Measure-valued stochastic processes

Including completely random measures and many generalizations

Often I need to have a nonparametric representation for a measure over some non-finite index set. We might want to represent a probability, or mass, or a rate. I might want this representation to be something flexible and low-assumption, like a Gaussian process. If I want a nonparametric representation of functions this is not hard; I can simply use a Gaussian process. What can I use for measures?

If I am working directly with random distributions of mass then I might want other properties like conservation of mass.

Completely random measures

See Kingman (1967) for the OG introduction. Foti et al. (2013) summarises

A completely random measure (CRM) is a distribution over measures on some measurable space \(\left(\Theta, \mathcal{F}_{\Theta}\right)\), such that the masses \(\Gamma\left(A_{1}\right), \Gamma\left(A_{2}\right), \ldots\) assigned to disjoint subsets \(A_{1}, A_{2}, \cdots \in \mathcal{F}_{\Theta}\) by a random measure \(\Gamma\) are independent. The class of completely random measures contains important distributions such as the beta process, the gamma process, the Poisson process and the stable subordinator.

AFAICT any subordinator will in fact do. A subordinator is an a.s. non-decreasing Lévy process.


Random coefficient polynomials

As seen in random spectral measures

For categorical variables

A classic


Indian Buffet process

Beta process

As seen, apparently, in survival analysis (Hjort 1990; Thibaux and Jordan 2007)

Other measure priors

Various transforms of Gaussian processes seem popular, e.g. squared or exponentiated. These always seem too messy to me.


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