Optional Pólya tree and Bayesian inference
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Publication:973873
DOI10.1214/09-AOS755zbMATH Open1189.62048arXiv1010.0490MaRDI QIDQ973873FDOQ973873
Publication date: 26 May 2010
Published in: The Annals of Statistics (Search for Journal in Brave)
Abstract: We introduce an extension of the P'olya tree approach for constructing distributions on the space of probability measures. By using optional stopping and optional choice of splitting variables, the construction gives rise to random measures that are absolutely continuous with piecewise smooth densities on partitions that can adapt to fit the data. The resulting "optional P'{o}lya tree" distribution has large support in total variation topology and yields posterior distributions that are also optional P'{o}lya trees with computable parameter values.
Full work available at URL: https://arxiv.org/abs/1010.0490
Recommendations
Bayesian inference (62F15) Density estimation (62G07) Nonparametric inference (62G99) Random measures (60G57)
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Cited In (27)
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