The exact marginalization of the mixture weight is studied, and it is shown that the exact posterior of the weight is a finite mixture of Beta distributions, delivering closed-form posterior summaries, credible intervals and per-observation local false-discovery rates without any sampling.
Abstract
Hierarchical mixture models are a powerful tool for modeling data generated from heterogeneous sources, particularly when the mixing proportion $\boldsymbol{w}$ itself is treated as a random variable with a Dirichlet or Beta-Liouville prior. Such models are widely employed in scenarios where uncertainty in class membership or data-generating processes must be probabilistically quantified. This paper studies the exact marginalization of the mixture weight. For the two-component case we give an $O(n^2)$ dynamic program -- and an $O(n \log^2 n)$ FFT variant -- for the marginal likelihood, and show that the exact posterior of the weight is a finite mixture of Beta distributions, delivering closed-form posterior summaries, credible intervals and per-observation local false-discovery rates without any sampling. For $K \ge 3$ components we give an exact joint dynamic program. The gain is largest in the small-sample regime the method is built for: on a real multilevel meta-analysis, a pathway-level dysregulation analysis of leukemia gene expression, and a leukemia-derived gene-panel benchmark with known ground truth, the exact interval for the signal proportion is calibrated where EM gives no interval at all (collapsing to a boundary) and Gaussian/Laplace approximations mis-cover, and it is two orders of magnitude faster than the sampler that would match it. On the large prostate-cancer benchmark, where every method has ample data, it agrees with locfdr on the gene ranking while adding a posterior interval for the null proportion.
Several procedures for estimating and thresholding the local false discovery rate are introduced, and it is shown that this holds for fixed and randomized hypothesis labels, indicating that the proposed methods perform well under both frequentist and Bayesian interpretations of multiple testing.
The distribution of a normal mean-variance mixture depends on the law of its positive mixing variable. We compare six parametric mixing laws with a grid nonparametric maximum likelihood estimator under the same determinant identification constraint. The mixing mean $m=\E(Z)$ is estimated and is not fixed at one. A pair...
Bayesian quantile regression based on the asymmetric Laplace (AL) distribution can be sensitive to extreme observations because of its exponentially decaying tails. We propose a robust error distribution constructed as a finite mixture of the AL distribution and a log-Pareto scale mixture of asymmetric Laplace distribu...
It is demonstrated that the posterior density can be written as a mixture density with suitably defined auxiliary random variables, where the mixture components are log-concave, and neuron parameters can be sampled from the posterior by only sampling log-concave densities.
Curtis McDonald, Andrew R. Barron· Mathematical Statistics and...· 1 citation
The use of approximate Bayesian inference for model and variable selection for hierarchical Bayesian models is introduced, based on the application of Markov chain Monte Carlo methods on the model space.
H. Lopez-Gomez, Virgilio Gómez-Rubio, Gonzalo García-Donato· 0 citations
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