Abel Rodriguez, David B. Dunson, And Alan E. Gelfand
01/30/2009 09:00 AM
Applied Mathematics & Statistics
We develop a model for stochastic processes with random marginal distributions. Our model relies on a stick-breaking construction for the marginal distribution of the process, and introduces dependence across locations by using a latent Gaussian copula model as the mechanism for selecting the atoms. The resulting latent stick-breaking process (LaSBP) induces a random partition of the index space, with points closer in space having a higher probability of being in the same cluster. We develop an efficient and straightforward MCMC algorithm for computation and discuss applications in financial econometrics and ecology.
