On the use of Markovian stick-breaking priors

DOI10.1090/CONM/774/15571MaRDI QIDQ5024705zbMATH OpenOpenAlexFDO

Authors William Lippitt, Sunder Sethuraman

Publication date 27 January 2022

Published in Stochastic Processes and Functional Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2108.10849

zbMATH Keywords

Markovian stick-breaking processs

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Random measures (60G57) Dirichlet form methods in Markov processes (60J46)

Abstract: In [10], a `Markovian stick-breaking' process which generalizes the Dirichlet process $(mu,heta)$ with respect to a discrete base space $mathfrakX$ was introduced. In particular, a sample from from the `Markovian stick-breaking' processs may be represented in stick-breaking form $su{m}_{igeq1}{P}_{i}delt{a}_{T_i}$ where $T_i$ is a stationary, irreducible Markov chain on $mathfrakX$ with stationary distribution $mu$, instead of i.i.d. $T_i$ each distributed as $mu$ as in the Dirichlet case, and $P_i$ is a GEM$(heta)$ residual allocation sequence. Although the motivation in [10] was to relate these Markovian stick-breaking processes to empirical distributional limits of types of simulated annealing chains, these processes may also be thought of as a class of priors in statistical problems. The aim of this work in this context is to identify the posterior distribution and to explore the role of the Markovian structure of $T_i$ in some inference test cases.

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Cited in

(8)

• Gibbs Sampling Methods for Stick-Breaking Priors
• Stationarity and Inference in Multistate Promoter Models of Stochastic Gene Expression via Stick-Breaking Measures
• Stick-breaking processes, clumping, and Markov chain occupation laws
• A new proof of the stick-breaking representation of Dirichlet processes
• Evaluating default priors with a generalization of Eaton's Markov chain
• Stick-breaking autoregressive processes
• Markov jump random c.d.f.'s and their posterior distributions
• Stick-Breaking Processes With Exchangeable Length Variables

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