Show simple item record Rodríguez, A Dunson, DB Gelfand, AE
dc.coverage.spatial United States 2011-06-21T17:30:31Z 2010-04-01
dc.identifier.citation J Am Stat Assoc, 2010, 105 (490), pp. 647 - 659
dc.identifier.issn 0162-1459
dc.description.abstract 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 Markov chain Monte Carlo (MCMC) algorithm for computation and discuss applications in financial econometrics and ecology. This article has supplementary material online.
dc.format.extent 647 - 659
dc.language eng
dc.language.iso en_US en_US
dc.relation.ispartof J Am Stat Assoc
dc.relation.isversionof 10.1198/jasa.2010.tm08241
dc.subject Nonparametric Bayes
dc.subject Option pricing
dc.subject Point-referenced counts
dc.subject Random probability measure
dc.subject Random stochastic processes
dc.title Latent Stick-Breaking Processes.
dc.title.alternative en_US
dc.type Journal Article
dc.description.version Version of Record en_US 2010-6-0 en_US
duke.description.endpage 659 en_US
duke.description.issue 490 en_US
duke.description.startpage 647 en_US
duke.description.volume 105 en_US
dc.relation.journal Journal of the American Statistical Association en_US
pubs.issue 490
pubs.organisational-group /Duke
pubs.organisational-group /Duke/Institutes and Provost's Academic Units
pubs.organisational-group /Duke/Institutes and Provost's Academic Units/University Institutes and Centers
pubs.organisational-group /Duke/Institutes and Provost's Academic Units/University Institutes and Centers/Duke Institute for Brain Sciences
pubs.organisational-group /Duke/Nicholas School of the Environment
pubs.organisational-group /Duke/Nicholas School of the Environment/Environmental Sciences and Policy
pubs.organisational-group /Duke/Pratt School of Engineering
pubs.organisational-group /Duke/Pratt School of Engineering/Electrical and Computer Engineering
pubs.organisational-group /Duke/Trinity College of Arts & Sciences
pubs.organisational-group /Duke/Trinity College of Arts & Sciences/Mathematics
pubs.organisational-group /Duke/Trinity College of Arts & Sciences/Statistical Science
pubs.publication-status Published
pubs.volume 105

Files in this item

This item appears in the following Collection(s)

Show simple item record