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Exact simulation of two-parameter Poisson-Dirichlet random variables

Dassios, Angelos 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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Identification Number: 10.1214/20-EJP573

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
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: 20 Aug 2021 02:44
URI: http://eprints.lse.ac.uk/id/eprint/107937

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