Griffin, J.E.; Steel, M.F.J. - In: Journal of Econometrics 162 (2011) 2, pp. 383-396
This paper considers the problem of defining a time-dependent nonparametric prior for use in Bayesian nonparametric modelling of time series. A recursive construction allows the definition of priors whose marginals have a general stick-breaking form. The processes with Poisson-Dirichlet and...