On a rapid simulation of the Dirichlet process

Mahmoud Zarepour and Luai Al Labadi

Statistics & Probability Letters, 2012, vol. 82, issue 5, 916-924

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.

Keywords: Dirichlet process; Gamma process; Lévy measure; Nonparametric Bayesian; Stick-breaking representation (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1016/j.spl.2012.01.020

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