The prediction of future outcomes of a random phenomenon is typically based on a certain number of “analogous” observations from the past. When observations are generated by multiple samples, a natural notion of analogy is partial exchangeability and the problem of prediction can be effectively addressed in a Bayesian nonparametric setting. Instead of confining ourselves to the prediction of a single future experimental outcome, as in most treatments of the subject, we aim at predicting features of an unobserved additional sample of any size. We first provide a structural property of prediction rules induced by partially exchangeable arrays, without assuming any specific nonparametric prior. Then we focus on a general class of hierarchical random probability measures and devise a simulation algorithm to forecast the outcome of m future observations, for any m≥1. The theoretical result and the algorithm are illustrated by means of a real dataset, which also highlights the “borrowing strength” behavior across samples induced by the hierarchical specification.

Camerlenghi, F., Lijoi, A., & Pruenster, I. (2017). Bayesian prediction with multiple-samples information. JOURNAL OF MULTIVARIATE ANALYSIS, 156, 18-28 [10.1016/j.jmva.2017.01.010].

Bayesian prediction with multiple-samples information

Camerlenghi, F;
2017

Abstract

The prediction of future outcomes of a random phenomenon is typically based on a certain number of “analogous” observations from the past. When observations are generated by multiple samples, a natural notion of analogy is partial exchangeability and the problem of prediction can be effectively addressed in a Bayesian nonparametric setting. Instead of confining ourselves to the prediction of a single future experimental outcome, as in most treatments of the subject, we aim at predicting features of an unobserved additional sample of any size. We first provide a structural property of prediction rules induced by partially exchangeable arrays, without assuming any specific nonparametric prior. Then we focus on a general class of hierarchical random probability measures and devise a simulation algorithm to forecast the outcome of m future observations, for any m≥1. The theoretical result and the algorithm are illustrated by means of a real dataset, which also highlights the “borrowing strength” behavior across samples induced by the hierarchical specification.
Articolo in rivista - Articolo scientifico
Bayesian nonparametrics; Hierarchical processes; Partial exchangeability; Pitman–Yor process; Prediction; Species sampling models; Statistics and Probability; Numerical Analysis; Statistics, Probability and Uncertainty
English
18
28
11
Camerlenghi, F., Lijoi, A., & Pruenster, I. (2017). Bayesian prediction with multiple-samples information. JOURNAL OF MULTIVARIATE ANALYSIS, 156, 18-28 [10.1016/j.jmva.2017.01.010].
Camerlenghi, F; Lijoi, A; Pruenster, I
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10281/182530
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