A vector of Dirichlet processes

Random probability vectors are of great interest especially in view of their application to statistical inference. Indeed, they can be used for identifying 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 the construction of a vector of Dirichlet processes based on the normalization of an exchangeable vector of completely random measures that are jointly infinitely divisible. After deducing the form of the multivariate Laplace exponent associated to the vector of the gamma completely random measures, we analyze some of their distributional properties. Our attention particularly focuses on the dependence structure and the specific partition probability function induced by the proposed vector.

bayesian nonparametrics; completely random measure; dirichlet process; lévy copula; multivariate lévy measure; partial exchangeability; partition probability function

A vector of Dirichlet processes Articles