A class of measure-valued Markov chains and Bayesian nonparametrics

DOI10.3150/11-BEJ356zbMATH Open1243.62064arXiv1207.6228MaRDI QIDQ442087FDOQ442087

Authors: Stefano Favaro, Alessandra Guglielmi, Stephen G. Walker 

Publication date: 9 August 2012

Published in: Bernoulli (Search for Journal in Brave)

Abstract: Measure-valued Markov chains have raised interest in Bayesian nonparametrics since the seminal paper by (Math. Proc. Cambridge Philos. Soc. 105 (1989) 579--585) where a Markov chain having the law of the Dirichlet process as unique invariant measure has been introduced. In the present paper, we propose and investigate a new class of measure-valued Markov chains defined via exchangeable sequences of random variables. Asymptotic properties for this new class are derived and applications related to Bayesian nonparametric mixture modeling, and to a generalization of the Markov chain proposed by (Math. Proc. Cambridge Philos. Soc. 105 (1989) 579--585), are discussed. These results and their applications highlight once again the interplay between Bayesian nonparametrics and the theory of measure-valued Markov chains.

Full work available at URL: https://arxiv.org/abs/1207.6228

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zbMATH Keywords

Dirichlet processmixture modelingexchangeable sequenceslinear functionals of Dirichlet processesrandom probability measuresPólya urn scheme

Mathematics Subject Classification ID

Bayesian inference (62F15) Asymptotic properties of nonparametric inference (62G20) Central limit and other weak theorems (60F05) Random measures (60G57) Exchangeability for stochastic processes (60G09)

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Cited In (6)

• Some aspects of symmetric Gamma process mixtures
• A blocked Gibbs sampler for NGG-mixture models via a priori truncation
• On a Gibbs sampler based random process in Bayesian nonparametrics
• Distributional properties of means of random probability measures
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