Latent Stick-Breaking Processes.
Journal Article (Journal Article)
We develop a model for stochastic processes with random marginal distributions. Our model relies on a stick-breaking construction for the marginal distribution of the process, and introduces dependence across locations by using a latent Gaussian copula model as the mechanism for selecting the atoms. The resulting latent stick-breaking process (LaSBP) induces a random partition of the index space, with points closer in space having a higher probability of being in the same cluster. We develop an efficient and straightforward Markov chain Monte Carlo (MCMC) algorithm for computation and discuss applications in financial econometrics and ecology. This article has supplementary material online.
- Rodríguez, A; Dunson, DB; Gelfand, AE
- April 2010
Volume / Issue
- 105 / 490
Start / End Page
- 647 - 659
Pubmed Central ID
Electronic International Standard Serial Number (EISSN)
International Standard Serial Number (ISSN)
Digital Object Identifier (DOI)