Time-dependent stick-breaking processes
Griffin, Jim E. and Steel, Mark F. J. (2009) Time-dependent stick-breaking processes. Working Paper. Coventry: University of Warwick. Centre for Research in Statistical Methodology. Working papers, Vol.2009 (No.5).
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Official URL: http://www2.warwick.ac.uk/fac/sci/statistics/crism...
This paper considers the problem of defining a time-dependent nonparametric prior. A recursive
construction allows the definition of priors whose marginals have a general stick-breaking form.
The processes with Poisson-Dirichlet and Dirichlet process marginals have interesting interpretations
that are further investigated. We develop a general conditional Markov Chain Monte Carlo
(MCMC) method for inference in the wide subclass of these models where the parameters of the
stick-breaking process form increasing sequences. We derive a P´olya urn scheme type representation
of the Dirichlet process construction, which allows us to develop a marginal MCMC method
for this case. The results section shows the relative performance of the two MCMC schemes for the
Dirichlet process case and contains three real data examples.
|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)|
|Series Name:||Working papers|
|Publisher:||University of Warwick. Centre for Research in Statistical Methodology|
|Place of Publication:||Coventry|
|Number of Pages:||36|
|Status:||Not Peer Reviewed|
|Access rights to Published version:||Open Access|
Antoniak, C. E. (1974): “Mixtures of Dirichlet processes with applications to non-parametric
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