Statisfaction

Priors on probability measures

Posted in Seminar/Conference, Statistics by Julyan Arbel on 24 April 2012

Hi,

for the next GTB meeting at Crest, 3rd May, I will present Peter Orbanz‘ work on Projective limit random probabilities on Polish spaces. It will follow my previous presentation about Bayesian nonparametrics on the Dirichlet process.

The article provides a means of constructing any arbitrary prior distribution on the set of probability measures by working on its finite-dimensional marginals. The vanilla example is the Dirichlet process, which is characterized by its Dirichlet distribution marginals on any finite partition of the space (other examples are the Normalized Inverse Gaussian Process and the Pòlya Tree). The figure above illustrates the projective property of the marginals.

Peter will speak at ISBA 2012 Kyoto session : On the uses of random probabilities in Bayesian inference, along with Ramses Mena and Antonio Lijoi. I’ll write more about that later on!

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