Papaspiliopoulos, Omiros, Ruggiero, Matteo and Spanò, Dario (2014) Filtering hidden Markov measures. Scandinavian Journal of Statistics . (Submitted)

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Abstract

We consider the problem of learning two families of time-evolving random measures from indirect observations. In the first model, the signal is a Fleming--Viot diffusion, which is reversible with respect to the law of a Dirichlet process, and the data is a sequence of random samples from the state at discrete times. In the second model, the signal is a Dawson--Watanabe diffusion, which is reversible with respect to the law of a gamma random measure, and the data is a sequence of Poisson point configurations whose intensity is given by the state at discrete times. A common methodology is developed to obtain the filtering distributions in a computable form, which is based on the projective properties of the signals and duality properties of their projections. The filtering distributions take the form of mixtures of Dirichlet processes and gamma random measures for each of the two families respectively, and an explicit algorithm is provided to compute the parameters of the mixtures. Hence, our results extend classic characterisations of the posterior distribution under Dirichlet process and gamma random measures priors to a dynamic framework.

Item Type:	Submitted Journal Article
Divisions:	Faculty of Science > Statistics
Journal or Publication Title:	Scandinavian Journal of Statistics
Publisher:	Wiley-Blackwell Publishing Ltd.
ISSN:	0303-6898
Official Date:	2014
Dates:	Date Event 2014 Created
Status:	Peer Reviewed
Publication Status:	Submitted

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