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Wednesday 21 Jan 2015Bayesian Hierarchical Mixture Modelling

Professor Petros Dellaportas - Athens University of Economics and Business, and University College London

RL206, Plymouth University 14:00-16:00

Bayesian hierarchical models provide a useful model structure for combining information from related experiments. In their basic formulation, it is assumed that the parameters of the model satisfy the assumption of exchangeability. We investigate a generalization of the basic Bayesian hierarchical model by assuming a partial exchangeability structure which is modelled with a finite mixture of normals with unknown number of components. We will discuss why this assumption is more appealing and provide illustrative examples from finance and genetics.

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