Create and test a DP mixture example

[brandonwillard]

We can use the truncated DP mixture approach given in the PyMC3 examples to estimate the number of mixture components.

Let's see how well that works with our HMM models and custom sampler step-methods.

[brandonwillard]

Here are some references that cover (hierarchical) DP priors in HMMs:

• "Hierarchical Bayesian Nonparametric Models with Applications", Chapter 3.
• "A Gentle Introduction to the Dirichlet Process, the Beta Process and Bayesian Nonparametrics"

This paper contains a particle filtering example for a general DP-prior Poisson mixture (not HMM):

• "Particle learning for general mixtures"