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2005年03月26日

Estimating Dirichlet distribution

http://www.stat.cmu.edu/~minka/papers/dirichlet/minka-dirichlet.pdf

The Dirichlet distribution and its compound variant, the Dirichlet-multinomial, are two of the most basic models for proportional data, such as the mix of vocabulary words in a text document. Yet the maximum-likelihood estimate of these distributions is not available in closed-form. This paper describes simple and efficient iterative schemes for obtaining parameter estimates in these models. In each case, a fixed-point iteration and a Newton-Raphson (or generalized Newton-Raphson) iteration is provided.

Direchlet 分布に対する最尤推定のパラメータ推定法や、LOO による近似推定法などが紹介されている。Direchlet 分布は n次元単位ベクトル上での確率分布だけど、その応用範囲はすごく広いので道具として身に着けておいて損はない。

投稿者 taku : 2005年03月26日 02:23

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http://chasen.org/~taku/blog/mt-tb.cgi/130

このリストは、次のエントリーを参照しています: Estimating Dirichlet distribution:

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