a1 Department of Mathematical Sciences, Aalborg University, 9220 Aalborg Øst, Denmark (email: firstname.lastname@example.org)
a2 Department of Statistics, Lancaster University, Bailrigg Lancaster LA1 4YF, United Kingdomhttp://www.lbreyer.com/
a3 Department of Statistics, University of Warwick, Coventry CV4 7AL, United Kingdom (email: email@example.com)
In this paper we present an application of the read-once coupling from the past algorithm to problems in Bayesian inference for latent statistical models. We describe a method for perfect simulation from the posterior distribution of the unknown mixture weights in a mixture model. Our method is extended to a more general mixture problem, where unknown parameters exist for the mixture components, and to a hidden Markov model.
(Received January 09 2007)
(Revised April 03 2009)
(Online publication August 2010)
2000 Mathematics Subject Classification
This research was supported by the European Union TMR network ERB-FMRX-CT96-0095 on ‘Spatial and Computational Statistics’, by an Engineering and Physical Sciences Research Council grant, and by the Danish Natural Science Research Council (grant no. 272-06-0442).