Best practice for selecting number of mixture model components

Hey @samvaughan welcome to the community. I’d suggest a PSIS / Loo based model comparison approach might be appropriate in your case. This thread I think closesly follows your own requirements and should be instructive.

Model averaging, mixture models and model selection are three different methods but all seem all seem to overlap somehow in cases like yours. However, they do not lead to the same implications. @avehtari has a paper on this very theme and may be able to add more colour with regards to why.

In my own experience, i’ve found regularised priors to be a very blunt instrument for working with mixtures which are not already very well separated.

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