Abstract
We describe a simple, yet efficient, procedure for approximating the Lévy measure of a Gamma. (α, 1) random variable. We use this approximation to derive a finite sum-representation that converges almost surely to Ferguson's representation of the Dirichlet process. This approximation is written based on arrivals of a homogeneous Poisson process. We compare the efficiency of our approximation to several other well-known approximations of the Dirichlet process and demonstrate a significant improvement.
Original language | English |
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Pages (from-to) | 916-924 |
Number of pages | 9 |
Journal | Statistics and Probability Letters |
Volume | 82 |
Issue number | 5 |
DOIs | |
Publication status | Published - May 2012 |
Externally published | Yes |
Keywords
- Dirichlet process
- Gamma process
- Lévy measure
- Nonparametric Bayesian
- Stick-breaking representation
ASJC Scopus subject areas
- Statistics and Probability
- Statistics, Probability and Uncertainty