On metrizing vague convergence of random measures with applications on Bayesian nonparametric models

DOI10.1080/02331888.2018.1425866MaRDI QIDQ5147574zbMATH OpenOpenAlexFDO

Authors Luai Al-Labadi

Publication date 27 January 2021

Published in Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1610.03083

zbMATH Keywords

beta processnonparametric Bayesian statisticsrandom measuresvague convergence

Mathematics Subject Classification ID

Spaces of measures, convergence of measures (28A33) Convergence of probability measures (60B10) Random measures (60G57) Density estimation (62G07)

Abstract: This paper deals with studying vague convergence of random measures of the form $m{u}_n=su{m}_{i=1}^n{p}_{i,n}delt{a}_{het{a}_i}$, where $(het{a}_i{)}_{1leilen}$ is a sequence of independent and identically distributed random variables with common distribution $Pi$, $(p_{i,n}{)}_{1leilen}$ are random variables chosen according to certain procedures and are independent of $(het{a}_i{)}_{igeq1}$ and $delt{a}_{het{a}_i}$ denotes the Dirac measure at $het{a}_i$. We show that $m{u}_n$ converges vaguely to $mu=su{m}_{i=1}^{infty}{p}_{i}delt{a}_{het{a}_i}$ if and only if $m{u}_n^{(k)}=su{m}_{i=1}^k{p}_{i,n}delt{a}_{het{a}_i}$ converges vaguely to $m{u}^{(k)}=su{m}_{i=1}^k{p}_{i}delt{a}_{het{a}_i}$ for all $k$ fixed. The limiting process $mu$ plays a central role in many areas in statistics, including Bayesian nonparametric models. A finite approximation of the beta process is derived from the application of this result. A simulated example is incorporated, in which the proposed approach exhibits an excellent performance over several existing algorithms.

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Cited in

(3)

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