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On a rapid simulation of the Dirichlet process

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  • Zarepour, Mahmoud
  • Labadi, Luai Al

Abstract

We describe a simple, yet efficient, procedure for approximating the Lévy measure of a Gamma(α,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. This approximation is written 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 significant improvement.

Suggested Citation

  • Zarepour, Mahmoud & Labadi, Luai Al, 2012. "On a rapid simulation of the Dirichlet process," Statistics & Probability Letters, Elsevier, vol. 82(5), pages 916-924.
    • Handle: RePEc:eee:stapro:v:82:y:2012:i:5:p:916-924
    DOI: 10.1016/j.spl.2012.01.020
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    6. Mahmoud Zarepour & Thierry Bedard & Andre Dabrowski, 2008. "Return and Value at Risk using the Dirichlet Process," Applied Mathematical Finance, Taylor & Francis Journals, vol. 15(3), pages 205-218.
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