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Teoriya Veroyatnostei i ee Primeneniya, 2000, Volume 45, Issue 1, Pages 103–124
DOI: https://doi.org/10.4213/tvp326
(Mi tvp326)
 

This article is cited in 12 scientific papers (total in 12 papers)

Approximation of laws of random probabilities by mixtures of Dirichlet distributions with applications to nonparametric Bayesian inference

E. Regazzinia, V. V. Sazonovb

a Dipartimento di Matematica, Università di Pavia, Itatia
b Steklov Mathematical Institute, Russian Academy of Sciences
Abstract: In the general setting of nonparametric Bayesian inference, when observations are exchangeable and take values in a Polish space $X$, priors are approximated (in the Prokhorov metric) with any degree of precision by explicitly constructed mixtures of the distributions of Dirichlet processes. It is shown that if these mixtures ${\mathcal P}_{n}$ converge weakly to a given prior $\mathcal P$, the posteriors derived from ${\mathcal P}_{n}$'s converge weakly to the posterior deduced from $\mathcal P$. The error of approximation is estimated under some further assumptions. These results are applied to obtain a method for eliciting prior beliefs and to approximate both the predictive distribution (in the variational metric) and the posterior distribution function of $\int \psi d\widetilde{p}$ (in the Lévy metric), where $\widetilde p$ is a random probability having distribution $\mathcal P$.
Keywords: approximation of priors and posteriors, Dirichlet distributions, Dirichlet processes, elicitation of prior beliefs, Lévy metric, Prokhorov metric, random measures.
Received: 26.11.1998
English version:
Theory of Probability and its Applications, 2001, Volume 45, Issue 1, Pages 93–110
DOI: https://doi.org/10.1137/S0040585X97978063
Bibliographic databases:
Language: Russian
Citation: E. Regazzini, V. V. Sazonov, “Approximation of laws of random probabilities by mixtures of Dirichlet distributions with applications to nonparametric Bayesian inference”, Teor. Veroyatnost. i Primenen., 45:1 (2000), 103–124; Theory Probab. Appl., 45:1 (2001), 93–110
Citation in format AMSBIB
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\jour Theory Probab. Appl.
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\pages 93--110
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  • https://www.mathnet.ru/eng/tvp/v45/i1/p103
  • This publication is cited in the following 12 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    Теория вероятностей и ее применения Theory of Probability and its Applications
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