The definition of vectors of dependent random probability measures is a topic of interest in applications to Bayesian statistics. They represent dependent nonparametric prior distributions that are useful for modelling observables for which specific covariate values are known. In this paper we propose a vector of two-parameter Poisson-Dirichlet processes. It is well-known that each component can be obtained by resorting to a change of measure of a sigma-stable process. Thus dependence is achieved by applying a Lévy copula to the marginal intensities. In a two-sample problem, we determine the corresponding partition probability function which turns out to be partially exchangeable. Moreover, we evaluate predictive and posterior distributions.

Vectors of two-parameter Poisson-Dirichlet processes

LIJOI, ANTONIO
2011

Abstract

The definition of vectors of dependent random probability measures is a topic of interest in applications to Bayesian statistics. They represent dependent nonparametric prior distributions that are useful for modelling observables for which specific covariate values are known. In this paper we propose a vector of two-parameter Poisson-Dirichlet processes. It is well-known that each component can be obtained by resorting to a change of measure of a sigma-stable process. Thus dependence is achieved by applying a Lévy copula to the marginal intensities. In a two-sample problem, we determine the corresponding partition probability function which turns out to be partially exchangeable. Moreover, we evaluate predictive and posterior distributions.
2011
2010
Leisen, Fabrizio; Lijoi, Antonio
File in questo prodotto:
File Dimensione Formato  
JMVA_2011.pdf

non disponibili

Tipologia: Pdf editoriale (Publisher's layout)
Licenza: NON PUBBLICO - Accesso privato/ristretto
Dimensione 330.86 kB
Formato Adobe PDF
330.86 kB Adobe PDF   Visualizza/Apri

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11565/3998872
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 25
  • ???jsp.display-item.citation.isi??? 24
social impact