The Library
Time-dependent stick-breaking processes
Tools
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).
|
PDF
WRAP_Griffin_09-05w.pdf - Published Version - Requires a PDF viewer. Download (840Kb) |
Official URL: http://www2.warwick.ac.uk/fac/sci/statistics/crism...
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, Engineering and Medicine > 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: |
|
||||
Volume: | Vol.2009 | ||||
Number: | No.5 | ||||
Number of Pages: | 36 | ||||
Status: | Not Peer Reviewed | ||||
Access rights to Published version: | Open Access (Creative Commons) | ||||
Date of first compliant deposit: | 1 August 2016 | ||||
Date of first compliant Open Access: | 1 August 2016 |
Request changes or add full text files to a record
Repository staff actions (login required)
View Item |
Downloads
Downloads per month over past year