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Extended Bernstein prior via reinforced urn processes

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Abstract

A reinforced urn process, which induces a prior on the space of mixtures of Bernstein distributions is introduced. A nonparametric Bayesian model based on this prior is presented: the elicitation is treated and some connections with Dirichlet mixtures are given. In the last part of the article, an MCMC algorithm to compute the predictive distribution is discussed.

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Authors and Affiliations

  1. Università Bocconi, Milan, Italy

    Lorenzo Trippa, Paolo Bulla & Sonia Petrone

Authors
  1. Lorenzo Trippa
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  2. Paolo Bulla
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  3. Sonia Petrone
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Corresponding author

Correspondence to Paolo Bulla.

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Trippa, L., Bulla, P. & Petrone, S. Extended Bernstein prior via reinforced urn processes. Ann Inst Stat Math 63, 481–496 (2011). https://doi.org/10.1007/s10463-009-0227-3

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  • DOI: https://doi.org/10.1007/s10463-009-0227-3

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