title: Latent Stick-Breaking Processes.
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.
authors.affiliation: Abel Rodriguez is Assistant Professor, Department of Applied Mathematics and Statistics, University of California, Mailstop SOE2, Santa Cruz, CA 95064 ( abel@soe.ucsc.edu ). David B. Dunson is Professor ( dunson@stat.duke.edu ) and Alan E. Gelfand is Professor ( alan@stat.duke.edu ), Department of Statistical Sciences, Duke University, Box 90251, Durham, NC 27708.
authors.forename: Abel
authors.initials: A
authors.lastname: Rodríguez
authors.forename: David B
authors.initials: DB
authors.lastname: Dunson
authors.forename: Alan E
authors.initials: AE
authors.lastname: Gelfand
keywords: Nonparametric Bayes; Option pricing; Point-referenced counts; Random probability measure; Random stochastic processes
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