A class of measure-valued Markov chains and Bayesian nonparametrics

DOI10.3150/11-BEJ356MaRDI QIDQ442087zbMATH OpenFDO

Authors Stefano Favaro, Alessandra Guglielmi, Stephen G. Walker

Publication date 9 August 2012

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1207.6228, https://projecteuclid.org/euclid.bj/1340887011

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)

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.

Recommendations

• On a Gibbs sampler based random process in Bayesian nonparametrics
• A fleming-Viot process and Bayesian nonparametrics
• The Ornstein-Uhlenbeck Dirichlet process and other time-varying processes for Bayesian nonparametric inference
• Asymptotic behavior of Dirichlet process and related random measures
• Compound random measures and their use in Bayesian non-parametrics

Cites work

• scientific article; zbMATH DE number 446474 (Why is no real title available?)
• scientific article; zbMATH DE number 3866301 (Why is no real title available?)
• scientific article; zbMATH DE number 1219005 (Why is no real title available?)
• scientific article; zbMATH DE number 1076783 (Why is no real title available?)
• scientific article; zbMATH DE number 1529498 (Why is no real title available?)
• scientific article; zbMATH DE number 2106098 (Why is no real title available?)
• scientific article; zbMATH DE number 774881 (Why is no real title available?)
• scientific article; zbMATH DE number 5586084 (Why is no real title available?)
• A fleming-Viot process and Bayesian nonparametrics
• A generalized constructive definition for the Dirichlet process
• A recursive algorithm for nonparametric analysis with missing data
• Almost sure weak convergence of random probability measures
• Asymptotic properties of predictive recursion: robustness and rate of convergence
• Characteristic functions of means of distributions chosen from a Dirichlet process
• Combinatorial stochastic processes. Ecole d'Eté de Probabilités de Saint-Flour XXXII -- 2002.
• Consistency of a recursive estimate of mixing distributions
• Convergence and consistency of Newton's algorithm for estimating mixing distribution
• Convergence rates and moments of Markov chains associated with the mean of Dirichlet processes.
• Corrigendum to ``Bounds on regeneration times and convergence rates for Markov chains
• Criteria for classifying general Markov chains
• Distribution functions of means of a Dirichlet process
• Distributional results for random functionals of a Dirichlet process
• Exact sampling with coupled Markov chains and applications to statistical mechanics
• Ferguson distributions via Polya urn schemes
• Fleming–Viot Processes in Population Genetics
• Linear functionals and Markov chains associated with Dirichlet processes
• Markov chain Monte Carlo estimation of the law of the mean of a Dirichlet process
• Markov chains and stochastic stability
• Non‐parametric Bayesian Inference for Integrals with respect to an Unknown Finite Measure
• On a class of Bayesian nonparametric estimates: I. Density estimates
• On a nonparametric recursive estimator of the mixing distribution
• On a stochastic difference equation and a representation of non–negative infinitely divisible random variables
• Rates of convergence of stochastically monotone and continuous time Markov models
• Stochastic approximation and Newton's estimate of a mixing distribution
• Sufficient conditions for ergodicity and recurrence of Markov chains on a general state space
• The tails of probabilities chosen from a Dirichlet prior
• Theory and numerical analysis for exact distributions of functionals of a Dirichlet process
• Theory of statistics

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
• scientific article; zbMATH DE number 3870336 (Why is no real title available?)
• Trace class Markov chains for the normal-gamma Bayesian shrinkage model

This page was built for publication: A class of measure-valued Markov chains and Bayesian nonparametrics

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q442087)