A moment-matching Ferguson & Klass algorithm

Julyan Arbel (1, 2, 3) , Igor Prünster (2)

1 Collegio Carlo Alberto
2 Universita' Bocconi and IGIER
3 MISTIS - Modelling and Inference of Complex and Structured Stochastic Systems

Completely random measures (CRM) represent the key building block of a wide variety of popular stochastic models and play a pivotal role in modern Bayesian Nonparametrics. The popular Ferguson & Klass representation of CRMs as a random series with decreasing jumps can immediately be turned into an algorithm for sampling realizations of CRMs or more elaborate models involving transformed CRMs. However, concrete implementation requires to truncate the random series at some threshold resulting in an approximation error. The goal of this paper is to quantify the quality of the approximation by a moment-matching criterion, which consists in evaluating a measure of discrepancy between actual moments and moments based on the simulation output. Seen as a function of the truncation level, the methodology can be used to determine the truncation level needed to reach a certain level of precision. The resulting moment-matching Ferguson & Klass algorithm is then implemented and illustrated on several popular Bayesian nonparametric models.

Mots clés: Ferguson & Klass algorithm; Completely random measures; Bayesian Nonparametrics; Posterior sampling; Normalized random measures; Moment-matching

Domaines: Calcul [stat.CO]; Méthodologie [stat.ME]; Applications [stat.AP]; Théorie [stat.TH]

Julyan Arbel, Igor Prünster. A moment-matching Ferguson & Klass algorithm. Statistics and Computing, 2017, 27 (1), pp.3-17. ⟨10.1007/s11222-016-9676-8⟩. ⟨hal-01396587⟩