Search Results - subject:"Random probability measures"

A prelude to statistics in Wasserstein metric spaces

Chon Van Le; Uyen Hoang Pham - In: Asian journal of economics and banking : AJEB 8 (2024) 1, pp. 54-66

/methodology/approach - The authors spell out the basis and rationale for using Wasserstein metrics on the data space of (random) probability … measures. Findings - In elaborating the new statistical analysis of non-Euclidean data sets, the paper illustrates the …

Persistent link: https://www.econbiz.de/10014497027

Time-series Modelling, Stationarity and Bayesian Nonparametric Methods

Martínez-Ovando, Juan Carlos; Walker, Stephen G. - Banco de México - 2011

In this paper we introduce two general non-parametric first-order stationary time-series models for which marginal (invariant) and transition distributions are expressed as infinite-dimensional mixtures. That feature makes them the first Bayesian stationary fully non-parametric models developed...

Persistent link: https://www.econbiz.de/10009319360

Modelación de series de tiempo, estacionariedad y métodos Bayesianos no paramétricos

Martínez-Ovando, Juan Carlos; Walker, Stephen G. - 2011

Persistent link: https://www.econbiz.de/10010322563

On the stick–breaking representation of normalized inverse Gaussian priors

Favaro, Stefano; Lijoi, Antonio; Prünster, Igor - Dipartimento di Scienze Economiche e Aziendali, … - 2012

Random probability measures are the main tool for Bayesian nonparametric inference, with their laws acting as prior …

Persistent link: https://www.econbiz.de/10010587723

Wild bootstrap of the mean in the infinite variance case

Cavaliere, Giuseppe; Georgiev, Iliyan; Taylor, A.M. Robert - Dipartimento di Scienze Statistiche "Paolo Fortunati", … - 2011

It is well known that the standard i.i.d. bootstrap of the mean is inconsistent in a location model with infinite variance (?-stable) innovations. This occurs because the bootstrap distribution of a normalised sum of infinite variance random variables tends to a random distribution. Consistent...

Persistent link: https://www.econbiz.de/10011228123

On the posterior distribution of classes of random means

James, Lancelot F.; Lijoi, Antonio; Prünster, Igor - Collegio Carlo Alberto, Università degli Studi di Torino - 2009

The study of properties of mean functionals of random probability measures is an important area of research in the …

Persistent link: https://www.econbiz.de/10008518899

Distributional properties of means of random probability measures

Lijoi, Antonio; Prünster, Igor - Collegio Carlo Alberto, Università degli Studi di Torino - 2009

The present paper provides a review of the results concerning distributional properties of means of random probability … Bayesian Nonparametrics. We then present a number of recent contributions concerning means of more general random probability … measures. Our interest in this topic has originated from inferential problems in Bayesian Nonparametrics. Nonetheless, it is …

Persistent link: https://www.econbiz.de/10008518912

Distributional Properties of means of Random Probability Measures

Lijoi, Antonio; Pruenster, Igor - International Centre for Economic Research (ICER) - 2009

Persistent link: https://www.econbiz.de/10008495358

Bayesian Nonparametric Estimation and Consistency of Mixed Multinomial Logit Choice Models

Blasi, Pierpaolo De; James, Lancelot F.; Lau, John W. - International Centre for Economic Research (ICER) - 2007

This paper develops nonparametric estimation for discrete choice models based on the Mixed Multinomial Logit (MMNL) model. It has been shown that MMNL models encompass all discrete choice models derived under the assumption of random utility maximization, subject to the identification of an...

Persistent link: https://www.econbiz.de/10004980490

Distributions of Functionals of the two Parameter Poisson-Dirichlet Process

James, Lancelot F.; Lijoi, Antonio; Prünster, Igor - International Centre for Economic Research (ICER) - 2006

The present paper provides exact expressions for the probability distribution of linear functionals of the two–parameter Poisson–Dirichlet process. Distributional results that follow from the application of an inversion formula for a (generalized) Cauchy–Stieltjes transform are achieved....

Persistent link: https://www.econbiz.de/10004972506