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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Abstract

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
Official Date:	2009
Dates:	Date Event 2009 Published
Date of first compliant deposit:	1 August 2016
Volume:	Vol.2009
Number:	No.5
Number of Pages:	36
Status:	Not Peer Reviewed
Access rights to Published version:	Open Access

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