Conjugacy as a Distinctive Feature of the Dirichlet Process

Lancelot F. James, Antonio Lijoi and Igor Prünster

Scandinavian Journal of Statistics, 2006, vol. 33, issue 1, 105-120

Abstract: Abstract. Recently the class of normalized random measures with independent increments, which contains the Dirichlet process as a particular case, has been introduced. Here a new technique for deriving moments of these random probability measures is proposed. It is shown that, a priori, most of the appealing properties featured by the Dirichlet process are preserved. When passing to posterior computations, we obtain a characterization of the Dirichlet process as the only conjugate member of the whole class of normalized random measures with independent increments.

Date: 2006
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https://doi.org/10.1111/j.1467-9469.2005.00486.x

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