On a rapid simulation of the Dirichlet process

Mahmoud Zarepour, Luai Al Labadi

Research output: Contribution to journalArticlepeer-review

23 Citations (Scopus)

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 languageEnglish
Pages (from-to)916-924
Number of pages9
JournalStatistics and Probability Letters
Volume82
Issue number5
DOIs
Publication statusPublished - May 2012
Externally publishedYes

Keywords

  • Dirichlet process
  • Gamma process
  • Lévy measure
  • Nonparametric Bayesian
  • Stick-breaking representation

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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