Non-finite mixture model

For some problems, such as trying to clusterize handwritten digits, it is easy to justify the number of groups we expect to find in the data. For other problems we can have good guesses; for example, we may know that our sample of Iris flowers was taken from a region where only three species of Iris grow, thus using three components is a reasonable starting point. When we are not that sure about the number of components we can use model selection to help us choose the number of groups. Nevertheless for other problems, choosing a priori the number of groups can be a shortcoming and we instead are interested in estimating this number from the data. A Bayesian solution for this type of problem is related to the Dirichlet process.

Dirichlet process

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