کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1147668 957783 2011 14 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Geometric stick-breaking processes for continuous-time Bayesian nonparametric modeling
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
Geometric stick-breaking processes for continuous-time Bayesian nonparametric modeling
چکیده انگلیسی
We propose a new class of time dependent random probability measures and show how this can be used for Bayesian nonparametric inference in continuous time. By means of a nonparametric hierarchical model we define a random process with geometric stick-breaking representation and dependence structure induced via a one dimensional diffusion process of Wright-Fisher type. The sequence is shown to be a strongly stationary measure-valued process with continuous sample paths which, despite the simplicity of the weights structure, can be used for inferential purposes on the trajectory of a discretely observed continuous-time phenomenon. A simple estimation procedure is presented and illustrated with simulated and real financial data.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Statistical Planning and Inference - Volume 141, Issue 9, September 2011, Pages 3217-3230
نویسندگان
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