Normalized random measures driven by increasing additive processes

Details Normalized random measures driven by increasing additive processes Normalized random measures driven by increasing additive processes

2005-08-30

arxiv.org/abs/math/0508592v1

Annals of Statistics 2004, Vol. 32, No. 6, 2343-2360

Mathematics

Statistics Theory

Published at http://dx.doi.org/10.1214/009053604000000625 in the Annals of Statistics (http://www.imstat.org/aos/) by the Inst

Scientific paper

10.1214/009053604000000625

This paper introduces and studies a new class of nonparametric prior distributions. Random probability distribution functions are constructed via normalization of random measures driven by increasing additive processes. In particular, we present results for the distribution of means under both prior and posterior conditions and, via the use of strategic latent variables, undertake a full Bayesian analysis. Our class of priors includes the well-known and widely used mixture of a Dirichlet process.

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