On a rapid simulation of the Dirichlet process

DOI10.1016/J.SPL.2012.01.020zbMATH Open1247.60045arXiv1107.0521OpenAlexW2150184692MaRDI QIDQ433573FDOQ433573

Luai Al-Labadi, Mahmoud Zarepour

Publication date: 5 July 2012

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

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.

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

zbMATH Keywords

Dirichlet processgamma process[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=L%EF%BF%BD%EF%BF%BDvy+measure&go=Go L��vy measure]nonparametric Bayesianstick-breaking representation

Mathematics Subject Classification ID

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

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Cited In (20)

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• The two-sample problem via relative belief ratio
• A Bayesian nonparametric goodness of fit test for right censored data based on approximate samples from the beta-Stacy process
• On approximations of the beta process in latent feature models: point processes approach
• Exact simulation of Poisson-Dirichlet distribution and generalised gamma process
• A general guide in Bayesian and robust Bayesian estimation using Dirichlet processes
• A Bayesian nonparametric estimation to entropy
• On functional central limit theorems of Bayesian nonparametric priors
• Markov chain Monte Carlo estimation of the law of the mean of a Dirichlet process
• A Bayesian semiparametric Gaussian copula approach to a multivariate normality test
• On metrizing vague convergence of random measures with applications on Bayesian nonparametric models
• Goodness-of-fit tests based on the distance between the Dirichlet process and its base measure
• Bayesian estimation of extropy and goodness of fit tests
• Bayesian bootstrapping for symmetric distributions
• Truncated Poisson-Dirichlet approximation for Dirichlet process hierarchical models
• Two-sample Kolmogorov-Smirnov test using a Bayesian nonparametric approach
• Nonparametric Bayesian optimal designs for exponential regression model
• Kullback-Leibler divergence for Bayesian nonparametric model checking
• A consistent bayesian bootstrap for chi-squared goodness-of-fit test using a dirichlet prior
• On simulations from the two-parameter Poisson-Dirichlet process and the normalized inverse-Gaussian process

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