On a rapid simulation of the Dirichlet process

DOI10.1016/J.SPL.2012.01.020MaRDI QIDQ433573zbMATH OpenOpenAlexFDO

Authors Mahmoud Zarepour, Luai Al-Labadi

Publication date 5 July 2012

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1107.0521

zbMATH Keywords

Dirichlet processgamma processnonparametric Bayesianstick-breaking representationLévy measure

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Nonparametric inference (62G99) Strong limit theorems (60F15)

Abstract: We describe a simple and efficient procedure for approximating the L'evy measure of a $extGamma(alpha,1)$ random variable. We use this approximation to derive a finite sum-representation that converges almost surely to Ferguson's representation of the Dirichlet process 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 substantial improvement.

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Cited in

(20)

• On functional central limit theorems of Bayesian nonparametric priors
• A general guide in Bayesian and robust Bayesian estimation using Dirichlet processes
• Bayesian bootstrapping for symmetric distributions
• Two-sample Kolmogorov-Smirnov test using a Bayesian nonparametric approach
• Exact simulation of Poisson-Dirichlet distribution and generalised gamma process
• A Bayesian semiparametric Gaussian copula approach to a multivariate normality test
• A consistent bayesian bootstrap for chi-squared goodness-of-fit test using a dirichlet prior
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• A Bayesian nonparametric estimation to entropy
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• On simulations from the two-parameter Poisson-Dirichlet process and the normalized inverse-Gaussian process
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• Goodness-of-fit tests based on the distance between the Dirichlet process and its base measure
• Nonparametric Bayesian optimal designs for exponential regression model

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