Let $X=(X_1,X_2,ldots)$ be a sequence of random variables with values in a standard space $(S,mathcal{B})$. Suppose egin{gather*} X_1sim uquad ext{and}quad Pigl(X_{n+1}incdotmid X_1,ldots,X_nigr)=rac{ heta u(cdot)+sum_{i=1}^nK(X_i)(cdot)}{n+ heta}quadquad ext{a.s.} end{gather*} where $ heta>0$ is a constant, $ u$ a probability measure on $mathcal{B}$, and $K$ a random probability measure on $mathcal{B}$. Then, $X$ is exchangeable whenever $K$ is a regular conditional distribution for $ u$ given any sub-$sigma$-field of $mathcal{B}$. Under this assumption, $X$ enjoys all the main properties of classical Dirichlet sequences, including Sethuraman's representation, conjugacy property, and convergence in total variation of predictive distributions. If $mu$ is the weak limit of the empirical measures, conditions for $mu$ to be a.s. discrete, or a.s. non-atomic, or $mull u$ a.s., are provided. Two CLT's are proved as well. The first deals with stable convergence while the second concerns total variation distance.
Berti Patrizia, Dreassi Emanuela, Leisen Fabrizio, Pratelli Luca, Rigo Pietro (2023). Kernel based Dirichlet sequences. BERNOULLI, 29, 1321-1342.
Kernel based Dirichlet sequences
Rigo Pietro
2023
Abstract
Let $X=(X_1,X_2,ldots)$ be a sequence of random variables with values in a standard space $(S,mathcal{B})$. Suppose egin{gather*} X_1sim uquad ext{and}quad Pigl(X_{n+1}incdotmid X_1,ldots,X_nigr)=rac{ heta u(cdot)+sum_{i=1}^nK(X_i)(cdot)}{n+ heta}quadquad ext{a.s.} end{gather*} where $ heta>0$ is a constant, $ u$ a probability measure on $mathcal{B}$, and $K$ a random probability measure on $mathcal{B}$. Then, $X$ is exchangeable whenever $K$ is a regular conditional distribution for $ u$ given any sub-$sigma$-field of $mathcal{B}$. Under this assumption, $X$ enjoys all the main properties of classical Dirichlet sequences, including Sethuraman's representation, conjugacy property, and convergence in total variation of predictive distributions. If $mu$ is the weak limit of the empirical measures, conditions for $mu$ to be a.s. discrete, or a.s. non-atomic, or $mull u$ a.s., are provided. Two CLT's are proved as well. The first deals with stable convergence while the second concerns total variation distance.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.