Random Discrete Probability Measures Based on Negative Binomial Process

MaRDI QIDQ6442194zbMATH OpenFDO

Authors Sadegh Chegini, Mahmoud Zarepour

Publication date 30 June 2023

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Random measures (60G57)

Abstract: An important functional of Poisson random measure is the negative binomial process (NBP). We use NBP to introduce a generalized Poisson-Kingman distribution and its corresponding random discrete probability measure. This random discrete probability measure provides a new set of priors with more flexibility in nonparametric Bayesian models. It is shown how this random discrete probability measure relates to the non-parametric Bayesian priors such as Dirichlet process, normalized positive {alpha}-stable process, Poisson-Dirichlet process (PDP), and others. An extension of the DP with its almost sure approximation is presented. Using our representation for NBP, we derive a new series representation for the PDP.

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