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 |
| Open access status: | An open access version is available from UCL Discovery |
| 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-pp.ucl.ac.uk/id/eprint/10070029 |
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