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Two part envelopes for rejection sampling of some completely random measures

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  • Griffin, Jim

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.

Suggested Citation

  • Griffin, Jim, 2019. "Two part envelopes for rejection sampling of some completely random measures," Statistics & Probability Letters, Elsevier, vol. 151(C), pages 36-41.
    • Handle: RePEc:eee:stapro:v:151:y:2019:i:c:p:36-41
    DOI: 10.1016/j.spl.2019.03.004
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    References listed on IDEAS

    as
    1. Lancelot F. James & Antonio Lijoi & Igor Prünster, 2009. "Posterior Analysis for Normalized Random Measures with Independent Increments," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 36(1), pages 76-97, March.
    2. François Caron & Emily B. Fox, 2017. "Sparse graphs using exchangeable random measures," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 79(5), pages 1295-1366, November.
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