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Hierarchical Species Sampling Models in BAYESIAN ANALYSIS

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Bassetti F, Casarin R, Rossini L

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  • Published in: Hierarchical Species Sampling Models in BAYESIAN ANALYSIS, vol. 15, pp. 809-838 (ISSN 1936-0975)
  • Year: 2020
  • Abstract: This paper introduces a general class of hierarchical nonparametric prior distributions which includes new hierarchical mixture priors such as the hierarchical Gnedin measures, and other well-known prior distributions such as the hierarchical Pitman-Yor and the hierarchical normalized random measures. The random probability measures are constructed by a hierarchy of generalized species sampling processes with possibly non-diffuse base measures. The proposed framework provides a probabilistic foundation for hierarchical random measures, and allows for studying their properties under the alternative assumptions of diffuse, atomic and mixed base measure. We show that hierarchical species sampling models have a Chinese Restaurants Franchise representation and can be used as prior distributions to undertake Bayesian nonparametric inference. We provide a general sampling method for posterior approximation which easily accounts for non-diffuse base measures such as spike-and-slab.
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Roberto Casarin

Full Professor in Econometrics - Ca’ Foscari University of Venice, Department of Economics

Promoting partner, Scientific Committees and Director of the Area Data Science