A Reinforced Urn Process which induces a prior on the space of mixtures of Bernstein distributions is introduced. A nonparametric Bayesian model based on this prior is presented: the elicitation is treated and some connections with Dirichlet mixtures are given. In the last part of the paper an MCMC algorithm to compute the predictive distribution is discussed.
Extended Bernstein prior via reinforced urn processes
TRIPPA, LORENZO;BULLA, PAOLO;PETRONE, SONIA
2009
Abstract
A Reinforced Urn Process which induces a prior on the space of mixtures of Bernstein distributions is introduced. A nonparametric Bayesian model based on this prior is presented: the elicitation is treated and some connections with Dirichlet mixtures are given. In the last part of the paper an MCMC algorithm to compute the predictive distribution is discussed.
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