On the use of Markovian stick-breaking priors (2108.10849v1)

Abstract: In [10], a Markovian stick-breaking' process which generalizes the Dirichlet process $(\mu, \theta)$ with respect to a discrete base space ${\mathfrak X}$ was introduced. In particular, a sample from from theMarkovian stick-breaking' processs may be represented in stick-breaking form $\sum_{i\geq 1} P_i \delta_{T_i}$ where ${T_i}$ is a stationary, irreducible Markov chain on ${\mathfrak X}$ with stationary distribution $\mu$, instead of i.i.d. ${T_i}$ each distributed as $\mu$ as in the Dirichlet case, and ${P_i}$ is a GEM$(\theta)$ residual allocation sequence. Although the motivation in [10] was to relate these Markovian stick-breaking processes to empirical distributional limits of types of simulated annealing chains, these processes may also be thought of as a class of priors in statistical problems. The aim of this work in this context is to identify the posterior distribution and to explore the role of the Markovian structure of ${T_i}$ in some inference test cases.