Abstract

Heavy tails are often found in practice, and yet they are an Achilles heel of a variety of mainstream random probability measures such as the Dirichlet process (DP). The first contribution of this paper focuses on characterizing the tails of the so-called normalized generalized gamma (NGG) process. We show that the right tail of an NGG process is heavy-tailed provided that the centering distribution is itself heavy-tailed; the DP is the only member of the NGG class that fails to obey this convenient property. A second contribution of the paper rests on the development of two classes of heavy-tailed mixture models and the assessment of their relative merits. Multivariate extensions of the proposed heavy-tailed mixtures are devised here, along with a predictor-dependent version, to learn about the effect of covariates on a multivariate heavy-tailed response. The simulation study suggests that the proposed method performs well in various scenarios, and we showcase the application of the proposed methods in a neuroscience dataset.