Speeding up the ordered allocation sampler

Abstract: The ordered allocation sampler is a Gibbs sampler designed to explore the posterior distribution in nonparametric mixture models. It encompasses both infinite mixtures and finite mixtures with random number of components, and it has be shown to possess mixing properties that pair well with collapsed, or marginal, samplers that integrate out the mixing distribution. The main advantage is that it adapts to mixing priors that do not enjoy tractable predictive structures needed for the implementation of marginal sampling methods. Thus it is as widely applicable as other conditional samplers while enjoying better algorithmic performances. In this paper we provide a modification of the ordered allocation sampler that enhances its performances in a substantial way while easing its implementation. In addition, exploiting the similarity with marginal samplers, we are able to adapt to the new version of the sampler the split-merge moves of Jain and Neal. Simulation studies confirm these findings.