The Annals of Statistics

Distributional results for means of normalized random measures with independent increments

Antonio Lijoi, Igor Prünster, and Eugenio Regazzini

Full-text: Open access

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.

Article information

Source
Ann. Statist., Volume 31, Number 2 (2003), 560-585.

Dates
First available in Project Euclid: 22 April 2003

Permanent link to this document
https://projecteuclid.org/euclid.aos/1051027881

Digital Object Identifier
doi:10.1214/aos/1051027881

Mathematical Reviews number (MathSciNet)
MR1983542

Zentralblatt MATH identifier
1068.62034

Subjects
Primary: 62F15: Bayesian inference
Secondary: 60G57: Random measures

Keywords
Dirichlet process distribution of means of random probability measures increasing addititive processes Lévy measure (normalized) random measure with independent increments

Citation

Regazzini, Eugenio; Lijoi, Antonio; Prünster, Igor. Distributional results for means of normalized random measures with independent increments. Ann. Statist. 31 (2003), no. 2, 560--585. doi:10.1214/aos/1051027881. https://projecteuclid.org/euclid.aos/1051027881


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