IDEAS home Printed from https://ideas.repec.org/p/cte/wsrepe/ws122115.html
   My bibliography  Save this paper

A vector of Dirichlet processes

Author

Listed:
  • Leisen, Fabrizio
  • Lijoi, Antonio
  • Spanó, Dario

Abstract

Random probability vectors are of great interest especially in view of their application to statistical inference. Indeed, they can be used for determining the de Finetti mixing measure in the representation of the law of a partially exchangeable array of random elements taking values in a separable and complete metric space. In this paper we describe a construction of a vector of Dirichlet processes based on the normalization of completely random measures that are jointly infinitely divisible. After deducing the form of the Laplace exponent of the vector of the gamma completely random measures, we study some of their distributional properties. Our attention particularly focuses on the dependence structure and the specific partition probability function induced by the proposed vector.

Suggested Citation

  • Leisen, Fabrizio & Lijoi, Antonio & Spanó, Dario, 2012. "A vector of Dirichlet processes," DES - Working Papers. Statistics and Econometrics. WS ws122115, Universidad Carlos III de Madrid. Departamento de Estadística.
  • Handle: RePEc:cte:wsrepe:ws122115
    as

    Download full text from publisher

    File URL: https://e-archivo.uc3m.es/bitstream/handle/10016/14947/ws122115.pdf?sequence=1
    Download Restriction: no

    References listed on IDEAS

    as
    1. Tehranchi, Michael R., 2009. "Symmetric martingales and symmetric smiles," Stochastic Processes and their Applications, Elsevier, vol. 119(10), pages 3785-3797, October.
    2. Ilya Molchanov & Michael Schmutz, 2009. "Exchangeability type properties of asset prices," Papers 0901.4914, arXiv.org, revised Apr 2011.
    3. Ernst Eberlein & Antonis Papapantoleon & Albert N. Shiryaev, 2008. "Esscher transform and the duality principle for multidimensional semimartingales," Papers 0809.0301, arXiv.org, revised Nov 2009.
    4. Molchanov, Ilya, 2009. "Convex and star-shaped sets associated with multivariate stable distributions, I: Moments and densities," Journal of Multivariate Analysis, Elsevier, vol. 100(10), pages 2195-2213, November.
    5. K. Mosler, 2003. "Central regions and dependency," Econometrics 0309004, EconWPA.
    6. Stoev, Stilian A., 2008. "On the ergodicity and mixing of max-stable processes," Stochastic Processes and their Applications, Elsevier, vol. 118(9), pages 1679-1705, September.
    7. Hardin, Clyde D., 1982. "On the spectral representation of symmetric stable processes," Journal of Multivariate Analysis, Elsevier, vol. 12(3), pages 385-401, September.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    Bayesian inference;

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cte:wsrepe:ws122115. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ana Poveda). General contact details of provider: http://portal.uc3m.es/portal/page/portal/dpto_estadistica .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.