I am reading about the Dirichlet process and I can understand the construction from Chinese restaurant process or stick-breaking process or Polya urn scheme. Now I am trying to understand why Dirichlet process is a distribution of distribution from its formal/original definition from link of Wikipedia:
Given a measureable set S, a base probability distribution H and a positive real number $\alpha$, the Dirichlet process $DP(H, \alpha)$ is a stochastic process whose sample path is a probability distribution over $S$, such that the following holds:
for any measureable finite partition of $S$, denoted $\{B_i\}_{i=1}^n$, if $X \sim DP(H, \alpha)$, then $$(X(B_1), ..., X(B_n)) \sim Dir(\alpha H(B_1), ..., \alpha H(B_n))$$ where $Dir$ denotes Dirichlet distribution.
I have the basic understanding of the concept of measure theory and I can understand the terms in this definition. However, I fail to get a picture from the above definition by linking with Chinese restaurant processes:
- Considering from the Chinese restaurant process, what should this measureable set $S$ and its parition correspond to? Is $S$ all customers and does the partition correspond to a particular way how all customers are partitioned into tables?
- What does $X(B_i)$ mean in Chinese restaurant process? Does it mean the probability that a specific group of customers sit at table $i$?
- What does the vector $(X(B_1), ..., X(B_n))$ mean? Is it the vector of probabilities for each table to have a specific group of customers? Or is it the multinomial distribution vector for a new customer to sit at any table?
- For Chinese restaurant process, what should be an intuitive example of the base distribution $H$? And what is the meaning of $H(B_1)$ here?