Publication

Saddlepoint approximation for mixture models

Anthony Christopher Davison
2009
Journal Articles

Abstract

Two-component mixture distributions with one component a point mass and the other a continuous density may be used as priors for Bayesian inference when sparse representation of an underlying signal is required. We show how saddlepoint approximation in such models can yield highly accurate quantiles for posterior distributions, and illustrate this numerically, using wavelet regression with point mass/Laplace and point mass/normal prior distributions.

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Saddlepoint approximation for mixture models

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