Latent Stick-Breaking Processes.
Publication
, Journal Article
Rodríguez, A; Dunson, DB; Gelfand, AE
Published in: Journal of the American Statistical Association
April 2010
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.
Duke Scholars
Published In
Journal of the American Statistical Association
DOI
EISSN
1537-274X
ISSN
0162-1459
Publication Date
April 2010
Volume
105
Issue
490
Start / End Page
647 / 659
Related Subject Headings
- Statistics & Probability
- 4905 Statistics
- 3802 Econometrics
- 1603 Demography
- 1403 Econometrics
- 0104 Statistics
Citation
APA
Chicago
ICMJE
MLA
NLM
Rodríguez, A., Dunson, D. B., & Gelfand, A. E. (2010). Latent Stick-Breaking Processes. Journal of the American Statistical Association, 105(490), 647–659. https://doi.org/10.1198/jasa.2010.tm08241
Rodríguez, Abel, David B. Dunson, and Alan E. Gelfand. “Latent Stick-Breaking Processes.” Journal of the American Statistical Association 105, no. 490 (April 2010): 647–59. https://doi.org/10.1198/jasa.2010.tm08241.
Rodríguez A, Dunson DB, Gelfand AE. Latent Stick-Breaking Processes. Journal of the American Statistical Association. 2010 Apr;105(490):647–59.
Rodríguez, Abel, et al. “Latent Stick-Breaking Processes.” Journal of the American Statistical Association, vol. 105, no. 490, Apr. 2010, pp. 647–59. Epmc, doi:10.1198/jasa.2010.tm08241.
Rodríguez A, Dunson DB, Gelfand AE. Latent Stick-Breaking Processes. Journal of the American Statistical Association. 2010 Apr;105(490):647–659.
Published In
Journal of the American Statistical Association
DOI
EISSN
1537-274X
ISSN
0162-1459
Publication Date
April 2010
Volume
105
Issue
490
Start / End Page
647 / 659
Related Subject Headings
- Statistics & Probability
- 4905 Statistics
- 3802 Econometrics
- 1603 Demography
- 1403 Econometrics
- 0104 Statistics