Bayesian Poisson process partition calculus with an application to Bayesian Lévy moving averages

DOI10.1214/009053605000000336zbMATH Open1078.62106arXivmath/0508283OpenAlexW3099828247MaRDI QIDQ2583419FDOQ2583419

Authors: Lancelot F. James 

Publication date: 16 January 2006

Published in: The Annals of Statistics (Search for Journal in Brave)

Abstract: This article develops, and describes how to use, results concerning disintegrations of Poisson random measures. These results are fashioned as simple tools that can be tailor-made to address inferential questions arising in a wide range of Bayesian nonparametric and spatial statistical models. The Poisson disintegration method is based on the formal statement of two results concerning a Laplace functional change of measure and a Poisson Palm/Fubini calculus in terms of random partitions of the integers {1,...,n}. The techniques are analogous to, but much more general than, techniques for the Dirichlet process and weighted gamma process developed in [Ann. Statist. 12 (1984) 351-357] and [Ann. Inst. Statist. Math. 41 (1989) 227-245]. In order to illustrate the flexibility of the approach, large classes of random probability measures and random hazards or intensities which can be expressed as functionals of Poisson random measures are described. We describe a unified posterior analysis of classes of discrete random probability which identifies and exploits features common to all these models. The analysis circumvents many of the difficult issues involved in Bayesian nonparametric calculus, including a combinatorial component. This allows one to focus on the unique features of each process which are characterized via real valued functions h. The applicability of the technique is further illustrated by obtaining explicit posterior expressions for L'evy-Cox moving average processes within the general setting of multiplicative intensity models.

Full work available at URL: https://arxiv.org/abs/math/0508283

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zbMATH Keywords

inhomogeneous Poisson processcumulantsgeneralized gamma processmultiplicative intensity modelsweighted Chinese restaurantLévy measure

Mathematics Subject Classification ID

Bayesian inference (62F15) Nonparametric estimation (62G05) Inference from spatial processes (62M30) Inference from stochastic processes (62M99) Nonparametric inference (62G99) Random measures (60G57)

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Cited In (47)

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