Gibbs Sampling Methods for Stick-Breaking Priors

A rich and  exible class of random probability measures, which we call stick-breaking priors, can be constructed using a sequence of independent beta random variables. Examples of random measures that have this characterization include the Dirichlet process, its two-parameter extension, the two-parameter Poisson–Dirichlet process, Ž nite dimensional Dirichlet priors, and beta two-parameter processes. The rich nature of stick-breaking priors offers Bayesians a useful class of priors for nonparametri c problems, while the similar construction used in each prior can be exploited to develop a general computational procedure for Ž tting them. In this article we present two general types of Gibbs samplers that can be used to Ž t posteriors of Bayesian hierarchical models based on stick-breaking priors. The Ž rst type of Gibbs sampler, referred to as a Pólya urn Gibbs sampler, is a generalized version of a widely used Gibbs sampling method currently employed for Dirichlet process computing. This method applies to stick-breaking priors with a known Pólya urn characterization, that is, priors with an explicit and simple prediction rule. Our second method, the blocked Gibbs sampler, is based on an entirely different approach that works by directly sampling values from the posterior of the random measure. The blocked Gibbs sampler can be viewed as a more general approach because it works without requiring an explicit prediction rule. We Ž nd that the blocked Gibbs avoids some of the limitations seen with the Pólya urn approach and should be simpler for nonexperts to use.