Goodness-of-fit tests based on the distance between the Dirichlet process and its base measure

Luai Al Labadi and Mahmoud Zarepour

Journal of Nonparametric Statistics, 2014, vol. 26, issue 2, 341-357

Abstract: The Dirichlet process is a fundamental tool in studying Bayesian nonparametric inference. The Dirichlet process has several sum representations, where each one of these representations highlights some aspects of this important process. In this paper, we use the sum representations of the Dirichlet process to derive explicit expressions that are used to calculate Kolmogorov, Lévy, and Cramér-von Mises distances between the Dirichlet process and its base measure. The derived expressions of the distance are used to select a proper value for the concentration parameter of the Dirichlet process. These tools are also used in a goodness-of-fit test. Illustrative examples and simulation results are included.

Date: 2014
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DOI: 10.1080/10485252.2013.856431

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