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Two part envelopes for rejection sampling of some completely random measures

Griffin, J; (2019) Two part envelopes for rejection sampling of some completely random measures. Statistics and Probability Letters , 151 pp. 36-41. 10.1016/j.spl.2019.03.004.

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Abstract

This paper shows that rejection sampling with a two-piece L´evy intensity envelope can outperform both the Ferguson-Klass algorithm and previously proposed envelopes for simulating realisations of completely random measures typically used in Bayesian nonparametric statistics

Type: Article
Title: Two part envelopes for rejection sampling of some completely random measures
DOI: 10.1016/j.spl.2019.03.004
Publisher version: https://doi.org/10.1016/j.spl.2019.03.004
Language: English
Additional information: This version is the author accepted manuscript. For information on re-use, please refer to the publisher’s terms and conditions.
Keywords: Bayesian nonparametrics; gamma process; beta process; generalized gamma process; stable-beta process; Ferguson-Klass algorithm
UCL classification: UCL
UCL > Provost and Vice Provost Offices
UCL > Provost and Vice Provost Offices > UCL BEAMS
UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Maths and Physical Sciences
UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Maths and Physical Sciences > Dept of Statistical Science
URI: https://discovery.ucl.ac.uk/id/eprint/10070029
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