Dassios, Angelos ORCID: 0000-0002-3968-2366 and Zhang, Junyi
(2021)
Exact simulation of two-parameter Poisson-Dirichlet random variables.
Electronic Journal of Probability, 26.
ISSN 1083-6489
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Abstract
Consider a random vector (V1, . . . , Vn) where {Vk}k=1,...,n are the first n components of a two-parameter Poisson-Dirichlet distribution P D(α, θ). In this paper, we derive a decomposition for the components of the random vector, and propose an exact simulation algorithm to sample from the random vector. Moreover, a special case arises when θ/α is a positive integer, for which we present a very fast modified simulation algorithm using a compound geometric representation of the decomposition. Numerical examples are provided to illustrate the accuracy and effectiveness of our algorithms.
Item Type: | Article |
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Official URL: | https://projecteuclid.org/euclid.ejp |
Additional Information: | © 2021 The Authors |
Divisions: | Statistics |
Subjects: | H Social Sciences > HA Statistics |
Date Deposited: | 17 Dec 2020 12:21 |
Last Modified: | 02 Aug 2024 18:54 |
URI: | http://eprints.lse.ac.uk/id/eprint/107937 |
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