A Bayesian View of the Poisson-Dirichlet Process
The two parameter Poisson-Dirichlet Process (PDP), a generalisation of the Dirichlet Process, is increasingly being used for probabilistic modelling in discrete areas such as language technology, bioinformatics, and image analysis. There is a rich literature about the PDP and its derivative distributions such as the Chinese Restaurant Process. This article reviews some of the basic theory and then the major results needed for Bayesian modelling of discrete problems including details of priors, posteriors and computation. The PDP is a generalisation of the Dirichlet distribution that allows one to build distributions over partitions, both finite and countably infinite. The PDP has two other remarkable properties: first it is partially conjugate to itself, which allows one to build hierarchies of PDPs, and second using a marginalised relative the Chinese Restaurant Process (CRP), one gets frag- mentation and clustering properties that lets one layer partitions to build trees. This article presents the basic theory for understanding the notion of partitions and distributions over them, the PDP and the CRP, and the important properties of conjugacy, fragmentation and clustering, as well as some key related properties such as consistency and convergence. This article also presents a Bayesian interpretation of the Poisson-Dirichlet process: it is based on an improper and infinite dimensional Dirichlet distribution. This interpretation requires technicalities of priors, posteriors and Hilbert spaces, but conceptually, this means we can understand the process as just another Dirichlet and thus all its sampling properties emerge naturally. The theory of PDPs is usually presented for continuous distributions (more generally referred to as non-atomic distributions), however, when applied to discrete distributions its remarkable conjugacy property emerges. This con- text and basic results are also presented, as well as techniques for computing the second order Stirling numbers that occur in the posteriors for discrete distributions.
Keywords: Pitman-Yor process, Dirichlet, two-parameter Poisson-Dirichlet process, Chinese Restaurant Process