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Media type:
E-Article
Title:
OPTIONAL PÓLYA TREE AND BAYESIAN INFERENCE
Contributor:
Wong, Wing H.;
Ma, Li
Published:
Institute of Mathematical Statistics, 2010
Published in:
The Annals of Statistics, 38 (2010) 3, Seite 1433-1459
Language:
English
ISSN:
0090-5364
Origination:
Footnote:
Description:
We introduce an extension of the Pólya tree approach for constructing distributions on the space of probability measures. By using optional stopping and optional choice of splitting variables, the construction gives rise to random measures that are absolutely continuous with piecewise smooth densities on partitions that can adapt to fit the data. The resulting "optional Pólya tree" distribution has large support in total variation topology and yields posterior distributions that are also optional Pólya trees with computable parameter values.