Exact simulation of two-parameter Poisson-Dirichlet random variables

Angelos Dassios and Junyi Zhang

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: Consider a random vector (V1, . . . , Vn) where {Vk}k=1,...,n are the first n components of a two-parameter Poisson-Dirichlet distribution P D(α, θ). In this paper, we derive a decomposition for the components of the random vector, and propose an exact simulation algorithm to sample from the random vector. Moreover, a special case arises when θ/α is a positive integer, for which we present a very fast modified simulation algorithm using a compound geometric representation of the decomposition. Numerical examples are provided to illustrate the accuracy and effectiveness of our algorithms.

Keywords: two-parameter Poisson-Dirichlet distribution; exact simulation; subordinator (search for similar items in EconPapers)
JEL-codes: C1 (search for similar items in EconPapers)
Pages: 20 pages
Date: 2021
New Economics Papers: this item is included in nep-cmp and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Published in Electronic Journal of Probability, 2021, 26(0). ISSN: 1083-6489

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Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:107937

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