Conjugacy properties of time-evolving Dirichlet and gamma random measures

DOI10.1214/16-EJS1194MaRDI QIDQ502816zbMATH OpenOpenAlexFDO

Authors Omiros Papaspiliopoulos, Matteo Ruggiero, Dario Spanò

Publication date 11 January 2017

Published in Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1607.02896, https://projecteuclid.org/euclid.ejs/1479287228

zbMATH Keywords

Bayesian nonparametricsDirichlet processdualityFleming-Viot processDawson-Watanabe processgamma random measure

Mathematics Subject Classification ID

Bayesian inference (62F15) Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05) Inference from stochastic processes and prediction (62M20) Diffusion processes (60J60) Random measures (60G57)

Abstract: We extend classic characterisations of posterior distributions under Dirichlet process and gamma random measures priors to a dynamic framework. We consider the problem of learning, from indirect observations, two families of time-dependent processes of interest in Bayesian nonparametrics: the first is a dependent Dirichlet process driven by a Fleming-Viot model, and the data are random samples from the process state at discrete times; the second is a collection of dependent gamma random measures driven by a Dawson-Watanabe model, and the data are collected according to a Poisson point process with intensity given by the process state at discrete times. Both driving processes are diffusions taking values in the space of discrete measures whose support varies with time, and are stationary and reversible with respect to Dirichlet and gamma priors respectively. A common methodology is developed to obtain in closed form the time-marginal posteriors given past and present data. These are shown to belong to classes of finite mixtures of Dirichlet processes and gamma random measures for the two models respectively, yielding conjugacy of these classes to the type of data we consider. We provide explicit results on the parameters of the mixture components and on the mixing weights, which are time-varying and drive the mixtures towards the respective priors in absence of further data. Explicit algorithms are provided to recursively compute the parameters of the mixtures. Our results are based on the projective properties of the signals and on certain duality properties of their projections.

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Cited in

(11)

• Dynamic density estimation with diffusive Dirichlet mixtures
• Exact inference for a class of hidden Markov models on general state spaces
• A class of dependent Dirichlet processes via latent multinomial processes
• Approximate filtering via discrete dual processes
• Computational challenges and temporal dependence in Bayesian nonparametric models
• Predictive inference with Fleming-Viot-driven dependent Dirichlet processes
• Dual process in the two-parameter Poisson-Dirichlet diffusion
• Filtering coupled Wright-Fisher diffusions
• Clustering dynamics in a class of normalised generalised gamma dependent priors
• Smoothing distributions for conditional Fleming-Viot and Dawson-Watanabe diffusions
• Duality for a class of continuous-time reversible Markov models

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