A moment-matching Ferguson & Klass algorithm

Julyan Arbel 1, 2, 3 Igor Prünster 2
3 MISTIS - Modelling and Inference of Complex and Structured Stochastic Systems
Inria Grenoble - Rhône-Alpes, LJK - Laboratoire Jean Kuntzmann, INPG - Institut National Polytechnique de Grenoble
Abstract : 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.
Liste complète des métadonnées

Littérature citée [37 références]  Voir  Masquer  Télécharger

Contributeur : Julyan Arbel <>
Soumis le : lundi 14 novembre 2016 - 16:27:15
Dernière modification le : mercredi 11 avril 2018 - 01:59:40
Document(s) archivé(s) le : mardi 21 mars 2017 - 10:29:53


Fichiers produits par l'(les) auteur(s)



Julyan Arbel, Igor Prünster. A moment-matching Ferguson & Klass algorithm. Statistics and Computing, Springer Verlag (Germany), 2017, 27 (1), pp.3-17. 〈https://link.springer.com/article/10.1007/s11222-016-9676-8〉. 〈10.1007/s11222-016-9676-8〉. 〈hal-01396587〉



Consultations de la notice


Téléchargements de fichiers