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Hello there,

I have problems understanding how a dirichlet process is in fact a stochastic process; a random variable which changes over t \in T. What is the T here, is it the partitions of the sample space which can grow to infinity?

I would appreciate any explanations :) Thanks

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Could try good old Wikipedia on this...

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If Wikipedia's page is the standard explanation, then this is a fantastic question. In fact, I would love to see a tutorial on DPs for the mathematician that has mastered the basics of measure-theoretic probability. –  Neil Toronto Apr 21 '11 at 15:43
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@Neil, I have no idea whether you formulated this request for real or as a jest but if you did ask seriously, a starting point could be the seminal paper Prior distributions on spaces of probability measures by T.S. Ferguson (Annals of Statistics, 1974). For a diversified and more recent list of references, see mlg.eng.cam.ac.uk/porbanz/talks/npb-tutorial.html –  Did Aug 11 '11 at 23:32
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