  In [10], a `Markovian stick-breaking' process which generalizes the Dirichlet
process $(\mu, \theta)$ with respect to a discrete base space ${\mathfrak X}$
was introduced. In particular, a sample from from the `Markovian
stick-breaking' processs may be represented in stick-breaking form $\sum_{i\geq
1} P_i \delta_{T_i}$ where $\{T_i\}$ is a stationary, irreducible Markov chain
on ${\mathfrak X}$ with stationary distribution $\mu$, instead of i.i.d.
$\{T_i\}$ each distributed as $\mu$ as in the Dirichlet case, and $\{P_i\}$ is
a GEM$(\theta)$ residual allocation sequence. Although the motivation in [10]
was to relate these Markovian stick-breaking processes to empirical
distributional limits of types of simulated annealing chains, these processes
may also be thought of as a class of priors in statistical problems. The aim of
this work in this context is to identify the posterior distribution and to
explore the role of the Markovian structure of $\{T_i\}$ in some inference test
cases.
