Generalized Pólya Urn for Time-Varying Pitman-Yor Processes

François Caron, Willie Neiswanger, Frank Wood, Arnaud Doucet, Manuel Davy; 18(27):1−32, 2017.

Abstract

This article introduces a class of first-order stationary time- varying Pitman-Yor processes. Subsuming our construction of time-varying Dirichlet processes presented in (Caron et al., 2007), these models can be used for time-dynamic density estimation and clustering. Our intuitive and simple construction relies on a generalized Pólya urn scheme. Significantly, this construction yields marginal distributions at each time point that can be explicitly characterized and easily controlled. Inference is performed using Markov chain Monte Carlo and sequential Monte Carlo methods. We demonstrate our models and algorithms on epidemiological and video tracking data.

[abs][pdf][bib]




Home Page

Papers

Submissions

News

Editorial Board

Announcements

Proceedings

Open Source Software

Search

Statistics

Login

Contact Us



RSS Feed