The Kernel Pitman-Yor Process

Abstract: In this work, we propose the kernel Pitman-Yor process (KPYP) for nonparametric clustering of data with general spatial or temporal interdependencies. The KPYP is constructed by first introducing an infinite sequence of random locations. Then, based on the stick-breaking construction of the Pitman-Yor process, we define a predictor-dependent random probability measure by considering that the discount hyperparameters of the Beta-distributed random weights (stick variables) of the process are not uniform among the weights, but controlled by a kernel function expressing the proximity between the location assigned to each weight and the given predictors.