Random probability measures are the main tool for Bayesian nonparametric inference, with their laws acting as prior distributions. Many well-known priors used in practice admit different, though equivalent, representations. In terms of computational convenience stick-breaking representations stand out. In this paper we focus on the normalized inverse Gaussian process and provide a completely explicit stick-breaking representation for it. This result is of interest both from a theoretical viewpoint and for statistical practice.
On the stick-breaking representation of normalized inverse Gaussian priors
LIJOI, ANTONIO;
2012-01-01
Abstract
Random probability measures are the main tool for Bayesian nonparametric inference, with their laws acting as prior distributions. Many well-known priors used in practice admit different, though equivalent, representations. In terms of computational convenience stick-breaking representations stand out. In this paper we focus on the normalized inverse Gaussian process and provide a completely explicit stick-breaking representation for it. This result is of interest both from a theoretical viewpoint and for statistical practice.File in questo prodotto:
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