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Pitman-Yor Process
Pitman-Yor Process
The parameters governing the Pitman–Yor process are: 0 ≤ d < 1 a discount parameter, a strength parameter
θ > −d and a base distribution G0 over a probability space X. When d = 0, it becomes the Dirichlet process.
The discount parameter gives the Pitman–Yor process more flexibility over tail behavior than the Dirichlet
process, which has exponential tails. This makes Pitman–Yor process useful for modeling data with power-
law tails (e.g., word frequencies in natural language).
The exchangeable random partition induced by the Pitman–Yor process is an example of a Poisson–
Kingman partition, and of a Gibbs type random partition.
Naming conventions
The name "Pitman–Yor process" was coined by Ishwaran and James[5] after Pitman and Yor's review on
the subject.[2] However the process was originally studied in Perman et al.[6][7]
It is also sometimes referred to as the two-parameter Poisson–Dirichlet process, after the two-parameter
generalization of the Poisson–Dirichlet distribution which describes the joint distribution of the sizes of the
atoms in the random measure, sorted by strictly decreasing order.
See also
Chinese restaurant process
Dirichlet distribution
Latent Dirichlet allocation
References
1. Ishwaran, H; James, L F (2003). "Generalized weighted Chinese restaurant processes for
species sampling mixture models". Statistica Sinica. 13: 1211–1235.
2. Pitman, Jim; Yor, Marc (1997). "The two-parameter Poisson–Dirichlet distribution derived
from a stable subordinator". Annals of Probability. 25 (2): 855–900.
CiteSeerX 10.1.1.69.1273 (https://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.69.12
73). doi:10.1214/aop/1024404422 (https://doi.org/10.1214%2Faop%2F1024404422).
MR 1434129 (https://mathscinet.ams.org/mathscinet-getitem?mr=1434129). Zbl 0880.60076
(https://zbmath.org/?format=complete&q=an:0880.60076).
3. Pitman, Jim (2006). Combinatorial Stochastic Processes (http://works.bepress.com/jim_pitm
an/1/). Vol. 1875. Berlin: Springer-Verlag. ISBN 9783540309901.
4. Teh, Yee Whye (2006). "A hierarchical Bayesian language model based on Pitman–Yor
processes". Proceedings of the 21st International Conference on Computational Linguistics
and the 44th Annual Meeting of the Association for Computational Linguistics.
5. Ishwaran, H.; James, L. (2001). "Gibbs Sampling Methods for Stick-Breaking Priors". Journal
of the American Statistical Association. 96 (453): 161–173. CiteSeerX 10.1.1.36.2559 (http
s://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.36.2559).
doi:10.1198/016214501750332758 (https://doi.org/10.1198%2F016214501750332758).
6. Perman, M.; Pitman, J.; Yor, M. (1992). "Size-biased sampling of Poisson point processes
and excursions". Probability Theory and Related Fields. 92: 21–39.
doi:10.1007/BF01205234 (https://doi.org/10.1007%2FBF01205234).
7. Perman, M. (1990). Random Discrete Distributions Derived from Subordinators (Thesis).
Department of Statistics, University of California at Berkeley.