A class of dependent Dirichlet processes via latent multinomial processes
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We describe a procedure to introduce general dependence structures on a set of Dirichlet processes. Dependence can be in one direction to define a time series or in two directions to define spatial dependencies. More directions can also be considered. Dependence is induced via a set of latent processes and exploit the conjugacy property between the Dirichlet and the multinomial processes to ensure that the marginal law for each element of the set is a Dirichlet process. Dependence is characterised through the correlation between any two elements. Posterior distributions are obtained when we use the set of Dirichlet processes as prior distributions in a bayesian nonparametric context. Posterior predictive distributions induce partially exchangeable sequences defined by generalised Pólya urs. A numerical example to illustrate is also included.
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