We consider the problem of determining the distribution of means of random probability measures which are obtained by normalizing increasing additive processes. A solution is found by resorting to a well-known inversion formula for characteristic functions due to Gurland. Moreover, expressions of the posterior distributions of those means, in the presence of exchangeable observations, are given. Finally, a section is devoted to the illustration of two examples of statistical relevance.

Distributional results for means of normalized random measures with independent increments

PRUENSTER, Igor
2003-01-01

Abstract

We consider the problem of determining the distribution of means of random probability measures which are obtained by normalizing increasing additive processes. A solution is found by resorting to a well-known inversion formula for characteristic functions due to Gurland. Moreover, expressions of the posterior distributions of those means, in the presence of exchangeable observations, are given. Finally, a section is devoted to the illustration of two examples of statistical relevance.
2003
31
560
585
http://www.imstat.org/aos/
Dirichlet process; distribution of means of random probability measures; increasing additive processes; Lévy measure; (normalized) random measure with independent increments
E. REGAZZINI; A. LIJOI; I. PRUENSTER
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/2318/8527
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