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arXiv · 1410.2477

Dynamic density estimation with diffusive Dirichlet mixtures

Ramsés H. Mena·Matteo Ruggiero
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Abstract

We introduce a new class of nonparametric prior distributions on the space of continuously varying densities, induced by Dirichlet process mixtures which diffuse in time. These select time-indexed random functions without jumps, whose sections are continuous or discrete distributions depending on the choice of kernel. The construction exploits the widely used stick-breaking representation of the Dirichlet process and induces the time dependence by replacing the stick-breaking components with one-dimensional Wright-Fisher diffusions. These features combine appealing properties of the model, inherited from the Wright-Fisher diffusions and the Dirichlet mixture structure, with great flexibility and tractability for posterior computation. The construction can be easily extended to multi-parameter GEM marginal states, which include, for example, the Pitman--Yor process. A full inferential strategy is detailed and illustrated on simulated and real data.

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Ramsés H. Mena, Matteo Ruggiero. 2016-02-09. Dynamic density estimation with diffusive Dirichlet mixtures. https://doi.org/10.3150/14-bej681

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