a method for combining inference across related nonparametric.pdfVIP

J. R. Statist. Soc. B (2004) 66, Part 3, pp. 735–749 A method for combining inference across related nonparametric Bayesian models Peter Müller, University of Texas, Houston, USA Fernando Quintana Pontificia Universidad Católica de Chile, Santiago, Chile and Gary Rosner University of Texas, Houston, USA [Received March 2003. Final revision January 2004] Summary. We consider the problem of combining inference in related nonparametric Bayes models. Analogous to parametric hierarchical models, the hierarchical extension formalizes borrowing strength across the related submodels. In the nonparametric context, modelling is complicated by the fact that the random quantities over which we define the hierarchy are infinite dimensional.We discuss a formal definition of such a hierarchical model.The approach includes a regression at the level of the nonparametric model. For the special case of Dirichlet process mixtures, we develop a Markov chain Monte Carlo scheme to allow efficient implementation of full posterior inference in the given model. Keywords: Dependence; Dirichlet process; Hierarchical model; Meta-analysis; Random functions 1. Introduction Hierarchical models with nonparametric extensions at various levels of the hierarchy have been defined and used successfully in the recent literature. MacEachern (1994), Escobar (1994) and Escobar and West (1995) discussed computations in Dirichlet process (DP) mixture models where a parametric prior in a hierarchical model is replaced by the nonparametric DP model. Bush and MacEachern (1996) used a DP prior as random-effects distribution in an analysis- of-variance set-up. Müller and Rosner (1997) used similar DP mixture models to introduce nonparametric population distributions for random effects in longitudinal data models. West et al. (1994) considered norm