Quantile Pyramids for Bayesian Nonparametrics

  title={Quantile Pyramids for Bayesian Nonparametrics},
  author={Stephen G. Walker},
Pólya trees fix partitions and use random probabilities in order to construct random probability measures. With quantile pyramids we instead fix probabilities and use random partitions. For nonparametric Bayesian inference we use a prior which supports piecewise linear quantile functions, based on the need to work with a finite set of partitions, yet we show that the limiting version of the prior exists. We also discuss and investigate an alternative model based on the socalled substitute… CONTINUE READING