On the stick–breaking representation of normalized inverse Gaussian priors
Stafano Favaro (),
Antonio Lijoi () and
Igor Prünster ()
Additional contact information
Stafano Favaro: University of Turin and Collegio Carlo Alberto
Antonio Lijoi: Department of Economics and Management, University of Pavia and Collegio Carlo Alberto
Igor Prünster: University of Turin and Collegio Carlo Alberto
No 8, DEM Working Papers Series from University of Pavia, Department of Economics and Management
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 (in distribution) equivalent, representations. Some of these are convenient if one wishes to thoroughly analyze the theoretical properties of the priors being used, others are more useful for modeling dependence and for addressing computational issues. As for the latter purpose, so–called stick–breaking constructions certainly stand out. In this paper we focus on the recently introduced normalized inverse Gaussian process and provide a completely explicit stick–breaking representation for it. Such a new result is of interest both from a theoretical viewpoint and for statistical practice.
Keywords: Bayesian Nonparametrics; Dirichlet process; Normalized Inverse Gaussian process; Random Probability Measures; Stick–breaking representation. (search for similar items in EconPapers)
Pages: 16 pages
Date: 2012-10
New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)
Downloads: (external link)
http://dem-web.unipv.it/web/docs/dipeco/quad/ps/RePEc/pav/demwpp/DEMWP0008.pdf (application/pdf)
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:pav:demwpp:demwp0008
Access Statistics for this paper
More papers in DEM Working Papers Series from University of Pavia, Department of Economics and Management Contact information at EDIRC.
Bibliographic data for series maintained by Alice Albonico ( this e-mail address is bad, please contact ).