**O**ur paper, weakly informative reparameterisations of location-scale mixtures, with Kaniav Kamary and Kate Lee, got accepted by JCGS! Great news, which comes in perfect timing for Kaniav as she is currently applying for positions. The paper proposes a unidimensional mixture Bayesian modelling based on the first and second moment constraints, since these turn the remainder of the parameter space into a compact. While we had already developed an associated R package, Ultimixt, the current editorial policy of JCGS imposes the R code used to produce all results to be attached to the submission and it took us a few more weeks than it should have to produce a directly executable code, due to internal library incompatibilities. (For this entry, I was looking for a link to our special JCGS issue with my picture of Edinburgh but realised I did not have this picture.)

## Archive for Gaussian mixture

## weakly informative reparameterisations

Posted in Books, pictures, R, Statistics, University life with tags Bayesian modelling, Edinburgh, Gaussian mixture, JCGS, location-scale parameterisation, moments, non-informative priors, publication, R package, Ultimixt on February 14, 2018 by xi'an## fast ε-free ABC

Posted in Books, Mountains, pictures, Running, Statistics, Travel, University life with tags ABC, ABC in Edinburgh, Arthur's Seat, arXiv, Edinburgh, empirical likelihood, Gaussian mixture, neural network, non-parametrics, Scotland on June 8, 2017 by xi'an**L**ast Fall, George Papamakarios and Iain Murray from Edinburgh arXived an ABC paper on fast ε-free inference on simulation models with Bayesian conditional density estimation, paper that I missed. The idea there is to approximate the posterior density by maximising the likelihood associated with a parameterised family of distributions on θ, conditional on the associated x. The data being then the ABC reference table. The family chosen there is a mixture of K Gaussian components, which parameters are then estimated by a (Bayesian) neural network using x as input and θ as output. The parameter values are simulated from an adaptive proposal that aims at approximating the posterior better and better. As in population Monte Carlo, actually. Except for the neural network part, which I fail to understand why it makes a significant improvement when compared with EM solutions. The overall difficulty with this approach is that I do not see a way out of the curse of dimensionality: when the dimension of θ increases, the approximation to the posterior distribution of θ does deteriorate, even in the best of cases, as any other non-parametric resolution. It would have been of (further) interest to see a comparison with a most rudimentary approach, namely the one we proposed based on empirical likelihoods.

## mixtures are slices of an orange

Posted in Kids, R, Statistics with tags CFE 2015, Gaussian mixture, hyperparameter, improper priors, invariance, Lenzerheide, location-scale parameterisation, London, MCMskv, Metropolis-Hastings algorithm, mixtures of distributions, non-informative priors, poster, R, reference priors, Switzerland, Ultimixt on January 11, 2016 by xi'an**A**fter presenting this work in both London and Lenzerheide, Kaniav Kamary, Kate Lee and I arXived and submitted our paper on a new parametrisation of location-scale mixtures. Although it took a long while to finalise the paper, given that we came with the original and central idea about a year ago, I remain quite excited by this new representation of mixtures, because the use of a global location-scale (hyper-)parameter doubling as the mean-standard deviation for the mixture itself implies that all the other parameters of this mixture model [beside the weights] belong to the intersection of a unit hypersphere with an hyperplane. [Hence the title above I regretted not using for the poster at MCMskv!]This realisation that using a (meaningful) hyperparameter (μ,σ) leads to a compact parameter space for the component parameters is important for inference in such mixture models in that the hyperparameter (μ,σ) is easily estimated from the entire sample, while the other parameters can be studied using a non-informative prior like the Uniform prior on the ensuing compact space. This non-informative prior for mixtures is something I have been seeking for many years, hence my on-going excitement! In the mid-1990‘s, we looked at a Russian doll type parametrisation with Kerrie Mengersen that used the “first” component as defining the location-scale reference for the entire mixture. And expressing each new component as a local perturbation of the previous one. While this is a similar idea than the current one, it falls short of leading to a natural non-informative prior, forcing us to devise a proper prior on the variance that was a mixture of a Uniform U(0,1) and of an inverse Uniform 1/U(0,1). Because of the lack of compactness of the parameter space. Here, fixing both mean and variance (or even just the variance) binds the mixture parameter to an ellipse conditional on the weights. A space that can be turned into the unit sphere via a natural reparameterisation. Furthermore, the intersection with the hyperplane leads to a closed form spherical reparameterisation. Yay!

While I do not wish to get into the debate about the [non-]existence of “non-informative” priors at this stage, I think being able to using the invariant reference prior π(μ,σ)=1/σ is quite neat here because the inference on the mixture parameters should be location and scale equivariant. The choice of the prior on the remaining parameters is of lesser importance, the Uniform over the compact being one example, although we did not study in depth this impact, being satisfied with the outputs produced from the default (Uniform) choice.

From a computational perspective, the new parametrisation can be easily turned into the old parametrisation, hence leads to a closed-form likelihood. This implies a Metropolis-within-Gibbs strategy can be easily implemented, as we did in the derived Ultimixt R package. (Which programming I was not involved in, solely suggesting the name *Ultimixt* from ultimate mixture parametrisation, a former title that we eventually dropped off for the paper.)

Discussing the paper at MCMskv was very helpful in that I got very positive feedback about the approach and superior arguments to justify the approach and its appeal. And to think about several extensions outside location scale families, if not in higher dimensions which remain a practical challenge (in the sense of designing a parametrisation of the covariance matrices in terms of the global covariance matrix).

## MCMskv #2 [ridge with a view]

Posted in Mountains, pictures, R, Statistics, Travel, University life with tags ABC, Gaussian mixture, hyperparameter, improper priors, Lenzerheide, MCMskv, Metropolis-Hastings algorithm, mixtures of distributions, non-informative priors, poster, R, reference priors, Switzerland, Ultimixt on January 7, 2016 by xi'an**T**uesday at MCMSkv was a rather tense day for me, from having to plan the whole day “away from home” [8km away] to the mundane worry of renting ski equipment and getting to the ski runs over the noon break, to giving a poster over our new mixture paper with Kaniav Kamary and Kate Lee, as Kaniav could not get a visa in time. It actually worked out quite nicely, with almost Swiss efficiency. After Michael Jordan’s talk, I attended a Bayesian molecular biology session with an impressive talk by Jukka Corander on evolutionary genomics with novel ABC aspects. And then a Hamiltonian Monte Carlo session with two deep talks by Sam Livingstone and Elena Akhmatskaya on the convergence of HMC, followed by an amazing entry into Bayesian cosmology by Jens Jasche (with a slight drawback that MCMC simulations took about a calendar year, handling over 10⁷ parameters). Finishing the day with more “classical” MCMC convergence results and techniques, with talks about forgetting time, stopping time (an undervalued alternative to convergence controls), and CLTs. Including a multivariate ESS by James Flegal. (This choice of sessions was uniformly frustrating as I was also equally interested in “the other” session. The drawback of running parallel sessions, obviously.)

The poster session was busy and animated, but I alas could not get an idea of the other posters as I was presenting mine. This was quite exciting as I discussed a new parametrisation for location-scale mixture models that allows for a rather straightforward “non-informative” or reference prior. (The paper with Kaniav Kamary and Kate Lee should be arXived overnight!) The recently deposited CRAN package Ultimixt by Kaniav and Kate contains Metropolis-Hastings functions related to this new approach. The result is quite exciting, especially because I have been looking for it for decades and I will discuss it pretty soon in another post, and I had great exchanges with the conference participants, which led me to consider the reparametrisation in a larger scale and to simplify the presentation of the approach, turning the global mean and variance as hyperparameters.

The day was also most auspicious for a ski break as it was very mild and sunny, while the snow conditions were (somewhat) better than the ones we had in the French Alps two weeks ago. (Too bad that the Tweedie ski race had to be cancelled for lack of snow on the reserved run! The Blossom ski reward will have again to be randomly allocated!) Just not exciting enough to consider another afternoon out, given the tension in getting there and back. (And especially when considering that it took me the entire break time to arXive our mixture paper…)

## no country for odd means

Posted in Books, Kids, Statistics, University life with tags delayed acceptance, Gaussian mixture, Jeffreys priors, location-scale parameterisation, reference prior, Roma, Université Paris Dauphine on November 16, 2015 by xi'an**T**his morning, Clara Grazian and I arXived a paper about Jeffreys priors for mixtures. This is a part of Clara’s PhD dissertation between Roma and Paris, on which she has worked for the past year. Jeffreys priors cannot be computed analytically for mixtures, which is such a drag that it led us to devise the delayed acceptance algorithm. However, the main message from this detailed study of Jeffreys priors is that they mostly do not work for Gaussian mixture models, in that the posterior is almost invariably improper! This is a definite death knell for Jeffreys priors in this setting, meaning that alternative reference priors, like the one we advocated with Kerrie Mengersen and Mike Titterington, or the similar solution in Roeder and Wasserman, have to be used. *[Disclaimer: the title has little to do with the paper, except that posterior means are off for mixtures…]*

## noninformative priors for mixtures

Posted in Books, Statistics, University life with tags conjugate priors, Edinburgh, Gaussian mixture, Gibbs sampling, improper priors, Jean Diebolt, Jeffreys priors, MCMC, noninformative priors on May 26, 2014 by xi'an

“A novel formulation of the mixture model is introduced, which includes the prior constraint that each Gaussian component is always assigned a minimal number of data points. This enables noninformative improper priors such as the Jeffreys prior to be placed on the component parameters. We demonstrate difficulties involved in specifying a prior for the standard Gaussian mixture model, and show how the new model can be used to overcome these. MCMC methods are given for efficient sampling from the posterior of this model.”C. Stoneking

**F**ollowing in the theme of the Jeffreys’ post of two weeks ago, I spotted today a newly arXived paper about using improper priors for mixtures…and surviving it! It is entitled “Bayesian inference of Gaussian mixture models with noninformative priors” and written by Colin Stoneking at ETH Zürich. As mentioned in the previous post, one specificity of our 1990-1994 paper on mixture with Jean Diebolt was to allow for improper priors by imposing at least two observations per component. The above abstract thus puzzled me until I found on page 3 that the paper was indeed related to ours (and Larry’s 2000 validation)! Actually, I should not complain about citations of my earlier works on mixtures as they cover seven different papers, but the bibliography is somewhat missing the paper we wrote with George Casella and Marty Wells in *Statistical Methodology* in 2004 (this was actually the very first paper of this new journal!), where we show that conjugate priors allow for the integration of the weights, resulting in a close-form expression for the distribution of the partition vector. (This was also extended in the chapter “Exact Bayesian Analysis of Mixtures” I wrote with Kerrie Mengersen in our book Mixtures: Estimation and Applications.)

“There is no well-founded, general method to choose the parameters of a given prior to make it weakly informative for Gaussian mixtures.”C. Stoneking

**T**he first part of the paper shows why looking for weakly informative priors is doomed to fail in this mixture setting: there is no stabilisation as hyperparameters get towards the border (between proper-ness and improper-ness), and on the opposite the frequency of appearances of empty components grows steadily to 100%… The second part gets to the reassessment of our 1990 exclusion trick, first considering that it is not producing a true posterior, then criticising Larry’s 2000 analysis as building a data-dependent “prior”, and at last proposing a reformulation where the exclusion of the empty components and those with one allocated observation becomes part of the “prior” (albeit a prior on the allocation vector). In fine, the posterior thus constructed remains the same as ours, with a message that if we start our model as the likelihood *of the sample* excluding empty or single-observation terms, we can produce a proper Bayesian analysis. (Except for a missing if minor renormalisation.) This leads me to wonder about the conclusion that inference about the (unknown) number of components in the mixture being impossible from this perspective. For instance, we could define fractional Bayes factors à la O’Hagan (1995) this way, i.e. starting from the restricted likelihood and taking a fraction of the likelihood to make the posterior proper, then using the remaining fraction to compute a Bayes factor. (Fractional Bayes factors do not work for the regular likelihood of a Gaussian mixture, irrespective of the sample size.)

## a day for comments

Posted in Mountains, Statistics, Travel, University life with tags AISTATS 2014, Bayesian variable selection, Brad Carlin, Cuillin ridge, Gaussian mixture, Gibbs sampler, hierarchical models, Iceland, ICML, Langevin MCMC algorithm, MCMC, Metropolis-Hastings algorithms, mixtures, model complexity, penalisation, reference priors, Reykjavik, RJMCMC, Russian doll, Scotland, sequential Monte Carlo, Sid Chib, Skye, speedup, spike-and-slab prior, variable dimension models on April 21, 2014 by xi'an**A**s I was flying over Skye (with [maybe] a first if hazy perspective on the Cuillin ridge!) to Iceland, three long sets of replies to some of my posts appeared on the ‘Og:

- Dan Simpson replied to my comments of last Tuesday about his PC construction;
- Arnaud Doucet precised some issues about his adaptive subsampling paper;
- Amandine Schreck clarified why I had missed some points in her Bayesian variable selection paper;
- Randal Douc defended the efficiency of using Carlin and Chib (1995) method for mixture simulation.

Thanks to them for taking the time to answer my musings…