness and local features.
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