Infinitely divisible priors for multivariate survival functions

TL;DR

This paper introduces a new nonparametric prior framework for multivariate survival functions, leveraging infinitely divisible random measures to model dependence and facilitate Bayesian inference.

Contribution

It develops a novel hierarchical prior construction based on infinitely divisible measures, extending existing models in Bayesian nonparametric survival analysis.

Findings

Framework accommodates both discrete and continuous distributions.

Posterior predictive distribution is explicitly derived and can be simulated.

Application demonstrated on partially exchangeable survival data.

Abstract

This article introduces a novel framework for nonparametric priors on real-valued random vectors, which can be viewed as a multivariate generalization of neutral-to-the right priors. It is based on randomizing the exponent measure of a minimum-infinitely divisible random vector by an infinitely divisible random measure and naturally incorporates partially exchangeable data as well as exchangeable random vectors. We show how to construct hierarchical priors from simple building blocks and embed many models from Bayesian nonparametric survival analysis into our framework. The prior can concentrate on discrete or continuous distributions and other properties such as dependence, moments and moments of mean functionals are characterized. The posterior predictive distribution is derived in a general framework and is refined under some regularity conditions. In addition, a framework for the simulation from the posterior predictive distribution is provided, which is illustrated by an application to partially exchangeable data in a survival analysis context. As a byproduct, the construction of tractable infinitely divisible random measures is studied and the concept of subordination of homogeneous completely random measures by homogeneous completely random measures is extended to the subordination of homogeneous completely random measures by infinitely divisible random measures. This technique allows to create vectors of dependent infinitely divisible random measures with tractable Laplace transforms and serves as a general tool for the construction of tractable infinitely divisible random measures.