On a rapid simulation of the Dirichlet process

Mahmoud Zarepour, Luai Al Labadi

    Research output: Contribution to journalArticlepeer-review

    22 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

    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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