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Some useful properties of the Dirichlet process

Author

Listed:
  • ROLIN, Jean-Marie

    (PROB and CORE, Université catholique de Louvain, B-1348 Louvain-la-Neuve, Belgium)

Abstract

The aim of this paper is firstly to recall the close connection between the Dirichlet process and the Gamma process in very genera] spaces and to show how it can be used to derive interesting properties of the Dirichlet process. Secondly, it is shown that the characterization of the Dirichlet process through independence relations between associated a-fields entails a nice description of the posterior distribution of the Dirichlet process at points where there is either no or at least one observation.

Suggested Citation

  • ROLIN, Jean-Marie, 1992. "Some useful properties of the Dirichlet process," LIDAM Discussion Papers CORE 1992007, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    • Handle: RePEc:cor:louvco:1992007
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    File URL: https://sites.uclouvain.be/core/publications/coredp/coredp1992.html
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    Citations

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    Cited by:

    1. Clement, E. & Gourieroux, C. & Monfort, A., 2000. "Econometric specification of the risk neutral valuation model," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 117-143.
    2. Jara, Alejandro & Jose Garcia-Zattera, Maria & Lesaffre, Emmanuel, 2007. "A Dirichlet process mixture model for the analysis of correlated binary responses," Computational Statistics & Data Analysis, Elsevier, vol. 51(11), pages 5402-5415, July.
    3. Konstancja Bobecka & Jacek Wesołowski, 2007. "The Dirichlet Distribution and Process through Neutralities," Journal of Theoretical Probability, Springer, vol. 20(2), pages 295-308, June.
    4. MOUCHART, Michel & ROLIN, Jean-Marie & SCHEIHING, Eliana, 1998. "Bayesian identification of semi-parametric binary response models," LIDAM Discussion Papers CORE 1998024, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    5. Christopher Dobronyi & Christian Gouri'eroux, 2020. "Consumer Theory with Non-Parametric Taste Uncertainty and Individual Heterogeneity," Papers 2010.13937, arXiv.org, revised Jan 2021.

    More about this item

    Keywords

    Dirichlet process; Gamma measure; Nonparametric Bayesan Statistic.;
    All these keywords.

    JEL classification:

    • F15 - International Economics - - Trade - - - Economic Integration

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