Convergence of latent mixing measures in finite and infinite mixture models

This paper studies convergence behavior of latent mixing measures that arise in finite and infinite mixture models, using transportation distances (i.e., Wasserstein metrics). The relationship between Wasserstein distances on the space of mixing measures and f-divergence functionals such as Hellinger and Kullback-Leibler distances on the space of mixture distributions is investigated in detail using various identifiability conditions. Convergence in Wasserstein metrics for discrete measures implies convergence of individual atoms that provide support for the measures, thereby providing a natural interpretation of convergence of clusters in clustering applications where mixture models are typically employed. Convergence rates of posterior distributions for latent mixing measures are established, for both finite mixtures of multivariate distributions and infinite mixtures based on the Dirichlet process.Comment: Published in at http://dx.doi.org/10.1214/12-AOS1065 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org