On a Gibbs sampler based random process in Bayesian nonparametrics

Stefano Favaro, Matteo Ruggiero and Stephen G. Walker

No 133, Carlo Alberto Notebooks from Collegio Carlo Alberto

Abstract: We define and investigate a new class of measure-valued Markov chains by resorting to ideas formulated in Bayesian nonparametrics related to the Dirichlet process and the Gibbs sampler. Dependent random probability measures in this class are shown to be stationary and ergodic with respect to the law of a Dirichlet process and to converge in distribution to the neutral diffusion model.

Keywords: Random probability measure; Dirichlet process; Blackwell-MacQueen Pólya urn scheme; Gibbs sampler; Bayesian nonparametrics (search for similar items in EconPapers)
Pages: 12 pages
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:cca:wpaper:133

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