Generalized Pólya Urn for Time-Varying Pitman-Yor Processes

François Caron, Willie Neiswanger, Frank D. Wood, Arnaud Doucet, Manuel Davy
2017 Journal of machine learning research  
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.
more » ... is performed using Markov chain Monte Carlo and sequential Monte Carlo methods. We demonstrate our models and algorithms on epidemiological and video tracking data.
dblp:journals/jmlr/CaronNWDD17 fatcat:on22aaboubb7ndtbefcxdhs7pm