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A family of stochastic processes whose realizations are probability distributions

9 votes
1 answer
529 views

What does it mean to integrate over a random measure?

I'm currently looking at a paper of Dirichlet process random effects model and the model specification is as follows: $$ \begin{align*}y_{i} &= X_{i}\beta + \psi_{i} + \epsilon_{i}\\ \psi_{i} &\sim G …
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  • 1,152
8 votes
1 answer
277 views

Dirichlet process mixture MCMC

I'm reading Markov Chain Sampling Methods for Dirichlet Process Mixture Models by Radford M. Neal. Equation (3.6) states that $$ \text{If } c=c_{j} \text{ for some } j\neq i: P\left(c_{i}=c\;|\;c_{-i …
Daeyoung's user avatar
  • 1,152