Comparing distributions using dependent normalized random measure mixtures
Griffin, Jim E., Kolossiatis, Michalis and Steel, Mark F. J. (2010) Comparing distributions using dependent normalized random measure mixtures. Working Paper. Coventry: University of Warwick. Centre for Research in Statistical Methodology. (Working papers).
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A methodology for the simultaneous Bayesian nonparametric modelling of several distributions is developed. Our approach uses normalized random measures with independent increments and builds dependence through the superposition of shared processes. The properties of the prior are described and the modelling possibilities of this framework are explored in some detail. Efficient slice sampling methods are developed for inference. Various posterior summaries are introduced which allow better understanding of the differences between distributions. The methods are illustrated on simulated data and examples from survival analysis and stochastic frontier analysis.
|Item Type:||Working or Discussion Paper (Working Paper)|
|Subjects:||Q Science > QA Mathematics|
|Divisions:||Faculty of Science > Statistics|
|Library of Congress Subject Headings (LCSH):||Distribution (Probability theory), Random measures|
|Series Name:||Working papers|
|Publisher:||University of Warwick. Centre for Research in Statistical Methodology|
|Place of Publication:||Coventry|
|Number of Pages:||33|
|Status:||Not Peer Reviewed|
|Access rights to Published version:||Open Access|
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