Truncation error of a superposed gamma process in a decreasing order representation

Julyan Arbel 1, 2 Igor Prünster 3
1 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 a key ingredient of a wealth of stochastic models, in particular in Bayesian Nonparametrics for defining prior distributions. CRMs can be represented as infinite random series of weighted point masses. A constructive representation due to Ferguson and Klass provides the jumps of the series in decreasing order. This feature is of primary interest when it comes to sampling since it minimizes the truncation error for a fixed truncation level of the series. We quantify the quality of the approximation in two ways. First, we derive a bound in probability for the truncation error. Second, following Arbel and Prünster (2016), we study a moment-matching criterion which consists in evaluating a measure of discrepancy between actual moments of the CRM and moments based on the simulation output. This note focuses on a general class of CRMs, namely the superposed gamma process, which suitably transformed have already been successfully implemented in Bayesian Nonparametrics. To this end, we show that the moments of this class of processes can be obtained analytically.
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Julyan Arbel, Igor Prünster. Truncation error of a superposed gamma process in a decreasing order representation. Argiento, R.; Lanzarone, E.; Antoniano Villalobos, I.; Mattei, A. Bayesian Statistics in Action, 194, pp.11--19, 2017, Bayesian Statistics in Action, ⟨https://nips.cc/⟩. ⟨hal-01405580⟩

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