Generalized Polya Urn for Time-varying Dirichlet Process Mixtures
François Caron, Manuel Davy, Arnaud Doucet · arXiv (Cornell University) · 2012
Dirichlet Process Mixtures (DPMs) are a popular class of statistical models to perform density estimation and clustering. However, when the data available have a distribution evolving over time, such models are inadequate. We introduce here a class of time-varying DPMs which ensures that at each time step the random distribution follows a DPM model. Our model relies on an intuitive and simple generalized Polya urn scheme. Inference is performed using Markov chain Monte Carlo and Sequential Monte Carlo. We demonstrate our model on various applications.