Two part envelopes for rejection sampling of some completely random measures

Jim Griffin

Statistics & Probability Letters, 2019, vol. 151, issue C, 36-41

Abstract: This paper shows that rejection sampling with a two-piece Lévy intensity envelope can outperform both the Ferguson–Klass algorithm and previously proposed envelopes for simulating realizations of completely random measures typically used in Bayesian nonparametric statistics.

Keywords: Bayesian nonparametrics; Gamma process; Beta process; Generalized gamma process; Stable-beta process; Ferguson–Klass algorithm (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:151:y:2019:i:c:p:36-41

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DOI: 10.1016/j.spl.2019.03.004

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