Bayesian Nonparametric Inference for the Power Likelihood

Abstract

The aim in this article is to provide a means to undertake Bayesian inference for mixture models when the likelihood function is raised to a power between 0 and 1. The main purpose for doing this is to guarantee a strongly consistent model and hence, make it possible to compare the consistent posterior with the correct posterior, looking for signs of discrepancy. This will be explained in detail in the article. Another purpose would be for simulated annealing algorithms. In particular, for the widely used mixture of Dirichlet process model, it is far from obvious how to undertake inference via Markov chain Monte Carlo methods when the likelihood is raised to a power other than 1. In this article, we demonstrate how posterior sampling can be carried out when using a power likelihood. Matlab code to implement the algorithm is available as supplementary material.

Key Words:

• Consistency
• Latent model
• MCMC
• Mixture of Dirichlet process model

ACKNOWLEDGMENTS

The authors are grateful for the comments of an Associate Editor and two referees on an earlier version of the article. Isadora Antoniano-Villalobos’s Ph.D. research is funded by CONACyT.