Conjugacy as a Distinctive Feature of the Dirichlet Process
Lancelot F. James, Antonio Lijoi, Igor Prünster · Scandinavian Journal of Statistics · 2006
Abstract. Recently the class of normalized random measures with independent increments, which contains the Dirichlet process as a particular case, has been introduced. Here a new technique for deriving moments of these random probability measures is proposed. It is shown that, a priori, most of the appealing properties featured by the Dirichlet process are preserved. When passing to posterior computations, we obtain a characterization of the Dirichlet process as the only conjugate member of the whole class of normalized random measures with independent increments.