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Gibbs sampling methods for stick-breaking priors. (English) Zbl 1014.62006
Summary: A rich and flexible class of random probability measures, which we call stick-breaking priors, can be constructed using a sequence of independent beta random variables. Examples of random measures that have this characterization include the Dirichlet process, its two-parameter extension, the two-parameter Poisson-Dirichlet process, finite dimensional Dirichlet priors, and beta two-parameter processes. The rich nature of stick-breaking priors offers Bayesians a useful class of priors for nonparametric problems, while the similar construction used in each prior can be exploited to develop a general computational procedure for fitting them.
We present two general types of Gibbs samplers that can be used to fit posteriors of Bayesian hierarchical models based on stick-breaking priors. The first type of Gibbs sampler, referred to as a Pólya urn Gibbs sampler, is a generalized version of a widely used Gibbs sampling method currently employed for Dirichlet process computing. This method applies to stick-breaking priors with a known Pólya urn characterization, that is, priors with an explicit and simple prediction rule. Our second method, the blocked Gibbs sampler, is based on an entirely different approach that works by directly sampling values from the posterior of the random measure. The blocked Gibbs sampler can be viewed as a more general approach because it works without requiring an explicit prediction rule. We find that the blocked Gibbs avoids some of the limitations seen with the Pólya urn approach and should be simpler for nonexperts to use.

MSC:
62C10 Bayesian problems; characterization of Bayes procedures
60G57 Random measures
62M99 Inference from stochastic processes
62F15 Bayesian inference
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