Predictive construction of priors in Bayesian nonparametrics
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Publication:447985
DOI10.1214/11-BJPS176zbMATH Open1319.62075arXiv1406.5421MaRDI QIDQ447985FDOQ447985
Authors: S. Fortini, Sonia Petrone 
Publication date: 30 August 2012
Published in: Brazilian Journal of Probability and Statistics (Search for Journal in Brave)
Abstract: Predictive constructions are a powerful way of characterizing the probability law of stochastic processes with certain forms of invariance, such as exchangeability or Markov exchangeability. When de Finetti-like representation theorems are available, the predictive characterization implicitly defines the prior distribution, starting from assumptions on the observables; moreover, it often helps designing efficient computational strategies. In this paper we give necessary and sufficient conditions on the sequence of predictive distributions such that they characterize a Markov exchangeable probability law for a discrete valued process X. Under recurrence, Markov exchangeable processes are mixtures of Markov chains. Thus, our results help checking when a predictive scheme characterizes a prior for Bayesian inference on the unknown transition matrix of a Markov chain. Our predictive conditions are in some sense minimal sufficient conditions for Markov exchangeability; we also provide predictive conditions for recurrence. We illustrate their application in relevant examples from the literature and in novel constructions.
Full work available at URL: https://arxiv.org/abs/1406.5421
Recommendations
exchangeabilityDirichlet processmixtures of Markov chainsurn schemesrandom probability measuresinfinite hidden Markov models
Bayesian inference (62F15) Nonparametric estimation (62G05) Research exposition (monographs, survey articles) pertaining to statistics (62-02)
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