Dirichlet Process Mixtures of Generalized Linear Models

We propose Dirichlet Process mixtures of Generalized Linear Models (DP-GLM), a new method of nonparametric regression that accommodates continuous and categorical inputs, and responses that can be modeled by a generalized linear model. We prove conditions for the asymptotic unbiasedness of the DP-GLM regression mean function estimate. We also give examples for when those conditions hold, including models for compactly supported continuous distributions and a model with continuous covariates and categorical response. We empirically analyze the properties of the DP-GLM and why it provides better results than existing Dirichlet process mixture regression models. We evaluate DP-GLM on several data sets, comparing it to modern methods of nonparametric regression like CART, Bayesian trees and Gaussian processes. Compared to existing techniques, the DP-GLM provides a single model (and corresponding inference algorithms) that performs well in many regression settings.